bbgo_origin/pkg/strategy/trendtrader/trend.go

163 lines
5.0 KiB
Go

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 int `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{
Interval: s.Interval,
Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
s.pivotLow = standardIndicator.PivotLow(types.IntervalWindow{
Interval: s.Interval,
Window: int(3. * s.PivotRightWindow), RightWindow: &s.PivotRightWindow})
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(0) != resistancePrices.Last(0) {
resistancePrices.Update(s.pivotHigh.Last(0))
resistanceDuration.Update(pivotHighDurationCounter)
pivotHighDurationCounter = 0
} else {
pivotHighDurationCounter++
}
if s.pivotLow.Last(0) != supportPrices.Last(0) {
supportPrices.Update(s.pivotLow.Last(0))
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(0)
currentSupport := supportSlope*pivotLowDurationCounter + supportPrices.Last(0)
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 {
return ms > mr
}