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pivotshort: add new found return value

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c9s 2022-06-05 13:04:48 +08:00
parent f39ba4854d
commit defff9b01d
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1 changed files with 14 additions and 11 deletions
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19
pkg/strategy/pivotshort/strategy.go
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@ -191,14 +191,15 @@ func canClosePosition(position *types.Position, signal fixedpoint.Value, price f
return !signal.IsZero() && position.IsShort() && !position.IsDust(price) return !signal.IsZero() && position.IsShort() && !position.IsDust(price)
} }
// get last available pivot low, the most recent pivot point higher than current price // findHigherPivotLow checks the pivot low prices and return the low that is higher than the current price
func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value { func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
for l := len(s.pivotLowPrices) - 1; l > 0; l-- { for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
if s.pivotLowPrices[l].Compare(price) > 0 { 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) { 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() { session.UserDataStream.OnStart(func() {
if price, ok := session.LastPrice(s.Symbol); ok { if price, ok := session.LastPrice(s.Symbol); ok {
limitPrice := s.getValidPivotLow(price) if limitPrice, ok := s.findHigherPivotLow(price); ok {
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) 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) s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, price, orderExecutor)
} }
}
}) })
session.MarketDataStream.OnKLine(func(kline types.KLine) { session.MarketDataStream.OnKLine(func(kline types.KLine) {
// TODO: handle stop loss here, faster than closed 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 { if lastLow == kline.Close && s.Entry.Immediate {
s.Notify("price breaks the previous low, submitting market sell to open a short position") s.Notify("price breaks the previous low, submitting market sell to open a short position")
s.placeMarketSell(ctx, orderExecutor) s.placeMarketSell(ctx, orderExecutor)
@ -353,10 +355,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
log.WithError(err).Errorf("graceful cancel order error") log.WithError(err).Errorf("graceful cancel order error")
} }
limitPrice := s.getValidPivotLow(kline.Close) 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) 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) s.placeBounceSellOrders(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor)
} }
}
}) })
return nil return nil