mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 01:01:56 +00:00
feature: dump parameter to tg, esp series, fix: order tag, position calculation and bp/sp of drift
This commit is contained in:
zenix
parent
2f75dda6ee
commit
da28750313
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@ -34,29 +34,31 @@ exchangeStrategies:
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.23
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hlVarianceMultiplier: 0.22
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hlRangeWindow: 5
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smootherWindow: 1
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fisherTransformWindow: 9
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# the init value of takeProfitFactor Series, the coefficient of ATR as TP
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takeProfitFactor: 1.2
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takeProfitFactor: 4
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profitFactorWindow: 5
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atrWindow: 12
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 3
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 3
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trendWindow: 60
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rebalanceFilter: 1.1
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# ActivationRatio should be increasing order
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# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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#trailingActivationRatio: [0.007, 0.015, 0.02, 0.05]
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trailingActivationRatio: [0.007, 0.011]
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#trailingCallbackRate: [0.005, 0.003, 0.002, 0.001]
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trailingCallbackRate: [0.002, 0.001]
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#trailingActivationRatio: [0.007, 0.011, 0.02, 0.05]
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trailingActivationRatio: [0.001, 0.002, 0.004]
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#trailingActivationRatio: []
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#trailingCallbackRate: []
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#trailingCallbackRate: [0.002, 0.001, 0.002, 0.001]
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trailingCallbackRate: [0.0005, 0.0008, 0.002]
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generateGraph: true
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graphPNLDeductFee: true
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graphPNLDeductFee: false
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graphPNLPath: "./pnl.png"
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graphCumPNLPath: "./cumpnl.png"
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#exits:
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@ -117,14 +119,14 @@ sync:
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-07-26"
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endTime: "2022-08-30"
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symbols:
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- BTCUSDT
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sessions: [binance]
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accounts:
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binance:
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makerFeeRate: 0.000
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takerFeeRate: 0.00075
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#takerFeeRate: 0.000
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balances:
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BTC: 1
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USDT: 5000.0
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USDT: 5000
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@ -117,6 +117,10 @@ func (e *GeneralOrderExecutor) SubmitOrders(ctx context.Context, submitOrders ..
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err = fmt.Errorf("can not place orders: %w", err)
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}
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}
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// FIXME: map by price and volume
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for i := 0; i < len(createdOrders); i++ {
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createdOrders[i].Tag = formattedOrders[i].Tag
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}
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e.orderStore.Add(createdOrders...)
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e.activeMakerOrders.Add(createdOrders...)
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@ -104,8 +104,9 @@ func (s *OrderStore) Update(o types.Order) bool {
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s.mu.Lock()
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defer s.mu.Unlock()
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_, ok := s.orders[o.OrderID]
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old, ok := s.orders[o.OrderID]
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if ok {
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o.Tag = old.Tag
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s.orders[o.OrderID] = o
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}
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return ok
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51
pkg/strategy/drift/driftma.go
Normal file
51
pkg/strategy/drift/driftma.go
Normal file
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@ -0,0 +1,51 @@
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package drift
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import (
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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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type DriftMA struct {
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types.SeriesBase
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ma1 types.UpdatableSeriesExtend
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drift *indicator.Drift
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ma2 types.UpdatableSeriesExtend
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}
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func (s *DriftMA) Update(value float64) {
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s.ma1.Update(value)
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s.drift.Update(s.ma1.Last())
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s.ma2.Update(s.drift.Last())
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}
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func (s *DriftMA) Last() float64 {
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return s.ma2.Last()
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}
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func (s *DriftMA) Index(i int) float64 {
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return s.ma2.Index(i)
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}
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func (s *DriftMA) Length() int {
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return s.ma2.Length()
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}
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func (s *DriftMA) ZeroPoint() float64 {
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return s.drift.ZeroPoint()
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}
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func (s *DriftMA) Clone() *DriftMA {
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out := DriftMA{
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ma1: types.Clone(s.ma1),
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drift: s.drift.Clone(),
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ma2: types.Clone(s.ma2),
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}
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out.SeriesBase.Series = &out
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return &out
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}
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func (s *DriftMA) TestUpdate(v float64) *DriftMA {
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out := s.Clone()
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out.Update(v)
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return out
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}
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212
pkg/strategy/drift/output.go
Normal file
212
pkg/strategy/drift/output.go
Normal file
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@ -0,0 +1,212 @@
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package drift
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import (
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"fmt"
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"io"
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"reflect"
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"sort"
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"strings"
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"unsafe"
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"github.com/c9s/bbgo/pkg/util"
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"github.com/fatih/color"
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"github.com/jedib0t/go-pretty/v6/table"
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"github.com/jedib0t/go-pretty/v6/text"
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)
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type jsonStruct struct {
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key string
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json string
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tp string
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value interface{}
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}
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type jsonArr []jsonStruct
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func (a jsonArr) Len() int { return len(a) }
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func (a jsonArr) Less(i, j int) bool { return a[i].key < a[j].key }
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func (a jsonArr) Swap(i, j int) { a[i], a[j] = a[j], a[i] }
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func (s *Strategy) ParamDump(f io.Writer, seriesLength ...int) {
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length := 1
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if len(seriesLength) > 0 && seriesLength[0] > 0 {
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length = seriesLength[0]
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}
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val := reflect.ValueOf(s).Elem()
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for i := 0; i < val.Type().NumField(); i++ {
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t := val.Type().Field(i)
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if ig := t.Tag.Get("ignore"); ig == "true" {
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continue
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}
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field := val.Field(i)
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if t.IsExported() || t.Anonymous || t.Type.Kind() == reflect.Func || t.Type.Kind() == reflect.Chan {
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continue
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}
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fieldName := t.Name
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typeName := field.Type().String()
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value := reflect.NewAt(field.Type(), unsafe.Pointer(field.UnsafeAddr())).Elem()
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isSeries := true
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lastFunc := value.MethodByName("Last")
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isSeries = isSeries && lastFunc.IsValid()
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lengthFunc := value.MethodByName("Length")
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isSeries = isSeries && lengthFunc.IsValid()
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indexFunc := value.MethodByName("Index")
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isSeries = isSeries && indexFunc.IsValid()
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stringFunc := value.MethodByName("String")
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canString := stringFunc.IsValid()
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if isSeries {
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l := int(lengthFunc.Call(nil)[0].Int())
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if l >= length {
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fmt.Fprintf(f, "%s: Series[..., %.4f", fieldName, indexFunc.Call([]reflect.Value{reflect.ValueOf(length - 1)})[0].Float())
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for j := length - 2; j >= 0; j-- {
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fmt.Fprintf(f, ", %.4f", indexFunc.Call([]reflect.Value{reflect.ValueOf(j)})[0].Float())
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}
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fmt.Fprintf(f, "]\n")
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} else if l > 0 {
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fmt.Fprintf(f, "%s: Series[%.4f", fieldName, indexFunc.Call([]reflect.Value{reflect.ValueOf(l - 1)})[0].Float())
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for j := l - 2; j >= 0; j-- {
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fmt.Fprintf(f, ", %.4f", indexFunc.Call([]reflect.Value{reflect.ValueOf(j)})[0].Float())
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}
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fmt.Fprintf(f, "]\n")
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} else {
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fmt.Fprintf(f, "%s: Series[]\n", fieldName)
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}
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} else if canString {
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fmt.Fprintf(f, "%s: %s\n", fieldName, stringFunc.Call(nil)[0].String())
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} else if field.CanInt() {
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fmt.Fprintf(f, "%s: %d\n", fieldName, field.Int())
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} else if field.CanFloat() {
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fmt.Fprintf(f, "%s: %.4f\n", fieldName, field.Float())
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} else if field.CanInterface() {
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fmt.Fprintf(f, "%s: %v", fieldName, field.Interface())
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} else if field.Type().Kind() == reflect.Map {
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fmt.Fprintf(f, "%s: {", fieldName)
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iter := field.MapRange()
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for iter.Next() {
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k := iter.Key().Interface()
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v := iter.Value().Interface()
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fmt.Fprintf(f, "%v: %v, ", k, v)
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}
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fmt.Fprintf(f, "}\n")
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} else if field.Type().Kind() == reflect.Slice {
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fmt.Fprintf(f, "%s: [", fieldName)
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l := field.Len()
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if l > 0 {
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fmt.Fprintf(f, "%v", field.Index(0))
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}
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for j := 1; j < field.Len(); j++ {
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fmt.Fprintf(f, ", %v", field.Index(j))
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}
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fmt.Fprintf(f, "]\n")
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} else {
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fmt.Fprintf(f, "%s(%s): %s\n", fieldName, typeName, field.String())
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}
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}
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}
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func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) {
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//b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
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t := table.NewWriter()
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style := table.Style{
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Name: "StyleRounded",
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Box: table.StyleBoxRounded,
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Color: table.ColorOptionsDefault,
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Format: table.FormatOptionsDefault,
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HTML: table.DefaultHTMLOptions,
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Options: table.OptionsDefault,
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Title: table.TitleOptionsDefault,
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}
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var hiyellow func(io.Writer, string, ...interface{})
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if len(withColor) > 0 && withColor[0] {
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if pretty {
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style.Color = table.ColorOptionsYellowWhiteOnBlack
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style.Color.Row = text.Colors{text.FgHiYellow, text.BgHiBlack}
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style.Color.RowAlternate = text.Colors{text.FgYellow, text.BgBlack}
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}
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hiyellow = color.New(color.FgHiYellow).FprintfFunc()
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} else {
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hiyellow = func(a io.Writer, format string, args ...interface{}) {
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fmt.Fprintf(a, format, args...)
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}
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}
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if pretty {
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t.SetOutputMirror(f)
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t.SetStyle(style)
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t.AppendHeader(table.Row{"json", "struct field name", "type", "value"})
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}
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hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
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embeddedWhiteSet := map[string]struct{}{"Window": {}, "Interval": {}, "Symbol": {}}
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redundantSet := map[string]struct{}{}
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var rows []table.Row
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val := reflect.ValueOf(*s)
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var values jsonArr
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for i := 0; i < val.Type().NumField(); i++ {
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t := val.Type().Field(i)
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if !t.IsExported() {
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continue
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}
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fieldName := t.Name
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switch jsonTag := t.Tag.Get("json"); jsonTag {
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case "-":
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case "":
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if t.Anonymous {
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var target reflect.Type
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if t.Type.Kind() == util.Pointer {
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target = t.Type.Elem()
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} else {
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target = t.Type
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}
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for j := 0; j < target.NumField(); j++ {
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tt := target.Field(j)
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if !tt.IsExported() {
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continue
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}
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fieldName := tt.Name
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if _, ok := embeddedWhiteSet[fieldName]; !ok {
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continue
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}
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if jtag := tt.Tag.Get("json"); jtag != "" && jtag != "-" {
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name := strings.Split(jtag, ",")[0]
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if _, ok := redundantSet[name]; ok {
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continue
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}
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redundantSet[name] = struct{}{}
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var value interface{}
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if t.Type.Kind() == util.Pointer {
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value = val.Field(i).Elem().Field(j).Interface()
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} else {
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value = val.Field(i).Field(j).Interface()
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}
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values = append(values, jsonStruct{key: fieldName, json: name, tp: tt.Type.String(), value: value})
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}
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}
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}
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default:
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name := strings.Split(jsonTag, ",")[0]
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if _, ok := redundantSet[name]; ok {
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continue
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}
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redundantSet[name] = struct{}{}
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values = append(values, jsonStruct{key: fieldName, json: name, tp: t.Type.String(), value: val.Field(i).Interface()})
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}
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}
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sort.Sort(values)
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for _, value := range values {
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if pretty {
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rows = append(rows, table.Row{value.json, value.key, value.tp, value.value})
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} else {
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hiyellow(f, "%s: %v\n", value.json, value.value)
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}
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}
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if pretty {
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rows = append(rows, table.Row{"takeProfitFactor(last)", "takeProfitFactor", "float64", s.takeProfitFactor.Last()})
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t.AppendRows(rows)
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t.Render()
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} else {
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hiyellow(f, "takeProfitFactor(last): %f\n", s.takeProfitFactor.Last())
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}
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}
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@ -5,15 +5,12 @@ import (
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"context"
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"errors"
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"fmt"
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"io"
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"math"
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"os"
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"reflect"
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"sort"
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"strconv"
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"strings"
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"sync"
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"github.com/fatih/color"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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@ -23,8 +20,6 @@ import (
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
|
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"github.com/jedib0t/go-pretty/v6/table"
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"github.com/jedib0t/go-pretty/v6/text"
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)
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const ID = "drift"
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@ -39,7 +34,7 @@ var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
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var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
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var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
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var Fee = fixedpoint.NewFromFloat(0.0008) // taker fee % * 2, for upper bound
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var Fee = 0.0008 // taker fee % * 2, for upper bound
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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|
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@ -69,9 +64,12 @@ type Strategy struct {
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drift1m *DriftMA
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex
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lock sync.RWMutex `ignore:"true"`
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positionLock sync.RWMutex `ignore:"true"`
|
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minutesCounter int
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orderPendingCounter map[uint64]int
|
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frameKLine *types.KLine
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kline1m *types.KLine
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|
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beta float64
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|
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|
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@ -119,124 +117,6 @@ type Strategy struct {
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getSource SourceFunc
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}
|
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|
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type jsonStruct struct {
|
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key string
|
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json string
|
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tp string
|
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value interface{}
|
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}
|
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type jsonArr []jsonStruct
|
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|
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func (a jsonArr) Len() int { return len(a) }
|
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func (a jsonArr) Less(i, j int) bool { return a[i].key < a[j].key }
|
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func (a jsonArr) Swap(i, j int) { a[i], a[j] = a[j], a[i] }
|
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|
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func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) {
|
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//b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
|
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|
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t := table.NewWriter()
|
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style := table.Style{
|
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Name: "StyleRounded",
|
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Box: table.StyleBoxRounded,
|
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Color: table.ColorOptionsDefault,
|
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Format: table.FormatOptionsDefault,
|
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HTML: table.DefaultHTMLOptions,
|
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Options: table.OptionsDefault,
|
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Title: table.TitleOptionsDefault,
|
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}
|
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var hiyellow func(io.Writer, string, ...interface{})
|
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if len(withColor) > 0 && withColor[0] {
|
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if pretty {
|
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style.Color = table.ColorOptionsYellowWhiteOnBlack
|
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style.Color.Row = text.Colors{text.FgHiYellow, text.BgHiBlack}
|
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style.Color.RowAlternate = text.Colors{text.FgYellow, text.BgBlack}
|
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}
|
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hiyellow = color.New(color.FgHiYellow).FprintfFunc()
|
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} else {
|
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hiyellow = func(a io.Writer, format string, args ...interface{}) {
|
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fmt.Fprintf(a, format, args...)
|
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}
|
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}
|
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if pretty {
|
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t.SetOutputMirror(f)
|
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t.SetStyle(style)
|
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t.AppendHeader(table.Row{"json", "struct field name", "type", "value"})
|
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}
|
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hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
|
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|
||||
embeddedWhiteSet := map[string]struct{}{"Window": {}, "Interval": {}, "Symbol": {}}
|
||||
redundantSet := map[string]struct{}{}
|
||||
var rows []table.Row
|
||||
val := reflect.ValueOf(*s)
|
||||
var values jsonArr
|
||||
for i := 0; i < val.Type().NumField(); i++ {
|
||||
t := val.Type().Field(i)
|
||||
if !t.IsExported() {
|
||||
continue
|
||||
}
|
||||
fieldName := t.Name
|
||||
switch jsonTag := t.Tag.Get("json"); jsonTag {
|
||||
case "-":
|
||||
case "":
|
||||
if t.Anonymous {
|
||||
var target reflect.Type
|
||||
if t.Type.Kind() == reflect.Pointer {
|
||||
target = t.Type.Elem()
|
||||
} else {
|
||||
target = t.Type
|
||||
}
|
||||
for j := 0; j < target.NumField(); j++ {
|
||||
tt := target.Field(j)
|
||||
if !tt.IsExported() {
|
||||
continue
|
||||
}
|
||||
fieldName := tt.Name
|
||||
if _, ok := embeddedWhiteSet[fieldName]; !ok {
|
||||
continue
|
||||
}
|
||||
|
||||
if jtag := tt.Tag.Get("json"); jtag != "" && jtag != "-" {
|
||||
name := strings.Split(jtag, ",")[0]
|
||||
if _, ok := redundantSet[name]; ok {
|
||||
continue
|
||||
}
|
||||
redundantSet[name] = struct{}{}
|
||||
var value interface{}
|
||||
if t.Type.Kind() == reflect.Pointer {
|
||||
value = val.Field(i).Elem().Field(j).Interface()
|
||||
} else {
|
||||
value = val.Field(i).Field(j).Interface()
|
||||
}
|
||||
values = append(values, jsonStruct{key: fieldName, json: name, tp: tt.Type.String(), value: value})
|
||||
}
|
||||
}
|
||||
}
|
||||
default:
|
||||
name := strings.Split(jsonTag, ",")[0]
|
||||
if _, ok := redundantSet[name]; ok {
|
||||
continue
|
||||
}
|
||||
redundantSet[name] = struct{}{}
|
||||
values = append(values, jsonStruct{key: fieldName, json: name, tp: t.Type.String(), value: val.Field(i).Interface()})
|
||||
}
|
||||
}
|
||||
sort.Sort(values)
|
||||
for _, value := range values {
|
||||
if pretty {
|
||||
rows = append(rows, table.Row{value.json, value.key, value.tp, value.value})
|
||||
} else {
|
||||
hiyellow(f, "%s: %v\n", value.json, value.value)
|
||||
}
|
||||
}
|
||||
if pretty {
|
||||
rows = append(rows, table.Row{"takeProfitFactor(last)", "takeProfitFactor", "float64", s.takeProfitFactor.Last()})
|
||||
t.AppendRows(rows)
|
||||
t.Render()
|
||||
} else {
|
||||
hiyellow(f, "takeProfitFactor(last): %f\n", s.takeProfitFactor.Last())
|
||||
}
|
||||
}
|
||||
|
||||
func (s *Strategy) ID() string {
|
||||
return ID
|
||||
}
|
||||
|
|
@ -326,52 +206,7 @@ func (s *Strategy) SourceFuncGenerator() SourceFunc {
|
|||
}
|
||||
}
|
||||
|
||||
type DriftMA struct {
|
||||
types.SeriesBase
|
||||
ma1 types.UpdatableSeriesExtend
|
||||
drift *indicator.Drift
|
||||
ma2 types.UpdatableSeriesExtend
|
||||
}
|
||||
|
||||
func (s *DriftMA) Update(value float64) {
|
||||
s.ma1.Update(value)
|
||||
s.drift.Update(s.ma1.Last())
|
||||
s.ma2.Update(s.drift.Last())
|
||||
}
|
||||
|
||||
func (s *DriftMA) Last() float64 {
|
||||
return s.ma2.Last()
|
||||
}
|
||||
|
||||
func (s *DriftMA) Index(i int) float64 {
|
||||
return s.ma2.Index(i)
|
||||
}
|
||||
|
||||
func (s *DriftMA) Length() int {
|
||||
return s.ma2.Length()
|
||||
}
|
||||
|
||||
func (s *DriftMA) ZeroPoint() float64 {
|
||||
return s.drift.ZeroPoint()
|
||||
}
|
||||
|
||||
func (s *DriftMA) Clone() *DriftMA {
|
||||
out := DriftMA{
|
||||
ma1: types.Clone(s.ma1),
|
||||
drift: s.drift.Clone(),
|
||||
ma2: types.Clone(s.ma2),
|
||||
}
|
||||
out.SeriesBase.Series = &out
|
||||
return &out
|
||||
}
|
||||
|
||||
func (s *DriftMA) TestUpdate(v float64) *DriftMA {
|
||||
out := s.Clone()
|
||||
out.Update(v)
|
||||
return out
|
||||
}
|
||||
|
||||
func (s *Strategy) initIndicators(kline *types.KLine, priceLines *types.Queue) error {
|
||||
func (s *Strategy) initIndicators(priceLines *types.Queue) error {
|
||||
s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
|
||||
|
|
@ -426,8 +261,8 @@ func (s *Strategy) initIndicators(kline *types.KLine, priceLines *types.Queue) e
|
|||
s.atr.PushK(kline)
|
||||
priceLines.Update(source)
|
||||
}
|
||||
if kline != nil && klines != nil {
|
||||
kline.Set(&(*klines)[len(*klines)-1])
|
||||
if s.frameKLine != nil && klines != nil {
|
||||
s.frameKLine.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
klines, ok = store.KLinesOfInterval(types.Interval1m)
|
||||
if !ok {
|
||||
|
|
@ -437,6 +272,9 @@ func (s *Strategy) initIndicators(kline *types.KLine, priceLines *types.Queue) e
|
|||
source := s.getSource(&kline).Float64()
|
||||
s.drift1m.Update(source)
|
||||
}
|
||||
if s.kline1m != nil && klines != nil {
|
||||
s.kline1m.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
return nil
|
||||
}
|
||||
|
||||
|
|
@ -450,10 +288,11 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFacto
|
|||
|
||||
drift := s.drift1m.Array(2)
|
||||
for _, order := range nonTraded {
|
||||
log.Warnf("%v", order)
|
||||
if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes {
|
||||
if order.Side == types.SideTypeBuy && drift[1] > drift[0] {
|
||||
if order.Side == types.SideTypeBuy && drift[1] < drift[0] {
|
||||
continue
|
||||
} else if order.Side == types.SideTypeSell && drift[1] < drift[0] {
|
||||
} else if order.Side == types.SideTypeSell && drift[1] > drift[0] {
|
||||
continue
|
||||
}
|
||||
toCancel = true
|
||||
|
|
@ -479,6 +318,7 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFacto
|
|||
delete(s.orderPendingCounter, order.OrderID)
|
||||
}
|
||||
}
|
||||
log.Warnf("cancel all %v", err)
|
||||
return 0, err
|
||||
}
|
||||
}
|
||||
|
|
@ -486,7 +326,6 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFacto
|
|||
}
|
||||
|
||||
func (s *Strategy) trailingCheck(price float64, direction string) bool {
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
if s.highestPrice > 0 && s.highestPrice < price {
|
||||
s.highestPrice = price
|
||||
}
|
||||
|
|
@ -498,11 +337,11 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
|
|||
trailingCallbackRate := s.TrailingCallbackRate[i]
|
||||
trailingActivationRatio := s.TrailingActivationRatio[i]
|
||||
if isShort {
|
||||
if (avg-s.lowestPrice)/s.lowestPrice > trailingActivationRatio {
|
||||
if (s.sellPrice-s.lowestPrice)/s.lowestPrice > trailingActivationRatio {
|
||||
return (price-s.lowestPrice)/s.lowestPrice > trailingCallbackRate
|
||||
}
|
||||
} else {
|
||||
if (s.highestPrice-avg)/avg > trailingActivationRatio {
|
||||
if (s.highestPrice-s.buyPrice)/s.buyPrice > trailingActivationRatio {
|
||||
return (s.highestPrice-price)/price > trailingCallbackRate
|
||||
}
|
||||
}
|
||||
|
|
@ -524,8 +363,7 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
|||
bestBid := ticker.Buy
|
||||
bestAsk := ticker.Sell
|
||||
|
||||
var pricef, atr, avg float64
|
||||
var price fixedpoint.Value
|
||||
var pricef, atr float64
|
||||
if util.TryLock(&s.lock) {
|
||||
if !bestAsk.IsZero() && !bestBid.IsZero() {
|
||||
s.midPrice = bestAsk.Add(bestBid).Div(Two)
|
||||
|
|
@ -534,18 +372,18 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
|||
} else {
|
||||
s.midPrice = bestBid
|
||||
}
|
||||
price = s.midPrice
|
||||
pricef = s.midPrice.Float64()
|
||||
} else {
|
||||
return
|
||||
}
|
||||
|
||||
defer s.lock.Unlock()
|
||||
s.lock.Unlock()
|
||||
// for trailing stoploss during the realtime
|
||||
if s.NoTrailingStopLoss || s.TrailingStopLossType == "kline" {
|
||||
return
|
||||
}
|
||||
|
||||
stoploss := s.StopLoss.Float64()
|
||||
atr = s.atr.Last()
|
||||
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
||||
numPending := 0
|
||||
|
|
@ -558,44 +396,46 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
|||
return
|
||||
}
|
||||
|
||||
s.positionLock.Lock()
|
||||
|
||||
if s.highestPrice > 0 && s.highestPrice < pricef {
|
||||
s.highestPrice = pricef
|
||||
}
|
||||
if s.lowestPrice > 0 && s.lowestPrice > pricef {
|
||||
s.lowestPrice = pricef
|
||||
}
|
||||
avg = s.buyPrice + s.sellPrice
|
||||
|
||||
exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
|
||||
s.trailingCheck(pricef, "short")) &&
|
||||
(s.p.IsShort() && !s.p.IsDust(price))
|
||||
exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
|
||||
s.trailingCheck(pricef, "long")) &&
|
||||
(!s.p.IsLong() && !s.p.IsDust(price))
|
||||
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= pricef || s.sellPrice-atr*takeProfitFactor >= pricef ||
|
||||
s.trailingCheck(pricef, "short"))
|
||||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= pricef || s.buyPrice+atr*takeProfitFactor <= pricef ||
|
||||
s.trailingCheck(pricef, "long"))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if exitLongCondition && s.highestPrice > avg {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
|
||||
} else if exitShortCondition && avg > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
|
||||
if exitLongCondition && s.highestPrice > s.buyPrice {
|
||||
s.takeProfitFactor.Update((s.highestPrice - s.buyPrice) / atr * 1.5)
|
||||
}
|
||||
if exitShortCondition && s.sellPrice > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((s.sellPrice - s.lowestPrice) / atr * 1.5)
|
||||
}
|
||||
log.Infof("Close position by orderbook changes")
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
} else {
|
||||
s.positionLock.Unlock()
|
||||
}
|
||||
})
|
||||
s.getLastPrice = func() (lastPrice fixedpoint.Value) {
|
||||
var ok bool
|
||||
s.lock.RLock()
|
||||
defer s.lock.RUnlock()
|
||||
if s.midPrice.IsZero() {
|
||||
lastPrice, ok = s.Session.LastPrice(s.Symbol)
|
||||
if !ok {
|
||||
log.Error("cannot get lastprice")
|
||||
s.lock.RUnlock()
|
||||
return lastPrice
|
||||
}
|
||||
} else {
|
||||
lastPrice = s.midPrice
|
||||
}
|
||||
s.lock.RUnlock()
|
||||
return lastPrice
|
||||
}
|
||||
}
|
||||
|
|
@ -648,11 +488,7 @@ func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
|
|||
|
||||
func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID())
|
||||
if s.GraphPNLDeductFee {
|
||||
canvas.PlotRaw("cummulative pnl % (with Fee Deducted)", cumProfit, cumProfit.Length())
|
||||
} else {
|
||||
canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length())
|
||||
}
|
||||
canvas.PlotRaw("cummulative pnl", cumProfit, cumProfit.Length())
|
||||
canvas.YAxis = chart.YAxis{
|
||||
ValueFormatter: func(v interface{}) string {
|
||||
if vf, isFloat := v.(float64); isFloat {
|
||||
|
|
@ -701,7 +537,7 @@ func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit ty
|
|||
|
||||
// Sending new rebalance orders cost too much.
|
||||
// Modify the position instead to expect the strategy itself rebalance on Close
|
||||
func (s *Strategy) Rebalance(ctx context.Context, orderTagHistory map[uint64]string) {
|
||||
func (s *Strategy) Rebalance(ctx context.Context) {
|
||||
price := s.getLastPrice()
|
||||
_, beta := types.LinearRegression(s.trendLine, 3)
|
||||
if math.Abs(beta) > s.RebalanceFilter && math.Abs(s.beta) > s.RebalanceFilter || math.Abs(s.beta) < s.RebalanceFilter && math.Abs(beta) < s.RebalanceFilter {
|
||||
|
|
@ -722,29 +558,6 @@ func (s *Strategy) Rebalance(ctx context.Context, orderTagHistory map[uint64]str
|
|||
s.p.Quote = q.Mul(price)
|
||||
s.p.AverageCost = price
|
||||
}
|
||||
/*if total.Mul(percentage).Compare(baseBalance) > 0 {
|
||||
q := total.Mul(percentage).Sub(baseBalance)
|
||||
if s.Market.IsDustQuantity(q, price) {
|
||||
return
|
||||
}
|
||||
err := s.GeneralOrderExecutor.GracefulCancel(ctx)
|
||||
if err != nil {
|
||||
panic(fmt.Sprintf("%s", err))
|
||||
}
|
||||
orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeMarket,
|
||||
Price: price,
|
||||
Quantity: q,
|
||||
Tag: "rebalance",
|
||||
})
|
||||
if err == nil {
|
||||
orderTagHistory[orders[0].OrderID] = "rebalance"
|
||||
} else {
|
||||
log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.QuoteCurrency].Available, quoteBalance)
|
||||
}
|
||||
}*/
|
||||
} else if beta <= -s.RebalanceFilter {
|
||||
if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
|
||||
q := total.Mul(percentage).Sub(quoteBalance.Div(price))
|
||||
|
|
@ -754,29 +567,6 @@ func (s *Strategy) Rebalance(ctx context.Context, orderTagHistory map[uint64]str
|
|||
s.p.Quote = q.Mul(price).Neg()
|
||||
s.p.AverageCost = price
|
||||
}
|
||||
/*if total.Mul(percentage).Compare(quoteBalance.Div(price)) > 0 {
|
||||
q := total.Mul(percentage).Sub(quoteBalance.Div(price))
|
||||
if s.Market.IsDustQuantity(q, price) {
|
||||
return
|
||||
}
|
||||
err := s.GeneralOrderExecutor.GracefulCancel(ctx)
|
||||
if err != nil {
|
||||
panic(fmt.Sprintf("%s", err))
|
||||
}
|
||||
orders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeMarket,
|
||||
Price: price,
|
||||
Quantity: q,
|
||||
Tag: "rebalance",
|
||||
})
|
||||
if err == nil {
|
||||
orderTagHistory[orders[0].OrderID] = "rebalance"
|
||||
} else {
|
||||
log.WithError(err).Errorf("rebalance %v %v %v %v", total, q, balances[s.Market.BaseCurrency].Available, baseBalance)
|
||||
}
|
||||
}*/
|
||||
} else {
|
||||
if total.Div(Two).Compare(quoteBalance.Div(price)) > 0 {
|
||||
q := total.Div(Two).Sub(quoteBalance.Div(price))
|
||||
|
|
@ -854,194 +644,90 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
for _, method := range s.ExitMethods {
|
||||
method.Bind(session, s.GeneralOrderExecutor)
|
||||
}
|
||||
buyPrice := fixedpoint.Zero
|
||||
sellPrice := fixedpoint.Zero
|
||||
Volume := fixedpoint.Zero
|
||||
profit := types.Float64Slice{}
|
||||
cumProfit := types.Float64Slice{1.}
|
||||
orderTagHistory := make(map[uint64]string)
|
||||
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderTagHistory[order.OrderID] = order.Tag
|
||||
})
|
||||
modify := func(p fixedpoint.Value) fixedpoint.Value {
|
||||
cumProfit := types.Float64Slice{}
|
||||
modify := func(p float64) float64 {
|
||||
return p
|
||||
}
|
||||
if s.GraphPNLDeductFee {
|
||||
modify = func(p fixedpoint.Value) fixedpoint.Value {
|
||||
return p.Mul(fixedpoint.One.Sub(Fee))
|
||||
modify = func(p float64) float64 {
|
||||
return p * (1. - Fee)
|
||||
}
|
||||
}
|
||||
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
s.GeneralOrderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, _netProfit fixedpoint.Value) {
|
||||
s.p.AddTrade(trade)
|
||||
tag, ok := orderTagHistory[trade.OrderID]
|
||||
order, ok := s.GeneralOrderExecutor.TradeCollector().OrderStore().Get(trade.OrderID)
|
||||
if !ok {
|
||||
panic(fmt.Sprintf("cannot find order: %v", trade))
|
||||
}
|
||||
bp := buyPrice
|
||||
vol := Volume
|
||||
sp := sellPrice
|
||||
resetPrice := false
|
||||
tag := order.Tag
|
||||
|
||||
price := trade.Price.Float64()
|
||||
balances := s.Session.GetAccount().Balances()
|
||||
|
||||
if s.buyPrice > 0 {
|
||||
profit.Update(modify(price / s.buyPrice))
|
||||
asset := balances[s.Market.BaseCurrency].Total().Mul(trade.Price).Add(balances[s.Market.QuoteCurrency].Total())
|
||||
cumProfit.Update(asset.Float64())
|
||||
} else if s.sellPrice > 0 {
|
||||
profit.Update(modify(s.sellPrice / price))
|
||||
asset := balances[s.Market.BaseCurrency].Total().Mul(trade.Price).Add(balances[s.Market.QuoteCurrency].Total())
|
||||
cumProfit.Update(asset.Float64())
|
||||
}
|
||||
s.positionLock.Lock()
|
||||
defer s.positionLock.Unlock()
|
||||
if tag == "close" {
|
||||
if !buyPrice.IsZero() {
|
||||
if trade.Side == types.SideTypeSell {
|
||||
if trade.Quantity.Compare(Volume) > 0 {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
}
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
if Volume.Sign() < 0 {
|
||||
sellPrice = trade.Price
|
||||
buyPrice = fixedpoint.Zero
|
||||
resetPrice = true
|
||||
} else if Volume.Sign() == 0 {
|
||||
buyPrice = fixedpoint.Zero
|
||||
resetPrice = true
|
||||
}
|
||||
} else {
|
||||
buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
}
|
||||
} else if !sellPrice.IsZero() {
|
||||
if trade.Side == types.SideTypeBuy {
|
||||
if trade.Quantity.Compare(Volume.Neg()) > 0 {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
} else {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).
|
||||
Sub(fixedpoint.One).
|
||||
Mul(trade.Quantity).
|
||||
Div(Volume).
|
||||
Neg().
|
||||
Add(fixedpoint.One).
|
||||
Float64())
|
||||
}
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
if Volume.Sign() > 0 {
|
||||
buyPrice = trade.Price
|
||||
sellPrice = fixedpoint.Zero
|
||||
resetPrice = true
|
||||
} else if Volume.Sign() == 0 {
|
||||
sellPrice = fixedpoint.Zero
|
||||
resetPrice = true
|
||||
}
|
||||
} else {
|
||||
sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
}
|
||||
} else {
|
||||
// position changed by strategy
|
||||
oldSign := Volume.Sign()
|
||||
if trade.Side == types.SideTypeBuy {
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
if Volume.Sign() > 0 {
|
||||
buyPrice = trade.Price
|
||||
sellPrice = fixedpoint.Zero
|
||||
if oldSign <= 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
} else if Volume.Sign() < 0 {
|
||||
sellPrice = trade.Price
|
||||
buyPrice = fixedpoint.Zero
|
||||
if oldSign >= 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
} else {
|
||||
buyPrice = fixedpoint.Zero
|
||||
sellPrice = fixedpoint.Zero
|
||||
if oldSign != 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
}
|
||||
} else if trade.Side == types.SideTypeSell {
|
||||
sellPrice = trade.Price
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
if Volume.Sign() > 0 {
|
||||
buyPrice = trade.Price
|
||||
sellPrice = fixedpoint.Zero
|
||||
if oldSign <= 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
} else if Volume.Sign() < 0 {
|
||||
sellPrice = trade.Price
|
||||
buyPrice = fixedpoint.Zero
|
||||
if oldSign >= 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
} else {
|
||||
buyPrice = fixedpoint.Zero
|
||||
sellPrice = fixedpoint.Zero
|
||||
if oldSign != 0 {
|
||||
resetPrice = true
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if buyPrice.IsZero() {
|
||||
if !sellPrice.IsZero() {
|
||||
sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
|
||||
} else {
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
buyPrice = fixedpoint.Zero
|
||||
Volume = fixedpoint.Zero
|
||||
sellPrice = trade.Price
|
||||
}
|
||||
Volume = Volume.Sub(trade.Quantity)
|
||||
resetPrice = true
|
||||
} else if tag == "long" {
|
||||
if sellPrice.IsZero() {
|
||||
if !buyPrice.IsZero() {
|
||||
buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
|
||||
} else {
|
||||
buyPrice = trade.Price
|
||||
}
|
||||
} else {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = trade.Price
|
||||
Volume = fixedpoint.Zero
|
||||
}
|
||||
Volume = Volume.Add(trade.Quantity)
|
||||
resetPrice = true
|
||||
} else if tag == "rebalance" {
|
||||
if sellPrice.IsZero() {
|
||||
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
||||
} else {
|
||||
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
||||
}
|
||||
resetPrice = true
|
||||
cumProfit.Update(cumProfit.Last() * profit.Last())
|
||||
sellPrice = fixedpoint.Zero
|
||||
buyPrice = fixedpoint.Zero
|
||||
Volume = fixedpoint.Zero
|
||||
s.p.Lock()
|
||||
defer s.p.Unlock()
|
||||
s.p.Reset()
|
||||
}
|
||||
s.buyPrice = buyPrice.Float64()
|
||||
s.sellPrice = sellPrice.Float64()
|
||||
if resetPrice {
|
||||
if s.p.IsDust(trade.Price) {
|
||||
s.buyPrice = 0
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = 0
|
||||
} else if s.p.IsLong() {
|
||||
|
||||
s.buyPrice = trade.Price.Float64()
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = s.buyPrice
|
||||
s.lowestPrice = 0
|
||||
} else {
|
||||
s.sellPrice = trade.Price.Float64()
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = s.sellPrice
|
||||
}
|
||||
bbgo.Notify("tag %s %v %s volafter: %v, quantity: %v, bp: %v, sp: %v, volbefore: %v, bpafter: %v, spafter: %v", tag, trade.Price, trade.Side, Volume, trade.Quantity, bp, sp, vol, s.buyPrice, s.sellPrice)
|
||||
} else if tag == "long" {
|
||||
if s.p.IsDust(trade.Price) {
|
||||
s.buyPrice = 0
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = 0
|
||||
} else if s.p.IsLong() {
|
||||
s.buyPrice = trade.Price.Float64()
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = s.buyPrice
|
||||
s.lowestPrice = 0
|
||||
}
|
||||
} else if tag == "short" {
|
||||
if s.p.IsDust(trade.Price) {
|
||||
s.sellPrice = 0
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = 0
|
||||
} else if s.p.IsShort() {
|
||||
s.sellPrice = trade.Price.Float64()
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = s.sellPrice
|
||||
}
|
||||
} else {
|
||||
panic("tag unknown")
|
||||
}
|
||||
bbgo.Notify("tag: %s, sp: %.4f bp: %.4f hp: %.4f lp: %.4f, trade: %s, pos: %s", tag, s.sellPrice, s.buyPrice, s.highestPrice, s.lowestPrice, trade.String(), s.p.String())
|
||||
})
|
||||
|
||||
dynamicKLine := &types.KLine{}
|
||||
s.frameKLine = &types.KLine{}
|
||||
s.kline1m = &types.KLine{}
|
||||
priceLine := types.NewQueue(300)
|
||||
if err := s.initIndicators(dynamicKLine, priceLine); err != nil {
|
||||
if err := s.initIndicators(priceLine); err != nil {
|
||||
log.WithError(err).Errorf("initIndicator failed")
|
||||
return nil
|
||||
}
|
||||
|
|
@ -1055,7 +741,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
|
||||
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
||||
canvas := s.DrawIndicators(dynamicKLine.StartTime, priceLine, zeroPoints)
|
||||
canvas := s.DrawIndicators(s.frameKLine.StartTime, priceLine, zeroPoints)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render indicators in drift")
|
||||
|
|
@ -1093,10 +779,24 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
reply.Message(buffer.String())
|
||||
})
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
bbgo.RegisterCommand("/pos", "Show internal position", func(reply interact.Reply) {
|
||||
reply.Message(s.p.String())
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/dump", "Dump internal params", func(reply interact.Reply) {
|
||||
reply.Message("Please enter series output length:")
|
||||
}).Next(func(length string, reply interact.Reply) {
|
||||
var buffer bytes.Buffer
|
||||
l, err := strconv.Atoi(length)
|
||||
if err != nil {
|
||||
s.ParamDump(&buffer)
|
||||
} else {
|
||||
s.ParamDump(&buffer, l)
|
||||
}
|
||||
reply.Message(buffer.String())
|
||||
})
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if kline.Symbol != s.Symbol {
|
||||
return
|
||||
}
|
||||
|
|
@ -1107,8 +807,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return
|
||||
}
|
||||
if kline.Interval == types.Interval1m {
|
||||
s.kline1m.Set(&kline)
|
||||
s.drift1m.Update(s.getSource(&kline).Float64())
|
||||
s.minutesCounter += 1
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
}
|
||||
if s.NoTrailingStopLoss || s.TrailingStopLossType == "realtime" {
|
||||
return
|
||||
}
|
||||
|
|
@ -1125,40 +829,43 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return
|
||||
}
|
||||
if numPending > 0 {
|
||||
log.Infof("pending orders: %d, exit", numPending)
|
||||
return
|
||||
}
|
||||
|
||||
lowf := math.Min(kline.Low.Float64(), pricef)
|
||||
highf := math.Max(kline.High.Float64(), pricef)
|
||||
s.positionLock.Lock()
|
||||
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
||||
s.lowestPrice = lowf
|
||||
}
|
||||
if s.highestPrice > 0 && highf > s.highestPrice {
|
||||
s.highestPrice = highf
|
||||
}
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef ||
|
||||
s.trailingCheck(highf, "short")) &&
|
||||
(s.p.IsShort() && !s.p.IsDust(price))
|
||||
exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef ||
|
||||
s.trailingCheck(lowf, "long")) &&
|
||||
(s.p.IsLong() && !s.p.IsDust(price))
|
||||
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf || s.sellPrice-atr*takeProfitFactor >= lowf ||
|
||||
s.trailingCheck(highf, "short"))
|
||||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf || s.buyPrice+atr*takeProfitFactor <= highf ||
|
||||
s.trailingCheck(lowf, "long"))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if exitLongCondition && s.highestPrice > avg {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
|
||||
} else if exitShortCondition && avg > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
|
||||
if exitLongCondition && s.highestPrice > s.buyPrice {
|
||||
s.takeProfitFactor.Update((s.highestPrice - s.buyPrice) / atr * 1.5)
|
||||
}
|
||||
if exitShortCondition && s.sellPrice > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((s.sellPrice - s.lowestPrice) / atr * 1.5)
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
} else {
|
||||
s.positionLock.Unlock()
|
||||
}
|
||||
return
|
||||
}
|
||||
if kline.Interval != s.Interval {
|
||||
return
|
||||
}
|
||||
dynamicKLine.Set(&kline)
|
||||
s.frameKLine.Set(&kline)
|
||||
|
||||
source := s.getSource(dynamicKLine)
|
||||
source := s.getSource(s.frameKLine)
|
||||
sourcef := source.Float64()
|
||||
priceLine.Update(sourcef)
|
||||
s.ma.Update(sourcef)
|
||||
|
|
@ -1182,6 +889,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
highdiff := highf - s.ma.Last()
|
||||
s.stdevHigh.Update(highdiff)
|
||||
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
}
|
||||
|
||||
s.positionLock.Lock()
|
||||
log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime)
|
||||
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
||||
s.lowestPrice = lowf
|
||||
|
|
@ -1189,34 +901,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
if s.highestPrice > 0 && highf > s.highestPrice {
|
||||
s.highestPrice = highf
|
||||
}
|
||||
avg := s.buyPrice + s.sellPrice
|
||||
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
||||
|
||||
if !s.NoRebalance {
|
||||
s.Rebalance(ctx, orderTagHistory)
|
||||
s.Rebalance(ctx)
|
||||
}
|
||||
|
||||
//if !s.IsBackTesting() {
|
||||
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
|
||||
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, avg: %.4f, takeProfitFact: %.4f, lowf %.4f, highf: %.4f",
|
||||
sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, avg, takeProfitFactor, lowf, highf)
|
||||
bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, takeProfitFact: %.4f, lowf %.4f, highf: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f",
|
||||
sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, takeProfitFactor, lowf, highf, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
|
||||
// Notify will parse args to strings and process separately
|
||||
bbgo.Notify("balances: [Base] %s(%vU) [Quote] %s",
|
||||
balances[s.Market.BaseCurrency].String(),
|
||||
balances[s.Market.BaseCurrency].Total().Mul(price),
|
||||
balances[s.Market.QuoteCurrency].String())
|
||||
//}
|
||||
|
||||
shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
|
||||
longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
|
||||
exitShortCondition := ((drift[0] >= DDriftFilterPos && ddrift[0] >= 0) ||
|
||||
avg*(1.+stoploss) <= pricef ||
|
||||
avg-atr*takeProfitFactor >= pricef) &&
|
||||
s.p.IsShort()
|
||||
exitLongCondition := ((drift[0] <= DDriftFilterNeg && ddrift[0] <= 0) ||
|
||||
avg*(1.-stoploss) >= pricef ||
|
||||
avg+atr*takeProfitFactor <= pricef) &&
|
||||
s.p.IsLong()
|
||||
if shortCondition && longCondition {
|
||||
if drift[1] > drift[0] {
|
||||
longCondition = false
|
||||
|
|
@ -1224,26 +925,38 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
shortCondition = false
|
||||
}
|
||||
}
|
||||
exitShortCondition := s.sellPrice > 0 && ( //!shortCondition && !longCondition ||
|
||||
s.sellPrice*(1.+stoploss) <= highf ||
|
||||
s.trailingCheck(pricef, "short") ||
|
||||
s.sellPrice-atr*takeProfitFactor >= s.lowestPrice)
|
||||
exitLongCondition := s.buyPrice > 0 && ( //!longCondition && !shortCondition ||
|
||||
s.buyPrice*(1.-stoploss) >= lowf ||
|
||||
s.trailingCheck(pricef, "long") ||
|
||||
s.buyPrice+atr*takeProfitFactor <= s.highestPrice)
|
||||
|
||||
if (exitShortCondition || exitLongCondition) && s.p.IsOpened(price) && !shortCondition && !longCondition {
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
if exitShortCondition && avg > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
|
||||
} else if exitLongCondition && avg < s.highestPrice {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
|
||||
if exitShortCondition && s.sellPrice > s.lowestPrice {
|
||||
s.takeProfitFactor.Update((s.sellPrice - s.lowestPrice) / atr * 1.5)
|
||||
}
|
||||
if exitLongCondition && s.buyPrice < s.highestPrice {
|
||||
s.takeProfitFactor.Update((s.highestPrice - s.buyPrice) / atr * 1.5)
|
||||
}
|
||||
if s.takeProfitFactor.Last() == 0 {
|
||||
log.Errorf("exit %f %f %f %v", s.highestPrice, s.lowestPrice, avg, s.takeProfitFactor.Array(10))
|
||||
log.Errorf("exit %f %f %v", s.highestPrice, s.lowestPrice, s.takeProfitFactor.Array(10))
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
return
|
||||
}
|
||||
if longCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
||||
|
|
@ -1255,15 +968,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get quoteCurrency")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
if s.Market.IsDustQuantity(
|
||||
quoteBalance.Available.Div(source), source) {
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
if avg > s.lowestPrice && s.Position.IsShort() {
|
||||
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5)
|
||||
if s.sellPrice > s.lowestPrice && s.lowestPrice > 0 {
|
||||
s.takeProfitFactor.Update((s.sellPrice - s.lowestPrice) / atr * 1.5)
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
quantity := quoteBalance.Available.Div(source)
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
|
|
@ -1277,18 +993,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
log.WithError(err).Errorf("cannot place buy order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "long"
|
||||
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
||||
return
|
||||
}
|
||||
if shortCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get baseBalance")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
||||
|
|
@ -1298,11 +1015,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
sourcef = source.Float64()
|
||||
|
||||
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
if avg < s.highestPrice && avg > 0 && s.Position.IsLong() {
|
||||
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5)
|
||||
if s.buyPrice < s.highestPrice && s.buyPrice > 0 {
|
||||
s.takeProfitFactor.Update((s.highestPrice - s.buyPrice) / atr * 1.5)
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
// Cleanup pending StopOrders
|
||||
quantity := baseBalance.Available
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
|
|
@ -1317,7 +1036,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
log.WithError(err).Errorf("cannot place sell order")
|
||||
return
|
||||
}
|
||||
orderTagHistory[createdOrders[0].OrderID] = "short"
|
||||
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
||||
return
|
||||
}
|
||||
|
|
@ -1333,7 +1051,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
os.Stdout.Write(buffer.Bytes())
|
||||
|
||||
if s.GenerateGraph {
|
||||
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
|
||||
s.Draw(s.frameKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
|
||||
}
|
||||
|
||||
wg.Done()
|
||||
|
|
|
|||
8
pkg/util/pointer.go
Normal file
8
pkg/util/pointer.go
Normal file
|
|
@ -0,0 +1,8 @@
|
|||
//go:build !go1.18
|
||||
// +build !go1.18
|
||||
|
||||
package util
|
||||
|
||||
import "reflect"
|
||||
|
||||
const Pointer = reflect.Ptr
|
||||
8
pkg/util/pointer_18.go
Normal file
8
pkg/util/pointer_18.go
Normal file
|
|
@ -0,0 +1,8 @@
|
|||
//go:build go1.18
|
||||
// +build go1.18
|
||||
|
||||
package util
|
||||
|
||||
import "reflect"
|
||||
|
||||
const Pointer = reflect.Pointer
|
||||
Loading…
Reference in New Issue
Block a user