package support import ( "context" "fmt" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) // support -- support and targets const ID = "support" var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type Target struct { ProfitPercentage float64 `json:"profitPercentage"` QuantityPercentage float64 `json:"quantityPercentage"` MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"` } type Strategy struct { *bbgo.Notifiability Symbol string `json:"symbol"` Interval types.Interval `json:"interval"` MovingAverageWindow int `json:"movingAverageWindow"` Quantity fixedpoint.Value `json:"quantity"` MinVolume fixedpoint.Value `json:"minVolume"` MarginOrderSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"` Targets []Target `json:"targets"` ScaleQuantity *bbgo.PriceVolumeScale `json:"scaleQuantity"` } func (s *Strategy) ID() string { return ID } func (s *Strategy) Validate() error { if s.Quantity == 0 && s.ScaleQuantity == nil { return fmt.Errorf("quantity or scaleQuantity can not be zero") } if s.MinVolume == 0 { return fmt.Errorf("minVolume can not be zero") } return nil } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)}) } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { // set default values if s.Interval == "" { s.Interval = types.Interval5m } if s.MovingAverageWindow == 0 { s.MovingAverageWindow = 99 } // buy when price drops -8% market, ok := session.Market(s.Symbol) if !ok { return fmt.Errorf("market %s is not defined", s.Symbol) } standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol) if !ok { return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol) } var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow} var ema = standardIndicatorSet.EWMA(iw) session.Stream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol { return } closePrice := kline.GetClose() if closePrice > ema.Last() { return } if kline.Volume < s.MinVolume.Float64() { return } s.Notify("found support: close price %f is under EMA %f, volume %f > minimum volume %f", closePrice, ema.Last(), kline.Volume, s.MinVolume.Float64()) var quantity float64 if s.Quantity > 0 { quantity = s.Quantity.Float64() } else if s.ScaleQuantity != nil { var err error quantity, err = s.ScaleQuantity.Scale(closePrice, kline.Volume) if err != nil { log.WithError(err).Error(err.Error()) return } } orderForm := types.SubmitOrder{ Symbol: s.Symbol, Market: market, Side: types.SideTypeBuy, Type: types.OrderTypeMarket, Quantity: quantity, MarginSideEffect: s.MarginOrderSideEffect, } _, err := orderExecutor.SubmitOrders(ctx, orderForm) if err != nil { log.WithError(err).Error("submit order error") return } // submit target orders var targetOrders []types.SubmitOrder for _, target := range s.Targets { targetPrice := closePrice * (1.0 + target.ProfitPercentage) targetQuantity := quantity * target.QuantityPercentage targetOrders = append(targetOrders, types.SubmitOrder{ Symbol: kline.Symbol, Market: market, Type: types.OrderTypeLimit, Side: types.SideTypeSell, Price: targetPrice, Quantity: targetQuantity, MarginSideEffect: target.MarginOrderSideEffect, TimeInForce: "GTC", }) } _, err = orderExecutor.SubmitOrders(ctx, targetOrders...) if err != nil { log.WithError(err).Error("submit profit target order error") } }) return nil }