mirror of
https://github.com/c9s/bbgo.git
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Merge pull request #512 from zenixls2/feature/elliott_wave
strategy: elliott wave oscillator
This commit is contained in:
Yo-An Lin
GitHub
commit
d6755d7ca0
48
config/ewo_dgtrd.yaml
Normal file
48
config/ewo_dgtrd.yaml
Normal file
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@ -0,0 +1,48 @@
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---
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sessions:
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binance:
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exchange: binance
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futures: true
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envVarPrefix: binance
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exchangeStrategies:
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- on: binance
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ewo_dgtrd:
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symbol: NEARUSDT
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interval: 15m
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useEma: false
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useSma: false
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sigWin: 3
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stoploss: 2%
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callback: 1%
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useHeikinAshi: true
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#stops:
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#- trailingStop:
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# callbackRate: 5.1%
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# closePosition: 20%
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# minProfit: 1%
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# interval: 1m
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# virtual: true
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sync:
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userDataStream:
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trades: true
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filledOrders: true
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since: 2020-12-01
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sessions:
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- binance
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symbols:
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- NEARUSDT
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backtest:
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startTime: "2022-03-03"
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endTime: "2022-04-14"
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symbols:
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- NEARUSDT
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sessions: [binance]
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account:
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binance:
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balances:
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NEAR: 0
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USDT: 10000
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@ -23,4 +23,5 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/xmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/xnav"
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_ "github.com/c9s/bbgo/pkg/strategy/xpuremaker"
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_ "github.com/c9s/bbgo/pkg/strategy/ewoDgtrd"
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)
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737
pkg/strategy/ewoDgtrd/strategy.go
Normal file
737
pkg/strategy/ewoDgtrd/strategy.go
Normal file
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@ -0,0 +1,737 @@
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package ewoDgtrd
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import (
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"context"
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"fmt"
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"math"
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"sync"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "ewo_dgtrd"
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var log = logrus.WithField("strategy", ID)
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var modifier = fixedpoint.NewFromFloat(0.995)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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Market types.Market
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Session *bbgo.ExchangeSession
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UseHeikinAshi bool `json:"useHeikinAshi"` // use heikinashi kline
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Stoploss fixedpoint.Value `json:"stoploss"`
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Callback fixedpoint.Value `json:"callback"`
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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UseEma bool `json:"useEma"` // use exponential ma or not
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UseSma bool `json:"useSma"` // if UseEma == false, use simple ma or not
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SignalWindow int `json:"sigWin"` // signal window
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*bbgo.Graceful
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bbgo.SmartStops
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tradeCollector *bbgo.TradeCollector
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ma5 types.Series
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ma34 types.Series
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ewo types.Series
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ewoSignal types.Series
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heikinAshi *HeikinAshi
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peakPrice fixedpoint.Value
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bottomPrice fixedpoint.Value
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Initialize() error {
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return s.SmartStops.InitializeStopControllers(s.Symbol)
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
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s.SmartStops.Subscribe(session)
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}
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type UpdatableSeries interface {
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types.Series
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Update(value float64)
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}
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type EVWMA struct {
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PV UpdatableSeries
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V UpdatableSeries
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}
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func (inc *EVWMA) Last() float64 {
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return inc.PV.Last() / inc.V.Last()
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}
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func (inc *EVWMA) Index(i int) float64 {
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if i >= inc.PV.Length() {
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return 0
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}
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vi := inc.V.Index(i)
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if vi == 0 {
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return 0
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}
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return inc.PV.Index(i) / vi
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}
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func (inc *EVWMA) Length() int {
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pvl := inc.PV.Length()
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vl := inc.V.Length()
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if pvl < vl {
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return pvl
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}
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return vl
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}
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func (inc *EVWMA) Update(kline types.KLine) {
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inc.PV.Update(kline.Close.Mul(kline.Volume).Float64())
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inc.V.Update(kline.Volume.Float64())
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}
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func (inc *EVWMA) UpdateVal(price float64, vol float64) {
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inc.PV.Update(price * vol)
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inc.V.Update(vol)
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}
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type Queue struct {
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arr []float64
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size int
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}
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func NewQueue(size int) *Queue {
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return &Queue{
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arr: make([]float64, 0, size),
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size: size,
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}
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}
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func (inc *Queue) Last() float64 {
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if len(inc.arr) == 0 {
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return 0
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}
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return inc.arr[len(inc.arr)-1]
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}
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func (inc *Queue) Index(i int) float64 {
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if len(inc.arr)-i-1 < 0 {
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return 0
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}
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return inc.arr[len(inc.arr)-i-1]
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}
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func (inc *Queue) Length() int {
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return len(inc.arr)
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}
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func (inc *Queue) Update(v float64) {
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inc.arr = append(inc.arr, v)
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if len(inc.arr) > inc.size {
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inc.arr = inc.arr[len(inc.arr)-inc.size:]
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}
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}
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type HeikinAshi struct {
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Close *Queue
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Open *Queue
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High *Queue
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Low *Queue
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Volume *Queue
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}
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func NewHeikinAshi(size int) *HeikinAshi {
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return &HeikinAshi{
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Close: NewQueue(size),
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Open: NewQueue(size),
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High: NewQueue(size),
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Low: NewQueue(size),
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Volume: NewQueue(size),
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}
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}
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func (s *HeikinAshi) Print() string {
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return fmt.Sprintf("Heikin c: %.3f, o: %.3f, h: %.3f, l: %.3f, v: %.3f",
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s.Close.Last(),
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s.Open.Last(),
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s.High.Last(),
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s.Low.Last(),
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s.Volume.Last())
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}
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func (inc *HeikinAshi) Update(kline types.KLine) {
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open := kline.Open.Float64()
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cloze := kline.Close.Float64()
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high := kline.High.Float64()
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low := kline.Low.Float64()
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newClose := (open + high + low + cloze) / 4.
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newOpen := (inc.Open.Last() + inc.Close.Last()) / 2.
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inc.Close.Update(newClose)
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inc.Open.Update(newOpen)
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inc.High.Update(math.Max(math.Max(high, newOpen), newClose))
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inc.Low.Update(math.Min(math.Min(low, newOpen), newClose))
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inc.Volume.Update(kline.Volume.Float64())
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}
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func (s *Strategy) SetupIndicators() {
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store, ok := s.Session.MarketDataStore(s.Symbol)
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if !ok {
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log.Errorf("cannot get marketdatastore of %s", s.Symbol)
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return
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}
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if s.UseHeikinAshi {
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s.heikinAshi = NewHeikinAshi(50)
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store.OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow) {
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if s.Interval != interval {
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return
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}
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if s.heikinAshi.Close.Length() == 0 {
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for _, kline := range window {
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s.heikinAshi.Update(kline)
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}
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} else {
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s.heikinAshi.Update(window[len(window)-1])
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}
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})
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if s.UseEma {
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ema5 := &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}}
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ema34 := &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}}
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store.OnKLineWindowUpdate(func(interval types.Interval, _ types.KLineWindow) {
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if s.Interval != interval {
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return
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}
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if ema5.Length() == 0 {
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closes := types.ToReverseArray(s.heikinAshi.Close)
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for _, cloze := range closes {
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ema5.Update(cloze)
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ema34.Update(cloze)
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}
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} else {
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cloze := s.heikinAshi.Close.Last()
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ema5.Update(cloze)
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ema34.Update(cloze)
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}
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})
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s.ma5 = ema5
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s.ma34 = ema34
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} else if s.UseSma {
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sma5 := &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}}
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sma34 := &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}}
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store.OnKLineWindowUpdate(func(interval types.Interval, _ types.KLineWindow) {
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if s.Interval != interval {
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return
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}
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if sma5.Length() == 0 {
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closes := types.ToReverseArray(s.heikinAshi.Close)
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for _, cloze := range closes {
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sma5.Update(cloze)
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sma34.Update(cloze)
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}
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} else {
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cloze := s.heikinAshi.Close.Last()
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sma5.Update(cloze)
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sma34.Update(cloze)
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}
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})
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s.ma5 = sma5
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s.ma34 = sma34
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} else {
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evwma5 := &EVWMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
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}
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evwma34 := &EVWMA{
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
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}
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store.OnKLineWindowUpdate(func(interval types.Interval, _ types.KLineWindow) {
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if s.Interval != interval {
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return
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}
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if evwma5.PV.Length() == 0 {
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for i := s.heikinAshi.Close.Length() - 1; i >= 0; i-- {
|
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price := s.heikinAshi.Close.Index(i)
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vol := s.heikinAshi.Volume.Index(i)
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evwma5.UpdateVal(price, vol)
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evwma34.UpdateVal(price, vol)
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}
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} else {
|
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price := s.heikinAshi.Close.Last()
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vol := s.heikinAshi.Volume.Last()
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evwma5.UpdateVal(price, vol)
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evwma34.UpdateVal(price, vol)
|
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}
|
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})
|
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s.ma5 = evwma5
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s.ma34 = evwma34
|
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}
|
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} else {
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indicatorSet, ok := s.Session.StandardIndicatorSet(s.Symbol)
|
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if !ok {
|
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log.Errorf("cannot get indicator set of %s", s.Symbol)
|
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return
|
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}
|
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if s.UseEma {
|
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s.ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
|
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s.ma34 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 34})
|
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} else if s.UseSma {
|
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s.ma5 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 5})
|
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s.ma34 = indicatorSet.SMA(types.IntervalWindow{s.Interval, 34})
|
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} else {
|
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evwma5 := &EVWMA{
|
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
|
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V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 5}},
|
||||
}
|
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evwma34 := &EVWMA{
|
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PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
|
||||
V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, 34}},
|
||||
}
|
||||
store.OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow) {
|
||||
if s.Interval != interval {
|
||||
return
|
||||
}
|
||||
if evwma5.PV.Length() == 0 {
|
||||
for _, kline := range window {
|
||||
evwma5.Update(kline)
|
||||
evwma34.Update(kline)
|
||||
}
|
||||
} else {
|
||||
evwma5.Update(window[len(window)-1])
|
||||
evwma34.Update(window[len(window)-1])
|
||||
}
|
||||
})
|
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s.ma5 = evwma5
|
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s.ma34 = evwma34
|
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}
|
||||
}
|
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|
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s.ewo = types.Mul(types.Minus(types.Div(s.ma5, s.ma34), 1.0), 100.)
|
||||
if s.UseEma {
|
||||
sig := &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
|
||||
store.OnKLineWindowUpdate(func(interval types.Interval, _ types.KLineWindow) {
|
||||
if interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
if sig.Length() == 0 {
|
||||
// lazy init
|
||||
ewoVals := types.ToReverseArray(s.ewo)
|
||||
for _, ewoValue := range ewoVals {
|
||||
sig.Update(ewoValue)
|
||||
}
|
||||
} else {
|
||||
sig.Update(s.ewo.Last())
|
||||
}
|
||||
})
|
||||
s.ewoSignal = sig
|
||||
} else if s.UseSma {
|
||||
sig := &indicator.SMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}}
|
||||
store.OnKLineWindowUpdate(func(interval types.Interval, _ types.KLineWindow) {
|
||||
if interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
if sig.Length() == 0 {
|
||||
// lazy init
|
||||
ewoVals := types.ToReverseArray(s.ewo)
|
||||
for _, ewoValue := range ewoVals {
|
||||
sig.Update(ewoValue)
|
||||
}
|
||||
} else {
|
||||
sig.Update(s.ewo.Last())
|
||||
}
|
||||
})
|
||||
s.ewoSignal = sig
|
||||
} else {
|
||||
sig := &EVWMA{
|
||||
PV: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
|
||||
V: &indicator.EWMA{IntervalWindow: types.IntervalWindow{s.Interval, s.SignalWindow}},
|
||||
}
|
||||
store.OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow) {
|
||||
if interval != s.Interval {
|
||||
return
|
||||
}
|
||||
var vol float64
|
||||
if sig.Length() == 0 {
|
||||
// lazy init
|
||||
ewoVals := types.ToReverseArray(s.ewo)
|
||||
for i, ewoValue := range ewoVals {
|
||||
if s.UseHeikinAshi {
|
||||
vol = s.heikinAshi.Volume.Index(len(ewoVals) - 1 - i)
|
||||
} else {
|
||||
vol = window[len(ewoVals)-1-i].Volume.Float64()
|
||||
}
|
||||
sig.PV.Update(ewoValue * vol)
|
||||
sig.V.Update(vol)
|
||||
}
|
||||
} else {
|
||||
if s.UseHeikinAshi {
|
||||
vol = s.heikinAshi.Volume.Last()
|
||||
} else {
|
||||
vol = window[len(window)-1].Volume.Float64()
|
||||
}
|
||||
sig.PV.Update(s.ewo.Last() * vol)
|
||||
sig.V.Update(vol)
|
||||
}
|
||||
})
|
||||
s.ewoSignal = sig
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) validateOrder(order *types.SubmitOrder) bool {
|
||||
if order.Type == types.OrderTypeMarket && order.TimeInForce != "" {
|
||||
return false
|
||||
}
|
||||
if order.Side == types.SideTypeSell {
|
||||
baseBalance, ok := s.Session.Account.Balance(s.Market.BaseCurrency)
|
||||
if !ok {
|
||||
return false
|
||||
}
|
||||
if order.Quantity.Compare(baseBalance.Available) > 0 {
|
||||
return false
|
||||
}
|
||||
price := order.Price
|
||||
if price.IsZero() {
|
||||
price, ok = s.Session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
return false
|
||||
}
|
||||
}
|
||||
orderAmount := order.Quantity.Mul(price)
|
||||
if order.Quantity.Sign() <= 0 ||
|
||||
order.Quantity.Compare(s.Market.MinQuantity) < 0 ||
|
||||
orderAmount.Compare(s.Market.MinNotional) < 0 {
|
||||
return false
|
||||
}
|
||||
return true
|
||||
} else if order.Side == types.SideTypeBuy {
|
||||
quoteBalance, ok := s.Session.Account.Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
return false
|
||||
}
|
||||
price := order.Price
|
||||
if price.IsZero() {
|
||||
price, ok = s.Session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
return false
|
||||
}
|
||||
}
|
||||
totalQuantity := quoteBalance.Available.Div(price)
|
||||
if order.Quantity.Compare(totalQuantity) > 0 {
|
||||
return false
|
||||
}
|
||||
orderAmount := order.Quantity.Mul(price)
|
||||
if order.Quantity.Sign() <= 0 ||
|
||||
orderAmount.Compare(s.Market.MinNotional) < 0 ||
|
||||
order.Quantity.Compare(s.Market.MinQuantity) < 0 {
|
||||
return false
|
||||
}
|
||||
return true
|
||||
}
|
||||
return false
|
||||
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
buyPrice := fixedpoint.Zero
|
||||
sellPrice := fixedpoint.Zero
|
||||
s.peakPrice = fixedpoint.Zero
|
||||
s.bottomPrice = fixedpoint.Zero
|
||||
|
||||
orderbook, ok := session.OrderStore(s.Symbol)
|
||||
if !ok {
|
||||
log.Errorf("cannot get orderbook of %s", s.Symbol)
|
||||
return nil
|
||||
}
|
||||
position, ok := session.Position(s.Symbol)
|
||||
if !ok {
|
||||
log.Errorf("cannot get position of %s", s.Symbol)
|
||||
return nil
|
||||
}
|
||||
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, position, orderbook)
|
||||
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netprofit fixedpoint.Value) {
|
||||
if !profit.IsZero() {
|
||||
log.Warnf("generate profit: %v, netprofit: %v, trade: %v", profit, netprofit, trade)
|
||||
}
|
||||
if trade.Side == types.SideTypeBuy {
|
||||
buyPrice = trade.Price
|
||||
s.peakPrice = buyPrice.Mul(fixedpoint.One.Add(s.Callback))
|
||||
} else if trade.Side == types.SideTypeSell {
|
||||
sellPrice = trade.Price
|
||||
s.bottomPrice = sellPrice.Mul(fixedpoint.One.Sub(s.Callback))
|
||||
}
|
||||
})
|
||||
|
||||
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
||||
log.Infof("position changed: %s", position)
|
||||
})
|
||||
s.tradeCollector.BindStream(session.UserDataStream)
|
||||
|
||||
s.SmartStops.RunStopControllers(ctx, session, s.tradeCollector)
|
||||
|
||||
s.SetupIndicators()
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if kline.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
|
||||
lastPrice, ok := session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
log.Errorf("cannot get last price")
|
||||
return
|
||||
}
|
||||
balances := session.Account.Balances()
|
||||
baseBalance := balances[s.Market.BaseCurrency].Available
|
||||
quoteBalance := balances[s.Market.QuoteCurrency].Available
|
||||
/*if buyPrice.IsZero() {
|
||||
if !baseBalance.IsZero() {
|
||||
buyPrice = lastPrice
|
||||
}
|
||||
}
|
||||
if sellPrice.IsZero() {
|
||||
if !quoteBalance.IsZero() {
|
||||
sellPrice = lastPrice
|
||||
}
|
||||
}*/
|
||||
|
||||
// cancel non-traded orders
|
||||
var toCancel []types.Order
|
||||
var toRepost []types.SubmitOrder
|
||||
for _, order := range orderbook.Orders() {
|
||||
if order.Status == types.OrderStatusNew || order.Status == types.OrderStatusPartiallyFilled {
|
||||
toCancel = append(toCancel, order)
|
||||
}
|
||||
}
|
||||
if len(toCancel) > 0 {
|
||||
if err := orderExecutor.CancelOrders(ctx, toCancel...); err != nil {
|
||||
log.WithError(err).Errorf("cancel order error")
|
||||
}
|
||||
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
|
||||
// well, only track prices on 1m
|
||||
if kline.Interval == types.Interval1m {
|
||||
for _, order := range toCancel {
|
||||
if order.Side == types.SideTypeBuy && order.Price.Compare(kline.Low) < 0 {
|
||||
newPrice := kline.Low
|
||||
order.Quantity = order.Quantity.Mul(order.Price).Div(newPrice)
|
||||
order.Price = newPrice
|
||||
toRepost = append(toRepost, order.SubmitOrder)
|
||||
} else if order.Side == types.SideTypeSell && order.Price.Compare(kline.High) > 0 {
|
||||
newPrice := kline.High
|
||||
order.Price = newPrice
|
||||
toRepost = append(toRepost, order.SubmitOrder)
|
||||
}
|
||||
}
|
||||
|
||||
if len(toRepost) > 0 {
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, toRepost...)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place order")
|
||||
return
|
||||
}
|
||||
log.Infof("repost order %v", createdOrders)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
sellall := false
|
||||
buyall := false
|
||||
if !s.peakPrice.IsZero() {
|
||||
change := s.peakPrice.Sub(lastPrice).Div(s.peakPrice)
|
||||
if change.Compare(s.Callback) > 0 {
|
||||
if !baseBalance.IsZero() {
|
||||
sellall = true
|
||||
}
|
||||
s.peakPrice = fixedpoint.Zero
|
||||
} else {
|
||||
s.peakPrice = kline.High
|
||||
}
|
||||
}
|
||||
if !s.bottomPrice.IsZero() {
|
||||
change := lastPrice.Sub(s.bottomPrice).Div(s.bottomPrice)
|
||||
if change.Compare(s.Callback) > 0 {
|
||||
if !quoteBalance.IsZero() {
|
||||
buyall = true
|
||||
}
|
||||
s.bottomPrice = fixedpoint.Zero
|
||||
} else {
|
||||
s.bottomPrice = kline.Low
|
||||
}
|
||||
}
|
||||
|
||||
if !buyPrice.IsZero() &&
|
||||
buyPrice.Sub(lastPrice).Div(buyPrice).Compare(s.Stoploss) > 0 { // stoploss 2%
|
||||
sellall = true
|
||||
}
|
||||
if !sellPrice.IsZero() &&
|
||||
lastPrice.Sub(sellPrice).Div(sellPrice).Compare(s.Stoploss) > 0 { // stoploss 2%
|
||||
buyall = true
|
||||
}
|
||||
if sellall {
|
||||
balances := session.Account.Balances()
|
||||
baseBalance := balances[s.Market.BaseCurrency].Available.Mul(modifier)
|
||||
order := types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeMarket,
|
||||
Market: s.Market,
|
||||
Quantity: baseBalance,
|
||||
}
|
||||
if s.validateOrder(&order) {
|
||||
log.Infof("stoploss short at %v, avg %v, timestamp: %s", lastPrice, buyPrice, kline.StartTime)
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place order")
|
||||
return
|
||||
}
|
||||
log.Infof("stoploss sell order %v", createdOrders)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
}
|
||||
|
||||
if buyall {
|
||||
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
return
|
||||
}
|
||||
quantityAmount := quoteBalance.Available.Mul(modifier)
|
||||
totalQuantity := quantityAmount.Div(lastPrice)
|
||||
order := types.SubmitOrder{
|
||||
Symbol: kline.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeMarket,
|
||||
Quantity: totalQuantity,
|
||||
Market: s.Market,
|
||||
}
|
||||
if s.validateOrder(&order) {
|
||||
log.Infof("stoploss long at %v, avg %v, timestamp: %s", lastPrice, sellPrice, kline.StartTime)
|
||||
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, order)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place order")
|
||||
return
|
||||
}
|
||||
log.Infof("stoploss bought order %v", createdOrders)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
if kline.Interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
// To get the threshold for ewo
|
||||
mean := types.Mean(types.Abs(s.ewo), 5)
|
||||
|
||||
longSignal := types.CrossOver(s.ewo, s.ewoSignal)
|
||||
shortSignal := types.CrossUnder(s.ewo, s.ewoSignal)
|
||||
// get trend flags
|
||||
var bull, breakThrough, breakDown bool
|
||||
if s.UseHeikinAshi {
|
||||
// heikinashi itself contains the concept of trend, so no need breakthrough/down
|
||||
bull = s.heikinAshi.Close.Last() > s.heikinAshi.Open.Last()
|
||||
breakThrough = true
|
||||
breakDown = true
|
||||
} else {
|
||||
bull = types.Predict(s.ma34, 5, 2) > s.ma34.Last()
|
||||
breakThrough = kline.Low.Float64() > s.ma5.Last()
|
||||
breakDown = kline.High.Float64() < s.ma5.Last()
|
||||
}
|
||||
// kline breakthrough ma5, ma50 trend up, and ewo > threshold
|
||||
IsBull := bull && breakThrough && s.ewo.Last() >= mean
|
||||
// kline downthrough ma5, ma50 trend down, and ewo < threshold
|
||||
IsBear := !bull && breakDown && s.ewo.Last() <= -mean
|
||||
|
||||
var orders []types.SubmitOrder
|
||||
var price fixedpoint.Value
|
||||
|
||||
if longSignal.Index(1) && !shortSignal.Last() && IsBull {
|
||||
if s.UseHeikinAshi {
|
||||
price = fixedpoint.NewFromFloat(s.heikinAshi.Close.Last())
|
||||
} else {
|
||||
price = kline.Low
|
||||
}
|
||||
quoteBalance, ok := session.Account.Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
return
|
||||
}
|
||||
quantityAmount := quoteBalance.Available.Mul(modifier)
|
||||
totalQuantity := quantityAmount.Div(price)
|
||||
order := types.SubmitOrder{
|
||||
Symbol: kline.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: price,
|
||||
Quantity: totalQuantity,
|
||||
Market: s.Market,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
}
|
||||
if s.validateOrder(&order) {
|
||||
// strong long
|
||||
log.Warnf("long at %v, timestamp: %s", price, kline.StartTime)
|
||||
|
||||
orders = append(orders, order)
|
||||
}
|
||||
} else if shortSignal.Index(1) && !longSignal.Last() && IsBear {
|
||||
if s.UseHeikinAshi {
|
||||
price = fixedpoint.NewFromFloat(s.heikinAshi.Close.Last())
|
||||
} else {
|
||||
price = kline.High
|
||||
}
|
||||
balances := session.Account.Balances()
|
||||
baseBalance := balances[s.Market.BaseCurrency].Available.Mul(modifier)
|
||||
order := types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Market: s.Market,
|
||||
Quantity: baseBalance,
|
||||
Price: price,
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
}
|
||||
if s.validateOrder(&order) {
|
||||
log.Warnf("short at %v, timestamp: %s", price, kline.StartTime)
|
||||
orders = append(orders, order)
|
||||
}
|
||||
}
|
||||
if len(orders) > 0 {
|
||||
createdOrders, err := orderExecutor.SubmitOrders(ctx, orders...)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place order")
|
||||
return
|
||||
}
|
||||
log.Infof("post order %v", createdOrders)
|
||||
s.tradeCollector.Process()
|
||||
}
|
||||
})
|
||||
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
log.Infof("canceling active orders...")
|
||||
|
||||
var toCancel []types.Order
|
||||
for _, order := range orderbook.Orders() {
|
||||
if order.Status == types.OrderStatusNew || order.Status == types.OrderStatusPartiallyFilled {
|
||||
toCancel = append(toCancel, order)
|
||||
}
|
||||
}
|
||||
|
||||
if err := orderExecutor.CancelOrders(ctx, toCancel...); err != nil {
|
||||
log.WithError(err).Errorf("cancel order error")
|
||||
}
|
||||
s.tradeCollector.Process()
|
||||
})
|
||||
return nil
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user