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501 lines
16 KiB
Go
501 lines
16 KiB
Go
package pivotshort
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import (
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"context"
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"fmt"
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"os"
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"sync"
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"github.com/sirupsen/logrus"
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"gopkg.in/yaml.v3"
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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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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)
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type TradeStats struct {
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WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
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NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
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NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
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GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
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GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
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Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
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Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
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MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
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MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
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}
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func (s *TradeStats) Add(pnl fixedpoint.Value) {
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if pnl.Sign() > 0 {
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s.NumOfProfitTrade++
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s.Profits = append(s.Profits, pnl)
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s.GrossProfit = s.GrossProfit.Add(pnl)
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s.MostProfitableTrade = fixedpoint.Max(s.MostProfitableTrade, pnl)
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} else {
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s.NumOfLossTrade++
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s.Losses = append(s.Losses, pnl)
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s.GrossLoss = s.GrossLoss.Add(pnl)
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s.MostLossTrade = fixedpoint.Min(s.MostLossTrade, pnl)
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}
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if s.NumOfLossTrade == 0 && s.NumOfProfitTrade > 0 {
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s.WinningRatio = fixedpoint.One
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} else {
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s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
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}
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}
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func (s *TradeStats) String() string {
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out, _ := yaml.Marshal(s)
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return string(out)
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}
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const ID = "pivotshort"
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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// BreakLow -- when price breaks the previous pivot low, we set a trade entry
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type BreakLow struct {
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Ratio fixedpoint.Value `json:"ratio"`
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MarketOrder bool `json:"marketOrder"`
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BounceRatio fixedpoint.Value `json:"bounceRatio"`
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Quantity fixedpoint.Value `json:"quantity"`
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StopEMARange fixedpoint.Value `json:"stopEMARange"`
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StopEMA *types.IntervalWindow `json:"stopEMA"`
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}
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type Entry struct {
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers int `json:"numLayers"`
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TotalQuantity fixedpoint.Value `json:"totalQuantity"`
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Quantity fixedpoint.Value `json:"quantity"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type CumulatedVolume struct {
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Enabled bool `json:"enabled"`
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MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
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Window int `json:"window"`
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}
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type Exit struct {
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RoiStopLossPercentage fixedpoint.Value `json:"roiStopLossPercentage"`
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RoiTakeProfitPercentage fixedpoint.Value `json:"roiTakeProfitPercentage"`
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RoiMinTakeProfitPercentage fixedpoint.Value `json:"roiMinTakeProfitPercentage"`
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LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
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CumulatedVolume *CumulatedVolume `json:"cumulatedVolume"`
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MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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// pivot interval and window
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types.IntervalWindow
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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TradeStats *TradeStats `persistence:"trade_stats"`
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BreakLow BreakLow `json:"breakLow"`
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Entry Entry `json:"entry"`
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Exit Exit `json:"exit"`
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activeMakerOrders *bbgo.ActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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lastLow fixedpoint.Value
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pivot *indicator.Pivot
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stopEWMA *indicator.EWMA
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pivotLowPrices []fixedpoint.Value
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// StrategyController
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bbgo.StrategyController
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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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 *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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}
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func (s *Strategy) useQuantityOrBaseBalance(quantity fixedpoint.Value) fixedpoint.Value {
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if quantity.IsZero() {
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if balance, ok := s.session.Account.Balance(s.Market.BaseCurrency); ok {
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s.Notify("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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quantity = balance.Available
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}
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}
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if quantity.IsZero() {
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log.Errorf("quantity is zero, can not submit sell order, please check settings")
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}
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return quantity
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}
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func (s *Strategy) placeLimitSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, price, quantity fixedpoint.Value) {
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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Symbol: s.Symbol,
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Price: price,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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})
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}
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func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, quantity fixedpoint.Value) {
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s.submitOrders(ctx, orderExecutor, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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})
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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submitOrder := s.Position.NewMarketCloseOrder(percentage) // types.SubmitOrder{
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if submitOrder == nil {
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return nil
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}
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if s.session.Margin {
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submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
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}
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s.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, *submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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s.tradeCollector.Process()
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return err
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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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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// initial required information
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s.session = session
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s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = &TradeStats{}
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}
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instanceID := s.InstanceID()
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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s.Notifiability.Notify(trade)
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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s.TradeStats.Add(profit)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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store, _ := session.MarketDataStore(s.Symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
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if s.BreakLow.StopEMA != nil {
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s.stopEWMA = standardIndicator.EWMA(*s.BreakLow.StopEMA)
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}
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s.lastLow = fixedpoint.Zero
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session.UserDataStream.OnStart(func() {
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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last := (*klines)[len(*klines)-1]
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log.Debugf("updating pivot indicator: %d klines", len(*klines))
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for i := s.pivot.Window; i < len(*klines); i++ {
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s.pivot.Update((*klines)[0 : i+1])
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}
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log.Infof("current %s price: %f", s.Symbol, last.Close.Float64())
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log.Infof("found %s previous lows: %v", s.Symbol, s.pivot.Lows)
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log.Infof("found %s previous highs: %v", s.Symbol, s.pivot.Highs)
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}
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// s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
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})
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// Always check whether you can open a short position or not
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != types.Interval1m {
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return
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}
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isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
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if isPositionOpened && s.Position.IsShort() {
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// calculate return rate
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// TODO: apply quantity to this formula
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roi := s.Position.AverageCost.Sub(kline.Close).Div(s.Position.AverageCost)
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if roi.Compare(s.Exit.RoiStopLossPercentage.Neg()) < 0 {
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// stop loss
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s.Notify("%s ROI StopLoss triggered at price %f: Loss %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
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s.closePosition(ctx)
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return
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} else {
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// take profit
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if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // force take profit
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s.Notify("%s TakeProfit triggered at price %f: by ROI percentage %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
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s.closePosition(ctx)
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return
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} else if !s.Exit.RoiMinTakeProfitPercentage.IsZero() && roi.Compare(s.Exit.RoiMinTakeProfitPercentage) > 0 {
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if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: by shadow ratio %f",
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s.Symbol,
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kline.Close.Float64(),
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kline.GetLowerShadowRatio().Float64(), kline)
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s.closePosition(ctx)
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return
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} else if s.Exit.CumulatedVolume != nil && s.Exit.CumulatedVolume.Enabled {
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if klines, ok := store.KLinesOfInterval(s.Interval); ok {
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var cbv = fixedpoint.Zero
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var cqv = fixedpoint.Zero
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for i := 0; i < s.Exit.CumulatedVolume.Window; i++ {
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last := (*klines)[len(*klines)-1-i]
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cqv = cqv.Add(last.QuoteVolume)
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cbv = cbv.Add(last.Volume)
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}
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if cqv.Compare(s.Exit.CumulatedVolume.MinQuoteVolume) > 0 {
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s.Notify("%s TakeProfit triggered at price %f: by cumulated volume (window: %d) %f > %f",
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s.Symbol,
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kline.Close.Float64(),
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s.Exit.CumulatedVolume.Window,
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cqv.Float64(),
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s.Exit.CumulatedVolume.MinQuoteVolume.Float64())
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s.closePosition(ctx)
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return
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}
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}
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}
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}
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}
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}
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if len(s.pivotLowPrices) == 0 {
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return
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}
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previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
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// truncate the pivot low prices
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if len(s.pivotLowPrices) > 10 {
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s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
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}
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if s.stopEWMA != nil && !s.BreakLow.StopEMARange.IsZero() {
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ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
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if ema.IsZero() {
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return
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}
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emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.BreakLow.StopEMARange))
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if kline.Close.Compare(emaStopShortPrice) < 0 {
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return
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}
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}
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ratio := fixedpoint.One.Sub(s.BreakLow.Ratio)
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breakPrice := previousLow.Mul(ratio)
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if kline.Close.Compare(breakPrice) > 0 {
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return
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}
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if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
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// s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
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return
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}
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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quantity := s.useQuantityOrBaseBalance(s.BreakLow.Quantity)
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if s.BreakLow.MarketOrder {
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s.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
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s.placeMarketSell(ctx, orderExecutor, quantity)
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} else {
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sellPrice := kline.Close.Mul(fixedpoint.One.Add(s.BreakLow.BounceRatio))
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s.placeLimitSell(ctx, orderExecutor, sellPrice, quantity)
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}
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})
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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if s.pivot.LastLow() > 0.0 {
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log.Debugf("pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
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lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
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s.lastLow = lastLow
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s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
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}
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})
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s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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wg.Done()
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})
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return nil
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}
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func (s *Strategy) closePosition(ctx context.Context) {
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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
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log.WithError(err).Errorf("close position error")
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}
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}
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func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
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for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
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if s.pivotLowPrices[l].Compare(price) > 0 {
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return s.pivotLowPrices[l], true
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}
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}
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return price, false
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}
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func (s *Strategy) placeBounceSellOrders(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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numLayers := fixedpoint.NewFromInt(int64(s.Entry.NumLayers))
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d := s.Entry.CatBounceRatio.Div(numLayers)
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q := s.Entry.Quantity
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if !s.Entry.TotalQuantity.IsZero() {
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q = s.Entry.TotalQuantity.Div(numLayers)
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}
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for i := 0; i < s.Entry.NumLayers; i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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if futuresMode {
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if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
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}
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} else if s.Environment.IsBackTesting() {
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if q.Compare(baseBalance.Available) <= 0 {
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s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
|
|
}
|
|
} else {
|
|
if q.Compare(baseBalance.Available) <= 0 {
|
|
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
|
|
submitOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Price: limitPrice,
|
|
Quantity: qty,
|
|
}
|
|
|
|
if !lastLow.IsZero() && lastLow.Compare(currentPrice) <= 0 {
|
|
submitOrder.Type = types.OrderTypeMarket
|
|
}
|
|
|
|
s.submitOrders(ctx, orderExecutor, submitOrder)
|
|
}
|