mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
67 lines
2.1 KiB
Go
67 lines
2.1 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type RoiStopLoss struct {
|
|
Symbol string
|
|
Percentage fixedpoint.Value `json:"percentage"`
|
|
CancelActiveOrders bool `json:"cancelActiveOrders"`
|
|
// Interval is the time resolution to update the stop order
|
|
// KLine per Interval will be used for updating the stop order
|
|
Interval types.Interval `json:"interval,omitempty"`
|
|
|
|
session *ExchangeSession
|
|
orderExecutor *GeneralOrderExecutor
|
|
}
|
|
|
|
func (s *RoiStopLoss) Subscribe(session *ExchangeSession) {
|
|
// use kline to handle roi stop
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
}
|
|
|
|
func (s *RoiStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
|
|
s.session = session
|
|
s.orderExecutor = orderExecutor
|
|
|
|
position := orderExecutor.Position()
|
|
f := func(kline types.KLine) {
|
|
s.checkStopPrice(kline.Close, position)
|
|
}
|
|
|
|
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, f))
|
|
session.MarketDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, f))
|
|
|
|
if !IsBackTesting && enableMarketTradeStop {
|
|
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
|
|
if trade.Symbol != position.Symbol {
|
|
return
|
|
}
|
|
|
|
s.checkStopPrice(trade.Price, position)
|
|
})
|
|
}
|
|
}
|
|
|
|
func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) {
|
|
if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() {
|
|
return
|
|
}
|
|
|
|
roi := position.ROI(closePrice)
|
|
// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
|
|
if roi.Compare(s.Percentage.Neg()) < 0 {
|
|
// stop loss
|
|
Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, currentPrice = %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
|
|
if s.CancelActiveOrders {
|
|
_ = s.orderExecutor.GracefulCancel(context.Background())
|
|
}
|
|
_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
|
|
return
|
|
}
|
|
}
|