From defff9b01dadf79490317eacb2d33274b6b735d5 Mon Sep 17 00:00:00 2001 From: c9s Date: Sun, 5 Jun 2022 13:04:48 +0800 Subject: [PATCH] pivotshort: add new found return value --- pkg/strategy/pivotshort/strategy.go | 25 ++++++++++++++----------- 1 file changed, 14 insertions(+), 11 deletions(-) diff --git a/pkg/strategy/pivotshort/strategy.go b/pkg/strategy/pivotshort/strategy.go index bc07af8be..f2ac78953 100644 --- a/pkg/strategy/pivotshort/strategy.go +++ b/pkg/strategy/pivotshort/strategy.go @@ -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) + } } })