package trendtrader import ( "context" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) type TrendLine struct { Symbol string Market types.Market `json:"-"` types.IntervalWindow PivotRightWindow fixedpoint.Value `json:"pivotRightWindow"` // MarketOrder is the option to enable market order short. MarketOrder bool `json:"marketOrder"` Quantity fixedpoint.Value `json:"quantity"` orderExecutor *bbgo.GeneralOrderExecutor session *bbgo.ExchangeSession activeOrders *bbgo.ActiveOrderBook pivotHigh *indicator.PivotHigh pivotLow *indicator.PivotLow bbgo.QuantityOrAmount } func (s *TrendLine) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m}) //if s.pivot != nil { // session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) //} } func (s *TrendLine) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) { s.session = session s.orderExecutor = orderExecutor position := orderExecutor.Position() symbol := position.Symbol standardIndicator := session.StandardIndicatorSet(s.Symbol) s.pivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())}) s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{s.Interval, int(3. * s.PivotRightWindow.Float64()), int(s.PivotRightWindow.Float64())}) resistancePrices := types.NewQueue(3) pivotHighDurationCounter := 0. resistanceDuration := types.NewQueue(2) supportPrices := types.NewQueue(3) pivotLowDurationCounter := 0. supportDuration := types.NewQueue(2) resistanceSlope := 0. resistanceSlope1 := 0. resistanceSlope2 := 0. supportSlope := 0. supportSlope1 := 0. supportSlope2 := 0. session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { if s.pivotHigh.Last() != resistancePrices.Last() { resistancePrices.Update(s.pivotHigh.Last()) resistanceDuration.Update(pivotHighDurationCounter) pivotHighDurationCounter = 0 } else { pivotHighDurationCounter++ } if s.pivotLow.Last() != supportPrices.Last() { supportPrices.Update(s.pivotLow.Last()) supportDuration.Update(pivotLowDurationCounter) pivotLowDurationCounter = 0 } else { pivotLowDurationCounter++ } if line(resistancePrices.Index(2), resistancePrices.Index(1), resistancePrices.Index(0)) < 0 { resistanceSlope1 = (resistancePrices.Index(1) - resistancePrices.Index(2)) / resistanceDuration.Index(1) resistanceSlope2 = (resistancePrices.Index(0) - resistancePrices.Index(1)) / resistanceDuration.Index(0) resistanceSlope = (resistanceSlope1 + resistanceSlope2) / 2. } if line(supportPrices.Index(2), supportPrices.Index(1), supportPrices.Index(0)) > 0 { supportSlope1 = (supportPrices.Index(1) - supportPrices.Index(2)) / supportDuration.Index(1) supportSlope2 = (supportPrices.Index(0) - supportPrices.Index(1)) / supportDuration.Index(0) supportSlope = (supportSlope1 + supportSlope2) / 2. } if converge(resistanceSlope, supportSlope) { // y = mx+b currentResistance := resistanceSlope*pivotHighDurationCounter + resistancePrices.Last() currentSupport := supportSlope*pivotLowDurationCounter + supportPrices.Last() log.Info(currentResistance, currentSupport, kline.Close) if kline.High.Float64() > currentResistance { if position.IsShort() { s.orderExecutor.ClosePosition(context.Background(), one) } if position.IsDust(kline.Close) || position.IsClosed() { s.placeOrder(context.Background(), types.SideTypeBuy, s.Quantity, symbol) // OrAmount.CalculateQuantity(kline.Close) } } else if kline.Low.Float64() < currentSupport { if position.IsLong() { s.orderExecutor.ClosePosition(context.Background(), one) } if position.IsDust(kline.Close) || position.IsClosed() { s.placeOrder(context.Background(), types.SideTypeSell, s.Quantity, symbol) // OrAmount.CalculateQuantity(kline.Close) } } } })) if !bbgo.IsBackTesting { session.MarketDataStream.OnMarketTrade(func(trade types.Trade) { }) } } func (s *TrendLine) placeOrder(ctx context.Context, side types.SideType, quantity fixedpoint.Value, symbol string) error { market, _ := s.session.Market(symbol) _, err := s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{ Symbol: symbol, Market: market, Side: side, Type: types.OrderTypeMarket, Quantity: quantity, Tag: "trend-break", }) if err != nil { log.WithError(err).Errorf("can not place market order") } return err } func line(p1, p2, p3 float64) int64 { if p1 >= p2 && p2 >= p3 { return -1 } else if p1 <= p2 && p2 <= p3 { return +1 } return 0 } func converge(mr, ms float64) bool { if ms > mr { return true } return false }