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bollmaker: fix short position order
This commit is contained in:
c9s
parent
fc336141fd
commit
e2f339e641
84
pkg/strategy/bollmaker/dynamic_spread.go
Normal file
84
pkg/strategy/bollmaker/dynamic_spread.go
Normal file
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@ -0,0 +1,84 @@
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package bollmaker
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import (
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"github.com/pkg/errors"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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type DynamicSpreadSettings struct {
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Enabled bool `json:"enabled"`
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// Window is the window of the SMAs of spreads
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Window int `json:"window"`
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// AskSpreadScale is used to define the ask spread range with the given percentage.
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AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
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// BidSpreadScale is used to define the bid spread range with the given percentage.
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BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
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DynamicAskSpread *indicator.SMA
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DynamicBidSpread *indicator.SMA
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}
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// Update dynamic spreads
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func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
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if !ds.Enabled {
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return
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}
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ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
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switch kline.Direction() {
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case types.DirectionUp:
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ds.DynamicAskSpread.Update(ampl)
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ds.DynamicBidSpread.Update(0)
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case types.DirectionDown:
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ds.DynamicBidSpread.Update(ampl)
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ds.DynamicAskSpread.Update(0)
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default:
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ds.DynamicAskSpread.Update(0)
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ds.DynamicBidSpread.Update(0)
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}
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}
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// GetAskSpread returns current ask spread
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func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
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askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicAskSpread")
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return 0, err
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}
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return askSpread, nil
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}
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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// GetBidSpread returns current dynamic bid spread
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func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
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bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicBidSpread")
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return 0, err
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}
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return bidSpread, nil
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}
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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@ -49,81 +49,6 @@ type BollingerSetting struct {
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BandWidth float64 `json:"bandWidth"`
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}
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type DynamicSpreadSettings struct {
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Enabled bool `json:"enabled"`
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// Window is the window of the SMAs of spreads
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Window int `json:"window"`
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// AskSpreadScale is used to define the ask spread range with the given percentage.
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AskSpreadScale *bbgo.PercentageScale `json:"askSpreadScale"`
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// BidSpreadScale is used to define the bid spread range with the given percentage.
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BidSpreadScale *bbgo.PercentageScale `json:"bidSpreadScale"`
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DynamicAskSpread *indicator.SMA
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DynamicBidSpread *indicator.SMA
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}
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// Update dynamic spreads
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func (ds *DynamicSpreadSettings) Update(kline types.KLine) {
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if !ds.Enabled {
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return
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}
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ampl := (kline.GetHigh().Float64() - kline.GetLow().Float64()) / kline.GetOpen().Float64()
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switch kline.Direction() {
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case types.DirectionUp:
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ds.DynamicAskSpread.Update(ampl)
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ds.DynamicBidSpread.Update(0)
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case types.DirectionDown:
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ds.DynamicBidSpread.Update(ampl)
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ds.DynamicAskSpread.Update(0)
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default:
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ds.DynamicAskSpread.Update(0)
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ds.DynamicBidSpread.Update(0)
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}
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}
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// GetAskSpread returns current ask spread
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func (ds *DynamicSpreadSettings) GetAskSpread() (askSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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if ds.AskSpreadScale != nil && ds.DynamicAskSpread.Length() >= ds.Window {
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askSpread, err = ds.AskSpreadScale.Scale(ds.DynamicAskSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicAskSpread")
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return 0, err
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}
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return askSpread, nil
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}
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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// GetBidSpread returns current dynamic bid spread
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func (ds *DynamicSpreadSettings) GetBidSpread() (bidSpread float64, err error) {
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if !ds.Enabled {
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return 0, errors.New("dynamic spread is not enabled")
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}
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if ds.BidSpreadScale != nil && ds.DynamicBidSpread.Length() >= ds.Window {
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bidSpread, err = ds.BidSpreadScale.Scale(ds.DynamicBidSpread.Last())
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if err != nil {
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log.WithError(err).Errorf("can not calculate dynamicBidSpread")
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return 0, err
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}
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return bidSpread, nil
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}
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return 0, errors.New("incomplete dynamic spread settings or not enough data yet")
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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@ -408,18 +333,18 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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downBand := s.defaultBoll.LastDownBand()
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upBand := s.defaultBoll.LastUpBand()
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sma := s.defaultBoll.LastSMA()
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log.Infof("bollinger band: up %f sma %f down %f", upBand, sma, downBand)
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log.Infof("%s bollinger band: up %f sma %f down %f", s.Symbol, upBand, sma, downBand)
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bandPercentage := calculateBandPercentage(upBand, downBand, sma, midPrice.Float64())
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log.Infof("mid price band percentage: %v", bandPercentage)
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log.Infof("%s mid price band percentage: %v", s.Symbol, bandPercentage)
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maxExposurePosition, err := s.getCurrentAllowedExposurePosition(bandPercentage)
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if err != nil {
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log.WithError(err).Errorf("can not calculate CurrentAllowedExposurePosition")
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log.WithError(err).Errorf("can not calculate %s CurrentAllowedExposurePosition", s.Symbol)
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return
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}
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log.Infof("calculated max exposure position: %v", maxExposurePosition)
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log.Infof("calculated %s max exposure position: %v", s.Symbol, maxExposurePosition)
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canSell := true
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canBuy := true
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@ -429,7 +354,7 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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}
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if maxExposurePosition.Sign() > 0 {
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if s.Long != nil && *s.Long && base.Sign() < 0 {
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if s.hasLongSet() && base.Sign() < 0 {
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canSell = false
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} else if base.Compare(maxExposurePosition.Neg()) < 0 {
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canSell = false
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@ -502,11 +427,26 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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canSell = false
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}
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if midPrice.Compare(s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))) < 0 {
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canSell = false
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isLongPosition := s.Position.Base.Sign() > 0
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isShortPosition := s.Position.Base.Sign() < 0
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minProfitPrice := s.Position.AverageCost.Mul(fixedpoint.One.Add(s.MinProfitSpread))
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if isShortPosition {
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minProfitPrice = s.Position.AverageCost.Mul(fixedpoint.One.Sub(s.MinProfitSpread))
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}
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if s.Long != nil && *s.Long && base.Sub(sellOrder.Quantity).Sign() < 0 {
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if isLongPosition {
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// for long position if the current price is lower than the minimal profitable price then we should stop sell
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if midPrice.Compare(minProfitPrice) < 0 {
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canSell = false
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}
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} else if isShortPosition {
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// for short position if the current price is higher than the minimal profitable price then we should stop buy
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if midPrice.Compare(minProfitPrice) > 0 {
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canBuy = false
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}
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}
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if s.hasLongSet() && base.Sub(sellOrder.Quantity).Sign() < 0 {
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canSell = false
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}
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@ -544,6 +484,14 @@ func (s *Strategy) placeOrders(ctx context.Context, orderExecutor bbgo.OrderExec
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s.activeMakerOrders.Add(createdOrders...)
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}
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func (s *Strategy) hasLongSet() bool {
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return s.Long != nil && *s.Long
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}
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func (s *Strategy) hasShortSet() bool {
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return s.Short != nil && *s.Short
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}
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type PriceTrend string
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const (
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