package bbgo import ( "context" "fmt" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/types" ) type TrailingStop2 struct { Symbol string // CallbackRate is the callback rate from the previous high price CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"` ActivationRatio fixedpoint.Value `json:"activationRatio,omitempty"` // ClosePosition is a percentage of the position to be closed ClosePosition fixedpoint.Value `json:"closePosition,omitempty"` // MinProfit is the percentage of the minimum profit ratio. // Stop order will be activated only when the price reaches above this threshold. MinProfit fixedpoint.Value `json:"minProfit,omitempty"` // 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"` Side types.SideType `json:"side,omitempty"` latestHigh fixedpoint.Value // activated: when the price reaches the min profit price, we set the activated to true to enable trailing stop activated bool // private fields session *ExchangeSession orderExecutor *GeneralOrderExecutor } func (s *TrailingStop2) Subscribe(session *ExchangeSession) { // use 1m kline to handle roi stop session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) } func (s *TrailingStop2) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) { s.session = session s.orderExecutor = orderExecutor s.latestHigh = fixedpoint.Zero position := orderExecutor.Position() session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { if err := s.checkStopPrice(kline.Close, position); err != nil { log.WithError(err).Errorf("error") } })) if !IsBackTesting { session.MarketDataStream.OnMarketTrade(func(trade types.Trade) { if trade.Symbol != position.Symbol { return } if err := s.checkStopPrice(trade.Price, position); err != nil { log.WithError(err).Errorf("error") } }) } } func (s *TrailingStop2) getRatio(price fixedpoint.Value, position *types.Position) (fixedpoint.Value, error) { switch s.Side { case types.SideTypeBuy: // for short position return position.AverageCost.Sub(price).Div(price), nil case types.SideTypeSell: return price.Sub(position.AverageCost).Div(position.AverageCost), nil } return fixedpoint.Zero, fmt.Errorf("unexpected side type: %v", s.Side) } func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.Position) error { if position.IsClosed() || position.IsDust(price) { return nil } if !s.MinProfit.IsZero() { // check if we have the minimal profit roi := position.ROI(price) if roi.Compare(s.MinProfit) >= 0 { Notify("[trailingStop] activated: ROI %f > minimal profit ratio %f", roi.Float64(), s.MinProfit.Float64()) s.activated = true } } else if !s.ActivationRatio.IsZero() { ratio, err := s.getRatio(price, position) if err != nil { return err } if ratio.Compare(s.ActivationRatio) >= 0 { s.activated = true } } // update the latest high for the sell order, or the latest low for the buy order if s.latestHigh.IsZero() { s.latestHigh = price } else { switch s.Side { case types.SideTypeBuy: s.latestHigh = fixedpoint.Min(price, s.latestHigh) case types.SideTypeSell: s.latestHigh = fixedpoint.Max(price, s.latestHigh) } } if !s.activated { return nil } switch s.Side { case types.SideTypeBuy: s.latestHigh = fixedpoint.Min(price, s.latestHigh) change := price.Sub(s.latestHigh).Div(s.latestHigh) if change.Compare(s.CallbackRate) >= 0 { // submit order return s.triggerStop(price) } case types.SideTypeSell: s.latestHigh = fixedpoint.Max(price, s.latestHigh) change := s.latestHigh.Sub(price).Div(price) if change.Compare(s.CallbackRate) >= 0 { // submit order return s.triggerStop(price) } } return nil } func (s *TrailingStop2) triggerStop(price fixedpoint.Value) error { // reset activated flag defer func() { s.activated = false s.latestHigh = fixedpoint.Zero }() Notify("[TrailingStop] %s stop loss triggered. price: %f callback rate: %f", s.Symbol, price.Float64(), s.CallbackRate.Float64()) ctx := context.Background() return s.orderExecutor.ClosePosition(ctx, fixedpoint.One, "trailingStop") }