mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
101 lines
3.0 KiB
Go
101 lines
3.0 KiB
Go
package dynamicrisk
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/pkg/errors"
|
|
)
|
|
|
|
// DynamicQuantitySet uses multiple dynamic quantity rules to calculate the total quantity
|
|
type DynamicQuantitySet []DynamicQuantity
|
|
|
|
// Initialize dynamic quantity set
|
|
func (d *DynamicQuantitySet) Initialize(symbol string, session *bbgo.ExchangeSession) {
|
|
for i := range *d {
|
|
(*d)[i].Initialize(symbol, session)
|
|
}
|
|
}
|
|
|
|
// GetQuantity returns the quantity
|
|
func (d *DynamicQuantitySet) GetQuantity(reverse bool) (fixedpoint.Value, error) {
|
|
quantity := fixedpoint.Zero
|
|
for i := range *d {
|
|
v, err := (*d)[i].getQuantity(reverse)
|
|
if err != nil {
|
|
return fixedpoint.Zero, err
|
|
}
|
|
quantity = quantity.Add(v)
|
|
}
|
|
|
|
return quantity, nil
|
|
}
|
|
|
|
type DynamicQuantity struct {
|
|
// LinRegQty calculates quantity based on LinReg slope
|
|
LinRegDynamicQuantity *DynamicQuantityLinReg `json:"linRegDynamicQuantity"`
|
|
}
|
|
|
|
// Initialize dynamic quantity
|
|
func (d *DynamicQuantity) Initialize(symbol string, session *bbgo.ExchangeSession) {
|
|
switch {
|
|
case d.LinRegDynamicQuantity != nil:
|
|
d.LinRegDynamicQuantity.initialize(symbol, session)
|
|
}
|
|
}
|
|
|
|
func (d *DynamicQuantity) IsEnabled() bool {
|
|
return d.LinRegDynamicQuantity != nil
|
|
}
|
|
|
|
// getQuantity returns quantity
|
|
func (d *DynamicQuantity) getQuantity(reverse bool) (fixedpoint.Value, error) {
|
|
switch {
|
|
case d.LinRegDynamicQuantity != nil:
|
|
return d.LinRegDynamicQuantity.getQuantity(reverse)
|
|
default:
|
|
return fixedpoint.Zero, errors.New("dynamic quantity is not enabled")
|
|
}
|
|
}
|
|
|
|
// DynamicQuantityLinReg uses LinReg slope to calculate quantity
|
|
type DynamicQuantityLinReg struct {
|
|
// DynamicQuantityLinRegScale is used to define the quantity range with the given parameters.
|
|
DynamicQuantityLinRegScale *bbgo.PercentageScale `json:"dynamicQuantityLinRegScale"`
|
|
|
|
// QuantityLinReg to define the interval and window of the LinReg
|
|
QuantityLinReg *indicator.LinReg `json:"quantityLinReg"`
|
|
}
|
|
|
|
// initialize LinReg dynamic quantity
|
|
func (d *DynamicQuantityLinReg) initialize(symbol string, session *bbgo.ExchangeSession) {
|
|
// Subscribe for LinReg
|
|
session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{
|
|
Interval: d.QuantityLinReg.Interval,
|
|
})
|
|
|
|
// Initialize LinReg
|
|
kLineStore, _ := session.MarketDataStore(symbol)
|
|
d.QuantityLinReg.BindK(session.MarketDataStream, symbol, d.QuantityLinReg.Interval)
|
|
if klines, ok := kLineStore.KLinesOfInterval(d.QuantityLinReg.Interval); ok {
|
|
d.QuantityLinReg.LoadK((*klines)[0:])
|
|
}
|
|
}
|
|
|
|
// getQuantity returns quantity
|
|
// If reverse is true, the LinReg slope ratio is reversed, ie -0.01 becomes 0.01. This is for short orders.
|
|
func (d *DynamicQuantityLinReg) getQuantity(reverse bool) (fixedpoint.Value, error) {
|
|
var linregRatio float64
|
|
if reverse {
|
|
linregRatio = -d.QuantityLinReg.LastRatio()
|
|
} else {
|
|
linregRatio = d.QuantityLinReg.LastRatio()
|
|
}
|
|
v, err := d.DynamicQuantityLinRegScale.Scale(linregRatio)
|
|
if err != nil {
|
|
return fixedpoint.Zero, err
|
|
}
|
|
return fixedpoint.NewFromFloat(v), nil
|
|
}
|