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pivotshort: adjust shadow ratio calculation
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260857b5b1
commit
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@ -35,11 +35,18 @@ exchangeStrategies:
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roiStopLossPercentage: 1%
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# roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
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# force to take the profit ROI exceeded the percentage.
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roiTakeProfitPercentage: 25%
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# lowerShadowRatio is used to force taking profit when the (lower shadow height / low price) > lowerShadowRatio
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# you can grab a simple stats by the following SQL:
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# SELECT ((close - low) / close) AS shadow_ratio FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' AND start_time > '2022-01-01' ORDER BY shadow_ratio DESC LIMIT 20;
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lowerShadowRatio: 3%
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cumulatedVolume:
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minVolume: 50_000
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window: 5
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marginOrderSideEffect: repay
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backtest:
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@ -69,6 +69,8 @@ func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout ti
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// GracefulCancel cancels the active orders gracefully
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func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
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waitTime := CancelOrderWaitTime
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log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
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startTime := time.Now()
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@ -86,9 +88,9 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange)
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log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol)
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}
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log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol)
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log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", waitTime, b.Symbol)
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clear, err := b.waitAllClear(ctx, CancelOrderWaitTime, 5*time.Second)
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clear, err := b.waitAllClear(ctx, waitTime, 5*time.Second)
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if clear || err != nil {
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break
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}
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@ -298,7 +298,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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return
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} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 {
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} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // disable this condition temporarily
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s.Notify("%s TakeProfit triggered at price %f, ROI take profit percentage by %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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@ -307,8 +307,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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return
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} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Low).Compare(s.Exit.LowerShadowRatio) > 0 {
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} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: shadow ratio %f", s.Symbol, kline.Close.Float64(), kline.GetLowerShadowRatio().Float64(), kline)
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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@ -807,8 +807,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
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defer tradeScanTicker.Stop()
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defer func() {
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if err := s.activeMakerOrders.GracefulCancel(context.Background(),
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s.makerSession.Exchange); err != nil {
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if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
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log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
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}
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}()
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