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108 lines
2.6 KiB
Go
108 lines
2.6 KiB
Go
package buyandhold
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import (
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"context"
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"fmt"
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"math"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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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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var log = logrus.WithField("strategy", "buyandhold")
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func init() {
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bbgo.RegisterStrategy("buyandhold", &Strategy{})
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}
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type Strategy struct {
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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BaseQuantity float64 `json:"baseQuantity"`
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MinDropPercentage fixedpoint.Value `json:"minDropPercentage"`
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MinDropChange fixedpoint.Value `json:"minDropChange"`
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MovingAverageWindow int `json:"movingAverageWindow"`
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: string(s.Interval)})
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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if s.Interval == "" {
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s.Interval = types.Interval5m
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}
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if s.MovingAverageWindow == 0 {
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s.MovingAverageWindow = 99
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}
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// buy when price drops -8%
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market, ok := session.Market(s.Symbol)
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if !ok {
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return fmt.Errorf("market %s is not defined", s.Symbol)
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}
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standardIndicatorSet, ok := session.StandardIndicatorSet(s.Symbol)
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if !ok {
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return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
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}
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var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
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var ema = standardIndicatorSet.EWMA(iw)
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session.Stream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol {
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return
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}
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change := kline.GetChange()
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// skip positive change
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if change > 0 {
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return
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}
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if kline.Close > ema.Last() {
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log.Warnf("kline close price %f is above EMA %s %f", kline.Close, ema.IntervalWindow, ema.Last())
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return
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}
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changeP := change / kline.Open
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if s.MinDropPercentage != 0 {
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if math.Abs(changeP) < math.Abs(s.MinDropPercentage.Float64()) {
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return
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}
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} else if s.MinDropChange != 0 {
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if math.Abs(change) < math.Abs(s.MinDropChange.Float64()) {
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return
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}
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} else {
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// not configured, we shall skip
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log.Warnf("parameters are not configured, skipping action...")
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return
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}
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quantity := s.BaseQuantity * (1.0 + math.Abs(changeP))
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_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Market: market,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Error("submit order error")
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}
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})
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return nil
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}
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