package supertrend import ( "bufio" "context" "fmt" "github.com/c9s/bbgo/pkg/risk" "github.com/fatih/color" "os" "sync" "github.com/pkg/errors" "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/bbgo" "github.com/c9s/bbgo/pkg/fixedpoint" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) const ID = "supertrend" var log = logrus.WithField("strategy", ID) // TODO: limit order for ATR TP func init() { // Register the pointer of the strategy struct, // so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON) // Note: built-in strategies need to imported manually in the bbgo cmd package. bbgo.RegisterStrategy(ID, &Strategy{}) } type Strategy struct { Environment *bbgo.Environment Market types.Market // persistence fields Position *types.Position `persistence:"position"` ProfitStats *types.ProfitStats `persistence:"profit_stats"` TradeStats *types.TradeStats `persistence:"trade_stats"` // Symbol is the market symbol you want to trade Symbol string `json:"symbol"` types.IntervalWindow // Double DEMA doubleDema *DoubleDema // FastDEMAWindow DEMA window for checking breakout FastDEMAWindow int `json:"fastDEMAWindow"` // SlowDEMAWindow DEMA window for checking breakout SlowDEMAWindow int `json:"slowDEMAWindow"` // SuperTrend indicator Supertrend *indicator.Supertrend // SupertrendMultiplier ATR multiplier for calculation of supertrend SupertrendMultiplier float64 `json:"supertrendMultiplier"` // LinearRegression Use linear regression as trend confirmation LinearRegression *LinReg `json:"linearRegression,omitempty"` // Leverage uses the account net value to calculate the order qty Leverage fixedpoint.Value `json:"leverage"` // Quantity sets the fixed order qty, takes precedence over Leverage Quantity fixedpoint.Value `json:"quantity"` AccountValueCalculator *risk.AccountValueCalculator // TakeProfitAtrMultiplier TP according to ATR multiple, 0 to disable this TakeProfitAtrMultiplier float64 `json:"takeProfitAtrMultiplier"` // StopLossByTriggeringK Set SL price to the low/high of the triggering Kline StopLossByTriggeringK bool `json:"stopLossByTriggeringK"` // StopByReversedSupertrend TP/SL by reversed supertrend signal StopByReversedSupertrend bool `json:"stopByReversedSupertrend"` // StopByReversedDema TP/SL by reversed DEMA signal StopByReversedDema bool `json:"stopByReversedDema"` // StopByReversedLinGre TP/SL by reversed linear regression signal StopByReversedLinGre bool `json:"stopByReversedLinGre"` // ExitMethods Exit methods ExitMethods bbgo.ExitMethodSet `json:"exits"` session *bbgo.ExchangeSession orderExecutor *bbgo.GeneralOrderExecutor currentTakeProfitPrice fixedpoint.Value currentStopLossPrice fixedpoint.Value // StrategyController bbgo.StrategyController // Accumulated profit report accumulatedProfit fixedpoint.Value accumulatedProfitMA *indicator.SMA // AccumulatedProfitMAWindow Accumulated profit SMA window AccumulatedProfitMAWindow int `json:"accumulatedProfitMAWindow"` dailyAccumulatedProfits types.Float64Slice lastDayAccumulatedProfit fixedpoint.Value // AccumulatedProfitLastPeriodWindow Last period window of accumulated profit AccumulatedProfitLastPeriodWindow int `json:"accumulatedProfitLastPeriodWindow"` } func (s *Strategy) ID() string { return ID } func (s *Strategy) InstanceID() string { return fmt.Sprintf("%s:%s", ID, s.Symbol) } func (s *Strategy) Validate() error { if len(s.Symbol) == 0 { return errors.New("symbol is required") } if len(s.Interval) == 0 { return errors.New("interval is required") } return nil } func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval}) session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.LinearRegression.Interval}) s.ExitMethods.SetAndSubscribe(session, s) // Accumulated profit report session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d}) } // Position control func (s *Strategy) CurrentPosition() *types.Position { return s.Position } func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error { base := s.Position.GetBase() if base.IsZero() { return fmt.Errorf("no opened %s position", s.Position.Symbol) } // make it negative quantity := base.Mul(percentage).Abs() side := types.SideTypeBuy if base.Sign() > 0 { side = types.SideTypeSell } if quantity.Compare(s.Market.MinQuantity) < 0 { return fmt.Errorf("%s order quantity %v is too small, less than %v", s.Symbol, quantity, s.Market.MinQuantity) } orderForm := s.generateOrderForm(side, quantity, types.SideEffectTypeAutoRepay) bbgo.Notify("submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, orderForm) _, err := s.orderExecutor.SubmitOrders(ctx, orderForm) if err != nil { log.WithError(err).Errorf("can not place %s position close order", s.Symbol) bbgo.Notify("can not place %s position close order", s.Symbol) } return err } // setupIndicators initializes indicators func (s *Strategy) setupIndicators() { // K-line store for indicators kLineStore, _ := s.session.MarketDataStore(s.Symbol) // Double DEMA s.doubleDema = newDoubleDema(kLineStore, s.Interval, s.FastDEMAWindow, s.SlowDEMAWindow) // Supertrend if s.Window == 0 { s.Window = 39 } if s.SupertrendMultiplier == 0 { s.SupertrendMultiplier = 3 } s.Supertrend = &indicator.Supertrend{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}, ATRMultiplier: s.SupertrendMultiplier} s.Supertrend.AverageTrueRange = &indicator.ATR{IntervalWindow: types.IntervalWindow{Window: s.Window, Interval: s.Interval}} s.Supertrend.BindK(s.session.MarketDataStream, s.Symbol, s.Supertrend.Interval) if klines, ok := kLineStore.KLinesOfInterval(s.Supertrend.Interval); ok { s.Supertrend.LoadK((*klines)[0:]) } // Linear Regression if s.LinearRegression != nil { if s.LinearRegression.Window == 0 { s.LinearRegression = nil } else if s.LinearRegression.Interval == "" { s.LinearRegression = nil } else { s.LinearRegression.BindK(s.session.MarketDataStream, s.Symbol, s.LinearRegression.Interval) if klines, ok := kLineStore.KLinesOfInterval(s.LinearRegression.Interval); ok { s.LinearRegression.LoadK((*klines)[0:]) } } } } func (s *Strategy) shouldStop(kline types.KLine, stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) bool { stopNow := false base := s.Position.GetBase() baseSign := base.Sign() if s.StopLossByTriggeringK && !s.currentStopLossPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentStopLossPrice) > 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentStopLossPrice) < 0)) { // SL by triggering Kline low/high bbgo.Notify("%s stop loss by triggering the kline low/high", s.Symbol) stopNow = true } else if s.TakeProfitAtrMultiplier > 0 && !s.currentTakeProfitPrice.IsZero() && ((baseSign < 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) < 0) || (baseSign > 0 && kline.GetClose().Compare(s.currentTakeProfitPrice) > 0)) { // TP by multiple of ATR bbgo.Notify("%s take profit by multiple of ATR", s.Symbol) stopNow = true } else if s.StopByReversedSupertrend && ((baseSign < 0 && stSignal == types.DirectionUp) || (baseSign > 0 && stSignal == types.DirectionDown)) { // Use supertrend signal to TP/SL bbgo.Notify("%s stop by the reversed signal of Supertrend", s.Symbol) stopNow = true } else if s.StopByReversedDema && ((baseSign < 0 && demaSignal == types.DirectionUp) || (baseSign > 0 && demaSignal == types.DirectionDown)) { // Use DEMA signal to TP/SL bbgo.Notify("%s stop by the reversed signal of DEMA", s.Symbol) stopNow = true } else if s.StopByReversedLinGre && ((baseSign < 0 && lgSignal == types.DirectionUp) || (baseSign > 0 && lgSignal == types.DirectionDown)) { // Use linear regression signal to TP/SL bbgo.Notify("%s stop by the reversed signal of linear regression", s.Symbol) stopNow = true } return stopNow } func (s *Strategy) getSide(stSignal types.Direction, demaSignal types.Direction, lgSignal types.Direction) types.SideType { var side types.SideType if stSignal == types.DirectionUp && demaSignal == types.DirectionUp && (s.LinearRegression == nil || lgSignal == types.DirectionUp) { side = types.SideTypeBuy } else if stSignal == types.DirectionDown && demaSignal == types.DirectionDown && (s.LinearRegression == nil || lgSignal == types.DirectionDown) { side = types.SideTypeSell } return side } func (s *Strategy) generateOrderForm(side types.SideType, quantity fixedpoint.Value, marginOrderSideEffect types.MarginOrderSideEffectType) types.SubmitOrder { orderForm := types.SubmitOrder{ Symbol: s.Symbol, Market: s.Market, Side: side, Type: types.OrderTypeMarket, Quantity: quantity, MarginSideEffect: marginOrderSideEffect, } return orderForm } // calculateQuantity returns leveraged quantity func (s *Strategy) calculateQuantity(ctx context.Context, currentPrice fixedpoint.Value, side types.SideType) fixedpoint.Value { // Quantity takes precedence if !s.Quantity.IsZero() { return s.Quantity } usingLeverage := s.session.Margin || s.session.IsolatedMargin || s.session.Futures || s.session.IsolatedFutures if bbgo.IsBackTesting { // Backtesting balance, ok := s.session.GetAccount().Balance(s.Market.QuoteCurrency) if !ok { log.Errorf("can not update %s quote balance from exchange", s.Symbol) return fixedpoint.Zero } return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)).Div(currentPrice) } else if !usingLeverage && side == types.SideTypeSell { // Spot sell balance, ok := s.session.GetAccount().Balance(s.Market.BaseCurrency) if !ok { log.Errorf("can not update %s base balance from exchange", s.Symbol) return fixedpoint.Zero } return balance.Available.Mul(fixedpoint.Min(s.Leverage, fixedpoint.One)) } else { // Using leverage or spot buy quoteQty, err := risk.CalculateQuoteQuantity(s.session, ctx, s.Market.QuoteCurrency, s.Leverage) if err != nil { log.WithError(err).Errorf("can not update %s quote balance from exchange", s.Symbol) return fixedpoint.Zero } return quoteQty.Div(currentPrice) } } // PrintResult prints accumulated profit status func (s *Strategy) PrintResult(o *os.File) { f := bufio.NewWriter(o) defer f.Flush() hiyellow := color.New(color.FgHiYellow).FprintfFunc() hiyellow(f, "------ %s Accumulated Profit Results ------\n", s.InstanceID()) hiyellow(f, "Symbol: %v\n", s.Symbol) hiyellow(f, "Accumulated Profit: %v\n", s.accumulatedProfit) hiyellow(f, "Accumulated Profit %dMA: %f\n", s.AccumulatedProfitMAWindow, s.accumulatedProfitMA.Last()) hiyellow(f, "Last %d day(s) Accumulated Profit: %f\n", s.AccumulatedProfitLastPeriodWindow, s.dailyAccumulatedProfits.Sum()) hiyellow(f, "\n") } func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { s.session = session s.currentStopLossPrice = fixedpoint.Zero s.currentTakeProfitPrice = fixedpoint.Zero // calculate group id for orders instanceID := s.InstanceID() // If position is nil, we need to allocate a new position for calculation if s.Position == nil { s.Position = types.NewPositionFromMarket(s.Market) } // Always update the position fields s.Position.Strategy = ID s.Position.StrategyInstanceID = s.InstanceID() // Profit stats if s.ProfitStats == nil { s.ProfitStats = types.NewProfitStats(s.Market) } if s.TradeStats == nil { s.TradeStats = types.NewTradeStats(s.Symbol) } // Interval profit report if bbgo.IsBackTesting { startTime := s.Environment.StartTime() s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime)) s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime)) s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1mo, startTime)) } // Set fee rate if s.session.MakerFeeRate.Sign() > 0 || s.session.TakerFeeRate.Sign() > 0 { s.Position.SetExchangeFeeRate(s.session.ExchangeName, types.ExchangeFee{ MakerFeeRate: s.session.MakerFeeRate, TakerFeeRate: s.session.TakerFeeRate, }) } // Setup order executor s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position) s.orderExecutor.BindEnvironment(s.Environment) s.orderExecutor.BindProfitStats(s.ProfitStats) s.orderExecutor.BindTradeStats(s.TradeStats) s.orderExecutor.Bind() // AccountValueCalculator s.AccountValueCalculator = risk.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency) // Accumulated profit report if s.AccumulatedProfitMAWindow <= 0 { s.AccumulatedProfitMAWindow = 60 } s.accumulatedProfitMA = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.AccumulatedProfitMAWindow}} s.orderExecutor.TradeCollector().OnProfit(func(trade types.Trade, profit *types.Profit) { if profit == nil { return } s.accumulatedProfit = s.accumulatedProfit.Add(profit.Profit) s.accumulatedProfitMA.Update(s.accumulatedProfit.Float64()) }) if s.AccumulatedProfitLastPeriodWindow <= 0 { s.AccumulatedProfitLastPeriodWindow = 7 } session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1d, func(kline types.KLine) { s.dailyAccumulatedProfits.Update(s.accumulatedProfit.Sub(s.lastDayAccumulatedProfit).Float64()) s.dailyAccumulatedProfits = s.dailyAccumulatedProfits.Tail(s.AccumulatedProfitLastPeriodWindow) s.lastDayAccumulatedProfit = s.accumulatedProfit })) // Sync position to redis on trade s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) { bbgo.Sync(s) }) // StrategyController s.Status = types.StrategyStatusRunning s.OnSuspend(func() { _ = s.orderExecutor.GracefulCancel(ctx) bbgo.Sync(s) }) s.OnEmergencyStop(func() { _ = s.orderExecutor.GracefulCancel(ctx) // Close 100% position _ = s.ClosePosition(ctx, fixedpoint.One) }) // Setup indicators s.setupIndicators() // Exit methods for _, method := range s.ExitMethods { method.Bind(session, s.orderExecutor) } session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) { // StrategyController if s.Status != types.StrategyStatusRunning { return } closePrice := kline.GetClose() openPrice := kline.GetOpen() closePrice64 := closePrice.Float64() openPrice64 := openPrice.Float64() // Supertrend signal stSignal := s.Supertrend.GetSignal() // DEMA signal demaSignal := s.doubleDema.getDemaSignal(openPrice64, closePrice64) // Linear Regression signal var lgSignal types.Direction if s.LinearRegression != nil { lgSignal = s.LinearRegression.GetSignal() } // TP/SL if there's non-dust position and meets the criteria if !s.Market.IsDustQuantity(s.Position.GetBase().Abs(), closePrice) && s.shouldStop(kline, stSignal, demaSignal, lgSignal) { if err := s.ClosePosition(ctx, fixedpoint.One); err == nil { s.currentStopLossPrice = fixedpoint.Zero s.currentTakeProfitPrice = fixedpoint.Zero } } // Get order side side := s.getSide(stSignal, demaSignal, lgSignal) // Set TP/SL price if needed if side == types.SideTypeBuy { if s.StopLossByTriggeringK { s.currentStopLossPrice = kline.GetLow() } if s.TakeProfitAtrMultiplier > 0 { s.currentTakeProfitPrice = closePrice.Add(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier)) } } else if side == types.SideTypeSell { if s.StopLossByTriggeringK { s.currentStopLossPrice = kline.GetHigh() } if s.TakeProfitAtrMultiplier > 0 { s.currentTakeProfitPrice = closePrice.Sub(fixedpoint.NewFromFloat(s.Supertrend.AverageTrueRange.Last() * s.TakeProfitAtrMultiplier)) } } // Open position // The default value of side is an empty string. Unless side is set by the checks above, the result of the following condition is false if side == types.SideTypeSell || side == types.SideTypeBuy { bbgo.Notify("open %s position for signal %v", s.Symbol, side) // Close opposite position if any if !s.Position.IsDust(closePrice) { if (side == types.SideTypeSell && s.Position.IsLong()) || (side == types.SideTypeBuy && s.Position.IsShort()) { bbgo.Notify("close existing %s position before open a new position", s.Symbol) _ = s.ClosePosition(ctx, fixedpoint.One) } else { bbgo.Notify("existing %s position has the same direction with the signal", s.Symbol) return } } orderForm := s.generateOrderForm(side, s.calculateQuantity(ctx, closePrice, side), types.SideEffectTypeMarginBuy) log.Infof("submit open position order %v", orderForm) _, err := s.orderExecutor.SubmitOrders(ctx, orderForm) if err != nil { log.WithError(err).Errorf("can not place %s open position order", s.Symbol) bbgo.Notify("can not place %s open position order", s.Symbol) } } })) // Graceful shutdown bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) { defer wg.Done() // Print accumulated profit report defer s.PrintResult(os.Stdout) _ = s.orderExecutor.GracefulCancel(ctx) _, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String()) }) return nil }