lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-22 06:53:52 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

exits/trailingstop: properly works on both long and short positions

Browse Source
This commit is contained in:
Andy Cheng 2022-08-11 13:36:31 +08:00
parent d31b812471
commit df0e527e1e
1 changed files with 28 additions and 27 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

55
pkg/bbgo/exit_trailing_stop.go
View File

@ -90,21 +90,23 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
return nil
}
if !s.MinProfit.IsZero() {
// check if we have the minimal profit
roi := position.ROI(price)
if roi.Compare(s.MinProfit) >= 0 {
Notify("[trailingStop] activated: ROI %f > minimal profit ratio %f", roi.Float64(), s.MinProfit.Float64())
s.activated = true
}
} else if !s.ActivationRatio.IsZero() {
ratio, err := s.getRatio(price, position)
if err != nil {
return err
}
if (position.IsLong() && s.Side == types.SideTypeSell) || (position.IsShort() && s.Side == types.SideTypeBuy) {
if !s.MinProfit.IsZero() {
// check if we have the minimal profit
roi := position.ROI(price)
if roi.Compare(s.MinProfit) >= 0 {
Notify("[trailingStop] activated: ROI %f > minimal profit ratio %f", roi.Float64(), s.MinProfit.Float64())
s.activated = true
}
} else if !s.ActivationRatio.IsZero() {
ratio, err := s.getRatio(price, position)
if err != nil {
return err
}
if ratio.Compare(s.ActivationRatio) >= 0 {
s.activated = true
if ratio.Compare(s.ActivationRatio) >= 0 {
s.activated = true
}
}
}
@ -126,21 +128,20 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
switch s.Side {
case types.SideTypeBuy:
s.latestHigh = fixedpoint.Min(price, s.latestHigh)
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
if position.IsShort() {
change := price.Sub(s.latestHigh).Div(s.latestHigh)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
}
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
change := s.latestHigh.Sub(price).Div(price)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
if position.IsLong() {
change := s.latestHigh.Sub(price).Div(price)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
}
}
}