mirror of
https://github.com/c9s/bbgo.git
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strategy: add harmonic shark pattern recognition
strategy: add harmonic shark pattern recognition
This commit is contained in:
austin362667
parent
04453c23ea
commit
f1ae7b5f30
33
config/harmonic.yaml
Normal file
33
config/harmonic.yaml
Normal file
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@ -0,0 +1,33 @@
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance:
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exchange: binance
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envVarPrefix: binance
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exchangeStrategies:
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- on: binance
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harmonic:
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symbol: BTCBUSD
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interval: 1s
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window: 500
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quantity: 0.05
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backtest:
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sessions:
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- binance
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startTime: "2022-09-30"
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endTime: "2022-10-01"
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symbols:
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- BTCBUSD
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accounts:
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binance:
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balances:
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BTC: 1.0
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BUSD: 40_000.0
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@ -17,6 +17,7 @@ import (
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_ "github.com/c9s/bbgo/pkg/strategy/fmaker"
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_ "github.com/c9s/bbgo/pkg/strategy/funding"
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_ "github.com/c9s/bbgo/pkg/strategy/grid"
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_ "github.com/c9s/bbgo/pkg/strategy/harmonic"
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_ "github.com/c9s/bbgo/pkg/strategy/irr"
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_ "github.com/c9s/bbgo/pkg/strategy/kline"
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_ "github.com/c9s/bbgo/pkg/strategy/marketcap"
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201
pkg/strategy/harmonic/shark.go
Normal file
201
pkg/strategy/harmonic/shark.go
Normal file
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@ -0,0 +1,201 @@
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package harmonic
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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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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var zeroTime time.Time
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//go:generate callbackgen -type SHARK
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type SHARK struct {
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types.IntervalWindow
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types.SeriesBase
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Lows floats.Slice
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Highs floats.Slice
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LongScores floats.Slice
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ShortScores floats.Slice
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Values floats.Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &SHARK{}
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func (inc *SHARK) Update(high, low, price float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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}
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inc.Highs.Update(high)
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inc.Lows.Update(low)
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if inc.Highs.Length() < inc.Window || inc.Lows.Length() < inc.Window {
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return
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}
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longScore := inc.SharkLong(inc.Highs, inc.Lows, price, inc.Window)
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shortScore := inc.SharkShort(inc.Highs, inc.Lows, price, inc.Window)
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inc.LongScores.Push(longScore)
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inc.ShortScores.Push(shortScore)
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inc.Values.Push(longScore - shortScore)
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}
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func (inc *SHARK) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *SHARK) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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}
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func (inc *SHARK) Length() int {
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return len(inc.Values)
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}
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func (inc *SHARK) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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func (inc *SHARK) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(indicator.KLineHighPriceMapper(k), indicator.KLineLowPriceMapper(k), indicator.KLineClosePriceMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last())
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}
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func (inc *SHARK) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last())
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}
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func (inc SHARK) SharkLong(highs, lows floats.Slice, p float64, lookback int) float64 {
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score := 0.
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for x := 5; x < lookback; x++ {
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if lows.Index(x-1) > lows.Index(x) && lows.Index(x) < lows.Index(x+1) {
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X := lows.Index(x)
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for a := 4; a < x; a++ {
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if highs.Index(a-1) < highs.Index(a) && highs.Index(a) > highs.Index(a+1) {
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A := highs.Index(a)
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XA := math.Abs(X - A)
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hB := A - 0.382*XA
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lB := A - 0.618*XA
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for b := 3; b < a; b++ {
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if lows.Index(b-1) > lows.Index(b) && lows.Index(b) < lows.Index(b+1) {
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B := lows.Index(b)
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if hB > B && B > lB {
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//log.Infof("got point B:%f", B)
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AB := math.Abs(A - B)
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hC := B + 1.618*AB
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lC := B + 1.13*AB
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for c := 2; c < b; c++ {
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if highs.Index(c-1) < highs.Index(c) && highs.Index(c) > highs.Index(c+1) {
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C := highs.Index(c)
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if hC > C && C > lC {
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//log.Infof("got point C:%f", C)
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XC := math.Abs(X - C)
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hD := C - 0.886*XC
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lD := C - 1.13*XC
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//for d := 1; d < c; d++ {
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//if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) {
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D := p //lows.Index(d)
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if hD > D && D > lD {
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BC := math.Abs(B - C)
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hD2 := C - 1.618*BC
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lD2 := C - 2.24*BC
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if hD2 > D && D > lD2 {
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//log.Infof("got point D:%f", D)
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score++
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}
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}
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//}
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//}
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}
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}
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}
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}
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}
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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 score
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}
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func (inc SHARK) SharkShort(highs, lows floats.Slice, p float64, lookback int) float64 {
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score := 0.
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for x := 5; x < lookback; x++ {
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if highs.Index(x-1) < highs.Index(x) && highs.Index(x) > highs.Index(x+1) {
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X := highs.Index(x)
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for a := 4; a < x; a++ {
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if lows.Index(a-1) > lows.Index(a) && lows.Index(a) < lows.Index(a+1) {
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A := lows.Index(a)
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XA := math.Abs(X - A)
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lB := A + 0.382*XA
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hB := A + 0.618*XA
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for b := 3; b < a; b++ {
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if highs.Index(b-1) > highs.Index(b) && highs.Index(b) < highs.Index(b+1) {
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B := highs.Index(b)
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if hB > B && B > lB {
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//log.Infof("got point B:%f", B)
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AB := math.Abs(A - B)
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lC := B - 1.618*AB
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hC := B - 1.13*AB
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for c := 2; c < b; c++ {
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if lows.Index(c-1) < lows.Index(c) && lows.Index(c) > lows.Index(c+1) {
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C := lows.Index(c)
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if hC > C && C > lC {
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//log.Infof("got point C:%f", C)
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XC := math.Abs(X - C)
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lD := C + 0.886*XC
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hD := C + 1.13*XC
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//for d := 1; d < c; d++ {
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//if lows.Index(d-1) > lows.Index(d) && lows.Index(d) < lows.Index(d+1) {
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D := p //lows.Index(d)
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if hD > D && D > lD {
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BC := math.Abs(B - C)
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lD2 := C + 1.618*BC
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hD2 := C + 2.24*BC
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if hD2 > D && D > lD2 {
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//log.Infof("got point D:%f", D)
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score++
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}
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}
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//}
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//}
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}
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}
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}
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}
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}
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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 score
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}
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15
pkg/strategy/harmonic/shark_callbacks.go
Normal file
15
pkg/strategy/harmonic/shark_callbacks.go
Normal file
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type SHARK"; DO NOT EDIT.
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package harmonic
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import ()
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func (inc *SHARK) OnUpdate(cb func(value float64)) {
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inc.updateCallbacks = append(inc.updateCallbacks, cb)
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}
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func (inc *SHARK) EmitUpdate(value float64) {
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for _, cb := range inc.updateCallbacks {
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cb(value)
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}
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}
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369
pkg/strategy/harmonic/strategy.go
Normal file
369
pkg/strategy/harmonic/strategy.go
Normal file
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@ -0,0 +1,369 @@
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package harmonic
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import (
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"bytes"
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"context"
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"errors"
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"fmt"
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"os"
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"sync"
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"time"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/interact"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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)
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const ID = "harmonic"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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types.IntervalWindow
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//bbgo.OpenPositionOptions
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// persistence fields
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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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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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bbgo.QuantityOrAmount
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// StrategyController
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bbgo.StrategyController
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shark *SHARK
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// plotting
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bbgo.SourceSelector
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priceLines *types.Queue
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midPrice fixedpoint.Value
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lock sync.RWMutex `ignore:"true"`
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positionLock sync.RWMutex `ignore:"true"`
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startTime time.Time
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minutesCounter int
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frameKLine *types.KLine
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kline1m *types.KLine
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CanvasPath string `json:"canvasPath"`
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HLRangeWindow int `json:"hlRangeWindow"`
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Window1m int `json:"window1m"`
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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var instanceID = s.InstanceID()
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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//_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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profit := floats.Slice{1., 1.}
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price, _ := s.session.LastPrice(s.Symbol)
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initAsset := s.CalcAssetValue(price).Float64()
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cumProfit := floats.Slice{initAsset, initAsset}
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s.orderExecutor.TradeCollector().OnTrade(func(trade types.Trade, _profit, netProfit fixedpoint.Value) {
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profit.Update(netProfit.Float64())
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cumProfit.Update(s.CalcAssetValue(trade.Price).Float64())
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})
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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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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kLineStore, _ := s.session.MarketDataStore(s.Symbol)
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s.shark = &SHARK{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}}
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s.shark.BindK(s.session.MarketDataStream, s.Symbol, s.shark.Interval)
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if klines, ok := kLineStore.KLinesOfInterval(s.shark.Interval); ok {
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s.shark.LoadK((*klines)[0:])
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}
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s.session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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log.Infof("Shark Score: %f, Current Price: %f", s.shark.Last(), kline.Close.Float64())
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//previousRegime := s.shark.Values.Tail(10).Mean()
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//zeroThreshold := 5.
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if s.shark.Rank(s.Window).Last()/float64(s.Window) > 0.99 { // && ((previousRegime < zeroThreshold && previousRegime > -zeroThreshold) || s.shark.Index(1) < 0)
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if s.Position.IsShort() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "close short position")
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}
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Quantity: s.Quantity,
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Type: types.OrderTypeMarket,
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Tag: "shark long: buy in",
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})
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if err == nil {
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_, err = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Price: fixedpoint.NewFromFloat(s.shark.Highs.Tail(100).Max()),
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Type: types.OrderTypeLimit,
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Tag: "shark long: sell back",
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})
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}
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if err != nil {
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log.Errorln(err)
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}
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} else if s.shark.Rank(s.Window).Last()/float64(s.Window) < 0.01 { // && ((previousRegime < zeroThreshold && previousRegime > -zeroThreshold) || s.shark.Index(1) > 0)
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if s.Position.IsLong() {
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_ = s.orderExecutor.GracefulCancel(ctx)
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s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "close long position")
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}
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_, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Quantity: s.Quantity,
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Type: types.OrderTypeMarket,
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Tag: "shark short: sell in",
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})
|
||||
if err == nil {
|
||||
_, err = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Quantity: s.Quantity,
|
||||
Price: fixedpoint.NewFromFloat(s.shark.Lows.Tail(100).Min()),
|
||||
Type: types.OrderTypeLimit,
|
||||
Tag: "shark short: buy back",
|
||||
})
|
||||
}
|
||||
if err != nil {
|
||||
log.Errorln(err)
|
||||
}
|
||||
}
|
||||
}))
|
||||
|
||||
bbgo.RegisterCommand("/draw", "Draw Indicators", func(reply interact.Reply) {
|
||||
canvas := s.DrawIndicators(s.frameKLine.StartTime)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render indicators in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render indicators in harmonic: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/pnl", "Draw PNL(%) per trade", func(reply interact.Reply) {
|
||||
canvas := s.DrawPNL(&profit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render pnl in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] cannot render pnl in harmonic: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.RegisterCommand("/cumpnl", "Draw Cumulative PNL(Quote)", func(reply interact.Reply) {
|
||||
canvas := s.DrawCumPNL(&cumProfit)
|
||||
var buffer bytes.Buffer
|
||||
if err := canvas.Render(chart.PNG, &buffer); err != nil {
|
||||
log.WithError(err).Errorf("cannot render cumpnl in oneliner")
|
||||
reply.Message(fmt.Sprintf("[error] canot render cumpnl in harmonic: %v", err))
|
||||
return
|
||||
}
|
||||
bbgo.SendPhoto(&buffer)
|
||||
})
|
||||
|
||||
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
defer wg.Done()
|
||||
|
||||
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
})
|
||||
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value {
|
||||
balances := s.session.GetAccount().Balances()
|
||||
return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total())
|
||||
}
|
||||
|
||||
func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID())
|
||||
//log.Errorf("pnl Highest: %f, Lowest: %f", types.Highest(profit, profit.Length()), types.Lowest(profit, profit.Length()))
|
||||
length := profit.Length()
|
||||
if s.GraphPNLDeductFee {
|
||||
canvas.PlotRaw("pnl (with Fee Deducted)", profit, length)
|
||||
} else {
|
||||
canvas.PlotRaw("pnl", profit, length)
|
||||
}
|
||||
canvas.YAxis = chart.YAxis{
|
||||
ValueFormatter: func(v interface{}) string {
|
||||
if vf, isFloat := v.(float64); isFloat {
|
||||
return fmt.Sprintf("%.4f", vf)
|
||||
}
|
||||
return ""
|
||||
},
|
||||
}
|
||||
canvas.PlotRaw("1", types.NumberSeries(1), length)
|
||||
return canvas
|
||||
}
|
||||
|
||||
func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID())
|
||||
canvas.PlotRaw("cumulative pnl", cumProfit, cumProfit.Length())
|
||||
canvas.YAxis = chart.YAxis{
|
||||
ValueFormatter: func(v interface{}) string {
|
||||
if vf, isFloat := v.(float64); isFloat {
|
||||
return fmt.Sprintf("%.4f", vf)
|
||||
}
|
||||
return ""
|
||||
},
|
||||
}
|
||||
return canvas
|
||||
}
|
||||
|
||||
func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
|
||||
|
||||
klines, ok := store.KLinesOfInterval(s.Interval)
|
||||
klinesLength := len(*klines)
|
||||
if !ok || klinesLength == 0 {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
if s.frameKLine != nil && klines != nil {
|
||||
s.frameKLine.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
klines, ok = store.KLinesOfInterval(types.Interval1m)
|
||||
klinesLength = len(*klines)
|
||||
if !ok || klinesLength == 0 {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
if s.kline1m != nil && klines != nil {
|
||||
s.kline1m.Set(&(*klines)[len(*klines)-1])
|
||||
}
|
||||
s.startTime = s.kline1m.StartTime.Time().Add(s.kline1m.Interval.Duration())
|
||||
return nil
|
||||
}
|
||||
|
||||
func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas {
|
||||
canvas := types.NewCanvas(s.InstanceID(), s.Interval)
|
||||
Length := s.priceLines.Length()
|
||||
if Length > 300 {
|
||||
Length = 300
|
||||
}
|
||||
log.Infof("draw indicators with %d data", Length)
|
||||
mean := s.priceLines.Mean(Length)
|
||||
|
||||
canvas.Plot("zero", types.NumberSeries(mean), time, Length)
|
||||
canvas.Plot("price", s.priceLines, time, Length)
|
||||
return canvas
|
||||
}
|
||||
|
||||
func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series) {
|
||||
canvas := s.DrawIndicators(time)
|
||||
f, err := os.Create(s.CanvasPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("cannot render in harmonic")
|
||||
}
|
||||
|
||||
canvas = s.DrawPNL(profit)
|
||||
f, err = os.Create(s.GraphPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open pnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render pnl")
|
||||
}
|
||||
|
||||
canvas = s.DrawCumPNL(cumProfit)
|
||||
f, err = os.Create(s.GraphCumPNLPath)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("open cumpnl")
|
||||
return
|
||||
}
|
||||
defer f.Close()
|
||||
if err := canvas.Render(chart.PNG, f); err != nil {
|
||||
log.WithError(err).Errorf("render cumpnl")
|
||||
}
|
||||
}
|
||||
Loading…
Reference in New Issue
Block a user