atrpin: add minPriceRange config

config/atrpin.yaml

@@ -1,6 +1,6 @@
 sessions:
   max:
-    exchange: max
+    exchange: &exchange max
     envVarPrefix: max
 
 persistence:
@@ -12,13 +12,14 @@ persistence:
     db: 0
 
 exchangeStrategies:
-- on: max
+- on: *exchange
   atrpin:
     symbol: BTCUSDT
     interval: 5m
     window: 14
     multiplier: 100.0
-    amount: 1000
+    minPriceRange: 20%
+    amount: 100
 
 backtest:
   startTime: "2018-10-01"
@@ -26,7 +27,7 @@ backtest:
   symbols:
   - BTCUSDT
   sessions:
-  - max
+  - *exchange
   # syncSecKLines: true
   accounts:
     max:

pkg/strategy/atrpin/strategy.go

@@ -30,6 +30,7 @@ type Strategy struct {
 	Interval      types.Interval   `json:"interval"`
 	Window        int              `json:"window"`
 	Multiplier    float64          `json:"multiplier"`
+	MinPriceRange fixedpoint.Value `json:"minPriceRange"`
 
 	bbgo.QuantityOrAmount
 	// bbgo.OpenPositionOptions
@@ -92,7 +93,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 
 		// if the atr is too small, apply the price range protection with 10%
 		// priceRange protection 10%
-		priceRange = fixedpoint.Max(priceRange, k.Close.Mul(fixedpoint.NewFromFloat(0.1)))
+		priceRange = fixedpoint.Max(priceRange, k.Close.Mul(s.MinPriceRange))
 		log.Infof("priceRange: %f", priceRange.Float64())
 
 		ticker, err := session.Exchange.QueryTicker(ctx, s.Symbol)