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Merge pull request #770 from c9s/fix/backtest-stop-limit
This commit is contained in:
Yo-An Lin
GitHub
commit
f2a642b165
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@ -1,15 +1,19 @@
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import {Checkbox, Group, Table} from "@mantine/core";
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import {Button, Checkbox, Group, Table} from "@mantine/core";
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import React, {useState} from "react";
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import {Order} from "../types";
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import moment from "moment";
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interface OrderListTableProps {
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orders: Order[];
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onClick?: (order: Order) => void;
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limit?: number;
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}
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const OrderListTable = (props: OrderListTableProps) => {
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let orders = props.orders;
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const [showCanceledOrders, setShowCanceledOrders] = useState(false);
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const [limit, setLimit] = useState(props.limit || 100);
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if (!showCanceledOrders) {
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orders = orders.filter((order: Order) => {
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@ -17,6 +21,10 @@ const OrderListTable = (props: OrderListTableProps) => {
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})
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}
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if (orders.length > limit) {
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orders = orders.slice(0, limit)
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}
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const rows = orders.map((order: Order) => (
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<tr key={order.order_id} onClick={(e) => {
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props.onClick ? props.onClick(order) : null;
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@ -33,7 +41,8 @@ const OrderListTable = (props: OrderListTableProps) => {
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<td>{order.price}</td>
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<td>{order.quantity}</td>
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<td>{order.status}</td>
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<td>{order.creation_time.toString()}</td>
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<td>{formatDate(order.creation_time)}</td>
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<td>{order.tag}</td>
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</tr>
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));
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@ -41,7 +50,9 @@ const OrderListTable = (props: OrderListTableProps) => {
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<Group>
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<Checkbox label="Show Canceled" checked={showCanceledOrders}
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onChange={(event) => setShowCanceledOrders(event.currentTarget.checked)}/>
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<Button onClick={() => {
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setLimit(limit + 500)
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}}>Load More</Button>
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</Group>
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<Table highlightOnHover striped>
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<thead>
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@ -54,6 +65,7 @@ const OrderListTable = (props: OrderListTableProps) => {
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<th>Quantity</th>
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<th>Status</th>
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<th>Creation Time</th>
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<th>Tag</th>
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</tr>
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</thead>
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<tbody>{rows}</tbody>
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@ -61,4 +73,9 @@ const OrderListTable = (props: OrderListTableProps) => {
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</div>
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}
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const formatDate = (d : Date) : string => {
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return moment(d).format("MMM Do YY hh:mm:ss A Z");
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}
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export default OrderListTable;
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@ -10,7 +10,7 @@ $react-time-range--track--disabled: repeating-linear-gradient( -45deg, transpare
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.react_time_range__time_range_container {
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padding: 30px 52px 0 52px;
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height: 70px;
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height: 90px;
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// width: 90%;
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box-sizing: border-box;
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}
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@ -181,6 +181,11 @@ const ordersToMarkers = (interval: string, orders: Array<Order> | void): Array<M
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}
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}
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let text = '' + order.price
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if (order.tag) {
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text += " #" + order.tag;
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}
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switch (order.side) {
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case "BUY":
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markers.push({
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@ -188,8 +193,7 @@ const ordersToMarkers = (interval: string, orders: Array<Order> | void): Array<M
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position: 'belowBar',
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color: '#239D10',
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shape: 'arrowUp',
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text: '' + order.price
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//text: 'B',
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text: text,
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});
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break;
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case "SELL":
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@ -198,8 +202,7 @@ const ordersToMarkers = (interval: string, orders: Array<Order> | void): Array<M
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position: 'aboveBar',
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color: '#e91e63',
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shape: 'arrowDown',
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text: '' + order.price
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//text: 'S',
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text: text,
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});
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break;
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}
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@ -573,6 +576,7 @@ const TradingViewChart = (props: TradingViewChartProps) => {
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<div>
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<Group>
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<SegmentedControl
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value={currentInterval}
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data={intervals.map((interval) => {
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return {label: interval, value: interval}
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})}
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@ -657,6 +661,10 @@ const createLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
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}
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}
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const formatDate = (d : Date) : string => {
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return moment(d).format("MMM Do YY hh:mm:ss A Z");
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}
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const createOHLCLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
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return (param: any, time : any) => {
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if (param) {
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@ -664,7 +672,7 @@ const createOHLCLegendUpdater = (legend: HTMLDivElement, prefix: string) => {
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const changePercentage = Math.round((param.close - param.open) / param.close * 10000.0) / 100.0;
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const ampl = Math.round((param.high - param.low) / param.low * 10000.0) / 100.0;
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const t = new Date(time * 1000);
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const dateStr = moment(t).format("MMM Do YY hh:mm:ss A Z");
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const dateStr = formatDate(t);
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legend.innerHTML = prefix + ` O: ${param.open} H: ${param.high} L: ${param.low} C: ${param.close} CHG: ${change} (${changePercentage}%) AMP: ${ampl}% T: ${dateStr}`;
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} else {
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legend.innerHTML = prefix + ' O: - H: - L: - C: - T: -';
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@ -11,4 +11,5 @@ export interface Order {
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update_time: Date;
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creation_time: Date;
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time?: Date;
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tag?: string;
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}
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@ -124,7 +124,8 @@ func (m *SimplePriceMatching) CancelOrder(o types.Order) (types.Order, error) {
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return o, nil
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}
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *types.Order, trades *types.Trade, err error) {
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// PlaceOrder returns the created order object, executed trade (if any) and error
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func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (*types.Order, *types.Trade, error) {
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// price for checking account balance, default price
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price := o.Price
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@ -135,7 +136,7 @@ func (m *SimplePriceMatching) PlaceOrder(o types.SubmitOrder) (closedOrders *typ
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}
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price = m.LastPrice
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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case types.OrderTypeLimit, types.OrderTypeStopLimit, types.OrderTypeLimitMaker:
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price = o.Price
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}
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@ -301,11 +302,57 @@ func (m *SimplePriceMatching) newTradeFromOrder(order *types.Order, isMaker bool
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}
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}
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// BuyToPrice means price go up and the limit sell should be triggered
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func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders []types.Order, trades []types.Trade) {
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klineMatchingLogger.Debugf("kline buy to price %s", price.String())
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var askOrders []types.Order
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var bidOrders []types.Order
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for _, o := range m.bidOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if o.StopPrice.Compare(price) <= 0 {
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// not triggering it, put it back
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bidOrders = append(bidOrders, o)
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break
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}
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = price
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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case types.OrderTypeStopLimit:
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// should we trigger the order?
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if price.Compare(o.StopPrice) <= 0 {
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bidOrders = append(bidOrders, o)
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break
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}
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// convert this order to limit order
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// we use value object here, so it's a copy
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o.Type = types.OrderTypeLimit
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// is it a taker order?
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// higher than the current price, then it's a taker order
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if o.Price.Compare(price) >= 0 {
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// taker order, move it to the closed order
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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} else {
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// keep it as a maker order
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bidOrders = append(bidOrders, o)
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}
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default:
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bidOrders = append(bidOrders, o)
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}
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}
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m.bidOrders = bidOrders
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var askOrders []types.Order
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for _, o := range m.askOrders {
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switch o.Type {
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@ -333,10 +380,13 @@ func (m *SimplePriceMatching) BuyToPrice(price fixedpoint.Value) (closedOrders [
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o.Type = types.OrderTypeLimit
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// is it a taker order?
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if price.Compare(o.Price) >= 0 {
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// higher than the current price, then it's a taker order
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if o.Price.Compare(price) >= 0 {
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// price protection, added by @zenix
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if o.Price.Compare(m.LastKLine.Low) < 0 {
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o.Price = m.LastKLine.Low
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}
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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@ -386,13 +436,57 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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klineMatchingLogger.Debugf("kline sell to price %s", price.String())
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var sellPrice = price
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var askOrders []types.Order
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for _, o := range m.askOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if o.StopPrice.Compare(sellPrice) >= 0 {
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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} else {
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askOrders = append(askOrders, o)
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}
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case types.OrderTypeStopLimit:
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// if the price is lower than the stop price
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// we should trigger the stop sell order
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if sellPrice.Compare(o.StopPrice) > 0 {
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askOrders = append(askOrders, o)
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break
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}
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o.Type = types.OrderTypeLimit
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// if the order price is lower than the current price
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// it's a taker order
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if o.Price.Compare(sellPrice) <= 0 {
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o.ExecutedQuantity = o.Quantity
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o.Status = types.OrderStatusFilled
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closedOrders = append(closedOrders, o)
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} else {
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askOrders = append(askOrders, o)
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}
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default:
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askOrders = append(askOrders, o)
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}
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}
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m.askOrders = askOrders
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var bidOrders []types.Order
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for _, o := range m.bidOrders {
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switch o.Type {
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case types.OrderTypeStopMarket:
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// should we trigger the order
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if sellPrice.Compare(o.StopPrice) <= 0 {
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if o.StopPrice.Compare(sellPrice) >= 0 {
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o.Type = types.OrderTypeMarket
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o.ExecutedQuantity = o.Quantity
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o.Price = sellPrice
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o.Status = types.OrderStatusFilled
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@ -402,11 +496,12 @@ func (m *SimplePriceMatching) SellToPrice(price fixedpoint.Value) (closedOrders
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}
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case types.OrderTypeStopLimit:
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// should we trigger the order
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// if the price is lower than the stop price
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// we should trigger the stop order
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if sellPrice.Compare(o.StopPrice) <= 0 {
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o.Type = types.OrderTypeLimit
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if sellPrice.Compare(o.Price) <= 0 {
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if o.Price.Compare(sellPrice) <= 0 {
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if o.Price.Compare(m.LastKLine.High) > 0 {
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o.Price = m.LastKLine.High
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}
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|
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@ -151,17 +151,7 @@ func newKLine(symbol string, interval types.Interval, startTime time.Time, o, h,
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}
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}
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func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
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account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
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"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
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})
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func getTestMarket() types.Market {
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market := types.Market{
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Symbol: "BTCUSDT",
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PricePrecision: 8,
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@ -172,7 +162,135 @@ func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
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MinAmount: fixedpoint.MustNewFromString("10.0"),
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MinQuantity: fixedpoint.MustNewFromString("0.001"),
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}
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return market
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}
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func getTestAccount() *types.Account {
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account := &types.Account{
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MakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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TakerFeeRate: fixedpoint.NewFromFloat(0.075 * 0.01),
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}
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account.UpdateBalances(types.BalanceMap{
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"USDT": {Currency: "USDT", Available: fixedpoint.NewFromFloat(1000000.0)},
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"BTC": {Currency: "BTC", Available: fixedpoint.NewFromFloat(100.0)},
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})
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return account
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}
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func TestSimplePriceMatching_StopLimitOrderBuy(t *testing.T) {
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account := getTestAccount()
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market := getTestMarket()
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engine := &SimplePriceMatching{
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Account: account,
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Market: market,
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closedOrders: make(map[uint64]types.Order),
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LastPrice: fixedpoint.NewFromFloat(19000.0),
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}
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stopOrder := types.SubmitOrder{
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Symbol: market.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopLimit,
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Quantity: fixedpoint.NewFromFloat(0.1),
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Price: fixedpoint.NewFromFloat(22000.0),
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StopPrice: fixedpoint.NewFromFloat(21000.0),
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TimeInForce: types.TimeInForceGTC,
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}
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createdOrder, trade, err := engine.PlaceOrder(stopOrder)
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assert.NoError(t, err)
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assert.Nil(t, trade, "place stop order should not trigger the stop buy")
|
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assert.NotNil(t, createdOrder, "place stop order should not trigger the stop buy")
|
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|
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closedOrders, trades := engine.BuyToPrice(fixedpoint.NewFromFloat(20000.0))
|
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assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
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assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
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|
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closedOrders, trades = engine.BuyToPrice(fixedpoint.NewFromFloat(21001.0))
|
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assert.Len(t, closedOrders, 1, "should trigger the stop buy order")
|
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assert.Len(t, trades, 1, "should have stop order trade executed")
|
||||
|
||||
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
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assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
||||
assert.Equal(t, stopOrder.Price, trades[0].Price)
|
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}
|
||||
|
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func TestSimplePriceMatching_StopLimitOrderSell(t *testing.T) {
|
||||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
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LastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
}
|
||||
|
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stopOrder := types.SubmitOrder{
|
||||
Symbol: market.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeStopLimit,
|
||||
Quantity: fixedpoint.NewFromFloat(0.1),
|
||||
Price: fixedpoint.NewFromFloat(20000.0),
|
||||
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
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TimeInForce: types.TimeInForceGTC,
|
||||
}
|
||||
createdOrder, trade, err := engine.PlaceOrder(stopOrder)
|
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assert.NoError(t, err)
|
||||
assert.Nil(t, trade, "place stop order should not trigger the stop sell")
|
||||
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
|
||||
|
||||
closedOrders, trades := engine.SellToPrice(fixedpoint.NewFromFloat(21500.0))
|
||||
assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
||||
assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
||||
|
||||
closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(20990.0))
|
||||
assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
|
||||
assert.Len(t, trades, 1, "should have stop order trade executed")
|
||||
|
||||
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
||||
assert.Equal(t, types.OrderTypeLimit, closedOrders[0].Type)
|
||||
assert.Equal(t, stopOrder.Price, trades[0].Price)
|
||||
}
|
||||
|
||||
func TestSimplePriceMatching_StopMarketOrderSell(t *testing.T) {
|
||||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
Market: market,
|
||||
closedOrders: make(map[uint64]types.Order),
|
||||
LastPrice: fixedpoint.NewFromFloat(22000.0),
|
||||
}
|
||||
|
||||
stopOrder := types.SubmitOrder{
|
||||
Symbol: market.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeStopMarket,
|
||||
Quantity: fixedpoint.NewFromFloat(0.1),
|
||||
Price: fixedpoint.NewFromFloat(20000.0),
|
||||
StopPrice: fixedpoint.NewFromFloat(21000.0),
|
||||
TimeInForce: types.TimeInForceGTC,
|
||||
}
|
||||
createdOrder, trade, err := engine.PlaceOrder(stopOrder)
|
||||
assert.NoError(t, err)
|
||||
assert.Nil(t, trade, "place stop order should not trigger the stop sell")
|
||||
assert.NotNil(t, createdOrder, "place stop order should not trigger the stop sell")
|
||||
|
||||
closedOrders, trades := engine.SellToPrice(fixedpoint.NewFromFloat(21500.0))
|
||||
assert.Len(t, closedOrders, 0, "price change far from the price should not trigger the stop buy")
|
||||
assert.Len(t, trades, 0, "price change far from the price should not trigger the stop buy")
|
||||
|
||||
closedOrders, trades = engine.SellToPrice(fixedpoint.NewFromFloat(20990.0))
|
||||
assert.Len(t, closedOrders, 1, "should trigger the stop sell order")
|
||||
assert.Len(t, trades, 1, "should have stop order trade executed")
|
||||
|
||||
assert.Equal(t, types.OrderStatusFilled, closedOrders[0].Status)
|
||||
assert.Equal(t, types.OrderTypeMarket, closedOrders[0].Type)
|
||||
assert.Equal(t, fixedpoint.NewFromFloat(20990.0), trades[0].Price)
|
||||
}
|
||||
|
||||
func TestSimplePriceMatching_PlaceLimitOrder(t *testing.T) {
|
||||
account := getTestAccount()
|
||||
market := getTestMarket()
|
||||
engine := &SimplePriceMatching{
|
||||
Account: account,
|
||||
Market: market,
|
||||
|
|
|
|||
|
|
@ -2,6 +2,7 @@ package bbgo
|
|||
|
||||
import (
|
||||
"context"
|
||||
"strings"
|
||||
|
||||
log "github.com/sirupsen/logrus"
|
||||
|
||||
|
|
@ -117,12 +118,14 @@ func (e *GeneralOrderExecutor) GracefulCancel(ctx context.Context) error {
|
|||
return nil
|
||||
}
|
||||
|
||||
func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
||||
func (e *GeneralOrderExecutor) ClosePosition(ctx context.Context, percentage fixedpoint.Value, tags ...string) error {
|
||||
submitOrder := e.position.NewMarketCloseOrder(percentage)
|
||||
if submitOrder == nil {
|
||||
return nil
|
||||
}
|
||||
|
||||
submitOrder.Tag = strings.Join(tags, ",")
|
||||
|
||||
_, err := e.SubmitOrders(ctx, *submitOrder)
|
||||
return err
|
||||
}
|
||||
|
|
|
|||
|
|
@ -58,6 +58,7 @@ func (s *ProtectionStopLoss) placeStopOrder(ctx context.Context, position *types
|
|||
Price: s.stopLossPrice.Mul(one.Add(fixedpoint.NewFromFloat(0.005))), // +0.5% from the trigger price, slippage protection
|
||||
StopPrice: s.stopLossPrice,
|
||||
Market: position.Market,
|
||||
Tag: "protectionStopLoss",
|
||||
})
|
||||
|
||||
if len(createdOrders) > 0 {
|
||||
|
|
@ -174,7 +175,7 @@ func (s *ProtectionStopLoss) checkStopPrice(closePrice fixedpoint.Value, positio
|
|||
|
||||
if s.shouldStop(closePrice) {
|
||||
log.Infof("[ProtectionStopLoss] protection stop order is triggered at price %f, position = %+v", closePrice.Float64(), position)
|
||||
if err := s.orderExecutor.ClosePosition(context.Background(), one); err != nil {
|
||||
if err := s.orderExecutor.ClosePosition(context.Background(), one, "protectionStopLoss"); err != nil {
|
||||
log.WithError(err).Errorf("failed to close position")
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -48,7 +48,7 @@ func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *type
|
|||
if roi.Compare(s.Percentage.Neg()) < 0 {
|
||||
// stop loss
|
||||
bbgo.Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
|
||||
_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
|
||||
_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
|
||||
return
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -34,7 +34,7 @@ func (s *RoiTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.
|
|||
if roi.Compare(s.Percentage) > 0 {
|
||||
// stop loss
|
||||
bbgo.Notify("[RoiTakeProfit] %s take profit is triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Percentage(), kline.Close.Float64())
|
||||
_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
|
||||
_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiTakeProfit")
|
||||
return
|
||||
}
|
||||
})
|
||||
|
|
|
|||
|
|
@ -68,12 +68,6 @@ type Entry struct {
|
|||
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
||||
}
|
||||
|
||||
type CumulatedVolume struct {
|
||||
Enabled bool `json:"enabled"`
|
||||
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
|
||||
Window int `json:"window"`
|
||||
}
|
||||
|
||||
type Strategy struct {
|
||||
*bbgo.Graceful
|
||||
|
||||
|
|
@ -226,16 +220,38 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.orderExecutor.Bind()
|
||||
|
||||
store, _ := session.MarketDataStore(s.Symbol)
|
||||
standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
|
||||
|
||||
s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
|
||||
s.pivot.Bind(store)
|
||||
if kLinesP, ok := store.KLinesOfInterval(s.IntervalWindow.Interval); ok {
|
||||
s.pivot.Update(*kLinesP)
|
||||
}
|
||||
|
||||
// update pivot low data
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
|
||||
if lastLow.IsZero() {
|
||||
return
|
||||
}
|
||||
|
||||
if lastLow.Compare(s.lastLow) != 0 {
|
||||
log.Infof("new pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
|
||||
}
|
||||
|
||||
s.lastLow = lastLow
|
||||
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
|
||||
})
|
||||
|
||||
if s.BounceShort != nil && s.BounceShort.Enabled {
|
||||
s.resistancePivot = &indicator.Pivot{IntervalWindow: s.BounceShort.IntervalWindow}
|
||||
s.resistancePivot.Bind(store)
|
||||
}
|
||||
|
||||
standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
|
||||
if s.BreakLow.StopEMA != nil {
|
||||
s.stopEWMA = standardIndicator.EWMA(*s.BreakLow.StopEMA)
|
||||
}
|
||||
|
|
@ -288,8 +304,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
return
|
||||
}
|
||||
|
||||
isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
|
||||
if isPositionOpened && s.Position.IsShort() {
|
||||
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
|
||||
return
|
||||
}
|
||||
|
||||
|
|
@ -305,6 +320,18 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
|
||||
}
|
||||
|
||||
ratio := fixedpoint.One.Add(s.BreakLow.Ratio)
|
||||
breakPrice := previousLow.Mul(ratio)
|
||||
|
||||
closePrice := kline.Close
|
||||
// if previous low is not break, skip
|
||||
if closePrice.Compare(breakPrice) >= 0 {
|
||||
return
|
||||
}
|
||||
|
||||
log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
|
||||
|
||||
// stop EMA protection
|
||||
if s.stopEWMA != nil && !s.BreakLow.StopEMARange.IsZero() {
|
||||
ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
|
||||
if ema.IsZero() {
|
||||
|
|
@ -312,24 +339,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
|
||||
emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.BreakLow.StopEMARange))
|
||||
if kline.Close.Compare(emaStopShortPrice) < 0 {
|
||||
if closePrice.Compare(emaStopShortPrice) < 0 {
|
||||
log.Infof("stopEMA protection: close price %f < EMA(%v) = %f", closePrice.Float64(), s.BreakLow.StopEMA, ema.Float64())
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
ratio := fixedpoint.One.Add(s.BreakLow.Ratio)
|
||||
breakPrice := previousLow.Mul(ratio)
|
||||
|
||||
// if previous low is not break, skip
|
||||
if kline.Close.Compare(breakPrice) >= 0 {
|
||||
return
|
||||
}
|
||||
|
||||
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
|
||||
// s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
|
||||
return
|
||||
}
|
||||
|
||||
_ = s.orderExecutor.GracefulCancel(ctx)
|
||||
|
||||
quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
|
||||
|
|
@ -338,6 +353,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.placeMarketSell(ctx, quantity)
|
||||
} else {
|
||||
sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
|
||||
|
||||
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64(), sellPrice.Float64())
|
||||
s.placeLimitSell(ctx, sellPrice, quantity)
|
||||
}
|
||||
})
|
||||
|
|
@ -376,26 +393,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
}
|
||||
})
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
||||
// StrategyController
|
||||
if s.Status != types.StrategyStatusRunning {
|
||||
return
|
||||
}
|
||||
if !bbgo.IsBackTesting {
|
||||
// use market trade to submit short order
|
||||
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
|
||||
|
||||
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
|
||||
return
|
||||
}
|
||||
|
||||
if s.pivot.LastLow() > 0.0 {
|
||||
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
|
||||
if lastLow.Compare(s.lastLow) != 0 {
|
||||
log.Infof("new pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
|
||||
}
|
||||
|
||||
s.lastLow = lastLow
|
||||
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
|
||||
}
|
||||
})
|
||||
}
|
||||
|
||||
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
|
||||
|
|
|
|||
|
|
@ -132,6 +132,8 @@ type SubmitOrder struct {
|
|||
IsFutures bool `json:"is_futures" db:"is_futures"`
|
||||
ReduceOnly bool `json:"reduceOnly" db:"reduce_only"`
|
||||
ClosePosition bool `json:"closePosition" db:"close_position"`
|
||||
|
||||
Tag string `json:"tag" db:"-"`
|
||||
}
|
||||
|
||||
func (o *SubmitOrder) String() string {
|
||||
|
|
@ -229,6 +231,7 @@ func (o Order) CsvHeader() []string {
|
|||
"quantity",
|
||||
"creation_time",
|
||||
"update_time",
|
||||
"tag",
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -244,6 +247,7 @@ func (o Order) CsvRecords() [][]string {
|
|||
o.Quantity.String(),
|
||||
o.CreationTime.Time().Format(time.RFC1123),
|
||||
o.UpdateTime.Time().Format(time.RFC1123),
|
||||
o.Tag,
|
||||
},
|
||||
}
|
||||
}
|
||||
|
|
@ -267,7 +271,7 @@ func (o Order) String() string {
|
|||
orderID = strconv.FormatUint(o.OrderID, 10)
|
||||
}
|
||||
|
||||
return fmt.Sprintf("ORDER %s | %s | %s | %s | %s %-4s | %s/%s @ %s | %s",
|
||||
desc := fmt.Sprintf("ORDER %s | %s | %s | %s | %s %-4s | %s/%s @ %s",
|
||||
o.Exchange.String(),
|
||||
o.CreationTime.Time().Local().Format(time.RFC1123),
|
||||
orderID,
|
||||
|
|
@ -276,8 +280,13 @@ func (o Order) String() string {
|
|||
o.Side,
|
||||
o.ExecutedQuantity.String(),
|
||||
o.Quantity.String(),
|
||||
o.Price.String(),
|
||||
o.Status)
|
||||
o.Price.String())
|
||||
|
||||
if o.Type == OrderTypeStopLimit {
|
||||
desc += " Stop @ " + o.StopPrice.String()
|
||||
}
|
||||
|
||||
return desc + " | " + string(o.Status)
|
||||
}
|
||||
|
||||
// PlainText is used for telegram-styled messages
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user