From e575236db8f113d4765328e3d5a9755f1ca67dbe Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Fri, 10 Jun 2022 01:21:59 +0800
Subject: [PATCH] pivotshort: adjust shadow ratio calculation

---
 config/pivotshort-ETHUSDT.yaml      | 7 +++++++
 pkg/bbgo/activeorderbook.go         | 6 ++++--
 pkg/strategy/pivotshort/strategy.go | 5 ++---
 pkg/strategy/xmaker/strategy.go     | 3 +--
 4 files changed, 14 insertions(+), 7 deletions(-)

diff --git a/config/pivotshort-ETHUSDT.yaml b/config/pivotshort-ETHUSDT.yaml
index 1186ecb8c..cccbe4a70 100644
--- a/config/pivotshort-ETHUSDT.yaml
+++ b/config/pivotshort-ETHUSDT.yaml
@@ -35,11 +35,18 @@ exchangeStrategies:
       roiStopLossPercentage: 1%
 
       # roiTakeProfitPercentage is the take profit percentage of the position ROI (currently the price change)
+      # force to take the profit ROI exceeded the percentage.
       roiTakeProfitPercentage: 25%
 
       # lowerShadowRatio is used to force taking profit when the (lower shadow height / low price) > lowerShadowRatio
+      # you can grab a simple stats by the following SQL:
+      # 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;
       lowerShadowRatio: 3%
 
+      cumulatedVolume:
+        minVolume: 50_000
+        window: 5
+
       marginOrderSideEffect: repay
 
 backtest:
diff --git a/pkg/bbgo/activeorderbook.go b/pkg/bbgo/activeorderbook.go
index e5037bc70..d678eab53 100644
--- a/pkg/bbgo/activeorderbook.go
+++ b/pkg/bbgo/activeorderbook.go
@@ -69,6 +69,8 @@ func (b *ActiveOrderBook) waitAllClear(ctx context.Context, waitTime, timeout ti
 
 // GracefulCancel cancels the active orders gracefully
 func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange) error {
+	waitTime := CancelOrderWaitTime
+
 	log.Debugf("[ActiveOrderBook] gracefully cancelling %s orders...", b.Symbol)
 
 	startTime := time.Now()
@@ -86,9 +88,9 @@ func (b *ActiveOrderBook) GracefulCancel(ctx context.Context, ex types.Exchange)
 			log.WithError(err).Errorf("[ActiveOrderBook] can not cancel %s orders", b.Symbol)
 		}
 
-		log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", CancelOrderWaitTime, b.Symbol)
+		log.Debugf("[ActiveOrderBook] waiting %s for %s orders to be cancelled...", waitTime, b.Symbol)
 
-		clear, err := b.waitAllClear(ctx, CancelOrderWaitTime, 5*time.Second)
+		clear, err := b.waitAllClear(ctx, waitTime, 5*time.Second)
 		if clear || err != nil {
 			break
 		}
diff --git a/pkg/strategy/pivotshort/strategy.go b/pkg/strategy/pivotshort/strategy.go
index e5c017bf3..72f14ca6d 100644
--- a/pkg/strategy/pivotshort/strategy.go
+++ b/pkg/strategy/pivotshort/strategy.go
@@ -298,7 +298,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				}
 
 				return
-			} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 {
+			} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // disable this condition temporarily
 				s.Notify("%s TakeProfit triggered at price %f, ROI take profit percentage by %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
 				if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
 					log.WithError(err).Errorf("graceful cancel order error")
@@ -307,8 +307,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 				if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
 					log.WithError(err).Errorf("close position error")
 				}
-				return
-			} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Low).Compare(s.Exit.LowerShadowRatio) > 0 {
+			} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
 				s.Notify("%s TakeProfit triggered at price %f: shadow ratio %f", s.Symbol, kline.Close.Float64(), kline.GetLowerShadowRatio().Float64(), kline)
 				if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
 					log.WithError(err).Errorf("graceful cancel order error")
diff --git a/pkg/strategy/xmaker/strategy.go b/pkg/strategy/xmaker/strategy.go
index 41adb9f9d..c69e40a78 100644
--- a/pkg/strategy/xmaker/strategy.go
+++ b/pkg/strategy/xmaker/strategy.go
@@ -807,8 +807,7 @@ func (s *Strategy) CrossRun(ctx context.Context, orderExecutionRouter bbgo.Order
 		defer tradeScanTicker.Stop()
 
 		defer func() {
-			if err := s.activeMakerOrders.GracefulCancel(context.Background(),
-				s.makerSession.Exchange); err != nil {
+			if err := s.activeMakerOrders.GracefulCancel(context.Background(), s.makerSession.Exchange); err != nil {
 				log.WithError(err).Errorf("can not cancel %s orders", s.Symbol)
 			}
 		}()