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https://github.com/c9s/bbgo.git
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Merge pull request #969 from zenixls2/fix/precheck_reduceQuantity
fix: reduce Quantity precheck, drift condition, ewo refactor
This commit is contained in:
Yo-An Lin
GitHub
commit
ffdf2a69a4
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@ -27,29 +27,30 @@ exchangeStrategies:
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- on: binance
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drift:
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limitOrder: false
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quantity: 0.001
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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: 2
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stoploss: 0.13%
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source: ohlc4
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interval: 1m
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window: 4
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stoploss: 0.02%
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source: hl2
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predictOffset: 2
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noTrailingStopLoss: false
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trailingStopLossType: kline
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trailingStopLossType: realtime
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# stddev on high/low-source
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hlVarianceMultiplier: 0.22
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hlVarianceMultiplier: 0.2
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hlRangeWindow: 4
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smootherWindow: 1
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fisherTransformWindow: 96
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smootherWindow: 31
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fisherTransformWindow: 80
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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: 10
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pendingMinutes: 3
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noRebalance: true
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trendWindow: 576
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trendWindow: 185
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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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@ -60,12 +61,12 @@ exchangeStrategies:
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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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#trailingActivationRatio: [0.01, 0.016, 0.05]
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#trailingActivationRatio: [0.001, 0.0081, 0.022]
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trailingActivationRatio: [0.0012, 0.0016, 0.01]
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trailingActivationRatio: [0.0007, 0.0016, 0.008, 0.01]
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#trailingActivationRatio: []
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#trailingCallbackRate: []
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#trailingCallbackRate: [0.002, 0.01, 0.1]
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#trailingCallbackRate: [0.0004, 0.0009, 0.018]
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trailingCallbackRate: [0.0003, 0.0006, 0.0019]
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trailingCallbackRate: [0.0003, 0.0005, 0.0010, 0.0016]
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generateGraph: true
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graphPNLDeductFee: false
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@ -128,7 +129,7 @@ sync:
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- BTCUSDT
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backtest:
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startTime: "2022-09-01"
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startTime: "2022-09-26"
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endTime: "2022-09-30"
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symbols:
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- BTCUSDT
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@ -139,4 +140,4 @@ backtest:
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takerFeeRate: 0.000
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balances:
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BTC: 0
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USDT: 1000
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USDT: 50
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@ -24,12 +24,14 @@ exchangeStrategies:
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- on: binance
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elliottwave:
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symbol: BNBBUSD
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limitOrder: true
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quantity: 0.16
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# kline interval for indicators
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interval: 3m
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stoploss: 0.2%
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interval: 1m
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stoploss: 0.01%
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windowATR: 14
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windowQuick: 5
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windowSlow: 19
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windowSlow: 9
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source: hl2
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pendingMinutes: 10
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useHeikinAshi: true
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@ -49,7 +51,7 @@ exchangeStrategies:
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#trailingCallbackRate: []
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#trailingCallbackRate: [0.002, 0.01, 0.1]
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#trailingCallbackRate: [0.0004, 0.0009, 0.018]
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trailingCallbackRate: [0.0006, 0.0049, 0.006]
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trailingCallbackRate: [0.0006, 0.0019, 0.006]
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#exits:
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# - roiStopLoss:
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@ -119,4 +121,4 @@ backtest:
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takerFeeRate: 0.000
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balances:
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BNB: 0
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BUSD: 20
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BUSD: 100
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@ -230,7 +230,16 @@ func (e *GeneralOrderExecutor) reduceQuantityAndSubmitOrder(ctx context.Context,
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var err error
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for i := 0; i < submitOrderRetryLimit; i++ {
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q := submitOrder.Quantity.Mul(fixedpoint.One.Sub(quantityReduceDelta))
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log.Warnf("retrying order, adjusting order quantity: %f -> %f", submitOrder.Quantity.Float64(), q.Float64())
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if submitOrder.Side == types.SideTypeSell {
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if baseBalance, ok := e.session.GetAccount().Balance(e.position.Market.BaseCurrency); ok {
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q = fixedpoint.Min(q, baseBalance.Available)
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}
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} else {
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if quoteBalance, ok := e.session.GetAccount().Balance(e.position.Market.QuoteCurrency); ok {
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q = fixedpoint.Min(q, quoteBalance.Available.Div(price))
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}
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}
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log.Warnf("retrying order, adjusting order quantity: %v -> %v", submitOrder.Quantity, q)
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submitOrder.Quantity = q
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if e.position.Market.IsDustQuantity(submitOrder.Quantity, price) {
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@ -260,7 +269,7 @@ func (e *GeneralOrderExecutor) OpenPosition(ctx context.Context, options OpenPos
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Tag: strings.Join(options.Tags, ","),
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}
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baseBalance, _ := e.session.Account.Balance(e.position.Market.BaseCurrency)
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baseBalance, _ := e.session.GetAccount().Balance(e.position.Market.BaseCurrency)
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// FIXME: fix the max quote borrowing checking
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// quoteBalance, _ := e.session.Account.Balance(e.position.Market.QuoteCurrency)
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@ -13,6 +13,7 @@ import (
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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"go.uber.org/multierr"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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@ -37,6 +38,19 @@ func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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func filterErrors(errs []error) (es []error) {
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for _, e := range errs {
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if _, ok := e.(types.ZeroAssetError); ok {
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continue
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}
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if bbgo.ErrExceededSubmitOrderRetryLimit == e {
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continue
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}
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es = append(es, e)
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}
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return es
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}
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type Strategy struct {
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Symbol string `json:"symbol"`
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@ -152,7 +166,6 @@ func (s *Strategy) CurrentPosition() *types.Position {
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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order := s.p.NewMarketCloseOrder(percentage)
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if order == nil {
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s.positionLock.Unlock()
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return nil
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}
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order.Tag = "close"
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@ -169,7 +182,6 @@ func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Valu
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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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@ -383,11 +395,11 @@ func (s *Strategy) initTickerFunctions(ctx context.Context) {
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s.trailingCheck(pricef, "short"))
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exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= pricef ||
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s.trailingCheck(pricef, "long"))
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s.positionLock.Unlock()
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if exitShortCondition || exitLongCondition {
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s.ClosePosition(ctx, fixedpoint.One)
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log.Infof("close position by orderbook changes")
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} else {
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s.positionLock.Unlock()
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}
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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@ -621,10 +633,9 @@ func (s *Strategy) klineHandler1m(ctx context.Context, kline types.KLine) {
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s.trailingCheck(highf, "short") /* || s.drift1m.Last() > 0*/)
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exitLongCondition := s.buyPrice > 0 && (s.buyPrice*(1.-stoploss) >= lowf ||
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s.trailingCheck(lowf, "long") /* || s.drift1m.Last() < 0*/)
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s.positionLock.Unlock()
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if exitShortCondition || exitLongCondition {
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_ = s.ClosePosition(ctx, fixedpoint.One)
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} else {
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s.positionLock.Unlock()
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}
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}
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@ -706,8 +717,8 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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return v <= 0
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}, 50).Mean(50)
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shortCondition := (drift[1] >= s.DriftFilterNeg || ddrift[1] >= 0) && (driftPred <= s.DDriftFilterNeg || ddriftPred <= 0) || drift[1] < 0 && drift[0] < 0
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longCondition := (drift[1] <= s.DriftFilterPos || ddrift[1] <= 0) && (driftPred >= s.DDriftFilterPos || ddriftPred >= 0) || drift[1] > 0 && drift[0] > 0
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shortCondition := drift[1] >= 0 && drift[0] <= 0 || (drift[1] >= drift[0] && drift[1] <= 0) || ddrift[1] >= 0 && ddrift[0] <= 0 || (ddrift[1] >= ddrift[0] && ddrift[1] <= 0)
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longCondition := drift[1] <= 0 && drift[0] >= 0 || (drift[1] <= drift[0] && drift[1] >= 0) || ddrift[1] <= 0 && ddrift[0] >= 0 || (ddrift[1] <= ddrift[0] && ddrift[1] >= 0)
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if shortCondition && longCondition {
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if drift[1] > drift[0] {
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longCondition = false
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@ -721,14 +732,16 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.trailingCheck(pricef, "long"))
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if exitShortCondition || exitLongCondition {
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s.positionLock.Unlock()
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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s.positionLock.Unlock()
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return
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}
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_ = s.ClosePosition(ctx, fixedpoint.One)
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if longCondition || shortCondition {
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if shortCondition || longCondition {
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s.positionLock.Lock()
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} else {
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return
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}
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}
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@ -756,10 +769,11 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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opt.Tags = []string{"long"}
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createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
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if err != nil {
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if _, ok := err.(types.ZeroAssetError); ok {
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return
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}
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errs := filterErrors(multierr.Errors(err))
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if len(errs) > 0 {
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log.Errorf("%v", errs)
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log.WithError(err).Errorf("cannot place buy order")
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}
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return
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}
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log.Infof("orders %v", createdOrders)
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@ -774,6 +788,7 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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s.positionLock.Unlock()
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return
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}
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/*source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
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if source.Compare(price) < 0 {
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source = price
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@ -793,10 +808,10 @@ func (s *Strategy) klineHandler(ctx context.Context, kline types.KLine) {
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opt.Tags = []string{"short"}
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createdOrders, err := s.GeneralOrderExecutor.OpenPosition(ctx, opt)
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if err != nil {
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if _, ok := err.(types.ZeroAssetError); ok {
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return
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errs := filterErrors(multierr.Errors(err))
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if len(errs) > 0 {
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log.WithError(err).Errorf("cannot place sell order")
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}
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log.WithError(err).Errorf("cannot place buy order")
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return
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}
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log.Infof("orders %v", createdOrders)
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@ -889,46 +904,21 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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}
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s.positionLock.Lock()
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defer s.positionLock.Unlock()
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// tag == "" is for exits trades
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if tag == "close" || tag == "" {
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if s.p.IsDust(trade.Price) {
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s.buyPrice = 0
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s.sellPrice = 0
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s.highestPrice = 0
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s.lowestPrice = 0
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} else if s.p.IsLong() {
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s.buyPrice = s.p.ApproximateAverageCost.Float64() //trade.Price.Float64()
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s.sellPrice = 0
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s.lowestPrice = 0
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} else {
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s.buyPrice = 0
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s.highestPrice = 0
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}
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} else if tag == "long" {
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if s.p.IsDust(trade.Price) {
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s.buyPrice = 0
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s.sellPrice = 0
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s.highestPrice = 0
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s.lowestPrice = 0
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} else if s.p.IsLong() {
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s.buyPrice = trade.Price.Float64()
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s.sellPrice = 0
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s.highestPrice = s.buyPrice
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s.lowestPrice = 0
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}
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} else if tag == "short" {
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if s.p.IsDust(trade.Price) {
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s.sellPrice = 0
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s.buyPrice = 0
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s.highestPrice = 0
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s.highestPrice = math.Max(s.buyPrice, s.highestPrice)
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s.lowestPrice = 0
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} else if s.p.IsShort() {
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s.sellPrice = trade.Price.Float64()
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s.sellPrice = s.p.ApproximateAverageCost.Float64() //trade.Price.Float64()
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s.buyPrice = 0
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s.highestPrice = 0
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s.lowestPrice = s.sellPrice
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}
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} else {
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panic("tag unknown")
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s.lowestPrice = math.Min(s.lowestPrice, s.sellPrice)
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}
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bbgo.Notify("tag: %s, sp: %.4f bp: %.4f hp: %.4f lp: %.4f, trade: %s, pos: %s", tag, s.sellPrice, s.buyPrice, s.highestPrice, s.lowestPrice, trade.String(), s.p.String())
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})
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@ -152,7 +152,8 @@ func (s *Strategy) initIndicators(store *bbgo.SerialMarketDataStore) error {
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maSlow := &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.WindowSlow}}
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maQuick := &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.WindowQuick}}
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s.ewo = &ElliottWave{
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maSlow, maQuick,
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maSlow: maSlow,
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maQuick: maQuick,
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}
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.WindowATR}}
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klines, ok := store.KLinesOfInterval(s.Interval)
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@ -371,10 +372,10 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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s.InitDrawCommands(store, &profit, &cumProfit)
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store.OnKLineClosed(func(kline types.KLine) {
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s.minutesCounter = int(kline.StartTime.Time().Add(kline.Interval.Duration()).Sub(s.startTime).Minutes())
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if kline.Interval == types.Interval1m {
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s.klineHandler1m(ctx, kline)
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} else if kline.Interval == s.Interval {
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if kline.Interval == s.Interval {
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s.klineHandler(ctx, kline)
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} else if kline.Interval == types.Interval1m {
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s.klineHandler1m(ctx, kline)
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}
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})
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@ -213,9 +213,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
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// use kline direction to prevent reversing position too soon
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if diffQty.Sign() > 0 { // && kline.Direction() >= 0
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Long: true, MarketOrder: true})
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Long: true, LimitOrder: false})
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} else if diffQty.Sign() < 0 { // && kline.Direction() <= 0
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Short: true, MarketOrder: true})
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s.orderExecutor.OpenPosition(context.Background(), bbgo.OpenPositionOptions{Quantity: diffQty.Abs(), Short: true, LimitOrder: false})
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}
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}))
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