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https://github.com/c9s/bbgo.git
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reimplement placeBounceSellOrders
This commit is contained in:
c9s
parent
46450c0122
commit
ec68dc2f40
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@ -45,11 +45,19 @@ exchangeStrategies:
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window: 99
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bounceShort:
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interval: 1h
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window: 10
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quantity: 10.0
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minDistance: 3%
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# stopLossPercentage: 1%
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# ratio is the ratio of the resistance price,
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# higher the ratio, lower the price
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# first_layer_price = resistance_price * (1 - ratio)
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# second_layer_price = (resistance_price * (1 - ratio)) * (1.0 + layerSpread)
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ratio: 0.1%
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numOfLayers: 10
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layerSpread: 0.1%
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pivotRatio: 0.1%
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exit:
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# roiStopLossPercentage is the stop loss percentage of the position ROI (currently the price change)
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@ -4,6 +4,7 @@ import (
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"context"
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"fmt"
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"os"
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"sort"
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"sync"
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"github.com/sirupsen/logrus"
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@ -74,6 +75,16 @@ type BreakLow struct {
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StopEMA *types.IntervalWindow `json:"stopEMA"`
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}
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type BounceShort struct {
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types.IntervalWindow
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MinDistance fixedpoint.Value `json:"minDistance"`
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NumLayers int `json:"numLayers"`
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LayerSpread fixedpoint.Value `json:"layerSpread"`
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Quantity fixedpoint.Value `json:"quantity"`
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Ratio fixedpoint.Value `json:"ratio"`
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}
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type Entry struct {
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers int `json:"numLayers"`
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@ -119,8 +130,11 @@ type Strategy struct {
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TradeStats *TradeStats `persistence:"trade_stats"`
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BreakLow BreakLow `json:"breakLow"`
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Entry Entry `json:"entry"`
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Exit Exit `json:"exit"`
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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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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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@ -128,10 +142,13 @@ type Strategy struct {
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session *bbgo.ExchangeSession
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lastLow fixedpoint.Value
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pivot *indicator.Pivot
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stopEWMA *indicator.EWMA
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pivotLowPrices []fixedpoint.Value
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lastLow fixedpoint.Value
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pivot *indicator.Pivot
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resistancePivot *indicator.Pivot
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stopEWMA *indicator.EWMA
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pivotLowPrices []fixedpoint.Value
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resistancePrices []float64
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currentBounceShortPrice fixedpoint.Value
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// StrategyController
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bbgo.StrategyController
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@ -145,6 +162,10 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.BounceShort != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BounceShort.Interval})
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}
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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@ -280,9 +301,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.tradeCollector.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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if s.BounceShort != nil {
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s.resistancePivot = &indicator.Pivot{IntervalWindow: s.BounceShort.IntervalWindow}
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s.resistancePivot.Bind(store)
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}
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standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
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if s.BreakLow.StopEMA != nil {
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s.stopEWMA = standardIndicator.EWMA(*s.BreakLow.StopEMA)
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@ -291,18 +318,26 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.lastLow = fixedpoint.Zero
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session.UserDataStream.OnStart(func() {
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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last := (*klines)[len(*klines)-1]
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log.Debugf("updating pivot indicator: %d klines", len(*klines))
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for i := s.pivot.Window; i < len(*klines); i++ {
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s.pivot.Update((*klines)[0 : i+1])
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}
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lastKLine := s.preloadPivot(s.pivot, store)
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log.Infof("current %s price: %f", s.Symbol, last.Close.Float64())
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log.Infof("found %s previous lows: %v", s.Symbol, s.pivot.Lows)
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log.Infof("found %s previous highs: %v", s.Symbol, s.pivot.Highs)
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if s.resistancePivot != nil {
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s.preloadPivot(s.resistancePivot, store)
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}
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if lastKLine == nil {
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return
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}
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lows := s.resistancePivot.Lows
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minDistance := s.BounceShort.MinDistance.Float64()
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closePrice := lastKLine.Close.Float64()
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s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
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log.Infof("last price: %f, possible resistance prices: %+v", closePrice, s.resistancePrices)
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if len(s.resistancePrices) > 0 {
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s.currentBounceShortPrice = fixedpoint.NewFromFloat(s.resistancePrices[0])
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s.placeBounceSellOrders(ctx, s.currentBounceShortPrice, orderExecutor)
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}
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// s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
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})
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// Always check whether you can open a short position or not
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@ -410,6 +445,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if s.BounceShort == nil {
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return
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}
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if kline.Symbol != s.Symbol || kline.Interval != s.BounceShort.Interval {
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return
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}
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closePrice := kline.Close.Float64()
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minDistance := s.BounceShort.MinDistance.Float64()
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lows := s.resistancePivot.Lows
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s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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@ -451,50 +501,95 @@ func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value,
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return price, false
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}
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func (s *Strategy) placeBounceSellOrders(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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func (s *Strategy) placeBounceSellOrders(ctx context.Context, resistancePrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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numLayers := fixedpoint.NewFromInt(int64(s.Entry.NumLayers))
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d := s.Entry.CatBounceRatio.Div(numLayers)
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q := s.Entry.Quantity
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if !s.Entry.TotalQuantity.IsZero() {
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q = s.Entry.TotalQuantity.Div(numLayers)
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totalQuantity := s.BounceShort.Quantity
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numLayers := s.BounceShort.NumLayers
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if numLayers == 0 {
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numLayers = 1
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}
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numLayersF := fixedpoint.NewFromInt(int64(numLayers))
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layerSpread := s.BounceShort.LayerSpread
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if layerSpread.IsZero() {
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layerSpread = s.BounceShort.Ratio.Div(numLayersF)
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}
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for i := 0; i < s.Entry.NumLayers; i++ {
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quantity := totalQuantity.Div(numLayersF)
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for i := 0; i < numLayers; i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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// price = (resistance_price * (1.0 - ratio)) * ((1.0 + layerSpread) * i)
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price := resistancePrice.Mul(
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fixedpoint.One.Sub(s.BounceShort.Ratio)).Mul(
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fixedpoint.One.Add(layerSpread).Mul(fixedpoint.NewFromInt(int64(i))))
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if futuresMode {
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if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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}
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} else if s.Environment.IsBackTesting() {
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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if quantity.Mul(price).Compare(quoteBalance.Available) <= 0 {
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s.placeOrder(ctx, price, quantity, orderExecutor)
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}
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} else {
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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if quantity.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, price, quantity, orderExecutor)
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}
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}
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}
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}
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func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, quantity fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: limitPrice,
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Quantity: qty,
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Price: price,
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Quantity: quantity,
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}
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if !lastLow.IsZero() && lastLow.Compare(currentPrice) <= 0 {
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submitOrder.Type = types.OrderTypeMarket
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}
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s.submitOrders(ctx, orderExecutor, submitOrder)
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}
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func (s *Strategy) preloadPivot(pivot *indicator.Pivot, store *bbgo.MarketDataStore) *types.KLine {
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klines, ok := store.KLinesOfInterval(pivot.Interval)
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if !ok {
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return nil
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}
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last := (*klines)[len(*klines)-1]
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log.Infof("last %s price: %f", s.Symbol, last.Close.Float64())
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log.Debugf("updating pivot indicator: %d klines", len(*klines))
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for i := pivot.Window; i < len(*klines); i++ {
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pivot.Update((*klines)[0 : i+1])
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}
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log.Infof("found %s %v previous lows: %v", s.Symbol, pivot.IntervalWindow, pivot.Lows)
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log.Infof("found %s %v previous highs: %v", s.Symbol, pivot.IntervalWindow, pivot.Highs)
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return &last
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}
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func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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// sort float64 in increasing order
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sort.Float64s(lows)
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log.Infof("sorted resistance lows: %+v", lows)
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var resistancePrices []float64
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for _, low := range lows {
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if low < closePrice {
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continue
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}
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last := closePrice
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if len(resistancePrices) > 0 {
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last = resistancePrices[len(resistancePrices)-1]
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}
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if (low / last) < (1.0 + minDistance) {
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continue
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}
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resistancePrices = append(resistancePrices, low)
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}
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log.Infof("possible resistance prices: %+v", resistancePrices)
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return resistancePrices
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}
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