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https://github.com/c9s/bbgo.git
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fix: doing some performance tuning
This commit is contained in:
zenix
parent
66a401f93f
commit
fcf29f7e11
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@ -9,17 +9,18 @@ exchangeStrategies:
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- on: binance
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ewo_dgtrd:
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symbol: MATICUSDT
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interval: 1h
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threshold: 13
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interval: 15m
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threshold: 0.9
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useEma: true
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sigWin: 5
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stoploss: 2%
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backtest:
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startTime: "2022-03-01"
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endTime: "2022-04-10"
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startTime: "2022-04-09"
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endTime: "2022-04-13"
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symbols:
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- MATICUSDT
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sessions: [binance]
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account:
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binance:
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balances:
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@ -14,6 +14,7 @@ import (
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const ID = "ewo_dgtrd"
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var log = logrus.WithField("strategy", ID)
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var modifier = fixedpoint.NewFromFloat(0.99)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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@ -49,21 +50,25 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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log.Errorf("cannot get indicatorSet of %s", s.Symbol)
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return nil
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}
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//store, ok := session.MarketDataStore(s.Symbol)
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//if !ok {
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// log.Errorf("cannot get marketdatastore of %s", s.Symbol)
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// return nil
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//}
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orders, ok := session.OrderStore(s.Symbol)
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if !ok {
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log.Errorf("cannot get orderbook of %s", s.Symbol)
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return nil
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}
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/*store, ok := session.MarketDataStore(s.Symbol)
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if !ok {
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log.Errorf("cannot get marketdatastore of %s", s.Symbol)
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return nil
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}*/
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market, ok := session.Market(s.Symbol)
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if !ok {
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log.Errorf("fetch market fail %s", s.Symbol)
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return nil
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}
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//window, ok := store.KLinesOfInterval(s.Interval)
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//if !ok {
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// log.Errorf("cannot get klinewindow of %s", s.Interval)
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//}
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//mid := types.Div(types.Add(window.Open(), window.Close()), 2)
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/*window, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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log.Errorf("cannot get klinewindow of %s", s.Interval)
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}*/
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var ma5, ma34, ewo types.Series
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if s.UseEma {
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ma5 = indicatorSet.EWMA(types.IntervalWindow{s.Interval, 5})
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@ -81,7 +86,6 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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entryPrice := fixedpoint.Zero
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stopPrice := fixedpoint.Zero
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inTrade := false
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tradeDirectionLong := true
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol {
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@ -106,22 +110,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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// stoploss
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if inTrade {
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if tradeDirectionLong && kline.Low.Compare(stopPrice) <= 0 {
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balances := session.Account.Balances()
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baseBalance := balances[market.BaseCurrency].Available
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baseAmount := baseBalance.Mul(lastPrice)
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if baseBalance.Sign() <= 0 ||
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baseBalance.Compare(market.MinQuantity) < 0 ||
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baseAmount.Compare(market.MinNotional) < 0 {
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//log.Infof("base balance %v is not enough. stop generating sell orders", baseBalance)
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return
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}
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if tradeDirectionLong && kline.Low.Compare(stopPrice) <= 0 && !stopPrice.IsZero() {
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balances := session.Account.Balances()
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baseBalance := balances[market.BaseCurrency].Available.Mul(modifier)
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baseAmount := baseBalance.Mul(lastPrice)
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if baseBalance.Sign() <= 0 ||
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baseBalance.Compare(market.MinQuantity) < 0 ||
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baseAmount.Compare(market.MinNotional) < 0 {
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} else {
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: baseBalance,
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Price: lastPrice,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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@ -130,28 +132,26 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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log.Warnf("StopLoss Long at %v", lastPrice)
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inTrade = false
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entryPrice = fixedpoint.Zero
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stopPrice = fixedpoint.Zero
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}
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} else if !tradeDirectionLong && kline.High.Compare(stopPrice) >= 0 && !stopPrice.IsZero() {
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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return
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} else if !tradeDirectionLong && kline.High.Compare(stopPrice) >= 0 {
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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return
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}
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quantityAmount := quoteBalance.Available
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totalQuantity := quantityAmount.Div(lastPrice)
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if quantityAmount.Sign() <= 0 ||
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quantityAmount.Compare(market.MinNotional) < 0 ||
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totalQuantity.Compare(market.MinQuantity) < 0 {
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//log.Infof("quote balance %v is not enough. stop generating buy orders", quoteBalance)
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return
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}
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}
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quantityAmount := quoteBalance.Available
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totalQuantity := quantityAmount.Div(lastPrice).Mul(modifier)
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if quantityAmount.Sign() <= 0 ||
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quantityAmount.Compare(market.MinNotional) < 0 ||
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totalQuantity.Compare(market.MinQuantity) < 0 {
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} else {
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: totalQuantity,
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Price: lastPrice,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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@ -160,36 +160,37 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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log.Warnf("StopLoss Short at %v", lastPrice)
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inTrade = false
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entryPrice = fixedpoint.Zero
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stopPrice = fixedpoint.Zero
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return
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}
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}
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if kline.Interval != s.Interval {
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return
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}
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var toCancel []types.Order
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for _, order := range orders.Orders() {
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if order.Status == types.OrderStatusNew || order.Status == types.OrderStatusPartiallyFilled {
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toCancel = append(toCancel, order)
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}
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}
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if err := orderExecutor.CancelOrders(ctx, toCancel...); err != nil {
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log.WithError(err).Errorf("cancel order error")
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}
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longSignal := types.CrossOver(ewo, ewoSignal)
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shortSignal := types.CrossUnder(ewo, ewoSignal)
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IsBull := kline.Close.Compare(kline.Open) > 0
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//nextVal := types.Predict(mid, 3, 1)
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//IsBull := lastPrice.Float64() < nextVal
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//log.Warnf("mid %v, last %v, next %v", kline.Mid(), mid.Last(), nextVal)
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//log.Warnf("long %v %v, short %v %v", longSignal.Index(1), longSignal.Last(), shortSignal.Index(1), shortSignal.Last())
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//log.Infof("(%f, %f, %f) (%f, %f, %f)", ewo.Last(), ewo.Index(1), ewo.Index(2), ewoSignal.Last(), ewoSignal.Index(1), ewoSignal.Index(2))
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//log.Infof("long %v %v %v", longSignal.Last(), longSignal.Index(1), ewo.Last() >= ewoSignal.Last() && ewoSignal.Index(1) >= ewo.Index(1))
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//log.Infof("short %v %v", shortSignal.Last(), shortSignal.Index(1))
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var orders []types.SubmitOrder
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price := lastPrice
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if longSignal.Index(1) && !shortSignal.Last() && IsBull {
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quoteBalance, ok := session.Account.Balance(market.QuoteCurrency)
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if !ok {
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return
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}
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quantityAmount := quoteBalance.Available
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totalQuantity := quantityAmount.Div(lastPrice)
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totalQuantity := quantityAmount.Div(price).Mul(modifier).Div(types.Two)
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if quantityAmount.Sign() <= 0 ||
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quantityAmount.Compare(market.MinNotional) < 0 ||
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totalQuantity.Compare(market.MinQuantity) < 0 {
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@ -198,19 +199,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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if ewo.Last() < -s.Threshold {
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// strong long
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log.Infof("strong long at %v, timestamp: %s", lastPrice, kline.StartTime)
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log.Infof("strong long at %v, timestamp: %s", price, kline.StartTime)
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orders = append(orders, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: lastPrice,
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Quantity: totalQuantity,
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Type: types.OrderTypeMarket,
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Price: price,
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Quantity: totalQuantity.Mul(types.Two),
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if ewo.Last() < 0 {
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log.Infof("long at %v, amount: %v, timestamp: %s", lastPrice, lastPrice.Mul(totalQuantity), kline.StartTime)
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log.Infof("long at %v, timestamp: %s", price, kline.StartTime)
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// Long
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// TODO: smaller quantity?
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@ -218,8 +219,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: lastPrice,
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Type: types.OrderTypeMarket,
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Price: price,
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Quantity: totalQuantity,
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Market: market,
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TimeInForce: types.TimeInForceGTC,
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@ -227,8 +228,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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} else if shortSignal.Index(1) && !longSignal.Last() && !IsBull {
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balances := session.Account.Balances()
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baseBalance := balances[market.BaseCurrency].Available
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baseAmount := baseBalance.Mul(lastPrice)
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baseBalance := balances[market.BaseCurrency].Available.Mul(modifier).Div(types.Two)
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baseAmount := baseBalance.Mul(price)
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if baseBalance.Sign() <= 0 ||
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baseBalance.Compare(market.MinQuantity) < 0 ||
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baseAmount.Compare(market.MinNotional) < 0 {
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@ -237,27 +238,27 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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if ewo.Last() > s.Threshold {
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// Strong short
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log.Infof("strong short at %v, timestamp: %s", lastPrice, kline.StartTime)
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log.Infof("strong short at %v, timestamp: %s", price, kline.StartTime)
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Type: types.OrderTypeMarket,
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Market: market,
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Quantity: baseBalance,
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Price: lastPrice,
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Quantity: baseBalance.Mul(types.Two),
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Price: price,
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TimeInForce: types.TimeInForceGTC,
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})
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} else if ewo.Last() > 0 {
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// short
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log.Infof("short at %v, timestamp: %s", lastPrice, kline.StartTime)
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log.Infof("short at %v, timestamp: %s", price, kline.StartTime)
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// TODO: smaller quantity?
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orders = append(orders, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Type: types.OrderTypeMarket,
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Market: market,
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Quantity: baseBalance,
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Price: lastPrice,
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Price: price,
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TimeInForce: types.TimeInForceGTC,
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})
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}
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@ -269,14 +270,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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return
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}
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entryPrice = lastPrice
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inTrade = true
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tradeDirectionLong = IsBull
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if tradeDirectionLong {
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stopPrice = entryPrice.Mul(fixedpoint.One.Sub(s.StopLoss))
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} else {
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stopPrice = entryPrice.Mul(fixedpoint.One.Add(s.StopLoss))
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}
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log.Infof("Place orders %v", createdOrders)
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log.Infof("Place orders %v stop @ %v", createdOrders, stopPrice)
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}
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})
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return nil
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