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implement SupportTakeProfit method
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@ -38,6 +38,10 @@ type BreakLow struct {
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session *bbgo.ExchangeSession
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}
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func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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@ -150,26 +150,51 @@ func (s *ResistanceShort) placeResistanceOrders(ctx context.Context, resistanceP
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s.activeOrders.Add(createdOrders...)
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}
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func findPossibleSupportPrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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// sort float64 in increasing order
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// lower to higher prices
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sort.Float64s(lows)
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var supportPrices []float64
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var last = closePrice
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for i := len(lows) - 1; i >= 0; i-- {
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price := lows[i]
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// filter prices that are lower than the current closed price
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if price > closePrice {
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continue
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}
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if (price / last) < (1.0 - minDistance) {
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continue
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}
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supportPrices = append(supportPrices, price)
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last = price
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}
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return supportPrices
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}
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func findPossibleResistancePrices(closePrice float64, minDistance float64, lows []float64) []float64 {
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// sort float64 in increasing order
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// lower to higher prices
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sort.Float64s(lows)
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var resistancePrices []float64
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for _, low := range lows {
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if low < closePrice {
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var last = closePrice
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for _, price := range lows {
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// filter prices that are lower than the current closed price
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if price < closePrice {
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continue
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}
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last := closePrice
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if len(resistancePrices) > 0 {
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last = resistancePrices[len(resistancePrices)-1]
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}
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if (low / last) < (1.0 + minDistance) {
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if (price / last) < (1.0 + minDistance) {
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continue
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}
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resistancePrices = append(resistancePrices, low)
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resistancePrices = append(resistancePrices, price)
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last = price
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}
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return resistancePrices
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@ -30,6 +30,69 @@ type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.Pivot
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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}
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func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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session.UserDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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supportPrices := findPossibleSupportPrices(kline.Close.Float64(), 0.1, s.pivot.Lows)
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// supportPrices are sorted in decreasing order
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if len(supportPrices) == 0 {
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log.Infof("support prices not found")
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return
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}
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if !position.IsOpened(kline.Close) {
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return
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}
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nextSupport := fixedpoint.NewFromFloat(supportPrices[0])
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buyPrice := nextSupport.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Type: types.OrderTypeLimitMaker,
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Price: buyPrice,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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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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@ -49,6 +112,8 @@ type Strategy struct {
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit *SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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@ -73,6 +138,12 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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if s.BreakLow != nil {
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dynamic.InheritStructValues(s.BreakLow, s)
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s.BreakLow.Subscribe(session)
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}
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if s.SupportTakeProfit != nil {
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dynamic.InheritStructValues(s.SupportTakeProfit, s)
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s.SupportTakeProfit.Subscribe(session)
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}
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if !bbgo.IsBackTesting {
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