Merge pull request #798 from c9s/feature/trailingstop

fix: fix trailingstop and add long position test case

pkg/bbgo/exit.go

@@ -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

pkg/bbgo/exit_trailing_stop.go

@@ -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")

pkg/bbgo/exit_trailing_stop_test.go

@@ -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.Zero, stop.latestHigh)
-		assert.Equal(t, fixedpoint.NewFromFloat(19602.0), stop.latestHigh)
+		assert.False(t, stop.activated)
-		assert.True(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)
 	}
 }