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87 lines
2.7 KiB
Go
87 lines
2.7 KiB
Go
package dynamicrisk
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import (
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/pkg/errors"
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log "github.com/sirupsen/logrus"
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"math"
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)
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type DynamicExposure struct {
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// BollBandExposure calculates the max exposure with the Bollinger Band
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BollBandExposure *DynamicExposureBollBand `json:"bollBandExposure"`
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}
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// Initialize dynamic exposure
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func (d *DynamicExposure) Initialize(symbol string, session *bbgo.ExchangeSession) {
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switch {
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case d.BollBandExposure != nil:
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d.BollBandExposure.initialize(symbol, session)
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}
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}
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func (d *DynamicExposure) IsEnabled() bool {
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return d.BollBandExposure != nil
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}
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// GetMaxExposure returns the max exposure
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func (d *DynamicExposure) GetMaxExposure(price float64, trend types.Direction) (maxExposure fixedpoint.Value, err error) {
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switch {
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case d.BollBandExposure != nil:
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return d.BollBandExposure.getMaxExposure(price, trend)
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default:
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return fixedpoint.Zero, errors.New("dynamic exposure is not enabled")
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}
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}
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// DynamicExposureBollBand calculates the max exposure with the Bollinger Band
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type DynamicExposureBollBand struct {
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// DynamicExposureBollBandScale is used to define the exposure range with the given percentage.
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DynamicExposureBollBandScale *bbgo.PercentageScale `json:"dynamicExposurePositionScale"`
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types.IntervalWindowBandWidth
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dynamicExposureBollBand *indicator.BOLL
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}
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// initialize dynamic exposure with Bollinger Band
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func (d *DynamicExposureBollBand) initialize(symbol string, session *bbgo.ExchangeSession) {
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d.dynamicExposureBollBand = session.StandardIndicatorSet(symbol).BOLL(d.IntervalWindow, d.BandWidth)
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// Subscribe kline
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{
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Interval: d.dynamicExposureBollBand.Interval,
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})
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}
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// getMaxExposure returns the max exposure
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func (d *DynamicExposureBollBand) getMaxExposure(price float64, trend types.Direction) (fixedpoint.Value, error) {
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downBand := d.dynamicExposureBollBand.DownBand.Last(0)
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upBand := d.dynamicExposureBollBand.UpBand.Last(0)
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sma := d.dynamicExposureBollBand.SMA.Last(0)
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log.Infof("dynamicExposureBollBand bollinger band: up %f sma %f down %f", upBand, sma, downBand)
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bandPercentage := 0.0
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if price < sma {
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// should be negative percentage
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bandPercentage = (price - sma) / math.Abs(sma-downBand)
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} else if price > sma {
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// should be positive percentage
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bandPercentage = (price - sma) / math.Abs(upBand-sma)
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}
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// Reverse if downtrend
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if trend == types.DirectionDown {
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bandPercentage = 0 - bandPercentage
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}
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v, err := d.DynamicExposureBollBandScale.Scale(bandPercentage)
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if err != nil {
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return fixedpoint.Zero, err
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}
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return fixedpoint.NewFromFloat(v), nil
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}
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