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https://github.com/c9s/bbgo.git
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support: refactor trailing stop order management
This commit is contained in:
c9s
parent
b6d1b4309b
commit
f035667f37
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@ -7,11 +7,9 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/service"
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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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -95,6 +93,12 @@ type TrailingStopControl struct {
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OrderID uint64
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}
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func (control *TrailingStopControl) UpdateCurrentHighestPrice(p fixedpoint.Value) bool {
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orig := control.CurrentHighestPrice
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control.CurrentHighestPrice = fixedpoint.Max(control.CurrentHighestPrice, p)
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return orig.Compare(control.CurrentHighestPrice) == 0
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}
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func (control *TrailingStopControl) IsHigherThanMin(minTargetPrice fixedpoint.Value) bool {
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targetPrice := control.CurrentHighestPrice.Mul(fixedpoint.One.Sub(control.trailingStopCallbackRatio))
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@ -168,9 +172,10 @@ type Strategy struct {
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orderExecutor *bbgo.GeneralOrderExecutor
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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CurrentHighestPrice fixedpoint.Value `persistence:"current_highest_price"`
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state *State
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@ -251,46 +256,6 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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return err
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}
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func (s *Strategy) SaveState() error {
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if err := s.Persistence.Save(s.state, ID, s.Symbol, stateKey); err != nil {
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return err
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} else {
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log.Infof("state is saved => %+v", s.state)
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}
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return nil
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}
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func (s *Strategy) LoadState() error {
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var state State
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// load position
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if err := s.Persistence.Load(&state, ID, s.Symbol, stateKey); err != nil {
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if err != service.ErrPersistenceNotExists {
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return err
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}
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s.state = &State{}
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} else {
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s.state = &state
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log.Infof("state is restored: %+v", s.state)
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}
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if s.state.Position == nil {
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s.state.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.trailingStopControl != nil {
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if s.state.CurrentHighestPrice == nil {
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s.trailingStopControl.CurrentHighestPrice = fixedpoint.Zero
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} else {
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s.trailingStopControl.CurrentHighestPrice = *s.state.CurrentHighestPrice
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}
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s.state.CurrentHighestPrice = &s.trailingStopControl.CurrentHighestPrice
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}
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return nil
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}
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func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, orderForms ...types.SubmitOrder) (types.OrderSlice, error) {
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return s.orderExecutor.SubmitOrders(ctx, orderForms...)
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}
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@ -445,18 +410,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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symbol: s.Symbol,
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market: s.Market,
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marginSideEffect: s.MarginOrderSideEffect,
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CurrentHighestPrice: fixedpoint.Zero,
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trailingStopCallbackRatio: s.TrailingStopTarget.TrailingStopCallbackRatio,
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minimumProfitPercentage: s.TrailingStopTarget.MinimumProfitPercentage,
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CurrentHighestPrice: s.CurrentHighestPrice,
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}
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}
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if err := s.LoadState(); err != nil {
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return err
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} else {
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bbgo.Notify("%s state is restored => %+v", s.Symbol, s.state)
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}
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if !s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() {
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// Update trailing stop when the position changes
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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@ -465,36 +424,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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if position.Base.Compare(s.Market.MinQuantity) > 0 { // Update order if we have a position
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// Cancel the original order
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice = fixedpoint.Zero
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if s.trailingStopControl.minimumProfitPercentage.Sign() > 0 {
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minTargetPrice = position.AverageCost.Mul(fixedpoint.One.Add(s.trailingStopControl.minimumProfitPercentage))
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateStopOrder(position.Base)
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orders, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil {
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log.WithError(err).Error("submit profit trailing stop order error")
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bbgo.Notify("submit %s profit trailing stop order error", s.Symbol)
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} else {
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orderIds := orders.IDs()
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if len(orderIds) > 0 {
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s.trailingStopControl.OrderID = orderIds[0]
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} else {
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log.Error("submit profit trailing stop order error. unknown error")
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bbgo.Notify("submit %s profit trailing stop order error", s.Symbol)
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s.trailingStopControl.OrderID = 0
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}
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}
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}
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if !position.IsLong() || position.IsDust(position.AverageCost) {
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return
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}
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s.updateStopOrder(ctx)
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})
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}
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@ -515,46 +449,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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closePrice := kline.GetClose()
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highPrice := kline.GetHigh()
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// check our trailing stop
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if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
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if s.state.Position.Base.Compare(s.Market.MinQuantity) <= 0 { // Without a position
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// Update trailing orders with current high price
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s.trailingStopControl.CurrentHighestPrice = highPrice
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} else if s.trailingStopControl.CurrentHighestPrice.Compare(highPrice) < 0 || s.trailingStopControl.OrderID == 0 { // With a position or no trailing stop order yet
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// Update trailing orders with current high price if it's higher
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s.trailingStopControl.CurrentHighestPrice = highPrice
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// Cancel the original order
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s.orderExecutor.GracefulCancel(ctx)
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice = fixedpoint.Zero
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if s.trailingStopControl.minimumProfitPercentage.Sign() > 0 {
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minTargetPrice = s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.trailingStopControl.minimumProfitPercentage))
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if s.Position.IsLong() && !s.Position.IsDust(closePrice) {
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changed := s.trailingStopControl.UpdateCurrentHighestPrice(highPrice)
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if changed {
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// Cancel the original order
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s.updateStopOrder(ctx)
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateStopOrder(s.state.Position.Base)
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orders, err := s.submitOrders(ctx, orderExecutor, orderForm)
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if err != nil || orders == nil {
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log.WithError(err).Errorf("submit %s profit trailing stop order error", s.Symbol)
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bbgo.Notify("submit %s profit trailing stop order error", s.Symbol)
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} else {
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orderIds := orders.IDs()
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if len(orderIds) > 0 {
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s.trailingStopControl.OrderID = orderIds[0]
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} else {
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log.Error("submit profit trailing stop order error. unknown error")
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bbgo.Notify("submit %s profit trailing stop order error", s.Symbol)
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s.trailingStopControl.OrderID = 0
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}
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}
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}
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}
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// Save state
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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}
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}
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@ -643,12 +545,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.WithError(err).Error("submit order error")
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return
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}
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// Save state
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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bbgo.Notify("%s position is saved", s.Symbol, s.state.Position)
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}
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if s.TrailingStopTarget.TrailingStopCallbackRatio.IsZero() { // submit fixed target orders
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var targetOrders []types.SubmitOrder
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@ -691,15 +587,38 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// Cancel trailing stop order
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if s.TrailingStopTarget.TrailingStopCallbackRatio.Sign() > 0 {
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.trailingStopControl.OrderID = 0
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}
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if err := s.SaveState(); err != nil {
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log.WithError(err).Errorf("can not save state: %+v", s.state)
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} else {
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bbgo.Notify("%s position is saved", s.Symbol, s.state.Position)
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}
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})
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return nil
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}
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func (s *Strategy) updateStopOrder(ctx context.Context) {
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// cancel the original stop order
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.trailingStopControl.OrderID = 0
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// Calculate minimum target price
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var minTargetPrice = fixedpoint.Zero
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if s.trailingStopControl.minimumProfitPercentage.Sign() > 0 {
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minTargetPrice = s.state.Position.AverageCost.Mul(fixedpoint.One.Add(s.trailingStopControl.minimumProfitPercentage))
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}
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// Place new order if the target price is higher than the minimum target price
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if s.trailingStopControl.IsHigherThanMin(minTargetPrice) {
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orderForm := s.trailingStopControl.GenerateStopOrder(s.state.Position.Base)
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orders, err := s.orderExecutor.SubmitOrders(ctx, orderForm)
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if err != nil {
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bbgo.Notify("failed to submit the trailing stop order on %s", s.Symbol)
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log.WithError(err).Error("submit profit trailing stop order error")
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}
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if len(orders) == 0 {
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log.Error("unexpected error: len(createdOrders) = 0")
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return
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}
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orderIds := orders.IDs()
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s.trailingStopControl.OrderID = orderIds[0]
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}
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}
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