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pivotshort: add fastpivot

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c9s 2022-08-31 16:42:45 +08:00
parent 4b78ba112f
commit e23ed8c783
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1 changed files with 27 additions and 10 deletions
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37
pkg/strategy/pivotshort/breaklow.go
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@ -38,13 +38,13 @@ type BreakLow struct {
FakeBreakStop *FakeBreakStop `json:"fakeBreakStop"`
lastLow fixedpoint.Value
lastLow, lastFastLow fixedpoint.Value
// lastBreakLow is the low that the price just break
lastBreakLow fixedpoint.Value
pivotLow *indicator.PivotLow
pivotLowPrices []fixedpoint.Value
pivotLow, fastPivotLow *indicator.PivotLow
pivotLowPrices []fixedpoint.Value
trendEWMALast, trendEWMACurrent float64
@ -84,8 +84,11 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
standardIndicator := session.StandardIndicatorSet(s.Symbol)
s.lastLow = fixedpoint.Zero
s.pivotLow = standardIndicator.PivotLow(s.IntervalWindow)
s.fastPivotLow = standardIndicator.PivotLow(types.IntervalWindow{
Interval: s.Interval,
Window: 3, // make it faster
})
if s.StopEMA != nil {
s.StopEMA.Bind(session, orderExecutor)
@ -143,12 +146,12 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
}
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
if len(s.pivotLowPrices) == 0 {
if len(s.pivotLowPrices) == 0 || s.lastLow.IsZero() {
log.Infof("currently there is no pivot low prices, can not check break low...")
return
}
previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
previousLow := s.lastLow
ratio := fixedpoint.One.Add(s.Ratio)
breakPrice := previousLow.Mul(ratio)
@ -266,11 +269,25 @@ func (s *BreakLow) pilotQuantityCalculation() {
func (s *BreakLow) updatePivotLow() bool {
lastLow := fixedpoint.NewFromFloat(s.pivotLow.Last())
if lastLow.IsZero() || lastLow.Compare(s.lastLow) == 0 {
if lastLow.IsZero() {
return false
}
s.lastLow = lastLow
s.pivotLowPrices = append(s.pivotLowPrices, lastLow)
return true
lastLowChanged := lastLow.Compare(s.lastLow) != 0
if lastLowChanged {
s.lastLow = lastLow
s.pivotLowPrices = append(s.pivotLowPrices, lastLow)
}
lastFastLow := fixedpoint.NewFromFloat(s.fastPivotLow.Last())
if !lastFastLow.IsZero() {
if lastFastLow.Compare(s.lastLow) < 0 {
// invalidate the last low
s.lastLow = fixedpoint.Zero
lastLowChanged = false
}
s.lastFastLow = lastFastLow
}
return lastLowChanged
}