package bbgo import ( "context" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type RoiStopLoss struct { Symbol string Percentage fixedpoint.Value `json:"percentage"` CancelActiveOrders bool `json:"cancelActiveOrders"` // Interval is the time resolution to update the stop order // KLine per Interval will be used for updating the stop order Interval types.Interval `json:"interval,omitempty"` session *ExchangeSession orderExecutor *GeneralOrderExecutor } func (s *RoiStopLoss) Subscribe(session *ExchangeSession) { // use kline to handle roi stop if s.Interval == "" { s.Interval = types.Interval1m } session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) } func (s *RoiStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) { s.session = session s.orderExecutor = orderExecutor position := orderExecutor.Position() f := func(kline types.KLine) { s.checkStopPrice(kline.Close, position) } session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, f)) session.MarketDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, f)) if !IsBackTesting && enableMarketTradeStop { session.MarketDataStream.OnMarketTrade(func(trade types.Trade) { if trade.Symbol != position.Symbol { return } s.checkStopPrice(trade.Price, position) }) } } func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) { if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() { return } roi := position.ROI(closePrice) // logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage()) if roi.Compare(s.Percentage.Neg()) < 0 { // stop loss Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, currentPrice = %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64()) if s.CancelActiveOrders { _ = s.orderExecutor.GracefulCancel(context.Background()) } _ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss") return } }