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96 lines
2.7 KiB
Go
96 lines
2.7 KiB
Go
package bbgo
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import (
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"context"
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log "github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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// CumulatedVolumeTakeProfit
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// This exit method cumulate the volume by N bars, if the cumulated volume exceeded a threshold, then we take profit.
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//
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// To query the historical quote volume, use the following query:
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//
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// > SELECT start_time, `interval`, quote_volume, open, close FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' ORDER BY quote_volume DESC LIMIT 20;
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type CumulatedVolumeTakeProfit struct {
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Symbol string `json:"symbol"`
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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store, _ := session.MarketDataStore(position.Symbol)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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closePrice := kline.Close
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openPrice := kline.Open
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if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() {
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return
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}
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roi := position.ROI(closePrice)
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if roi.Sign() < 0 {
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return
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}
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klines, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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log.Warnf("history kline not found")
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return
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}
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if len(*klines) < s.Window {
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return
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}
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var cbv = fixedpoint.Zero
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var cqv = fixedpoint.Zero
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for i := 0; i < s.Window; i++ {
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last := (*klines)[len(*klines)-1-i]
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cqv = cqv.Add(last.QuoteVolume)
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cbv = cbv.Add(last.Volume)
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}
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if cqv.Compare(s.MinQuoteVolume) < 0 {
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return
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}
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// If the closed price is below the open price, it means the sell taker is still strong.
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if closePrice.Compare(openPrice) < 0 {
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log.Infof("[CumulatedVolumeTakeProfit] closePrice %f is below openPrice %f, skip taking profit", closePrice.Float64(), openPrice.Float64())
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return
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}
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upperShadow := kline.GetUpperShadowHeight()
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lowerShadow := kline.GetLowerShadowHeight()
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if upperShadow.Compare(lowerShadow) > 0 {
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log.Infof("[CumulatedVolumeTakeProfit] upper shadow is longer than the lower shadow, skip taking profit")
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return
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}
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Notify("[CumulatedVolumeTakeProfit] %s TakeProfit triggered by cumulated volume (window: %d) %f > %f, price = %f",
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position.Symbol,
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s.Window,
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cqv.Float64(),
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s.MinQuoteVolume.Float64(), kline.Close.Float64())
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if err := orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "cumulatedVolumeTakeProfit"); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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}))
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}
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