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https://github.com/c9s/bbgo.git
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Merge pull request #794 from c9s/strategy/pivotshort
strategy/pivotshort: fix resistance updater
This commit is contained in:
commit
d5fce91fb6
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@ -54,6 +54,7 @@ exchangeStrategies:
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# minDistance is used to ignore the place that is too near to the current price
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minDistance: 3%
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groupDistance: 1%
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# ratio is the ratio of the resistance price,
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# higher the ratio, lower the price
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@ -38,6 +38,10 @@ type BreakLow struct {
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session *bbgo.ExchangeSession
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}
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func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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@ -102,7 +106,6 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
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// we need the price cross the break line or we do nothing
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if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
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log.Infof("%s kline is not between the break low price %f", kline.Symbol, breakPrice.Float64())
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return
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}
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@ -17,18 +17,19 @@ type ResistanceShort struct {
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types.IntervalWindow
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MinDistance fixedpoint.Value `json:"minDistance"`
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NumLayers int `json:"numLayers"`
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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Ratio fixedpoint.Value `json:"ratio"`
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MinDistance fixedpoint.Value `json:"minDistance"`
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GroupDistance fixedpoint.Value `json:"groupDistance"`
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NumLayers int `json:"numLayers"`
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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Ratio fixedpoint.Value `json:"ratio"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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resistancePivot *indicator.Pivot
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resistancePrices []float64
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nextResistancePrice fixedpoint.Value
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resistancePivot *indicator.Pivot
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resistancePrices []float64
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currentResistancePrice fixedpoint.Value
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activeOrders *bbgo.ActiveOrderBook
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}
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@ -39,6 +40,10 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeOrders.BindStream(session.UserDataStream)
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if s.GroupDistance.IsZero() {
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s.GroupDistance = fixedpoint.NewFromFloat(0.01)
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}
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store, _ := session.MarketDataStore(s.Symbol)
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s.resistancePivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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@ -56,6 +61,7 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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position := s.orderExecutor.Position()
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if position.IsOpened(kline.Close) {
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log.Infof("position is already opened, skip placing resistance orders")
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return
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}
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@ -63,26 +69,51 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
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}))
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}
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func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
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// if the close price is still lower than the resistance price, then we don't have to update
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if closePrice.Compare(s.nextResistancePrice) <= 0 {
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return
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func tail(arr []float64, length int) []float64 {
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if len(arr) < length {
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return arr
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}
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return arr[len(arr)-1-length:]
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}
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func (s *ResistanceShort) updateNextResistancePrice(closePrice fixedpoint.Value) bool {
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minDistance := s.MinDistance.Float64()
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lows := s.resistancePivot.Lows
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resistancePrices := findPossibleResistancePrices(closePrice.Float64(), minDistance, lows)
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groupDistance := s.GroupDistance.Float64()
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resistancePrices := findPossibleResistancePrices(closePrice.Float64()*(1.0+minDistance), groupDistance, tail(s.resistancePivot.Lows, 6))
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log.Infof("last price: %f, possible resistance prices: %+v", closePrice.Float64(), resistancePrices)
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if len(resistancePrices) == 0 {
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return false
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}
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log.Infof("%s close price: %f, min distance: %f, possible resistance prices: %+v", s.Symbol, closePrice.Float64(), minDistance, resistancePrices)
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nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])
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// if currentResistancePrice is not set or the close price is already higher than the current resistance price,
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// we should update the resistance price
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// if the detected resistance price is lower than the current one, we should also update it too
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if s.currentResistancePrice.IsZero() {
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s.currentResistancePrice = nextResistancePrice
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return true
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}
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currentSellPrice := s.currentResistancePrice.Mul(one.Add(s.Ratio))
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if closePrice.Compare(currentSellPrice) > 0 ||
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nextResistancePrice.Compare(currentSellPrice) < 0 {
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s.currentResistancePrice = nextResistancePrice
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return true
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}
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return false
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}
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func (s *ResistanceShort) findNextResistancePriceAndPlaceOrders(closePrice fixedpoint.Value) {
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ctx := context.Background()
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if len(resistancePrices) > 0 {
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nextResistancePrice := fixedpoint.NewFromFloat(resistancePrices[0])
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if nextResistancePrice.Compare(s.nextResistancePrice) != 0 {
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bbgo.Notify("Found next resistance price: %f", nextResistancePrice.Float64())
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s.nextResistancePrice = nextResistancePrice
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s.placeResistanceOrders(ctx, nextResistancePrice)
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}
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resistanceUpdated := s.updateNextResistancePrice(closePrice)
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if resistanceUpdated {
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bbgo.Notify("Found next resistance price: %f, updating resistance order...", s.currentResistancePrice.Float64())
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s.placeResistanceOrders(ctx, s.currentResistancePrice)
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}
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}
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@ -108,6 +139,7 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
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log.Infof("placing resistance orders: resistance price = %f, layer quantity = %f, num of layers = %d", resistancePrice.Float64(), quantity.Float64(), numLayers)
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var sellPriceStart = resistancePrice.Mul(fixedpoint.One.Add(s.Ratio))
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var orderForms []types.SubmitOrder
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for i := 0; i < numLayers; i++ {
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balances := s.session.GetAccount().Balances()
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@ -116,13 +148,11 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
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_ = quoteBalance
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_ = baseBalance
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// price = (resistance_price * (1.0 + ratio)) * ((1.0 + layerSpread) * i)
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price := resistancePrice.Mul(fixedpoint.One.Add(s.Ratio))
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spread := layerSpread.Mul(fixedpoint.NewFromInt(int64(i)))
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price = price.Add(spread)
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price := sellPriceStart.Mul(one.Add(spread))
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log.Infof("price = %f", price.Float64())
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log.Infof("placing bounce short order #%d: price = %f, quantity = %f", i, price.Float64(), quantity.Float64())
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log.Infof("placing resistance short order #%d: price = %f, quantity = %f", i, price.Float64(), quantity.Float64())
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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@ -150,27 +180,73 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
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s.activeOrders.Add(createdOrders...)
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}
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func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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// sort float64 in increasing order
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// lower to higher prices
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sort.Float64s(lows)
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func findPossibleSupportPrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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return group(lower(lows, closePrice), minDistance)
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}
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var resistancePrices []float64
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for _, low := range lows {
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if low < closePrice {
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func lower(arr []float64, x float64) []float64 {
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sort.Float64s(arr)
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var rst []float64
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for _, a := range arr {
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// filter prices that are lower than the current closed price
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if a > x {
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continue
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}
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last := closePrice
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if len(resistancePrices) > 0 {
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last = resistancePrices[len(resistancePrices)-1]
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}
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if (low / last) < (1.0 + minDistance) {
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continue
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}
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resistancePrices = append(resistancePrices, low)
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rst = append(rst, a)
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}
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return resistancePrices
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return rst
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}
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func higher(arr []float64, x float64) []float64 {
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sort.Float64s(arr)
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var rst []float64
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for _, a := range arr {
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// filter prices that are lower than the current closed price
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if a < x {
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continue
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}
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rst = append(rst, a)
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}
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return rst
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}
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func group(arr []float64, minDistance float64) []float64 {
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if len(arr) == 0 {
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return nil
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}
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var groups []float64
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var grp = []float64{arr[0]}
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for _, price := range arr {
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avg := average(grp)
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if (price / avg) > (1.0 + minDistance) {
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groups = append(groups, avg)
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grp = []float64{price}
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} else {
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grp = append(grp, price)
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}
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}
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if len(grp) > 0 {
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groups = append(groups, average(grp))
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}
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return groups
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}
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func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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return group(higher(lows, closePrice), minDistance)
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}
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func average(arr []float64) float64 {
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s := 0.0
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for _, a := range arr {
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s += a
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}
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return s / float64(len(arr))
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}
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28
pkg/strategy/pivotshort/resistance_test.go
Normal file
28
pkg/strategy/pivotshort/resistance_test.go
Normal file
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@ -0,0 +1,28 @@
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package pivotshort
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import (
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"testing"
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"github.com/stretchr/testify/assert"
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)
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func Test_findPossibleResistancePrices(t *testing.T) {
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prices := findPossibleResistancePrices(19000.0, 0.01, []float64{
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23020.0,
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23040.0,
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23060.0,
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24020.0,
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24040.0,
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24060.0,
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})
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assert.Equal(t, []float64{23035, 24040}, prices)
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prices = findPossibleResistancePrices(19000.0, 0.01, []float64{
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23020.0,
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23040.0,
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23060.0,
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})
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assert.Equal(t, []float64{23035}, prices)
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}
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@ -30,6 +30,69 @@ type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.Pivot
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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}
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func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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session.UserDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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supportPrices := findPossibleSupportPrices(kline.Close.Float64(), 0.1, s.pivot.Lows)
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// supportPrices are sorted in decreasing order
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if len(supportPrices) == 0 {
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log.Infof("support prices not found")
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return
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}
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if !position.IsOpened(kline.Close) {
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return
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}
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nextSupport := fixedpoint.NewFromFloat(supportPrices[0])
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buyPrice := nextSupport.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Type: types.OrderTypeLimitMaker,
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Price: buyPrice,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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@ -49,6 +112,8 @@ type Strategy struct {
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit *SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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@ -73,6 +138,12 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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if s.BreakLow != nil {
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dynamic.InheritStructValues(s.BreakLow, s)
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s.BreakLow.Subscribe(session)
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}
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if s.SupportTakeProfit != nil {
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dynamic.InheritStructValues(s.SupportTakeProfit, s)
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s.SupportTakeProfit.Subscribe(session)
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}
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if !bbgo.IsBackTesting {
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@ -218,6 +218,10 @@ type FuturesPosition struct {
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}
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func NewPositionFromMarket(market Market) *Position {
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if len(market.BaseCurrency) == 0 || len(market.QuoteCurrency) == 0 {
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panic("logical exception: missing market information, base currency or quote currency is empty")
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}
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return &Position{
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Symbol: market.Symbol,
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BaseCurrency: market.BaseCurrency,
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