From fcdc26e188091a3065dad333f36b60133f24ecfd Mon Sep 17 00:00:00 2001 From: austin362667 Date: Sat, 4 Jun 2022 02:17:58 +0800 Subject: [PATCH] pivotshort: add init place order --- config/pivotshort.yaml | 2 +- pkg/strategy/pivotshort/strategy.go | 100 +++++++++++++++------------- 2 files changed, 55 insertions(+), 47 deletions(-) diff --git a/config/pivotshort.yaml b/config/pivotshort.yaml index c0a467c1f..927e23b04 100644 --- a/config/pivotshort.yaml +++ b/config/pivotshort.yaml @@ -33,7 +33,7 @@ exchangeStrategies: backtest: sessions: - binance - startTime: "2022-05-25" + startTime: "2022-04-01" endTime: "2022-06-03" symbols: - GMTUSDT diff --git a/pkg/strategy/pivotshort/strategy.go b/pkg/strategy/pivotshort/strategy.go index 6e66c909f..c1b51560a 100644 --- a/pkg/strategy/pivotshort/strategy.go +++ b/pkg/strategy/pivotshort/strategy.go @@ -54,6 +54,7 @@ type Strategy struct { ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"` PivotLength int `json:"pivotLength"` + LastLow fixedpoint.Value Entry Entry Exit Exit @@ -81,7 +82,7 @@ func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { //session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d}) } -func (s *Strategy) placeOrder(ctx context.Context, marketPrice fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { +func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { submitOrder := types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, @@ -89,7 +90,7 @@ func (s *Strategy) placeOrder(ctx context.Context, marketPrice fixedpoint.Value, Price: limitPrice, Quantity: qty, } - if s.Entry.Immediate && marketPrice.Compare(currentPrice) <= 0 { + if !lastLow.IsZero() && s.Entry.Immediate && lastLow.Compare(currentPrice) <= 0 { submitOrder.Type = types.OrderTypeMarket } if s.session.Margin { @@ -163,6 +164,43 @@ func (s *Strategy) getValidPivotLow(price fixedpoint.Value) fixedpoint.Value { return price } +func (s *Strategy) placeLayerOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) { + futuresMode := s.session.Futures || s.session.IsolatedFutures + d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers) + q := s.Entry.Quantity + if !s.TotalQuantity.IsZero() { + q = s.TotalQuantity.Div(s.Entry.NumLayers) + } + + for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ { + balances := s.session.GetAccount().Balances() + quoteBalance, _ := balances[s.Market.QuoteCurrency] + baseBalance, _ := balances[s.Market.BaseCurrency] + + p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i))))) + + if futuresMode { + //log.Infof("futures mode on") + if q.Mul(p).Compare(quoteBalance.Available) <= 0 { + s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) + s.tradeCollector.Process() + } + } else if s.Environment.IsBackTesting() { + //log.Infof("spot backtest mode on") + if q.Compare(baseBalance.Available) <= 0 { + s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) + s.tradeCollector.Process() + } + } else { + //log.Infof("spot mode on") + if q.Compare(baseBalance.Available) <= 0 { + s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor) + s.tradeCollector.Process() + } + } + } +} + func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { // initial required information s.session = session @@ -220,17 +258,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.pivot = &indicator.Pivot{IntervalWindow: iw} s.pivot.Bind(st) - session.UserDataStream.OnStart(func() { - log.Infof("connected") - }) + s.LastLow = fixedpoint.Zero - var lastLow fixedpoint.Value - futuresMode := s.session.Futures || s.session.IsolatedFutures - d := s.Entry.CatBounceRatio.Div(s.Entry.NumLayers) - q := s.Entry.Quantity - if !s.TotalQuantity.IsZero() { - q = s.TotalQuantity.Div(s.Entry.NumLayers) - } + session.UserDataStream.OnStart(func() { + if price, ok := session.LastPrice(s.Symbol); ok { + limitPrice := s.getValidPivotLow(price) + log.Infof("init place limit sell start from %f adds up to %f percent with %f layers of orders", limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64()) + s.placeLayerOrder(ctx, s.LastLow, limitPrice, price, orderExecutor) + } + }) session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { if kline.Symbol != s.Symbol || kline.Interval != s.Interval { @@ -239,9 +275,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se if s.pivot.LastLow() > 0. { log.Infof("pivot low signal detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time()) - lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow()) + s.LastLow = fixedpoint.NewFromFloat(s.pivot.LastLow()) } else { - if canClosePosition(s.Position, lastLow, kline.Close) { + if canClosePosition(s.Position, s.LastLow, kline.Close) { R := kline.Close.Div(s.Position.AverageCost) if R.Compare(fixedpoint.One.Add(s.Exit.StopLossPercentage)) > 0 { // SL @@ -259,12 +295,12 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se s.tradeCollector.Process() } } - lastLow = fixedpoint.Zero + s.LastLow = fixedpoint.Zero } - if !lastLow.IsZero() { + if !s.LastLow.IsZero() { - s.pivotBuffer = append(s.pivotBuffer, lastLow) + s.pivotBuffer = append(s.pivotBuffer, s.LastLow) if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil { log.WithError(err).Errorf("graceful cancel order error") @@ -272,35 +308,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se limitPrice := s.getValidPivotLow(kline.Close) log.Infof("place limit sell start from %f adds up to %f percent with %f layers of orders", limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers.Float64()) - - for i := 0; i < int(s.Entry.NumLayers.Float64()); i++ { - balances := s.session.GetAccount().Balances() - quoteBalance, _ := balances[s.Market.QuoteCurrency] - baseBalance, _ := balances[s.Market.BaseCurrency] - - p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i))))) - - if futuresMode { - //log.Infof("futures mode on") - if q.Mul(p).Compare(quoteBalance.Available) <= 0 { - s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor) - s.tradeCollector.Process() - } - } else if s.Environment.IsBackTesting() { - //log.Infof("spot backtest mode on") - if q.Compare(baseBalance.Available) <= 0 { - s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor) - s.tradeCollector.Process() - } - } else { - //log.Infof("spot mode on") - if q.Compare(baseBalance.Available) <= 0 { - s.placeOrder(ctx, lastLow, p, kline.Close, q, orderExecutor) - s.tradeCollector.Process() - } - } - - } + s.placeLayerOrder(ctx, s.LastLow, limitPrice, kline.Close, orderExecutor) //s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor) } })