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fix: lowestPrice in elliottwave, add more logs

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This commit is contained in:
zenix 2022-09-07 15:02:38 +09:00
parent 66c8a3bb0d
commit e7a5669018
2 changed files with 19 additions and 5 deletions
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2
pkg/bbgo/source.go
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@ -56,6 +56,8 @@ func (s *selectorInternal) init() {
}
case "open":
s.sourceGetter = func(kline *types.KLine) fixedpoint.Value { return kline.Open }
case "oc2":
s.sourceGetter = func(kline *types.KLine) fixedpoint.Value { return kline.Open.Add(kline.Close).Div(fixedpoint.Two) }
default:
log.Infof("source not set: %s, use hl2 by default", s.Source)
s.sourceGetter = func(kline *types.KLine) fixedpoint.Value { return kline.High.Add(kline.Low).Div(fixedpoint.Two) }

22
pkg/strategy/elliottwave/strategy.go
View File

@ -218,7 +218,7 @@ func (s *Strategy) trailingCheck(price float64, direction string) bool {
if s.highestPrice > 0 && s.highestPrice < price {
s.highestPrice = price
}
if s.lowestPrice > 0 && s.lowestPrice < price {
if s.lowestPrice > 0 && s.lowestPrice > price {
s.lowestPrice = price
}
isShort := direction == "short"
@ -402,6 +402,7 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
stoploss := s.Stoploss.Float64()
price := s.getLastPrice()
pricef := price.Float64()
atr := s.atr.Last()
numPending := s.smartCancel(ctx, pricef)
if numPending > 0 {
@ -416,9 +417,9 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
if s.highestPrice > 0 && highf > s.highestPrice {
s.highestPrice = highf
}
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf ||
exitShortCondition := s.sellPrice > 0 && (s.sellPrice*(1.+stoploss) <= highf || s.sellPrice+atr <= highf ||
s.trailingCheck(highf, "short"))
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf || s.buyPrice-atr >= lowf ||
s.trailingCheck(lowf, "long"))
if exitShortCondition || exitLongCondition {
@ -456,11 +457,22 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
ewo := types.Array(s.ewo, 4)
bull := kline.Close.Compare(kline.Open) > 0
balances := s.GeneralOrderExecutor.Session().GetAccount().Balances()
bbgo.Notify("source: %.4f, price: %.4f lowest: %.4f highest: %.4f sp %.4f bp %.4f", sourcef, pricef, s.lowestPrice, s.highestPrice, s.sellPrice, s.buyPrice)
bbgo.Notify("balances: [Total] %v %s [Base] %s(%v %s) [Quote] %s",
s.CalcAssetValue(price),
s.Market.QuoteCurrency,
balances[s.Market.BaseCurrency].String(),
balances[s.Market.BaseCurrency].Total().Mul(price),
s.Market.QuoteCurrency,
balances[s.Market.QuoteCurrency].String(),
)
shortCondition := ewo[0] < ewo[1] && ewo[1] >= ewo[2] && (ewo[1] <= ewo[2] || ewo[2] >= ewo[3]) || s.sellPrice == 0 && ewo[0] < ewo[1] && ewo[1] < ewo[2]
longCondition := ewo[0] > ewo[1] && ewo[1] <= ewo[2] && (ewo[1] >= ewo[2] || ewo[2] <= ewo[3]) || s.buyPrice == 0 && ewo[0] > ewo[1] && ewo[1] > ewo[2]
exitShortCondition := s.sellPrice > 0 && !shortCondition && s.sellPrice*(1.+stoploss) <= highf || s.sellPrice+atr <= sourcef || s.trailingCheck(highf, "short")
exitLongCondition := s.buyPrice > 0 && !longCondition && s.buyPrice*(1.-stoploss) >= lowf || s.buyPrice-atr >= sourcef || s.trailingCheck(lowf, "long")
exitShortCondition := s.sellPrice > 0 && !shortCondition && s.sellPrice*(1.+stoploss) <= highf || s.sellPrice+atr <= highf || s.trailingCheck(highf, "short")
exitLongCondition := s.buyPrice > 0 && !longCondition && s.buyPrice*(1.-stoploss) >= lowf || s.buyPrice-atr >= lowf || s.trailingCheck(lowf, "long")
if exitShortCondition || exitLongCondition {
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {