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81 lines
2.1 KiB
Go
81 lines
2.1 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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type RoiStopLoss struct {
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Symbol string
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// Percentage is the ROI loss percentage
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// 1% means when you loss 1% and it will close the position
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Percentage fixedpoint.Value `json:"percentage"`
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// Partial is a percentage of the position to be closed
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// 50% means you will close halt the position
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Partial fixedpoint.Value `json:"partial,omitempty"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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func (s *RoiStopLoss) Subscribe(session *ExchangeSession) {
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// use 1m kline to handle roi stop
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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}
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func (s *RoiStopLoss) 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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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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s.checkStopPrice(kline.Close, position)
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}))
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if !IsBackTesting && enableMarketTradeStop {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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if trade.Symbol != position.Symbol {
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return
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}
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s.checkStopPrice(trade.Price, position)
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})
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}
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}
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func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) {
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if position.IsClosed() || position.IsDust(closePrice) {
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return
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}
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roi := position.ROI(closePrice)
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// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
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if roi.Compare(s.Percentage.Neg()) > 0 {
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return
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}
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// default to close the whole position
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percent := one
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if !s.Partial.IsZero() {
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percent = s.Partial
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}
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Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f, closing: %s",
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position.Symbol,
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roi.Percentage(),
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s.Percentage.Neg().Percentage(),
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closePrice.Float64(),
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percent.Percentage())
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if err := s.orderExecutor.ClosePosition(context.Background(), percent, "roiStopLoss"); err != nil {
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log.WithError(err).Error("failed to close position")
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}
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}
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