package emastop import ( "context" "fmt" "strings" "sync" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) const ID = "emastop" var log = logrus.WithField("strategy", ID) func init() { // Register the pointer of the strategy struct, // so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON) // Note: built-in strategies need to imported manually in the bbgo cmd package. bbgo.RegisterStrategy(ID, &Strategy{}) } type Strategy struct { *bbgo.Graceful // The notification system will be injected into the strategy automatically. // This field will be injected automatically since it's a single exchange strategy. *bbgo.Notifiability SourceExchangeName string `json:"sourceExchange"` TargetExchangeName string `json:"targetExchange"` // These fields will be filled from the config file (it translates YAML to JSON) Symbol string `json:"symbol"` // Interval is the interval of the kline channel we want to subscribe, // the kline event will trigger the strategy to check if we need to submit order. Interval types.Interval `json:"interval"` Quantity fixedpoint.Value `json:"quantity"` BalancePercentage fixedpoint.Value `json:"balancePercentage"` OrderType string `json:"orderType"` PriceRatio fixedpoint.Value `json:"priceRatio"` StopPriceRatio fixedpoint.Value `json:"stopPriceRatio"` // MovingAverageType is the moving average indicator type that we want to use, // it could be SMA or EWMA MovingAverageType string `json:"movingAverageType"` // MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate, // it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from // the k-line data we subscribed MovingAverageInterval types.Interval `json:"movingAverageInterval"` // MovingAverageWindow is the number of the window size of the moving average indicator. // The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView. MovingAverageWindow int `json:"movingAverageWindow"` order types.Order } func (s *Strategy) ID() string { return ID } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.MovingAverageInterval.String()}) } func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) { sourceSession := sessions[s.SourceExchangeName] s.Subscribe(sourceSession) // make sure we have the connection alive targetSession := sessions[s.TargetExchangeName] targetSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()}) } func (s *Strategy) clear(ctx context.Context, session *bbgo.ExchangeSession) { if s.order.OrderID > 0 { if err := session.Exchange.CancelOrders(ctx, s.order); err != nil { log.WithError(err).Errorf("can not cancel trailingstop order: %+v", s.order) } // clear out the existing order s.order = types.Order{} } } func (s *Strategy) place(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession, indicator types.Float64Indicator, closePrice fixedpoint.Value) { closePriceF := closePrice.Float64() movingAveragePriceF := indicator.Last() // skip it if it's near zero because it's not loaded yet if movingAveragePriceF < 0.0001 { log.Warnf("moving average price is near 0: %f", movingAveragePriceF) return } // place stop limit order only when the closed price is greater than the moving average price if closePriceF <= movingAveragePriceF { log.Warnf("close price %v is less than moving average price %f", closePrice, movingAveragePriceF) return } movingAveragePrice := fixedpoint.NewFromFloat(movingAveragePriceF) var price = fixedpoint.Zero var orderType = types.OrderTypeStopMarket switch strings.ToLower(s.OrderType) { case "market": orderType = types.OrderTypeStopMarket case "limit": orderType = types.OrderTypeStopLimit price = movingAveragePrice if s.PriceRatio.Sign() > 0 { price = price.Mul(s.PriceRatio) } } market, ok := session.Market(s.Symbol) if !ok { log.Errorf("market not found, symbol %s", s.Symbol) return } quantity := s.Quantity if s.BalancePercentage.Sign() > 0 { if balance, ok := session.Account.Balance(market.BaseCurrency); ok { quantity = balance.Available.Mul(s.BalancePercentage) } } amount := quantity.Mul(closePrice) if amount.Compare(market.MinNotional) < 0 { log.Errorf("the amount of stop order (%v) is less than min notional %v", amount, market.MinNotional) return } var stopPrice = movingAveragePrice if s.StopPriceRatio.Sign() > 0 { stopPrice = stopPrice.Mul(s.StopPriceRatio) } log.Infof("placing trailingstop order %s at stop price %v, quantity %v", s.Symbol, stopPrice, quantity) retOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: s.Symbol, Side: types.SideTypeSell, Type: orderType, Price: price, StopPrice: stopPrice, Quantity: quantity, }) if err != nil { log.WithError(err).Error("submit order error") } if len(retOrders) > 0 { s.order = retOrders[0] } } func (s *Strategy) handleOrderUpdate(order types.Order) { if order.OrderID == s.order.OrderID { s.order = order } } func (s *Strategy) loadIndicator(sourceSession *bbgo.ExchangeSession) (types.Float64Indicator, error) { var standardIndicatorSet, ok = sourceSession.StandardIndicatorSet(s.Symbol) if !ok { return nil, fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol) } var iw = types.IntervalWindow{Interval: s.MovingAverageInterval, Window: s.MovingAverageWindow} switch strings.ToUpper(s.MovingAverageType) { case "SMA": return standardIndicatorSet.SMA(iw), nil case "EWMA", "EMA": return standardIndicatorSet.EWMA(iw), nil } return nil, fmt.Errorf("unsupported moving average type: %s", s.MovingAverageType) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { indicator, err := s.loadIndicator(session) if err != nil { return err } session.UserDataStream.OnOrderUpdate(s.handleOrderUpdate) // session.UserDataStream.OnKLineClosed session.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol || kline.Interval != s.Interval { return } closePrice := kline.Close // ok, it's our call, we need to cancel the stop limit order first s.clear(ctx, session) s.place(ctx, orderExecutor, session, indicator, closePrice) }) s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() log.Infof("canceling trailingstop order...") s.clear(ctx, session) }) if lastPrice, ok := session.LastPrice(s.Symbol); ok { s.place(ctx, orderExecutor, session, indicator, lastPrice) } return nil } func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error { // source session sourceSession := sessions[s.SourceExchangeName] // target exchange session := sessions[s.TargetExchangeName] orderExecutor := bbgo.ExchangeOrderExecutor{ Session: session, } indicator, err := s.loadIndicator(sourceSession) if err != nil { return err } session.UserDataStream.OnOrderUpdate(s.handleOrderUpdate) // session.UserDataStream.OnKLineClosed sourceSession.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol || kline.Interval != s.Interval { return } closePrice := kline.Close // ok, it's our call, we need to cancel the stop limit order first s.clear(ctx, session) s.place(ctx, &orderExecutor, session, indicator, closePrice) }) s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() log.Infof("canceling trailingstop order...") s.clear(ctx, session) }) if lastPrice, ok := session.LastPrice(s.Symbol); ok { s.place(ctx, &orderExecutor, session, indicator, lastPrice) } return nil }