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pivotshort: refactor exit methods
Signed-off-by: c9s <yoanlin93@gmail.com>
This commit is contained in:
c9s
parent
47677e303f
commit
e9b87f6f1e
64
pkg/strategy/pivotshort/cumulated_volume_take_profit.go
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64
pkg/strategy/pivotshort/cumulated_volume_take_profit.go
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@ -0,0 +1,64 @@
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package pivotshort
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type CumulatedVolumeTakeProfit struct {
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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}
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func (s *CumulatedVolumeTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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store, _ := session.MarketDataStore(position.Symbol)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
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return
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}
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closePrice := kline.Close
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if position.IsClosed() || position.IsDust(closePrice) {
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return
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}
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roi := position.ROI(closePrice)
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if roi.Sign() < 0 {
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return
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}
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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var cbv = fixedpoint.Zero
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var cqv = fixedpoint.Zero
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for i := 0; i < s.Window; i++ {
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last := (*klines)[len(*klines)-1-i]
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cqv = cqv.Add(last.QuoteVolume)
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cbv = cbv.Add(last.Volume)
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}
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if cqv.Compare(s.MinQuoteVolume) > 0 {
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bbgo.Notify("%s TakeProfit triggered by cumulated volume (window: %d) %f > %f, price = %f",
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position.Symbol,
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s.Window,
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cqv.Float64(),
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s.MinQuoteVolume.Float64(), kline.Close.Float64())
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_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
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return
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}
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}
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})
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}
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28
pkg/strategy/pivotshort/exit.go
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28
pkg/strategy/pivotshort/exit.go
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@ -0,0 +1,28 @@
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package pivotshort
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import "github.com/c9s/bbgo/pkg/bbgo"
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type ExitMethod struct {
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RoiStopLoss *RoiStopLoss `json:"roiStopLoss"`
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ProtectionStopLoss *ProtectionStopLoss `json:"protectionStopLoss"`
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RoiTakeProfit *RoiTakeProfit `json:"roiTakeProfit"`
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LowerShadowTakeProfit *LowerShadowTakeProfit `json:"lowerShadowTakeProfit"`
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CumulatedVolumeTakeProfit *CumulatedVolumeTakeProfit `json:"cumulatedVolumeTakeProfit"`
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// MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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func (m *ExitMethod) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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if m.ProtectionStopLoss != nil {
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m.ProtectionStopLoss.Bind(session, orderExecutor)
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} else if m.RoiStopLoss != nil {
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m.RoiStopLoss.Bind(session, orderExecutor)
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} else if m.RoiTakeProfit != nil {
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m.RoiTakeProfit.Bind(session, orderExecutor)
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} else if m.LowerShadowTakeProfit != nil {
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m.LowerShadowTakeProfit.Bind(session, orderExecutor)
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} else if m.CumulatedVolumeTakeProfit != nil {
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m.CumulatedVolumeTakeProfit.Bind(session, orderExecutor)
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}
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}
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53
pkg/strategy/pivotshort/lower_shadow_take_profit.go
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53
pkg/strategy/pivotshort/lower_shadow_take_profit.go
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@ -0,0 +1,53 @@
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package pivotshort
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import (
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"context"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type LowerShadowTakeProfit struct {
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Ratio fixedpoint.Value `json:"ratio"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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}
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func (s *LowerShadowTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
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return
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}
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closePrice := kline.Close
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if position.IsClosed() || position.IsDust(closePrice) {
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return
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}
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roi := position.ROI(closePrice)
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if roi.Sign() < 0 {
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return
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}
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if s.Ratio.IsZero() {
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return
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}
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if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Ratio) > 0 {
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bbgo.Notify("%s TakeProfit triggered by shadow ratio %f, price = %f",
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position.Symbol,
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kline.GetLowerShadowRatio().Float64(),
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kline.Close.Float64(),
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kline)
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_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
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return
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}
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})
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}
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@ -74,20 +74,6 @@ type CumulatedVolume struct {
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Window int `json:"window"`
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}
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type Exit struct {
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RoiMinTakeProfitPercentage fixedpoint.Value `json:"roiMinTakeProfitPercentage"`
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RoiTakeProfit *RoiTakeProfit `json:"roiTakeProfit"`
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RoiStopLoss *RoiStopLoss `json:"roiStopLoss"`
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ProtectionStopLoss *ProtectionStopLoss `json:"protectionStopLoss"`
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LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
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CumulatedVolume *CumulatedVolume `json:"cumulatedVolume"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type Strategy struct {
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*bbgo.Graceful
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@ -107,8 +93,8 @@ type Strategy struct {
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BounceShort *BounceShort `json:"bounceShort"`
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Entry Entry `json:"entry"`
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Exit Exit `json:"exit"`
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Entry Entry `json:"entry"`
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ExitMethods []ExitMethod `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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@ -278,16 +264,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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if s.Exit.ProtectionStopLoss != nil {
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s.Exit.ProtectionStopLoss.Bind(session, s.orderExecutor)
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}
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if s.Exit.RoiStopLoss != nil {
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s.Exit.RoiStopLoss.Bind(session, s.orderExecutor)
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}
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if s.Exit.RoiTakeProfit != nil {
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s.Exit.RoiTakeProfit.Bind(session, s.orderExecutor)
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for _, method := range s.ExitMethods {
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method.Bind(session, s.orderExecutor)
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}
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// Always check whether you can open a short position or not
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@ -301,42 +279,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
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if isPositionOpened && s.Position.IsShort() {
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roi := s.Position.ROI(kline.Close)
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if !s.Exit.RoiMinTakeProfitPercentage.IsZero() {
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if roi.Compare(s.Exit.RoiMinTakeProfitPercentage) > 0 {
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if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
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bbgo.Notify("%s TakeProfit triggered at price %f: by shadow ratio %f",
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s.Symbol,
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kline.Close.Float64(),
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kline.GetLowerShadowRatio().Float64(), kline)
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_ = s.ClosePosition(ctx, fixedpoint.One)
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return
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} else if s.Exit.CumulatedVolume != nil && s.Exit.CumulatedVolume.Enabled {
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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var cbv = fixedpoint.Zero
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var cqv = fixedpoint.Zero
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for i := 0; i < s.Exit.CumulatedVolume.Window; i++ {
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last := (*klines)[len(*klines)-1-i]
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cqv = cqv.Add(last.QuoteVolume)
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cbv = cbv.Add(last.Volume)
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}
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if cqv.Compare(s.Exit.CumulatedVolume.MinQuoteVolume) > 0 {
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bbgo.Notify("%s TakeProfit triggered at price %f: by cumulated volume (window: %d) %f > %f",
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s.Symbol,
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kline.Close.Float64(),
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s.Exit.CumulatedVolume.Window,
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cqv.Float64(),
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s.Exit.CumulatedVolume.MinQuoteVolume.Float64())
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_ = s.ClosePosition(ctx, fixedpoint.One)
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return
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}
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}
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}
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}
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}
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return
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}
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if len(s.pivotLowPrices) == 0 {
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