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pivotshort: rename bounce short to resistance short

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c9s 2022-06-29 17:58:43 +08:00
parent c9e3e5a7cb
commit ee45f154a1
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1 changed files with 19 additions and 15 deletions
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34
pkg/strategy/pivotshort/strategy.go
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@ -47,7 +47,7 @@ type BreakLow struct {
StopEMA *types.IntervalWindow `json:"stopEMA"`
}
type BounceShort struct {
type ResistanceShort struct {
Enabled bool `json:"enabled"`
types.IntervalWindow
@ -85,7 +85,7 @@ type Strategy struct {
BreakLow BreakLow `json:"breakLow"`
BounceShort *BounceShort `json:"bounceShort"`
ResistanceShort *ResistanceShort `json:"resistanceShort"`
Entry Entry `json:"entry"`
ExitMethods []bbgo.ExitMethod `json:"exits"`
@ -114,13 +114,17 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
if s.BounceShort != nil && s.BounceShort.Enabled {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BounceShort.Interval})
if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ResistanceShort.Interval})
}
if !bbgo.IsBackTesting {
session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
}
for _, m := range s.ExitMethods {
m.Subscribe(session)
}
}
func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value {
@ -247,8 +251,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
})
if s.BounceShort != nil && s.BounceShort.Enabled {
s.resistancePivot = &indicator.Pivot{IntervalWindow: s.BounceShort.IntervalWindow}
if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
s.resistancePivot = &indicator.Pivot{IntervalWindow: s.ResistanceShort.IntervalWindow}
s.resistancePivot.Bind(store)
}
@ -260,7 +264,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
method.Bind(session, s.orderExecutor)
}
if s.BounceShort != nil && s.BounceShort.Enabled {
if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
if s.resistancePivot != nil {
s.preloadPivot(s.resistancePivot, store)
}
@ -272,7 +276,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if s.resistancePivot != nil {
lows := s.resistancePivot.Lows
minDistance := s.BounceShort.MinDistance.Float64()
minDistance := s.ResistanceShort.MinDistance.Float64()
closePrice := lastKLine.Close.Float64()
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
log.Infof("last price: %f, possible resistance prices: %+v", closePrice, s.resistancePrices)
@ -370,17 +374,17 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
return
}
if s.BounceShort == nil || !s.BounceShort.Enabled {
if s.ResistanceShort == nil || !s.ResistanceShort.Enabled {
return
}
if kline.Symbol != s.Symbol || kline.Interval != s.BounceShort.Interval {
if kline.Symbol != s.Symbol || kline.Interval != s.ResistanceShort.Interval {
return
}
if s.resistancePivot != nil {
closePrice := kline.Close.Float64()
minDistance := s.BounceShort.MinDistance.Float64()
minDistance := s.ResistanceShort.MinDistance.Float64()
lows := s.resistancePivot.Lows
s.resistancePrices = findPossibleResistancePrices(closePrice, minDistance, lows)
@ -425,15 +429,15 @@ func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value,
func (s *Strategy) placeBounceSellOrders(ctx context.Context, resistancePrice fixedpoint.Value) {
futuresMode := s.session.Futures || s.session.IsolatedFutures
totalQuantity := s.BounceShort.Quantity
numLayers := s.BounceShort.NumLayers
totalQuantity := s.ResistanceShort.Quantity
numLayers := s.ResistanceShort.NumLayers
if numLayers == 0 {
numLayers = 1
}
numLayersF := fixedpoint.NewFromInt(int64(numLayers))
layerSpread := s.BounceShort.LayerSpread
layerSpread := s.ResistanceShort.LayerSpread
quantity := totalQuantity.Div(numLayersF)
log.Infof("placing bounce short orders: resistance price = %f, layer quantity = %f, num of layers = %d", resistancePrice.Float64(), quantity.Float64(), numLayers)
@ -444,7 +448,7 @@ func (s *Strategy) placeBounceSellOrders(ctx context.Context, resistancePrice fi
baseBalance := balances[s.Market.BaseCurrency]
// price = (resistance_price * (1.0 + ratio)) * ((1.0 + layerSpread) * i)
price := resistancePrice.Mul(fixedpoint.One.Add(s.BounceShort.Ratio))
price := resistancePrice.Mul(fixedpoint.One.Add(s.ResistanceShort.Ratio))
spread := layerSpread.Mul(fixedpoint.NewFromInt(int64(i)))
price = price.Add(spread)
log.Infof("price = %f", price.Float64())