bbgo_origin/pkg/strategy/pivotshort/breaklow.go

295 lines
9.0 KiB
Go

package pivotshort
import (
"context"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/risk"
"github.com/c9s/bbgo/pkg/types"
)
type StopEMA struct {
types.IntervalWindow
Range fixedpoint.Value `json:"range"`
}
type TrendEMA struct {
types.IntervalWindow
}
type FakeBreakStop struct {
types.IntervalWindow
}
// BreakLow -- when price breaks the previous pivot low, we set a trade entry
type BreakLow struct {
Symbol string
Market types.Market
types.IntervalWindow
// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
Ratio fixedpoint.Value `json:"ratio"`
// MarketOrder is the option to enable market order short.
MarketOrder bool `json:"marketOrder"`
// BounceRatio is a ratio used for placing the limit order sell price
// limit sell price = breakLowPrice * (1 + BounceRatio)
BounceRatio fixedpoint.Value `json:"bounceRatio"`
Leverage fixedpoint.Value `json:"leverage"`
Quantity fixedpoint.Value `json:"quantity"`
StopEMA *StopEMA `json:"stopEMA"`
TrendEMA *TrendEMA `json:"trendEMA"`
FakeBreakStop *FakeBreakStop `json:"fakeBreakStop"`
lastLow fixedpoint.Value
// lastBreakLow is the low that the price just break
lastBreakLow fixedpoint.Value
pivotLow *indicator.PivotLow
pivotLowPrices []fixedpoint.Value
stopEWMA *indicator.EWMA
trendEWMA *indicator.EWMA
trendEWMALast, trendEWMACurrent float64
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
}
func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
if s.StopEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
}
if s.TrendEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
}
if s.FakeBreakStop != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.FakeBreakStop.Interval})
}
}
func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
position := orderExecutor.Position()
symbol := position.Symbol
standardIndicator := session.StandardIndicatorSet(s.Symbol)
s.lastLow = fixedpoint.Zero
s.pivotLow = standardIndicator.PivotLow(s.IntervalWindow)
if s.StopEMA != nil {
s.stopEWMA = standardIndicator.EWMA(s.StopEMA.IntervalWindow)
}
if s.TrendEMA != nil {
s.trendEWMA = standardIndicator.EWMA(s.TrendEMA.IntervalWindow)
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.TrendEMA.Interval, func(kline types.KLine) {
s.trendEWMALast = s.trendEWMACurrent
s.trendEWMACurrent = s.trendEWMA.Last()
}))
}
// update pivot low data
session.MarketDataStream.OnStart(func() {
if s.updatePivotLow() {
bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotLow.Last())
}
s.pilotQuantityCalculation()
})
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
if s.updatePivotLow() {
// when position is opened, do not send pivot low notify
if position.IsOpened(kline.Close) {
return
}
bbgo.Notify("%s new pivot low: %f", s.Symbol, s.pivotLow.Last())
}
}))
if s.FakeBreakStop != nil {
// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
// so that we can close the position earlier
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.FakeBreakStop.Interval, func(k types.KLine) {
// make sure the position is opened, and it's a short position
if !position.IsOpened(k.Close) || !position.IsShort() {
return
}
// make sure we recorded the last break low
if s.lastBreakLow.IsZero() {
return
}
// the kline opened below the last break low, and closed above the last break low
if k.Open.Compare(s.lastBreakLow) < 0 && k.Close.Compare(s.lastBreakLow) > 0 {
bbgo.Notify("kLine closed above the last break low, triggering stop earlier")
if err := s.orderExecutor.ClosePosition(context.Background(), one, "kLineClosedStop"); err != nil {
log.WithError(err).Error("position close error")
}
// reset to zero
s.lastBreakLow = fixedpoint.Zero
}
}))
}
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
if len(s.pivotLowPrices) == 0 {
log.Infof("currently there is no pivot low prices, can not check break low...")
return
}
previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
ratio := fixedpoint.One.Add(s.Ratio)
breakPrice := previousLow.Mul(ratio)
openPrice := kline.Open
closePrice := kline.Close
// if the previous low is not break, or the kline is not strong enough to break it, skip
if closePrice.Compare(breakPrice) >= 0 {
return
}
// we need the price cross the break line, or we do nothing:
// open > break price > close price
if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
return
}
// force direction to be down
if closePrice.Compare(openPrice) >= 0 {
log.Infof("%s price %f is closed higher than the open price %f, skip this break", kline.Symbol, closePrice.Float64(), openPrice.Float64())
// skip UP klines
return
}
log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
if s.lastBreakLow.IsZero() || previousLow.Compare(s.lastBreakLow) < 0 {
s.lastBreakLow = previousLow
}
if position.IsOpened(kline.Close) {
log.Infof("position is already opened, skip short")
return
}
// trend EMA protection
if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
slope := s.trendEWMALast / s.trendEWMACurrent
if slope > 1.0 {
log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
return
}
log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
}
// stop EMA protection
if s.stopEWMA != nil {
ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
if ema.IsZero() {
return
}
emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.StopEMA.Range))
if closePrice.Compare(emaStopShortPrice) < 0 {
log.Infof("stopEMA protection: close price %f < EMA(%v %f) * (1 - RANGE %f) = %f", closePrice.Float64(), s.StopEMA, ema.Float64(), s.StopEMA.Range.Float64(), emaStopShortPrice.Float64())
return
}
}
ctx := context.Background()
// graceful cancel all active orders
_ = orderExecutor.GracefulCancel(ctx)
quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
if err != nil {
log.WithError(err).Errorf("quantity calculation error")
}
if quantity.IsZero() {
return
}
if s.MarketOrder {
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: s.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeMarket,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowMarket",
})
} else {
sellPrice := previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64(), sellPrice.Float64())
_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Side: types.SideTypeSell,
Type: types.OrderTypeLimit,
Price: sellPrice,
Quantity: quantity,
MarginSideEffect: types.SideEffectTypeMarginBuy,
Tag: "breakLowLimit",
})
}
}))
}
func (s *BreakLow) pilotQuantityCalculation() {
log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
s.lastLow.Float64(),
s.Quantity.Float64(),
s.Leverage.Float64())
quantity, err := risk.CalculateBaseQuantity(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
if err != nil {
log.WithError(err).Errorf("quantity calculation error")
}
if quantity.IsZero() {
log.WithError(err).Errorf("quantity is zero, can not submit order")
return
}
bbgo.Notify("%s %f quantity will be used for shorting", s.Symbol, quantity.Float64())
}
func (s *BreakLow) updatePivotLow() bool {
lastLow := fixedpoint.NewFromFloat(s.pivotLow.Last())
if lastLow.IsZero() || lastLow.Compare(s.lastLow) == 0 {
return false
}
s.lastLow = lastLow
s.pivotLowPrices = append(s.pivotLowPrices, lastLow)
return true
}