package pricedrop 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" ) const ID = "pricedrop" var log = logrus.WithField("strategy", ID) func init() { bbgo.RegisterStrategy(ID, &Strategy{}) } type Strategy struct { Symbol string `json:"symbol"` Interval types.Interval `json:"interval"` BaseQuantity fixedpoint.Value `json:"baseQuantity"` MinDropPercentage fixedpoint.Value `json:"minDropPercentage"` MinDropChange fixedpoint.Value `json:"minDropChange"` MovingAverageWindow int `json:"movingAverageWindow"` } func (s *Strategy) ID() string { return ID } 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 { 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.MarketDataStream.OnKLineClosed(func(kline types.KLine) { // skip k-lines from other symbols if kline.Symbol != s.Symbol { return } change := kline.GetChange() // skip positive change if change.Sign() > 0 { return } if kline.Close.Float64() > ema.Last() { log.Warnf("kline close price %v is above EMA %s %f", kline.Close, ema.IntervalWindow, ema.Last()) return } changeP := change.Div(kline.Open).Abs() if !s.MinDropPercentage.IsZero() { if changeP.Compare(s.MinDropPercentage.Abs()) < 0 { return } } else if !s.MinDropChange.IsZero() { if change.Abs().Compare(s.MinDropChange.Abs()) < 0 { return } } else { // not configured, we shall skip log.Warnf("parameters are not configured, skipping action...") return } quantity := s.BaseQuantity.Mul(fixedpoint.One.Add(changeP)) _, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: kline.Symbol, Market: market, Side: types.SideTypeBuy, Type: types.OrderTypeMarket, Quantity: quantity, }) if err != nil { log.WithError(err).Error("submit order error") } }) return nil }