mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 23:35:14 +00:00
119 lines
3.0 KiB
Go
119 lines
3.0 KiB
Go
package emacross
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator/v2"
|
|
"github.com/c9s/bbgo/pkg/strategy/common"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const ID = "emacross"
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type Strategy struct {
|
|
*common.Strategy
|
|
|
|
Environment *bbgo.Environment
|
|
Market types.Market
|
|
|
|
Symbol string `json:"symbol"`
|
|
Interval types.Interval `json:"interval"`
|
|
SlowWindow int `json:"slowWindow"`
|
|
FastWindow int `json:"fastWindow"`
|
|
OpenBelow fixedpoint.Value `json:"openBelow"`
|
|
CloseAbove fixedpoint.Value `json:"closeAbove"`
|
|
|
|
lastKLine types.KLine
|
|
|
|
bbgo.OpenPositionOptions
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s:%s:%d-%d", ID, s.Symbol, s.Interval, s.FastWindow, s.SlowWindow)
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
if s.Strategy == nil {
|
|
s.Strategy = &common.Strategy{}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
|
|
|
|
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval5m, func(k types.KLine) {
|
|
s.lastKLine = k
|
|
}))
|
|
|
|
fastEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
|
|
slowEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
|
|
|
|
cross := indicatorv2.Cross(fastEMA, slowEMA)
|
|
cross.OnUpdate(func(v float64) {
|
|
switch indicatorv2.CrossType(v) {
|
|
|
|
case indicatorv2.CrossOver:
|
|
if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("unable to cancel order")
|
|
}
|
|
|
|
opts := s.OpenPositionOptions
|
|
opts.Long = true
|
|
if price, ok := session.LastPrice(s.Symbol); ok {
|
|
opts.Price = price
|
|
}
|
|
|
|
opts.Tags = []string{"emaCrossOver"}
|
|
|
|
_, err := s.Strategy.OrderExecutor.OpenPosition(ctx, opts)
|
|
logErr(err, "unable to open position")
|
|
case indicatorv2.CrossUnder:
|
|
err := s.Strategy.OrderExecutor.ClosePosition(ctx, fixedpoint.One)
|
|
logErr(err, "unable to submit close position order")
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func logErr(err error, msgAndArgs ...interface{}) bool {
|
|
if err == nil {
|
|
return false
|
|
}
|
|
|
|
if len(msgAndArgs) == 0 {
|
|
log.WithError(err).Error(err.Error())
|
|
} else if len(msgAndArgs) == 1 {
|
|
msg := msgAndArgs[0].(string)
|
|
log.WithError(err).Error(msg)
|
|
} else if len(msgAndArgs) > 1 {
|
|
msg := msgAndArgs[0].(string)
|
|
log.WithError(err).Errorf(msg, msgAndArgs[1:]...)
|
|
}
|
|
|
|
return true
|
|
}
|