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Merge pull request #798 from c9s/feature/trailingstop
fix: fix trailingstop and add long position test case
This commit is contained in:
commit
f9f64f7eea
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@ -26,6 +26,7 @@ type ExitMethod struct {
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RoiTakeProfit *RoiTakeProfit `json:"roiTakeProfit"`
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LowerShadowTakeProfit *LowerShadowTakeProfit `json:"lowerShadowTakeProfit"`
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CumulatedVolumeTakeProfit *CumulatedVolumeTakeProfit `json:"cumulatedVolumeTakeProfit"`
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TrailingStop *TrailingStop2 `json:"trailingStop"`
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}
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// Inherit is used for inheriting properties from the given strategy struct
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@ -4,6 +4,8 @@ import (
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"context"
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"fmt"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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@ -47,10 +49,13 @@ func (s *TrailingStop2) Subscribe(session *ExchangeSession) {
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func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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s.latestHigh = fixedpoint.Zero
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position := orderExecutor.Position()
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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s.checkStopPrice(kline.Close, position)
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if err := s.checkStopPrice(kline.Close, position); err != nil {
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log.WithError(err).Errorf("error")
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}
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}))
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if !IsBackTesting {
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@ -59,7 +64,9 @@ func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrd
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return
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}
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s.checkStopPrice(trade.Price, position)
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if err := s.checkStopPrice(trade.Price, position); err != nil {
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log.WithError(err).Errorf("error")
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}
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})
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}
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}
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@ -128,7 +135,7 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
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case types.SideTypeSell:
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s.latestHigh = fixedpoint.Max(price, s.latestHigh)
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change := price.Sub(s.latestHigh).Div(s.latestHigh)
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change := s.latestHigh.Sub(price).Div(price)
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if change.Compare(s.CallbackRate) >= 0 {
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// submit order
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return s.triggerStop(price)
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@ -139,6 +146,11 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
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}
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func (s *TrailingStop2) triggerStop(price fixedpoint.Value) error {
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// reset activated flag
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defer func() {
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s.activated = false
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s.latestHigh = fixedpoint.Zero
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}()
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Notify("[TrailingStop] %s stop loss triggered. price: %f callback rate: %f", s.Symbol, price.Float64(), s.CallbackRate.Float64())
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ctx := context.Background()
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return s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "trailingStop")
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@ -27,7 +27,7 @@ func getTestMarket() types.Market {
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return market
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}
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func TestTrailingStop(t *testing.T) {
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func TestTrailingStop_ShortPosition(t *testing.T) {
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market := getTestMarket()
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mockCtrl := gomock.NewController(t)
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@ -75,28 +75,108 @@ func TestTrailingStop(t *testing.T) {
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// 20000 - 1% = 19800
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currentPrice = currentPrice.Mul(one.Sub(activationRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.True(t, stop.activated)
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assert.Equal(t, fixedpoint.NewFromFloat(19800.0), currentPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(19800.0), stop.latestHigh)
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}
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// 19800 - 1% = 19602
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currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), currentPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
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assert.True(t, stop.activated)
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}
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// 19602 + 1% = 19798.02
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currentPrice = currentPrice.Mul(one.Add(callbackRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.NewFromFloat(19798.02), currentPrice)
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assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
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assert.True(t, stop.activated)
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assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
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assert.False(t, stop.activated)
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}
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}
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func TestTrailingStop_LongPosition(t *testing.T) {
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market := getTestMarket()
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mockCtrl := gomock.NewController(t)
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defer mockCtrl.Finish()
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mockEx := mocks.NewMockExchange(mockCtrl)
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mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
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mockEx.EXPECT().SubmitOrders(gomock.Any(), types.SubmitOrder{
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Symbol: "BTCUSDT",
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Market: market,
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Quantity: fixedpoint.NewFromFloat(1.0),
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Tag: "trailingStop",
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})
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session := NewExchangeSession("test", mockEx)
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assert.NotNil(t, session)
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session.markets[market.Symbol] = market
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position := types.NewPositionFromMarket(market)
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position.AverageCost = fixedpoint.NewFromFloat(20000.0)
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position.Base = fixedpoint.NewFromFloat(1.0)
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orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
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activationRatio := fixedpoint.NewFromFloat(0.01)
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callbackRatio := fixedpoint.NewFromFloat(0.01)
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stop := &TrailingStop2{
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Symbol: "BTCUSDT",
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Interval: types.Interval1m,
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Side: types.SideTypeSell,
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CallbackRate: callbackRatio,
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ActivationRatio: activationRatio,
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}
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stop.Bind(session, orderExecutor)
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// the same price
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currentPrice := fixedpoint.NewFromFloat(20000.0)
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err := stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.False(t, stop.activated)
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}
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// 20000 + 1% = 20200
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currentPrice = currentPrice.Mul(one.Add(activationRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(20200.0), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.True(t, stop.activated)
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assert.Equal(t, fixedpoint.NewFromFloat(20200.0), stop.latestHigh)
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}
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// 20200 + 1% = 20402
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currentPrice = currentPrice.Mul(one.Add(callbackRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(20402.0), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.NewFromFloat(20402.0), stop.latestHigh)
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assert.True(t, stop.activated)
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}
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// 20402 - 1%
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currentPrice = currentPrice.Mul(one.Sub(callbackRatio))
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assert.Equal(t, fixedpoint.NewFromFloat(20197.98), currentPrice)
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err = stop.checkStopPrice(currentPrice, position)
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if assert.NoError(t, err) {
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assert.Equal(t, fixedpoint.Zero, stop.latestHigh)
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assert.False(t, stop.activated)
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}
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}
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