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pivotshort: adjust shadow ratio calculation

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c9s 2022-06-10 01:21:59 +08:00
parent 260857b5b1
commit e575236db8
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 14 additions and 7 deletions
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7
config/pivotshort-ETHUSDT.yaml
View File

@ -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:

6
pkg/bbgo/activeorderbook.go
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@ -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
}

5
pkg/strategy/pivotshort/strategy.go
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@ -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")

3
pkg/strategy/xmaker/strategy.go
View File

@ -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)
}
}()