mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
fix: add series.filter, fix fixedpoint.Four, fix modifiable for embedded fields, change drift to use openPosition, modify openPosition behavior
This commit is contained in:
parent
da6161ddda
commit
fd875c7060
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@ -25,35 +25,36 @@ exchangeStrategies:
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drift:
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canvasPath: "./output.png"
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symbol: ETHBUSD
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limitOrder: false
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# kline interval for indicators
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interval: 15m
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window: 2
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stoploss: 4.3%
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source: close
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interval: 2m
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window: 6
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stoploss: 0.23%
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source: ohlc4
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predictOffset: 2
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noTrailingStopLoss: true
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noTrailingStopLoss: false
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.1
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hlRangeWindow: 5
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window1m: 49
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smootherWindow1m: 80
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fisherTransformWindow1m: 74
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hlVarianceMultiplier: 0.03
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hlRangeWindow: 4
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smootherWindow: 3
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fisherTransformWindow: 160
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fisherTransformWindow: 117
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window1m: 42
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smootherWindow1m: 118
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fisherTransformWindow1m: 319
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 10
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pendingMinutes: 3
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noRebalance: true
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trendWindow: 12
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rebalanceFilter: 1.5
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rebalanceFilter: 2
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trailingActivationRatio: [0.003]
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trailingCallbackRate: [0.0006]
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driftFilterPos: 1.2
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driftFilterNeg: -1.2
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ddriftFilterPos: 0.4
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ddriftFilterNeg: -0.4
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trailingActivationRatio: [0.0015, 0.002, 0.004, 0.01]
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trailingCallbackRate: [0.0001, 0.00012, 0.001, 0.002]
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#driftFilterPos: 0.4
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#driftFilterNeg: -0.42
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#ddriftFilterPos: 0
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#ddriftFilterNeg: 0
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generateGraph: true
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graphPNLDeductFee: true
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@ -91,15 +92,15 @@ sync:
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- ETHBUSD
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backtest:
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startTime: "2022-01-01"
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endTime: "2022-08-30"
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startTime: "2022-09-01"
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endTime: "2022-09-30"
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symbols:
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- ETHBUSD
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sessions: [binance]
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accounts:
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binance:
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makerFeeRate: 0.0000
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#takerFeeRate: 0.00001
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takerFeeRate: 0.0000
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balances:
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ETH: 10
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BUSD: 5000.0
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ETH: 0
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BUSD: 1000.0
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@ -8,7 +8,10 @@ persistence:
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sessions:
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binance:
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exchange: binance
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futures: false
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#futures: true
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#margin: true
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#isolatedMargin: true
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#isolatedMarginSymbol: BTCUSDT
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envVarPrefix: binance
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heikinAshi: false
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@ -23,34 +26,35 @@ exchangeStrategies:
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- on: binance
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drift:
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limitOrder: false
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canvasPath: "./output.png"
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symbol: BTCUSDT
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# kline interval for indicators
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interval: 4m
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window: 1
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stoploss: 0.22%
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source: hl2
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window: 2
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stoploss: 0.13%
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source: ohlc4
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: realtime
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trailingStopLossType: kline
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# stddev on high/low-source
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hlVarianceMultiplier: 0.01
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hlRangeWindow: 5
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smootherWindow: 2
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fisherTransformWindow: 27
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window1m: 58
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smootherWindow1m: 118
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fisherTransformWindow1m: 319
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hlVarianceMultiplier: 0.22
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hlRangeWindow: 4
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smootherWindow: 1
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fisherTransformWindow: 96
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window1m: 8
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smootherWindow1m: 4
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fisherTransformWindow1m: 320
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atrWindow: 14
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# orders not been traded will be canceled after `pendingMinutes` minutes
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pendingMinutes: 2
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pendingMinutes: 10
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noRebalance: true
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trendWindow: 576
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rebalanceFilter: 0
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driftFilterPos: 0.6
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driftFilterNeg: -0.6
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ddriftFilterPos: 0.00008
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ddriftFilterNeg: -0.00008
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rebalanceFilter: 1.2
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#driftFilterPos: 0.5
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#driftFilterNeg: -0.5
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#ddriftFilterPos: 0.0008
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#ddriftFilterNeg: -0.0008
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# ActivationRatio should be increasing order
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# when farest price from entry goes over that ratio, start using the callback ratio accordingly to do trailingstop
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@ -135,4 +139,4 @@ backtest:
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takerFeeRate: 0.000
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balances:
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BTC: 0
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USDT: 21
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USDT: 1000
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@ -197,17 +197,14 @@ type OpenPositionOptions struct {
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// Leverage is used for leveraged position and account
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// Leverage is not effected when using non-leverage spot account
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Leverage fixedpoint.Value `json:"leverage,omitempty"`
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Leverage fixedpoint.Value `json:"leverage,omitempty" modifiable:"true"`
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// Quantity will be used first, it will override the leverage if it's given
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Quantity fixedpoint.Value `json:"quantity,omitempty"`
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// MarketOrder set to true to open a position with a market order
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// default is MarketOrder = true
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MarketOrder bool `json:"marketOrder,omitempty"`
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// LimitOrder set to true to open a position with a limit order
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LimitOrder bool `json:"limitOrder,omitempty"`
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// default is false, and will send MarketOrder
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LimitOrder bool `json:"limitOrder,omitempty" modifiable:"true"`
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// LimitOrderTakerRatio is used when LimitOrder = true, it adjusts the price of the limit order with a ratio.
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// So you can ensure that the limit order can be a taker order. Higher the ratio, higher the chance it could be a taker order.
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@ -222,7 +219,9 @@ type OpenPositionOptions struct {
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Tags []string `json:"-" yaml:"-"`
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}
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func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) error {
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var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.005)
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func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPositionOptions) (types.OrderSlice, error) {
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price := options.Price
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submitOrder := types.SubmitOrder{
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Symbol: e.position.Symbol,
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@ -246,24 +245,34 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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}
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}
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if options.MarketOrder {
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submitOrder.Type = types.OrderTypeMarket
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} else if options.LimitOrder {
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if options.LimitOrder {
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submitOrder.Type = types.OrderTypeLimit
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submitOrder.Price = price
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}
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quantity := options.Quantity
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market, ok := e.session.Market(e.symbol)
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if !ok {
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return nil, errors.New("cannot find market with symbol " + e.symbol)
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}
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if options.Long {
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if quantity.IsZero() {
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quoteQuantity, err := CalculateQuoteQuantity(ctx, e.session, e.position.QuoteCurrency, options.Leverage)
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if err != nil {
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return err
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if quoteQuantity.IsZero() {
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log.Warnf("dust quantity: %v", quantity)
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return nil, nil
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}
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if err != nil {
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return nil, err
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}
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quantity = quoteQuantity.Div(price)
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}
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if market.IsDustQuantity(quantity, price) {
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log.Warnf("dust quantity: %v", quantity)
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return nil, nil
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}
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quoteQuantity := quantity.Mul(price)
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if e.session.Margin && !e.marginQuoteMaxBorrowable.IsZero() && quoteQuantity.Compare(e.marginQuoteMaxBorrowable) > 0 {
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@ -274,21 +283,34 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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submitOrder.Side = types.SideTypeBuy
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submitOrder.Quantity = quantity
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Notify("Opening %s long position with quantity %f at price %f", e.position.Symbol, quantity.Float64(), price.Float64())
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Notify("Opening %s long position with quantity %v at price %v", e.position.Symbol, quantity, price)
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for {
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createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
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if err2 != nil {
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return err2
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submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
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if market.IsDustQuantity(submitOrder.Quantity, price) {
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return nil, err2
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}
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continue
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}
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log.Infof("created order: %+v", createdOrder)
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return nil
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return createdOrder, nil
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}
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} else if options.Short {
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if quantity.IsZero() {
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var err error
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quantity, err = CalculateBaseQuantity(e.session, e.position.Market, price, quantity, options.Leverage)
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if err != nil {
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return err
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if quantity.IsZero() {
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log.Warnf("dust quantity: %v", quantity)
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return nil, nil
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}
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if err != nil {
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return nil, err
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}
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}
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if market.IsDustQuantity(quantity, price) {
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log.Warnf("dust quantity: %v", quantity)
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return nil, nil
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}
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if e.session.Margin && !e.marginBaseMaxBorrowable.IsZero() && quantity.Sub(baseBalance.Available).Compare(e.marginBaseMaxBorrowable) > 0 {
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@ -300,17 +322,22 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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submitOrder.Side = types.SideTypeSell
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submitOrder.Quantity = quantity
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Notify("Opening %s short position with quantity %f at price %f", e.position.Symbol, quantity.Float64(), price.Float64())
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Notify("Opening %s short position with quantity %v at price %v", e.position.Symbol, quantity, price)
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for {
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createdOrder, err2 := e.SubmitOrders(ctx, submitOrder)
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if err2 != nil {
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return err2
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submitOrder.Quantity = submitOrder.Quantity.Mul(fixedpoint.One.Sub(Delta))
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if market.IsDustQuantity(submitOrder.Quantity, price) {
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return nil, err2
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}
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continue
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}
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log.Infof("created order: %+v", createdOrder)
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return nil
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return createdOrder, nil
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}
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}
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return errors.New("options Long or Short must be set")
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return nil, errors.New("options Long or Short must be set")
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}
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// GracefulCancelActiveOrderBook cancels the orders from the active orderbook.
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@ -29,11 +29,20 @@ func LookupSymbolField(rs reflect.Value) (string, bool) {
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// Used by bbgo/interact_modify.go
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func GetModifiableFields(val reflect.Value, callback func(tagName, name string)) {
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if val.Kind() == reflect.Ptr {
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val = val.Elem()
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}
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if !val.IsValid() {
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return
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}
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for i := 0; i < val.Type().NumField(); i++ {
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t := val.Type().Field(i)
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if !t.IsExported() {
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continue
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}
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if t.Anonymous {
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GetModifiableFields(val.Field(i), callback)
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}
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modifiable := t.Tag.Get("modifiable")
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if modifiable != "true" {
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continue
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@ -50,6 +59,17 @@ func GetModifiableFields(val reflect.Value, callback func(tagName, name string))
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var zeroValue reflect.Value = reflect.Zero(reflect.TypeOf(0))
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func GetModifiableField(val reflect.Value, name string) (reflect.Value, bool) {
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if val.Kind() == reflect.Ptr {
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if val.IsNil() {
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return zeroValue, false
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}
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}
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if val.Kind() != reflect.Struct {
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return zeroValue, false
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}
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if !val.IsValid() {
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return zeroValue, false
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}
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field, ok := val.Type().FieldByName(name)
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if !ok {
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return zeroValue, ok
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@ -61,5 +81,9 @@ func GetModifiableField(val reflect.Value, name string) (reflect.Value, bool) {
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if jsonTag == "" || jsonTag == "-" {
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return zeroValue, false
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}
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return val.FieldByName(name), true
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value, err := val.FieldByIndexErr(field.Index)
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if err != nil {
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return zeroValue, false
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}
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return value, true
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}
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@ -2,6 +2,7 @@ package dynamic
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import (
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"encoding/json"
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"fmt"
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"reflect"
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"testing"
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@ -9,7 +10,17 @@ import (
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"github.com/stretchr/testify/assert"
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)
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type Inner struct {
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Field5 float64 `json:"field5,omitempty" modifiable:"true"`
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}
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type InnerPointer struct {
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Field6 float64 `json:"field6" modifiable:"true"`
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}
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type Strategy struct {
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Inner
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*InnerPointer
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Field1 fixedpoint.Value `json:"field1" modifiable:"true"`
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Field2 float64 `json:"field2"`
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field3 float64 `json:"field3" modifiable:"true"`
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@ -24,7 +35,7 @@ func TestGetModifiableFields(t *testing.T) {
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assert.NotEqual(t, name, "Field2")
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assert.NotEqual(t, tagName, "field3")
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assert.NotEqual(t, name, "Field3")
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fmt.Println(tagName, name)
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})
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}
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@ -34,6 +45,13 @@ func TestGetModifiableField(t *testing.T) {
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val := reflect.ValueOf(s).Elem()
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_, ok := GetModifiableField(val, "Field1")
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assert.True(t, ok)
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_, ok = GetModifiableField(val, "Field5")
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assert.True(t, ok)
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_, ok = GetModifiableField(val, "Field6")
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assert.False(t, ok)
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s.InnerPointer = &InnerPointer{}
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_, ok = GetModifiableField(val, "Field6")
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assert.True(t, ok)
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_, ok = GetModifiableField(val, "Field2")
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assert.False(t, ok)
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_, ok = GetModifiableField(val, "Field3")
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@ -3,5 +3,5 @@ package fixedpoint
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var (
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Two Value = NewFromInt(2)
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Three Value = NewFromInt(3)
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Four Value = NewFromInt(3)
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Four Value = NewFromInt(4)
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)
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@ -39,6 +39,7 @@ func init() {
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type Strategy struct {
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Symbol string `json:"symbol"`
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bbgo.OpenPositionOptions
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bbgo.StrategyController
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types.Market
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types.IntervalWindow
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@ -70,6 +71,7 @@ type Strategy struct {
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beta float64
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Leverage fixedpoint.Value `json:"leverage" modifiable:"true"`
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StopLoss fixedpoint.Value `json:"stoploss" modifiable:"true"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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@ -90,10 +92,10 @@ type Strategy struct {
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TrailingCallbackRate []float64 `json:"trailingCallbackRate" modifiable:"true"`
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TrailingActivationRatio []float64 `json:"trailingActivationRatio" modifiable:"true"`
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DriftFilterNeg float64 `json:"driftFilterNeg" modifiable:"true"`
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DriftFilterPos float64 `json:"driftFilterPos" modifiable:"true"`
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DDriftFilterNeg float64 `json:"ddriftFilterNeg" modifiable:"true"`
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DDriftFilterPos float64 `json:"ddriftFilterPos" modifiable:"true"`
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DriftFilterNeg float64 //`json:"driftFilterNeg" modifiable:"true"`
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DriftFilterPos float64 //`json:"driftFilterPos" modifiable:"true"`
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DDriftFilterNeg float64 //`json:"ddriftFilterNeg" modifiable:"true"`
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DDriftFilterPos float64 //`json:"ddriftFilterPos" modifiable:"true"`
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buyPrice float64 `persistence:"buy_price"`
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sellPrice float64 `persistence:"sell_price"`
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@ -147,10 +149,11 @@ func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) bool {
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order := s.p.NewMarketCloseOrder(percentage)
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if order == nil {
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return nil
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s.positionLock.Unlock()
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return false
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}
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order.Tag = "close"
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order.TimeInForce = ""
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@ -165,16 +168,18 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
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order.Quantity = baseBalance
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}
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order.MarginSideEffect = types.SideEffectTypeAutoRepay
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s.positionLock.Unlock()
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for {
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if s.Market.IsDustQuantity(order.Quantity, price) {
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return nil
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return false
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}
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_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
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if err != nil {
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order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
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continue
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}
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return nil
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return true
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}
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}
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@ -217,6 +222,7 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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if !ok || klinesLength == 0 {
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return errors.New("klines not exists")
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}
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log.Infof("loaded %d klines", klinesLength)
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for _, kline := range *klines {
|
||||
source := s.GetSource(&kline).Float64()
|
||||
high := kline.High.Float64()
|
||||
|
@ -237,6 +243,7 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
|
|||
if !ok || klinesLength == 0 {
|
||||
return errors.New("klines not exists")
|
||||
}
|
||||
log.Infof("loaded %d klines1m", klinesLength)
|
||||
for _, kline := range *klines {
|
||||
source := s.GetSource(&kline).Float64()
|
||||
s.drift1m.Update(source, kline.Volume.Abs().Float64())
|
||||
|
@ -377,9 +384,9 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
|
|||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= pricef ||
|
||||
s.trailingCheck(pricef, "long"))
|
||||
if exitShortCondition || exitLongCondition {
|
||||
if s.ClosePosition(ctx, fixedpoint.One) {
|
||||
log.Infof("Close position by orderbook changes")
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
} else {
|
||||
s.positionLock.Unlock()
|
||||
}
|
||||
|
@ -616,7 +623,6 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
|
|||
exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
|
||||
s.trailingCheck(lowf, "long") /* || s.drift1m.Last() < 0*/)
|
||||
if exitShortCondition || exitLongCondition {
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
} else {
|
||||
s.positionLock.Unlock()
|
||||
|
@ -629,7 +635,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
|
||||
s.frameKLine.Set(&kline)
|
||||
|
||||
source := s.GetSource(s.frameKLine)
|
||||
source := s.GetSource(&kline)
|
||||
sourcef := source.Float64()
|
||||
s.priceLines.Update(sourcef)
|
||||
s.ma.Update(sourcef)
|
||||
|
@ -664,7 +670,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
stoploss := s.StopLoss.Float64()
|
||||
|
||||
s.positionLock.Lock()
|
||||
log.Infof("highdiff: %3.2f ma: %.2f, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
|
||||
log.Infof("highdiff: %3.2f ma: %.2f, open: %8v, close: %8v, high: %8v, low: %8v, time: %v %v", s.stdevHigh.Last(), s.ma.Last(), kline.Open, kline.Close, kline.High, kline.Low, kline.StartTime, kline.EndTime)
|
||||
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
||||
s.lowestPrice = lowf
|
||||
}
|
||||
|
@ -688,6 +694,18 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
s.Market.QuoteCurrency,
|
||||
balances[s.Market.QuoteCurrency].String(),
|
||||
)
|
||||
s.DriftFilterPos = s.drift.Filter(func(i int, v float64) bool {
|
||||
return v >= 0
|
||||
}, 30).Mean(30)
|
||||
s.DriftFilterNeg = s.drift.Filter(func(i int, v float64) bool {
|
||||
return v <= 0
|
||||
}, 30).Mean(30)
|
||||
s.DDriftFilterPos = s.drift.drift.Filter(func(i int, v float64) bool {
|
||||
return v >= 0
|
||||
}, 30).Mean(30)
|
||||
s.DDriftFilterNeg = s.drift.drift.Filter(func(i int, v float64) bool {
|
||||
return v <= 0
|
||||
}, 30).Mean(30)
|
||||
|
||||
shortCondition := (drift[1] >= s.DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= s.DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
|
||||
longCondition := (drift[1] <= s.DriftFilterPos || ddrift[1] <= 0) && (driftPred >= s.DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
|
||||
|
@ -709,49 +727,40 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
}
|
||||
|
||||
if longCondition {
|
||||
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
||||
log.WithError(err).Errorf("cannot cancel orders")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
||||
/*source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}*/
|
||||
source = fixedpoint.NewFromFloat(s.ma.Last() - s.stdevLow.Last()*s.HighLowVarianceMultiplier)
|
||||
if source.Compare(price) > 0 {
|
||||
source = price
|
||||
}
|
||||
sourcef = source.Float64()
|
||||
log.Infof("source in long %v %v %f", source, price, s.stdevLow.Last())
|
||||
|
||||
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get quoteCurrency")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
if s.Market.IsDustQuantity(
|
||||
quoteBalance.Available.Div(source), source) {
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
quantity := quoteBalance.Available.Div(source)
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeBuy,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: source,
|
||||
Quantity: quantity,
|
||||
Tag: "long",
|
||||
})
|
||||
opt := s.OpenPositionOptions
|
||||
opt.Long = true
|
||||
opt.Price = source
|
||||
opt.Tags = []string{"long"}
|
||||
createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
|
||||
log.Infof("orders %v", createdOrders)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place buy order")
|
||||
return
|
||||
}
|
||||
if createdOrders != nil {
|
||||
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
||||
}
|
||||
return
|
||||
}
|
||||
if shortCondition {
|
||||
|
@ -760,13 +769,11 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
||||
if !ok {
|
||||
log.Errorf("unable to get baseBalance")
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
||||
/*source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
||||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}*/
|
||||
source = fixedpoint.NewFromFloat(s.ma.Last() + s.stdevHigh.Last()*s.HighLowVarianceMultiplier)
|
||||
if source.Compare(price) < 0 {
|
||||
source = price
|
||||
}
|
||||
|
@ -774,32 +781,29 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
|
|||
|
||||
log.Infof("source in short: %v", source)
|
||||
|
||||
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
||||
s.positionLock.Unlock()
|
||||
return
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
// Cleanup pending StopOrders
|
||||
quantity := baseBalance.Available
|
||||
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
||||
Symbol: s.Symbol,
|
||||
Side: types.SideTypeSell,
|
||||
Type: types.OrderTypeLimit,
|
||||
Price: source,
|
||||
Quantity: quantity,
|
||||
Tag: "short",
|
||||
})
|
||||
opt := s.OpenPositionOptions
|
||||
opt.Short = true
|
||||
opt.Price = source
|
||||
opt.Tags = []string{"long"}
|
||||
createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
|
||||
log.Infof("orders %v", createdOrders)
|
||||
if err != nil {
|
||||
log.WithError(err).Errorf("cannot place sell order")
|
||||
log.WithError(err).Errorf("cannot place buy order")
|
||||
return
|
||||
}
|
||||
if createdOrders != nil {
|
||||
s.orderPendingCounter[createdOrders[0].OrderID] = s.minutesCounter
|
||||
}
|
||||
return
|
||||
}
|
||||
s.positionLock.Unlock()
|
||||
}
|
||||
|
||||
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
||||
if s.Leverage == fixedpoint.Zero {
|
||||
s.Leverage = fixedpoint.One
|
||||
}
|
||||
instanceID := s.InstanceID()
|
||||
// Will be set by persistence if there's any from DB
|
||||
if s.Position == nil {
|
||||
|
@ -885,15 +889,11 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
|
|||
s.highestPrice = 0
|
||||
s.lowestPrice = 0
|
||||
} else if s.p.IsLong() {
|
||||
s.buyPrice = trade.Price.Float64()
|
||||
s.sellPrice = 0
|
||||
s.highestPrice = s.buyPrice
|
||||
s.lowestPrice = 0
|
||||
} else {
|
||||
s.sellPrice = trade.Price.Float64()
|
||||
s.buyPrice = 0
|
||||
s.highestPrice = 0
|
||||
s.lowestPrice = s.sellPrice
|
||||
}
|
||||
} else if tag == "long" {
|
||||
if s.p.IsDust(trade.Price) {
|
||||
|
|
|
@ -230,7 +230,7 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
|
|||
opts.Price = previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
|
||||
}
|
||||
|
||||
if err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
|
||||
if _, err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
|
||||
log.WithError(err).Errorf("failed to open short position")
|
||||
}
|
||||
}))
|
||||
|
|
|
@ -289,7 +289,7 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
|
|||
opts.Short = true
|
||||
opts.Price = closePrice
|
||||
opts.Tags = []string{"FailedBreakHighMarket"}
|
||||
if err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
|
||||
if _, err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
|
||||
log.WithError(err).Errorf("failed to open short position")
|
||||
}
|
||||
}))
|
||||
|
|
|
@ -112,6 +112,7 @@ type SeriesExtend interface {
|
|||
Softmax(window int) SeriesExtend
|
||||
Entropy(window int) float64
|
||||
CrossEntropy(b Series, window int) float64
|
||||
Filter(b func(i int, value float64) bool, length int) SeriesExtend
|
||||
}
|
||||
|
||||
type SeriesBase struct {
|
||||
|
@ -997,6 +998,51 @@ func Rolling(a Series, window int) *RollingResult {
|
|||
return &RollingResult{a, window}
|
||||
}
|
||||
|
||||
type FilterResult struct {
|
||||
a Series
|
||||
b func(int, float64) bool
|
||||
length int
|
||||
c []int
|
||||
}
|
||||
|
||||
func (f *FilterResult) Last() float64 {
|
||||
return f.Index(0)
|
||||
}
|
||||
|
||||
func (f *FilterResult) Index(j int) float64 {
|
||||
if j >= f.length {
|
||||
return 0
|
||||
}
|
||||
if len(f.c) > j {
|
||||
return f.a.Index(f.c[j])
|
||||
}
|
||||
l := f.a.Length()
|
||||
k := len(f.c)
|
||||
i := 0
|
||||
if k > 0 {
|
||||
i = f.c[k-1] + 1
|
||||
}
|
||||
for ; i < l; i++ {
|
||||
tmp := f.a.Index(i)
|
||||
if f.b(i, tmp) {
|
||||
f.c = append(f.c, i)
|
||||
if j == k {
|
||||
return tmp
|
||||
}
|
||||
k++
|
||||
}
|
||||
}
|
||||
return 0
|
||||
}
|
||||
|
||||
func (f *FilterResult) Length() int {
|
||||
return f.length
|
||||
}
|
||||
|
||||
func Filter(a Series, b func(i int, value float64) bool, length int) SeriesExtend {
|
||||
return NewSeries(&FilterResult{a, b, length, nil})
|
||||
}
|
||||
|
||||
type SigmoidResult struct {
|
||||
a Series
|
||||
}
|
||||
|
|
|
@ -170,3 +170,13 @@ func TestPlot(t *testing.T) {
|
|||
//defer f.Close()
|
||||
//ct.Render(chart.PNG, f)
|
||||
}
|
||||
|
||||
func TestFilter(t *testing.T) {
|
||||
a := floats.Slice{200., -200, 0, 1000, -100}
|
||||
b := Filter(&a, func(i int, val float64) bool {
|
||||
return val > 0
|
||||
}, 4)
|
||||
assert.Equal(t, b.Length(), 4)
|
||||
assert.Equal(t, b.Last(), 1000.)
|
||||
assert.Equal(t, b.Sum(3), 1200.)
|
||||
}
|
||||
|
|
|
@ -146,3 +146,7 @@ func (s *SeriesBase) Entropy(window int) float64 {
|
|||
func (s *SeriesBase) CrossEntropy(b Series, window int) float64 {
|
||||
return CrossEntropy(s, b, window)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) Filter(b func(int, float64) bool, length int) SeriesExtend {
|
||||
return Filter(s, b, length)
|
||||
}
|
||||
|
|
Loading…
Reference in New Issue
Block a user