mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-16 12:03:51 +00:00
254 lines
8.1 KiB
Go
254 lines
8.1 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type HigherHighLowerLowStop struct {
|
|
Symbol string `json:"symbol"`
|
|
|
|
// Interval is the kline interval used by this exit. Window is used as the range to determining higher highs and
|
|
// lower lows
|
|
types.IntervalWindow
|
|
|
|
// HighLowWindow is the range to calculate the number of higher highs and lower lows
|
|
HighLowWindow int `json:"highLowWindow"`
|
|
|
|
// If the number of higher highs or lower lows with in HighLowWindow is more than MaxHighLow, the exit is triggered.
|
|
// 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
|
|
MaxHighLow int `json:"maxHighLow"`
|
|
|
|
// If the number of higher highs or lower lows with in HighLowWindow is less than MinHighLow, the exit is triggered.
|
|
// 0 disables this parameter. Either one of MaxHighLow and MinHighLow must be larger than 0
|
|
MinHighLow int `json:"minHighLow"`
|
|
|
|
// ActivationRatio is the trigger condition
|
|
// When the price goes higher (lower for short position) than this ratio, the stop will be activated.
|
|
// You can use this to combine several exits
|
|
ActivationRatio fixedpoint.Value `json:"activationRatio"`
|
|
|
|
// DeactivationRatio is the kill condition
|
|
// When the price goes higher (lower for short position) than this ratio, the stop will be deactivated.
|
|
// You can use this to combine several exits
|
|
DeactivationRatio fixedpoint.Value `json:"deactivationRatio"`
|
|
|
|
// If true, looking for lower lows in long position and higher highs in short position. If false, looking for higher
|
|
// highs in long position and lower lows in short position
|
|
OppositeDirectionAsPosition bool `json:"oppositeDirectionAsPosition"`
|
|
|
|
klines types.KLineWindow
|
|
|
|
// activated: when the price reaches the min profit price, we set the activated to true to enable hhll stop
|
|
activated bool
|
|
|
|
highLows []types.Direction
|
|
|
|
session *ExchangeSession
|
|
orderExecutor *GeneralOrderExecutor
|
|
}
|
|
|
|
// Subscribe required k-line stream
|
|
func (s *HigherHighLowerLowStop) Subscribe(session *ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
}
|
|
|
|
// updateActivated checks the position cost against the close price, activation ratio, and deactivation ratio to
|
|
// determine whether this stop should be activated
|
|
func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, closePrice fixedpoint.Value) {
|
|
// deactivate when no position
|
|
if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() {
|
|
|
|
s.activated = false
|
|
return
|
|
|
|
}
|
|
|
|
// activation/deactivation price
|
|
var priceDeactive fixedpoint.Value
|
|
var priceActive fixedpoint.Value
|
|
if position.IsLong() {
|
|
priceDeactive = position.AverageCost.Mul(fixedpoint.One.Add(s.DeactivationRatio))
|
|
priceActive = position.AverageCost.Mul(fixedpoint.One.Add(s.ActivationRatio))
|
|
} else {
|
|
priceDeactive = position.AverageCost.Mul(fixedpoint.One.Sub(s.DeactivationRatio))
|
|
priceActive = position.AverageCost.Mul(fixedpoint.One.Sub(s.ActivationRatio))
|
|
}
|
|
|
|
if s.activated {
|
|
|
|
if position.IsLong() {
|
|
|
|
if closePrice.Compare(priceDeactive) >= 0 {
|
|
|
|
s.activated = false
|
|
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
|
|
|
|
} else if closePrice.Compare(priceActive) < 0 {
|
|
|
|
s.activated = false
|
|
Notify("[hhllStop] Stop of %s deactivated for long position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
|
|
|
|
}
|
|
|
|
} else if position.IsShort() {
|
|
|
|
// for short position, if the close price is less than the activation price then this is a profit position.
|
|
if closePrice.Compare(priceDeactive) <= 0 {
|
|
|
|
s.activated = false
|
|
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %s", s.Symbol, s.DeactivationRatio.Percentage())
|
|
|
|
} else if closePrice.Compare(priceActive) > 0 {
|
|
|
|
s.activated = false
|
|
Notify("[hhllStop] Stop of %s deactivated for short position, activation ratio %s", s.Symbol, s.ActivationRatio.Percentage())
|
|
|
|
}
|
|
|
|
}
|
|
} else {
|
|
|
|
if position.IsLong() {
|
|
|
|
if closePrice.Compare(priceActive) >= 0 && closePrice.Compare(priceDeactive) < 0 {
|
|
|
|
s.activated = true
|
|
Notify("[hhllStop] %s stop is activated for long position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())
|
|
|
|
}
|
|
|
|
} else if position.IsShort() {
|
|
|
|
// for short position, if the close price is less than the activation price then this is a profit position.
|
|
if closePrice.Compare(priceActive) <= 0 && closePrice.Compare(priceDeactive) > 0 {
|
|
|
|
s.activated = true
|
|
Notify("[hhllStop] %s stop is activated for short position, activation ratio %s, deactivation ratio %s", s.Symbol, s.ActivationRatio.Percentage(), s.DeactivationRatio.Percentage())
|
|
|
|
}
|
|
|
|
}
|
|
|
|
}
|
|
}
|
|
|
|
func (s *HigherHighLowerLowStop) updateHighLowNumber(kline types.KLine) {
|
|
s.klines.Truncate(s.Window - 1)
|
|
|
|
if s.klines.Len() >= s.Window-1 {
|
|
high := kline.GetHigh()
|
|
low := kline.GetLow()
|
|
if s.klines.GetHigh().Compare(high) < 0 {
|
|
s.highLows = append(s.highLows, types.DirectionUp)
|
|
log.Debugf("[hhllStop] detected %s new higher high %f", s.Symbol, high.Float64())
|
|
} else if s.klines.GetLow().Compare(low) > 0 {
|
|
s.highLows = append(s.highLows, types.DirectionDown)
|
|
log.Debugf("[hhllStop] detected %s new lower low %f", s.Symbol, low.Float64())
|
|
} else {
|
|
s.highLows = append(s.highLows, types.DirectionNone)
|
|
}
|
|
|
|
// Truncate highLows
|
|
if len(s.highLows) > s.HighLowWindow {
|
|
end := len(s.highLows)
|
|
start := end - s.HighLowWindow
|
|
if start < 0 {
|
|
start = 0
|
|
}
|
|
kn := s.highLows[start:]
|
|
s.highLows = kn
|
|
}
|
|
|
|
} else {
|
|
s.highLows = append(s.highLows, types.DirectionNone)
|
|
}
|
|
|
|
s.klines.Add(kline)
|
|
}
|
|
|
|
func (s *HigherHighLowerLowStop) shouldStop(position *types.Position) bool {
|
|
if s.klines.Len() < s.Window || len(s.highLows) < s.HighLowWindow {
|
|
log.Debugf("[hhllStop] not enough data for %s yet", s.Symbol)
|
|
return false
|
|
}
|
|
|
|
if s.activated {
|
|
highs := 0
|
|
lows := 0
|
|
for _, hl := range s.highLows {
|
|
switch hl {
|
|
case types.DirectionUp:
|
|
highs++
|
|
case types.DirectionDown:
|
|
lows++
|
|
}
|
|
}
|
|
|
|
log.Debugf("[hhllStop] %d higher highs and %d lower lows in window of %d", highs, lows, s.HighLowWindow)
|
|
|
|
// Check higher highs
|
|
if (position.IsLong() && !s.OppositeDirectionAsPosition) || (position.IsShort() && s.OppositeDirectionAsPosition) {
|
|
if (s.MinHighLow > 0 && highs < s.MinHighLow) || (s.MaxHighLow > 0 && highs > s.MaxHighLow) {
|
|
return true
|
|
}
|
|
// Check lower lows
|
|
} else if (position.IsShort() && !s.OppositeDirectionAsPosition) || (position.IsLong() && s.OppositeDirectionAsPosition) {
|
|
if (s.MinHighLow > 0 && lows < s.MinHighLow) || (s.MaxHighLow > 0 && lows > s.MaxHighLow) {
|
|
return true
|
|
}
|
|
}
|
|
}
|
|
return false
|
|
}
|
|
|
|
func (s *HigherHighLowerLowStop) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
|
|
// Check parameters
|
|
if s.Window <= 0 {
|
|
panic(fmt.Errorf("[hhllStop] window must be larger than zero"))
|
|
}
|
|
if s.HighLowWindow <= 0 {
|
|
panic(fmt.Errorf("[hhllStop] highLowWindow must be larger than zero"))
|
|
}
|
|
if s.MaxHighLow <= 0 && s.MinHighLow <= 0 {
|
|
panic(fmt.Errorf("[hhllStop] either maxHighLow or minHighLow must be larger than zero"))
|
|
}
|
|
|
|
s.session = session
|
|
s.orderExecutor = orderExecutor
|
|
|
|
position := orderExecutor.Position()
|
|
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
|
|
s.updateActivated(position, kline.GetClose())
|
|
|
|
s.updateHighLowNumber(kline)
|
|
|
|
// Close position & reset
|
|
if s.shouldStop(position) {
|
|
defer func() {
|
|
s.activated = false
|
|
}()
|
|
|
|
err := s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "hhllStop")
|
|
if err != nil {
|
|
Notify("[hhllStop] Stop of %s triggered but failed to close %s position:", s.Symbol, err)
|
|
return
|
|
}
|
|
|
|
Notify("[hhllStop] Stop of %s triggered and position closed", s.Symbol)
|
|
}
|
|
}))
|
|
|
|
// Make sure the stop is reset when position is closed or dust
|
|
orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
if position.IsClosed() || position.IsDust(position.AverageCost) {
|
|
s.activated = false
|
|
}
|
|
})
|
|
}
|