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