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refine atrpin strategy
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parent
3b6e1e32a4
commit
e52e53aa42
39
config/atrpin.yaml
Normal file
39
config/atrpin.yaml
Normal file
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@ -0,0 +1,39 @@
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sessions:
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max:
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exchange: max
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envVarPrefix: max
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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exchangeStrategies:
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- on: max
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atrpin:
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symbol: BTCUSDT
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interval: 5m
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window: 14
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multiplier: 100.0
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amount: 1000
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backtest:
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startTime: "2018-10-01"
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endTime: "2018-11-01"
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symbols:
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- BTCUSDT
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sessions:
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- max
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# syncSecKLines: true
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accounts:
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max:
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makerFeeRate: 0.0%
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takerFeeRate: 0.075%
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balances:
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BTC: 1.0
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USDT: 10_000.0
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@ -28,7 +28,7 @@ type Strategy struct {
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Window int `json:"slowWindow"`
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Window int `json:"window"`
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Multiplier float64 `json:"multiplier"`
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bbgo.QuantityOrAmount
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@ -45,6 +45,7 @@ func (s *Strategy) InstanceID() string {
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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}
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func (s *Strategy) Defaults() error {
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@ -64,12 +65,23 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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atr := session.Indicators(s.Symbol).ATR(s.Interval, s.Window)
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session.UserDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
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if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("unable to cancel open orders...")
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}
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account, err := session.UpdateAccount(ctx)
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if err != nil {
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log.WithError(err).Error("unable to update account")
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return
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}
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baseBalance, _ := account.Balance(s.Market.BaseCurrency)
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quoteBalance, _ := account.Balance(s.Market.QuoteCurrency)
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lastAtr := atr.Last(0)
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log.Infof("atr: %f", lastAtr)
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// protection
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if lastAtr <= k.High.Sub(k.Low).Float64() {
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@ -78,13 +90,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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priceRange := fixedpoint.NewFromFloat(lastAtr * s.Multiplier)
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// if the atr is too small, apply the price range protection with 10%
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// priceRange protection 10%
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priceRange = fixedpoint.Max(priceRange, k.Close.Mul(fixedpoint.NewFromFloat(0.1)))
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log.Infof("priceRange: %f", priceRange.Float64())
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ticker, err := session.Exchange.QueryTicker(ctx, s.Symbol)
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if err != nil {
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log.WithError(err).Error("unable to query ticker")
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return
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}
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bidPrice := ticker.Buy.Sub(priceRange)
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log.Info(ticker.String())
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bidPrice := fixedpoint.Max(ticker.Buy.Sub(priceRange), s.Market.TickSize)
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askPrice := ticker.Sell.Add(priceRange)
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bidQuantity := s.QuantityOrAmount.CalculateQuantity(bidPrice)
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@ -94,41 +113,72 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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position := s.Strategy.OrderExecutor.Position()
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if !position.IsDust() {
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log.Infof("position: %+v", position)
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side := types.SideTypeSell
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takerPrice := fixedpoint.Zero
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if position.IsShort() {
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side = types.SideTypeBuy
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takerPrice = askPrice
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takerPrice = ticker.Sell
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} else if position.IsLong() {
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side = types.SideTypeSell
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takerPrice = bidPrice
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takerPrice = ticker.Buy
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}
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Price: takerPrice,
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Quantity: position.GetQuantity(),
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Market: s.Market,
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Symbol: s.Symbol,
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Type: types.OrderTypeLimit,
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Side: side,
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Price: takerPrice,
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Quantity: position.GetQuantity(),
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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Tag: "takeProfit",
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})
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log.Infof("SUBMIT TAKER ORDER: %+v", orderForms)
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if _, err := s.Strategy.OrderExecutor.SubmitOrders(ctx, orderForms...); err != nil {
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log.WithError(err).Error("unable to submit orders")
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}
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return
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}
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askQuantity = s.Market.AdjustQuantityByMinNotional(askQuantity, askPrice)
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if !s.Market.IsDustQuantity(askQuantity, askPrice) && askQuantity.Compare(baseBalance.Available) < 0 {
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimitMaker,
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Quantity: askQuantity,
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Price: askPrice,
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Market: s.Market,
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TimeInForce: types.TimeInForceGTC,
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Tag: "pinOrder",
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})
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}
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Price: askPrice,
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Quantity: askQuantity,
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Market: s.Market,
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})
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bidQuantity = s.Market.AdjustQuantityByMinNotional(bidQuantity, bidPrice)
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if !s.Market.IsDustQuantity(bidQuantity, bidPrice) && bidQuantity.Mul(bidPrice).Compare(quoteBalance.Available) < 0 {
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimitMaker,
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Price: bidPrice,
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Quantity: bidQuantity,
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Market: s.Market,
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Tag: "pinOrder",
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})
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}
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orderForms = append(orderForms, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Price: bidPrice,
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Quantity: bidQuantity,
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Market: s.Market,
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})
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if len(orderForms) == 0 {
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log.Infof("no order to place")
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return
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}
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log.Infof("bid/ask: %f/%f", bidPrice.Float64(), askPrice.Float64())
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if _, err := s.Strategy.OrderExecutor.SubmitOrders(ctx, orderForms...); err != nil {
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log.WithError(err).Error("unable to submit orders")
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@ -137,6 +187,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Error("unable to cancel open orders...")
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}
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})
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return nil
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