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Merge pull request #798 from c9s/feature/trailingstop

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fix: fix trailingstop and add long position test case
This commit is contained in:
Yo-An Lin 2022-07-06 13:36:40 +08:00 committed by GitHub
commit f9f64f7eea
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3 changed files with 102 additions and 9 deletions
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1
pkg/bbgo/exit.go
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@ -26,6 +26,7 @@ type ExitMethod struct {
RoiTakeProfit *RoiTakeProfit `json:"roiTakeProfit"`
LowerShadowTakeProfit *LowerShadowTakeProfit `json:"lowerShadowTakeProfit"`
CumulatedVolumeTakeProfit *CumulatedVolumeTakeProfit `json:"cumulatedVolumeTakeProfit"`
TrailingStop *TrailingStop2 `json:"trailingStop"`
}
// Inherit is used for inheriting properties from the given strategy struct

18
pkg/bbgo/exit_trailing_stop.go
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@ -4,6 +4,8 @@ import (
"context"
"fmt"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
@ -47,10 +49,13 @@ func (s *TrailingStop2) Subscribe(session *ExchangeSession) {
func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
s.latestHigh = fixedpoint.Zero
position := orderExecutor.Position()
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
s.checkStopPrice(kline.Close, position)
if err := s.checkStopPrice(kline.Close, position); err != nil {
log.WithError(err).Errorf("error")
}
}))
if !IsBackTesting {
@ -59,7 +64,9 @@ func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrd
return
}
s.checkStopPrice(trade.Price, position)
if err := s.checkStopPrice(trade.Price, position); err != nil {
log.WithError(err).Errorf("error")
}
})
}
}
@ -128,7 +135,7 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
case types.SideTypeSell:
s.latestHigh = fixedpoint.Max(price, s.latestHigh)
change := price.Sub(s.latestHigh).Div(s.latestHigh)
change := s.latestHigh.Sub(price).Div(price)
if change.Compare(s.CallbackRate) >= 0 {
// submit order
return s.triggerStop(price)
@ -139,6 +146,11 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
}
func (s *TrailingStop2) triggerStop(price fixedpoint.Value) error {
// reset activated flag
defer func() {
s.activated = false
s.latestHigh = fixedpoint.Zero
}()
Notify("[TrailingStop] %s stop loss triggered. price: %f callback rate: %f", s.Symbol, price.Float64(), s.CallbackRate.Float64())
ctx := context.Background()
return s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "trailingStop")

92
pkg/bbgo/exit_trailing_stop_test.go
View File

@ -27,7 +27,7 @@ func getTestMarket() types.Market {
return market
}
func TestTrailingStop(t *testing.T) {
func TestTrailingStop_ShortPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
@ -75,28 +75,108 @@ func TestTrailingStop(t *testing.T) {
// 20000 - 1% = 19800
currentPrice = currentPrice.Mul(one.Sub(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
assert.Equal(t, fixedpoint.NewFromFloat(19800.0), stop.latestHigh)
}
// 19800 - 1% = 19602
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 19602 + 1% = 19798.02
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}
func TestTrailingStop_LongPosition(t *testing.T) {
market := getTestMarket()
mockCtrl := gomock.NewController(t)
defer mockCtrl.Finish()
mockEx := mocks.NewMockExchange(mockCtrl)
mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
mockEx.EXPECT().SubmitOrders(gomock.Any(), types.SubmitOrder{
Symbol: "BTCUSDT",
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Market: market,
Quantity: fixedpoint.NewFromFloat(1.0),
Tag: "trailingStop",
})
session := NewExchangeSession("test", mockEx)
assert.NotNil(t, session)
session.markets[market.Symbol] = market
position := types.NewPositionFromMarket(market)
position.AverageCost = fixedpoint.NewFromFloat(20000.0)
position.Base = fixedpoint.NewFromFloat(1.0)
orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
activationRatio := fixedpoint.NewFromFloat(0.01)
callbackRatio := fixedpoint.NewFromFloat(0.01)
stop := &TrailingStop2{
Symbol: "BTCUSDT",
Interval: types.Interval1m,
Side: types.SideTypeSell,
CallbackRate: callbackRatio,
ActivationRatio: activationRatio,
}
stop.Bind(session, orderExecutor)
// the same price
currentPrice := fixedpoint.NewFromFloat(20000.0)
err := stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.False(t, stop.activated)
}
// 20000 + 1% = 20200
currentPrice = currentPrice.Mul(one.Add(activationRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.True(t, stop.activated)
assert.Equal(t, fixedpoint.NewFromFloat(20200.0), stop.latestHigh)
}
// 20200 + 1% = 20402
currentPrice = currentPrice.Mul(one.Add(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.NewFromFloat(20402.0), stop.latestHigh)
assert.True(t, stop.activated)
}
// 20402 - 1%
currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
assert.Equal(t, fixedpoint.NewFromFloat(20197.98), currentPrice)
err = stop.checkStopPrice(currentPrice, position)
if assert.NoError(t, err) {
assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
assert.False(t, stop.activated)
}
}