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