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Merge pull request #865 from andycheng123/fix/protective-stoploss

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fix: protectivestoploss not working on long position
This commit is contained in:
Andy Cheng 2022-08-09 12:15:33 +08:00 committed by GitHub
commit ef18791c6a
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2 changed files with 20 additions and 8 deletions
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16
pkg/bbgo/exit_protective_stop_loss.go
View File

@ -79,12 +79,18 @@ func (s *ProtectiveStopLoss) placeStopOrder(ctx context.Context, position *types
return err return err
} }
func (s *ProtectiveStopLoss) shouldStop(closePrice fixedpoint.Value) bool { func (s *ProtectiveStopLoss) shouldStop(closePrice fixedpoint.Value, position *types.Position) bool {
if s.stopLossPrice.IsZero() { if s.stopLossPrice.IsZero() {
return false return false
} }
return closePrice.Compare(s.stopLossPrice) >= 0 if position.IsShort() {
return closePrice.Compare(s.stopLossPrice) >= 0
} else if position.IsLong() {
return closePrice.Compare(s.stopLossPrice) <= 0
}
return false
} }
func (s *ProtectiveStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) { func (s *ProtectiveStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
@ -119,8 +125,10 @@ func (s *ProtectiveStopLoss) Bind(session *ExchangeSession, orderExecutor *Gener
} }
isPositionOpened := !position.IsClosed() && !position.IsDust(kline.Close) isPositionOpened := !position.IsClosed() && !position.IsDust(kline.Close)
if isPositionOpened && position.IsShort() { if isPositionOpened {
s.handleChange(context.Background(), position, kline.Close, s.orderExecutor) s.handleChange(context.Background(), position, kline.Close, s.orderExecutor)
} else {
s.stopLossPrice = fixedpoint.Zero
} }
}) })
@ -185,7 +193,7 @@ func (s *ProtectiveStopLoss) checkStopPrice(closePrice fixedpoint.Value, positio
return return
} }
if s.shouldStop(closePrice) { if s.shouldStop(closePrice, position) {
log.Infof("[ProtectiveStopLoss] protection stop order is triggered at price %f, position = %+v", closePrice.Float64(), position) log.Infof("[ProtectiveStopLoss] protection stop order is triggered at price %f, position = %+v", closePrice.Float64(), position)
if err := s.orderExecutor.ClosePosition(context.Background(), one, "protectiveStopLoss"); err != nil { if err := s.orderExecutor.ClosePosition(context.Background(), one, "protectiveStopLoss"); err != nil {
log.WithError(err).Errorf("failed to close position") log.WithError(err).Errorf("failed to close position")

12
pkg/strategy/supertrend/strategy.go
View File

@ -334,10 +334,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
if s.TradeStats == nil { if s.TradeStats == nil {
s.TradeStats = types.NewTradeStats(s.Symbol) s.TradeStats = types.NewTradeStats(s.Symbol)
} }
startTime := s.Environment.StartTime()
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime)) // Interval profit report
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime)) if bbgo.IsBackTesting {
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1mo, startTime)) startTime := s.Environment.StartTime()
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime))
s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1mo, startTime))
}
// Set fee rate // Set fee rate
if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 { if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 {