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feature: export canvas path for drift strategy. fix exit/entry order and fix missing columns from json parsing

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This commit is contained in:
zenix 2022-07-13 17:08:57 +09:00
parent 586f1ff269
commit e097421b7b
2 changed files with 33 additions and 26 deletions
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1
config/drift.yaml
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@ -10,6 +10,7 @@ exchangeStrategies:
- on: binance
drift:
canvasPath: "./output.png"
symbol: ETHUSDT
# kline interval for indicators
interval: 15m

58
pkg/strategy/drift/strategy.go
View File

@ -41,7 +41,8 @@ type Strategy struct {
midPrice fixedpoint.Value
lock sync.RWMutex
stoploss float64 `json:"stoploss"`
Stoploss fixedpoint.Value `json:"stoploss"`
CanvasPath string `json:"canvasPath"`
ExitMethods bbgo.ExitMethodSet `json:"exits"`
Session *bbgo.ExchangeSession
@ -241,15 +242,35 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
driftPred = s.drift.Predict(3)
atr = s.atr.Last()
price := s.GetLastPrice()
pricef := price.Float64()
avg := s.Position.AverageCost.Float64()
stoploss := s.Stoploss.Float64()
shortCondition := (driftPred <= 0 && drift[0] <= 0) && (s.Position.IsClosed() || s.Position.IsDust(fixedpoint.Max(price, source)))
longCondition := (driftPred >= 0 && drift[0] >= 0) && (s.Position.IsClosed() || s.Position.IsDust(fixedpoint.Min(price, source)))
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= price.Float64() || avg*(1.+s.stoploss) <= price.Float64()) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source)))
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= price.Float64() || avg*(1.-s.stoploss) >= price.Float64()) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source)))
shortCondition := (driftPred <= 0 && drift[0] <= 0)
longCondition := (driftPred >= 0 && drift[0] >= 0)
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition
if exitShortCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
}
_, _ = s.ClosePosition(ctx)
}
if exitLongCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
}
_, _ = s.ClosePosition(ctx)
}
if shortCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
@ -282,15 +303,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
}
if exitShortCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
}
_, _ = s.ClosePosition(ctx)
}
if longCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
@ -326,15 +338,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
}
if exitLongCondition {
if s.ActiveOrderBook.NumOfOrders() > 0 {
if err := s.GeneralOrderExecutor.GracefulCancelActiveOrderBook(ctx, s.ActiveOrderBook); err != nil {
log.WithError(err).Errorf("cannot cancel orders")
return
}
}
_, _ = s.ClosePosition(ctx)
}
})
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
@ -348,7 +351,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
canvas.Plot("drift", s.drift, dynamicKLine.StartTime, 100)
canvas.Plot("zero", types.NumberSeries(0), dynamicKLine.StartTime, 100)
canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), dynamicKLine.StartTime, 100)
f, _ := os.Create("output.png")
f, err := os.Create(s.CanvasPath)
if err != nil {
log.Errorf("%v cannot create on %s", err, s.CanvasPath)
}
defer f.Close()
canvas.Render(chart.PNG, f)
wg.Done()