diff --git a/go.sum b/go.sum index e04a6df9c..5ce4df09c 100644 --- a/go.sum +++ b/go.sum @@ -351,6 +351,8 @@ github.com/jackc/puddle v0.0.0-20190608224051-11cab39313c9/go.mod h1:m4B5Dj62Y0f github.com/jackc/puddle v1.1.0/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk= github.com/jackc/puddle v1.1.1/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk= github.com/jackc/puddle v1.1.3/go.mod h1:m4B5Dj62Y0fbyuIc15OsIqK0+JU8nkqQjsgx7dvjSWk= +github.com/jedib0t/go-pretty/v6 v6.3.6 h1:A6w2BuyPMtf7M82BGRBys9bAba2C26ZX9lrlrZ7uH6U= +github.com/jedib0t/go-pretty/v6 v6.3.6/go.mod h1:MgmISkTWDSFu0xOqiZ0mKNntMQ2mDgOcwOkwBEkMDJI= github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869 h1:IPJ3dvxmJ4uczJe5YQdrYB16oTJlGSC/OyZDqUk9xX4= github.com/jehiah/go-strftime v0.0.0-20171201141054-1d33003b3869/go.mod h1:cJ6Cj7dQo+O6GJNiMx+Pa94qKj+TG8ONdKHgMNIyyag= github.com/jessevdk/go-flags v1.4.0/go.mod h1:4FA24M0QyGHXBuZZK/XkWh8h0e1EYbRYJSGM75WSRxI= @@ -441,6 +443,8 @@ github.com/mattn/go-isatty v0.0.14/go.mod h1:7GGIvUiUoEMVVmxf/4nioHXj79iQHKdU27k github.com/mattn/go-runewidth v0.0.4/go.mod h1:LwmH8dsx7+W8Uxz3IHJYH5QSwggIsqBzpuz5H//U1FU= github.com/mattn/go-runewidth v0.0.12 h1:Y41i/hVW3Pgwr8gV+J23B9YEY0zxjptBuCWEaxmAOow= github.com/mattn/go-runewidth v0.0.12/go.mod h1:RAqKPSqVFrSLVXbA8x7dzmKdmGzieGRCM46jaSJTDAk= +github.com/mattn/go-runewidth v0.0.13 h1:lTGmDsbAYt5DmK6OnoV7EuIF1wEIFAcxld6ypU4OSgU= +github.com/mattn/go-runewidth v0.0.13/go.mod h1:Jdepj2loyihRzMpdS35Xk/zdY8IAYHsh153qUoGf23w= github.com/mattn/go-shellwords v1.0.12 h1:M2zGm7EW6UQJvDeQxo4T51eKPurbeFbe8WtebGE2xrk= github.com/mattn/go-shellwords v1.0.12/go.mod h1:EZzvwXDESEeg03EKmM+RmDnNOPKG4lLtQsUlTZDWQ8Y= github.com/mattn/go-sqlite3 v1.14.0/go.mod h1:JIl7NbARA7phWnGvh0LKTyg7S9BA+6gx71ShQilpsus= @@ -502,6 +506,7 @@ github.com/pkg/errors v0.8.0/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINE github.com/pkg/errors v0.8.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0= github.com/pkg/errors v0.9.1 h1:FEBLx1zS214owpjy7qsBeixbURkuhQAwrK5UwLGTwt4= github.com/pkg/errors v0.9.1/go.mod h1:bwawxfHBFNV+L2hUp1rHADufV3IMtnDRdf1r5NINEl0= +github.com/pkg/profile v1.6.0/go.mod h1:qBsxPvzyUincmltOk6iyRVxHYg4adc0OFOv72ZdLa18= github.com/pkg/sftp v1.10.1/go.mod h1:lYOWFsE0bwd1+KfKJaKeuokY15vzFx25BLbzYYoAxZI= github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM= github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4= @@ -598,6 +603,7 @@ github.com/stretchr/objx v0.1.0/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+ github.com/stretchr/objx v0.1.1/go.mod h1:HFkY916IF+rwdDfMAkV7OtwuqBVzrE8GR6GFx+wExME= github.com/stretchr/objx v0.2.0 h1:Hbg2NidpLE8veEBkEZTL3CvlkUIVzuU9jDplZO54c48= github.com/stretchr/objx v0.2.0/go.mod h1:qt09Ya8vawLte6SNmTgCsAVtYtaKzEcn8ATUoHMkEqE= +github.com/stretchr/objx v0.4.0/go.mod h1:YvHI0jy2hoMjB+UWwv71VJQ9isScKT/TqJzVSSt89Yw= github.com/stretchr/testify v1.1.4/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs= github.com/stretchr/testify v1.2.0/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs= github.com/stretchr/testify v1.2.2/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs= @@ -607,6 +613,9 @@ github.com/stretchr/testify v1.5.1/go.mod h1:5W2xD1RspED5o8YsWQXVCued0rvSQ+mT+I5 github.com/stretchr/testify v1.6.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg= github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5CcY= github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg= +github.com/stretchr/testify v1.7.1/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg= +github.com/stretchr/testify v1.7.4 h1:wZRexSlwd7ZXfKINDLsO4r7WBt3gTKONc6K/VesHvHM= +github.com/stretchr/testify v1.7.4/go.mod h1:yNjHg4UonilssWZ8iaSj1OCr/vHnekPRkoO+kdMU+MU= github.com/subosito/gotenv v1.2.0 h1:Slr1R9HxAlEKefgq5jn9U+DnETlIUa6HfgEzj0g5d7s= github.com/subosito/gotenv v1.2.0/go.mod h1:N0PQaV/YGNqwC0u51sEeR/aUtSLEXKX9iv69rRypqCw= github.com/tebeka/strftime v0.1.3 h1:5HQXOqWKYRFfNyBMNVc9z5+QzuBtIXy03psIhtdJYto= diff --git a/pkg/strategy/drift/strategy.go b/pkg/strategy/drift/strategy.go index 7272ca03d..e853a3e2f 100644 --- a/pkg/strategy/drift/strategy.go +++ b/pkg/strategy/drift/strategy.go @@ -1,15 +1,15 @@ package drift import ( - "bufio" "bytes" "context" - "encoding/json" "errors" "fmt" "io" "math" "os" + "reflect" + "sort" "strings" "sync" @@ -23,14 +23,16 @@ import ( "github.com/c9s/bbgo/pkg/interact" "github.com/c9s/bbgo/pkg/types" "github.com/c9s/bbgo/pkg/util" + "github.com/jedib0t/go-pretty/v6/table" + "github.com/jedib0t/go-pretty/v6/text" ) const ID = "drift" const DDriftFilterNeg = -0.7 const DDriftFilterPos = 0.7 -const DriftFilterNeg = -1.8 -const DriftFilterPos = 1.8 +const DriftFilterNeg = -1.85 +const DriftFilterPos = 1.85 var log = logrus.WithField("strategy", ID) var Four fixedpoint.Value = fixedpoint.NewFromInt(4) @@ -64,7 +66,7 @@ type Strategy struct { stdevHigh *indicator.StdDev stdevLow *indicator.StdDev drift *DriftMA - drift1m *indicator.Drift + drift1m *DriftMA atr *indicator.ATR midPrice fixedpoint.Value lock sync.RWMutex @@ -94,7 +96,7 @@ type Strategy struct { TrendWindow int `json:"trendWindow"` // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote RebalanceFilter float64 `json:"rebalanceFilter"` // beta filter on the Linear Regression of trendLine TrailingCallbackRate []float64 `json:"trailingCallbackRate"` - TrailingActivationRatio []float64 `josn:"trailingActivationRatio"` + TrailingActivationRatio []float64 `json:"trailingActivationRatio"` buyPrice float64 `persistence:"buy_price"` sellPrice float64 `persistence:"sell_price"` @@ -117,47 +119,122 @@ type Strategy struct { getSource SourceFunc } -func (s *Strategy) Print(o io.Writer, withColor ...bool) { - f := bufio.NewWriter(o) - defer f.Flush() - b, _ := json.MarshalIndent(s.ExitMethods, " ", " ") +type jsonStruct struct { + key string + json string + tp string + value interface{} +} +type jsonArr []jsonStruct +func (a jsonArr) Len() int { return len(a) } +func (a jsonArr) Less(i, j int) bool { return a[i].key < a[j].key } +func (a jsonArr) Swap(i, j int) { a[i], a[j] = a[j], a[i] } + +func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool) { + //b, _ := json.MarshalIndent(s.ExitMethods, " ", " ") + + t := table.NewWriter() + style := table.Style{ + Name: "StyleRounded", + Box: table.StyleBoxRounded, + Color: table.ColorOptionsDefault, + Format: table.FormatOptionsDefault, + HTML: table.DefaultHTMLOptions, + Options: table.OptionsDefault, + Title: table.TitleOptionsDefault, + } var hiyellow func(io.Writer, string, ...interface{}) if len(withColor) > 0 && withColor[0] { + if pretty { + style.Color = table.ColorOptionsYellowWhiteOnBlack + style.Color.Row = text.Colors{text.FgHiYellow, text.BgHiBlack} + style.Color.RowAlternate = text.Colors{text.FgYellow, text.BgBlack} + } hiyellow = color.New(color.FgHiYellow).FprintfFunc() } else { hiyellow = func(a io.Writer, format string, args ...interface{}) { fmt.Fprintf(a, format, args...) } } + if pretty { + t.SetOutputMirror(f) + t.SetStyle(style) + t.AppendHeader(table.Row{"json", "struct field name", "type", "value"}) + } hiyellow(f, "------ %s Settings ------\n", s.InstanceID()) - hiyellow(f, "generateGraph: %v\n", s.GenerateGraph) - hiyellow(f, "canvasPath: %s\n", s.CanvasPath) - hiyellow(f, "graphPNLPath: %s\n", s.GraphPNLPath) - hiyellow(f, "graphCumPNLPath: %s\n", s.GraphCumPNLPath) - hiyellow(f, "source: %s\n", s.Source) - hiyellow(f, "stoploss: %v\n", s.StopLoss) - hiyellow(f, "takeProfitFactor(last): %f, (init): %f\n", s.takeProfitFactor.Last(), s.TakeProfitFactor) - hiyellow(f, "profitFactorWindow: %d\n", s.ProfitFactorWindow) - hiyellow(f, "predictOffset: %d\n", s.PredictOffset) - hiyellow(f, "exits:\n %s\n", string(b)) - hiyellow(f, "symbol: %s\n", s.Symbol) - hiyellow(f, "interval: %s\n", s.Interval) - hiyellow(f, "window: %d\n", s.Window) - hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss) - hiyellow(f, "trailingStopLossType: %s\n", s.TrailingStopLossType) - hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier) - hiyellow(f, "hlRangeWindow: %d\n", s.HLRangeWindow) - hiyellow(f, "smootherWindow: %d\n", s.SmootherWindow) - hiyellow(f, "fisherTransformWindow: %d\n", s.FisherTransformWindow) - hiyellow(f, "atrWindow: %d\n", s.ATRWindow) - hiyellow(f, "pendingMinutes: %d\n", s.PendingMinutes) - hiyellow(f, "noRebalance: %v\n", s.NoRebalance) - hiyellow(f, "\ttrendWindow: %d\n", s.TrendWindow) - hiyellow(f, "\trebalanceFilter: %f\n", s.RebalanceFilter) - hiyellow(f, "trailingActivationRatio: %v\n", s.TrailingActivationRatio) - hiyellow(f, "trailingCallbackRate: %v\n", s.TrailingCallbackRate) - hiyellow(f, "\n") + + embeddedWhiteSet := map[string]struct{}{"Window": {}, "Interval": {}, "Symbol": {}} + redundantSet := map[string]struct{}{} + var rows []table.Row + val := reflect.ValueOf(*s) + var values jsonArr + for i := 0; i < val.Type().NumField(); i++ { + t := val.Type().Field(i) + if !t.IsExported() { + continue + } + fieldName := t.Name + switch jsonTag := t.Tag.Get("json"); jsonTag { + case "-": + case "": + if t.Anonymous { + var target reflect.Type + if t.Type.Kind() == reflect.Pointer { + target = t.Type.Elem() + } else { + target = t.Type + } + for j := 0; j < target.NumField(); j++ { + tt := target.Field(j) + if !tt.IsExported() { + continue + } + fieldName := tt.Name + if _, ok := embeddedWhiteSet[fieldName]; !ok { + continue + } + + if jtag := tt.Tag.Get("json"); jtag != "" && jtag != "-" { + name := strings.Split(jtag, ",")[0] + if _, ok := redundantSet[name]; ok { + continue + } + redundantSet[name] = struct{}{} + var value interface{} + if t.Type.Kind() == reflect.Pointer { + value = val.Field(i).Elem().Field(j).Interface() + } else { + value = val.Field(i).Field(j).Interface() + } + values = append(values, jsonStruct{key: fieldName, json: name, tp: tt.Type.String(), value: value}) + } + } + } + default: + name := strings.Split(jsonTag, ",")[0] + if _, ok := redundantSet[name]; ok { + continue + } + redundantSet[name] = struct{}{} + values = append(values, jsonStruct{key: fieldName, json: name, tp: t.Type.String(), value: val.Field(i).Interface()}) + } + } + sort.Sort(values) + for _, value := range values { + if pretty { + rows = append(rows, table.Row{value.json, value.key, value.tp, value.value}) + } else { + hiyellow(f, "%s: %v\n", value.json, value.value) + } + } + if pretty { + rows = append(rows, table.Row{"takeProfitFactor(last)", "takeProfitFactor", "float64", s.takeProfitFactor.Last()}) + t.AppendRows(rows) + t.Render() + } else { + hiyellow(f, "takeProfitFactor(last): %f\n", s.takeProfitFactor.Last()) + } } func (s *Strategy) ID() string { @@ -165,7 +242,7 @@ func (s *Strategy) ID() string { } func (s *Strategy) InstanceID() string { - return fmt.Sprintf("%s:%s:%v", ID, s.Symbol, bbgo.IsBackTesting) + return fmt.Sprintf("%s:%s:%v", ID, "" /*s.Symbol*/, bbgo.IsBackTesting) } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { @@ -311,10 +388,19 @@ func (s *Strategy) initIndicators(kline *types.KLine, priceLines *types.Queue) e }, } s.drift.SeriesBase.Series = s.drift - s.drift1m = &indicator.Drift{ - MA: &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}}, - IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}, + s.drift1m = &DriftMA{ + drift: &indicator.Drift{ + MA: &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}}, + IntervalWindow: types.IntervalWindow{Interval: types.Interval1m, Window: 2}, + }, + ma1: &indicator.EWMA{ + IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 24}, + }, + ma2: &indicator.FisherTransform{ + IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow * 15}, + }, } + s.drift1m.SeriesBase.Series = s.drift1m s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}} s.takeProfitFactor = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ProfitFactorWindow}} s.trendLine = &indicator.EWMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.TrendWindow}} @@ -362,15 +448,23 @@ func (s *Strategy) smartCancel(ctx context.Context, pricef, atr, takeProfitFacto } toCancel := false + drift := s.drift1m.Array(2) for _, order := range nonTraded { if s.minutesCounter-s.orderPendingCounter[order.OrderID] > s.PendingMinutes { + if order.Side == types.SideTypeBuy && drift[1] > drift[0] { + continue + } else if order.Side == types.SideTypeSell && drift[1] < drift[0] { + continue + } toCancel = true } else if order.Side == types.SideTypeBuy { - if order.Price.Float64()+atr*takeProfitFactor <= pricef { + // 75% of the probability + if order.Price.Float64()+s.stdevHigh.Last()*2 <= pricef { toCancel = true } } else if order.Side == types.SideTypeSell { - if order.Price.Float64()-atr*takeProfitFactor >= pricef { + // 75% of the probability + if order.Price.Float64()-s.stdevLow.Last()*2 >= pricef { toCancel = true } } else { @@ -472,18 +566,19 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) { } avg = s.buyPrice + s.sellPrice - exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef || + exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (ddrift > 0 && drift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef || s.trailingCheck(pricef, "short")) && (s.p.IsShort() && !s.p.IsDust(price)) - exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef || + exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (ddrift < 0 && drift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef || s.trailingCheck(pricef, "long")) && (!s.p.IsLong() && !s.p.IsDust(price)) if exitShortCondition || exitLongCondition { if exitLongCondition && s.highestPrice > avg { - s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4) + s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5) } else if exitShortCondition && avg > s.lowestPrice { - s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4) + s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) } + log.Infof("Close position by orderbook changes") _ = s.ClosePosition(ctx, fixedpoint.One) } }) @@ -494,6 +589,7 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) { lastPrice, ok = s.Session.LastPrice(s.Symbol) if !ok { log.Error("cannot get lastprice") + s.lock.RUnlock() return lastPrice } } else { @@ -531,11 +627,22 @@ func (s *Strategy) DrawIndicators(time types.Time, priceLine types.SeriesExtend, func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas { canvas := types.NewCanvas(s.InstanceID()) + log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length())) + length := profit.Length() if s.GraphPNLDeductFee { - canvas.PlotRaw("pnl % (with Fee Deducted)", profit, profit.Length()) + canvas.PlotRaw("pnl % (with Fee Deducted)", profit, length) } else { - canvas.PlotRaw("pnl %", profit, profit.Length()) + canvas.PlotRaw("pnl %", profit, length) } + canvas.YAxis = chart.YAxis{ + ValueFormatter: func(v interface{}) string { + if vf, isFloat := v.(float64); isFloat { + return fmt.Sprintf("%.4f", vf) + } + return "" + }, + } + canvas.PlotRaw("1", types.NumberSeries(1), length) return canvas } @@ -546,6 +653,14 @@ func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas { } else { canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length()) } + canvas.YAxis = chart.YAxis{ + ValueFormatter: func(v interface{}) string { + if vf, isFloat := v.(float64); isFloat { + return fmt.Sprintf("%.4f", vf) + } + return "" + }, + } return canvas } @@ -762,46 +877,86 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se if !ok { panic(fmt.Sprintf("cannot find order: %v", trade)) } + bp := buyPrice + vol := Volume + sp := sellPrice if tag == "close" { if !buyPrice.IsZero() { - profit.Update(modify(trade.Price.Div(buyPrice)). - Sub(fixedpoint.One). - Mul(trade.Quantity). - Div(Volume). - Add(fixedpoint.One). - Float64()) - cumProfit.Update(cumProfit.Last() * profit.Last()) - Volume = Volume.Sub(trade.Quantity) - if Volume.IsZero() { - buyPrice = fixedpoint.Zero - } - if !sellPrice.IsZero() { - panic("sellprice shouldn't be zero") + if trade.Side == types.SideTypeSell { + if trade.Quantity.Compare(Volume) > 0 { + profit.Update(modify(trade.Price.Div(buyPrice)).Float64()) + } else { + profit.Update(modify(trade.Price.Div(buyPrice)). + Sub(fixedpoint.One). + Mul(trade.Quantity). + Div(Volume). + Add(fixedpoint.One). + Float64()) + } + cumProfit.Update(cumProfit.Last() * profit.Last()) + Volume = Volume.Sub(trade.Quantity) + if Volume.Sign() < 0 { + sellPrice = trade.Price + buyPrice = fixedpoint.Zero + } else if Volume.Sign() == 0 { + buyPrice = fixedpoint.Zero + } + } else { + buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity)) + Volume = Volume.Add(trade.Quantity) } } else if !sellPrice.IsZero() { - profit.Update(modify(sellPrice.Div(trade.Price)). - Sub(fixedpoint.One). - Mul(trade.Quantity). - Div(Volume). - Neg(). - Add(fixedpoint.One). - Float64()) - cumProfit.Update(cumProfit.Last() * profit.Last()) - Volume = Volume.Add(trade.Quantity) - if Volume.IsZero() { - sellPrice = fixedpoint.Zero - } - if !buyPrice.IsZero() { - panic("buyprice shouldn't be zero") + if trade.Side == types.SideTypeBuy { + if trade.Quantity.Compare(Volume.Neg()) > 0 { + profit.Update(modify(sellPrice.Div(trade.Price)).Float64()) + } else { + profit.Update(modify(sellPrice.Div(trade.Price)). + Sub(fixedpoint.One). + Mul(trade.Quantity). + Div(Volume). + Neg(). + Add(fixedpoint.One). + Float64()) + } + cumProfit.Update(cumProfit.Last() * profit.Last()) + Volume = Volume.Add(trade.Quantity) + if Volume.Sign() > 0 { + buyPrice = trade.Price + sellPrice = fixedpoint.Zero + } else if Volume.Sign() == 0 { + sellPrice = fixedpoint.Zero + } + } else { + sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity)) + Volume = Volume.Sub(trade.Quantity) } } else { // position changed by strategy if trade.Side == types.SideTypeBuy { - buyPrice = trade.Price Volume = Volume.Add(trade.Quantity) + if Volume.Sign() > 0 { + buyPrice = trade.Price + sellPrice = fixedpoint.Zero + } else if Volume.Sign() < 0 { + sellPrice = trade.Price + buyPrice = fixedpoint.Zero + } else { + buyPrice = fixedpoint.Zero + sellPrice = fixedpoint.Zero + } } else if trade.Side == types.SideTypeSell { sellPrice = trade.Price Volume = Volume.Sub(trade.Quantity) + if Volume.Sign() > 0 { + buyPrice = trade.Price + sellPrice = fixedpoint.Zero + } else if Volume.Sign() < 0 { + sellPrice = trade.Price + buyPrice = fixedpoint.Zero + } else { + buyPrice = fixedpoint.Zero + sellPrice = fixedpoint.Zero + } } } } else if tag == "short" { @@ -852,6 +1007,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.highestPrice = s.buyPrice s.sellPrice = sellPrice.Float64() s.lowestPrice = s.sellPrice + bbgo.Notify("tag %s %v %s volafter: %v, quantity: %v, bp: %v, sp: %v, volbefore: %v, bpafter: %v, spafter: %v", tag, trade.Price, trade.Side, Volume, trade.Quantity, bp, sp, vol, s.buyPrice, s.sellPrice) }) dynamicKLine := &types.KLine{} @@ -904,7 +1060,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se bbgo.RegisterCommand("/config", "Show latest config", func(reply interact.Reply) { var buffer bytes.Buffer - s.Print(&buffer) + s.Print(&buffer, false) reply.Message(buffer.String()) }) @@ -952,24 +1108,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.highestPrice = highf } avg := s.buyPrice + s.sellPrice - stoploss = s.StopLoss.Float64() - - exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef || + exitShortCondition := ( /*avg*(1.+stoploss) <= pricef || (drift > 0 || ddrift > DDriftFilterPos) ||*/ avg-atr*takeProfitFactor >= pricef || s.trailingCheck(highf, "short")) && (s.Position.IsShort() && !s.Position.IsDust(price)) - exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef || + exitLongCondition := ( /*avg*(1.-stoploss) >= pricef || (drift < 0 || ddrift < DDriftFilterNeg) ||*/ avg+atr*takeProfitFactor <= pricef || s.trailingCheck(lowf, "long")) && (s.Position.IsLong() && !s.Position.IsDust(price)) if exitShortCondition || exitLongCondition { if exitLongCondition && s.highestPrice > avg { - s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4) + s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5) } else if exitShortCondition && avg > s.lowestPrice { - s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4) + s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) } _ = s.ClosePosition(ctx, fixedpoint.One) } return } + if kline.Interval != s.Interval { + return + } dynamicKLine.Set(&kline) source := s.getSource(dynamicKLine) @@ -995,6 +1152,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.stdevLow.Update(lowdiff) highdiff := highf - s.ma.Last() s.stdevHigh.Update(highdiff) + + //log.Errorf("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime) if s.lowestPrice > 0 && lowf < s.lowestPrice { s.lowestPrice = lowf } @@ -1008,23 +1167,24 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.Rebalance(ctx, orderTagHistory) } - if !s.IsBackTesting() { - balances := s.GeneralOrderExecutor.Session().GetAccount().Balances() - bbgo.Notify("zeroPoint: %.4f, source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f", - zeroPoint, sourcef, pricef, driftPred, drift[0], drift[1], atr, avg) - // Notify will parse args to strings and process separately - bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String()) - } + //if !s.IsBackTesting() { + balances := s.GeneralOrderExecutor.Session().GetAccount().Balances() + bbgo.Notify("source: %.4f, price: %.4f, driftPred: %.4f, ddriftPred: %.4f, drift[1]: %.4f, ddrift[1]: %.4f, atr: %.4f, avg: %.4f, takeProfitFact: %.4f, lowf %.4f, highf: %.4f", + sourcef, pricef, driftPred, ddriftPred, drift[1], ddrift[1], atr, avg, takeProfitFactor, lowf, highf) + // Notify will parse args to strings and process separately + bbgo.Notify("balances: [Base] %s(%vU) [Quote] %s", + balances[s.Market.BaseCurrency].String(), + balances[s.Market.BaseCurrency].Total().Mul(price), + balances[s.Market.QuoteCurrency].String()) + //} - drift1m := s.drift1m.Predict(3) - - shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) - longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) - exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) && drift1m > 0 || + shortCondition := (drift[1] >= DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0 + longCondition := (drift[1] <= DriftFilterPos || ddrift[1] <= 0) && (driftPred >= DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0 + exitShortCondition := ((drift[0] >= DDriftFilterPos || ddrift[0] >= 0) || avg*(1.+stoploss) <= pricef || avg-atr*takeProfitFactor >= pricef) && s.Position.IsShort() - exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) && drift1m < 0 || + exitLongCondition := ((drift[0] <= DDriftFilterNeg || ddrift[0] <= 0) || avg*(1.-stoploss) >= pricef || avg+atr*takeProfitFactor <= pricef) && s.Position.IsLong() @@ -1035,9 +1195,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se return } if exitShortCondition && avg > s.lowestPrice { - s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4) + s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) } else if exitLongCondition && avg < s.highestPrice { - s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4) + s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5) } if s.takeProfitFactor.Last() == 0 { log.Errorf("exit %f %f %f %v", s.highestPrice, s.lowestPrice, avg, s.takeProfitFactor.Array(10)) @@ -1065,10 +1225,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se return } if avg < s.highestPrice && avg > 0 && s.Position.IsLong() { - s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4) - if s.takeProfitFactor.Last() == 0 { - log.Errorf("short %f %f", s.highestPrice, avg) - } + s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 1.5) } // Cleanup pending StopOrders quantity := baseBalance.Available @@ -1108,11 +1265,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se return } if avg > s.lowestPrice && s.Position.IsShort() { - s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4) - if s.takeProfitFactor.Last() == 0 { - log.Errorf("long %f %f", s.lowestPrice, avg) - } - + s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 1.5) } quantity := quoteBalance.Available.Div(source) createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{ @@ -1134,9 +1287,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { - defer s.Print(os.Stdout, true) + var buffer bytes.Buffer - defer fmt.Fprintln(os.Stdout, s.TradeStats.BriefString()) + s.Print(&buffer, true, true) + fmt.Fprintln(&buffer, s.TradeStats.BriefString()) + + os.Stdout.Write(buffer.Bytes()) if s.GenerateGraph { s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints) diff --git a/pkg/types/indicator.go b/pkg/types/indicator.go index 6c92cc738..ca1822135 100644 --- a/pkg/types/indicator.go +++ b/pkg/types/indicator.go @@ -1198,20 +1198,24 @@ func expand(a []float64, length int, defaultVal float64) []float64 { return a } for i := 0; i < length-l; i++ { - a = append(a, defaultVal) + a = append([]float64{defaultVal}, a...) } return a } -func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int) { +func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int, intervals ...Interval) { var timeline []time.Time e := endTime.Time() if a.Length() == 0 { return } oldest := a.Index(a.Length() - 1) + interval := canvas.Interval + if len(intervals) > 0 { + interval = intervals[0] + } for i := length - 1; i >= 0; i-- { - shiftedT := e.Add(-time.Duration(i*canvas.Interval.Minutes()) * time.Minute) + shiftedT := e.Add(-time.Duration(i*interval.Minutes()) * time.Minute) timeline = append(timeline, shiftedT) } canvas.Series = append(canvas.Series, chart.TimeSeries{