lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-09-20 08:11:08 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

pivotshort: add new found return value

Browse Source
This commit is contained in:
c9s 2022-06-05 13:04:48 +08:00
parent f39ba4854d
commit defff9b01d
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
1 changed files with 14 additions and 11 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

25
pkg/strategy/pivotshort/strategy.go
View File

@ -191,14 +191,15 @@ func canClosePosition(position *types.Position, signal fixedpoint.Value, price f
return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
}
// get last available pivot low, the most recent pivot point higher than current price
func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value {
// findHigherPivotLow checks the pivot low prices and return the low that is higher than the current price
func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
if s.pivotLowPrices[l].Compare(price) > 0 {
return s.pivotLowPrices[l]
return s.pivotLowPrices[l], true
}
}
return price
return price, false
}
func (s *Strategy) placeBounceSellOrders(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
@ -301,15 +302,16 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
session.UserDataStream.OnStart(func() {
if price, ok := session.LastPrice(s.Symbol); ok {
limitPrice := s.getValidPivotLow(price)
log.Infof("init %s place limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, price, orderExecutor)
if limitPrice, ok := s.findHigherPivotLow(price); ok {
log.Infof("%s placing limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, price, orderExecutor)
}
}
})
session.MarketDataStream.OnKLine(func(kline types.KLine) {
// TODO: handle stop loss here, faster than closed kline
lastLow := s.getValidPivotLow(kline.Close)
lastLow, _ := s.findHigherPivotLow(kline.Close)
if lastLow == kline.Close && s.Entry.Immediate {
s.Notify("price breaks the previous low, submitting market sell to open a short position")
s.placeMarketSell(ctx, orderExecutor)
@ -353,9 +355,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("graceful cancel order error")
}
limitPrice := s.getValidPivotLow(kline.Close)
log.Infof("%s place limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor)
if limitPrice, ok := s.findHigherPivotLow(kline.Close); ok {
log.Infof("%s place limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor)
}
}
})