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821 lines
26 KiB
Go
821 lines
26 KiB
Go
package drift
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import (
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"bufio"
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"context"
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"encoding/json"
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"errors"
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"fmt"
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"math"
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"os"
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"strings"
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"sync"
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"github.com/fatih/color"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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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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"github.com/c9s/bbgo/pkg/util"
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)
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const ID = "drift"
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var log = logrus.WithField("strategy", ID)
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var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
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var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
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var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
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var Fee = fixedpoint.NewFromFloat(0.0008) // taker fee % * 2, for upper bound
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type SourceFunc func(*types.KLine) fixedpoint.Value
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type Strategy struct {
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Symbol string `json:"symbol"`
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bbgo.StrategyController
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types.Market
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types.IntervalWindow
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*bbgo.Environment
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*types.Position `persistence:"position"`
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*types.ProfitStats `persistence:"profit_stats"`
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*types.TradeStats `persistence:"trade_stats"`
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ma types.UpdatableSeriesExtend
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stdevHigh *indicator.StdDev
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stdevLow *indicator.StdDev
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drift *DriftMA
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex
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// This stores the maximum TP coefficient of ATR multiplier of each entry point
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takeProfitFactor types.UpdatableSeriesExtend
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Source string `json:"source,omitempty"`
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TakeProfitFactor float64 `json:"takeProfitFactor"`
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ProfitFactorWindow int `json:"profitFactorWindow"`
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StopLoss fixedpoint.Value `json:"stoploss"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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HighLowVarianceMultiplier float64 `json:"hlVarianceMultiplier"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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HLRangeWindow int `json:"hlRangeWindow"`
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SmootherWindow int `json:"smootherWindow"`
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FisherTransformWindow int `json:"fisherTransformWindow"`
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ATRWindow int `json:"atrWindow"`
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buyPrice float64
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sellPrice float64
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highestPrice float64
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lowestPrice float64
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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Session *bbgo.ExchangeSession
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*bbgo.GeneralOrderExecutor
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getLastPrice func() fixedpoint.Value
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getSource SourceFunc
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}
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func (s *Strategy) Print(o *os.File) {
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f := bufio.NewWriter(o)
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defer f.Flush()
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b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
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hiyellow := color.New(color.FgHiYellow).FprintfFunc()
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hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
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hiyellow(f, "generateGraph: %v\n", s.GenerateGraph)
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hiyellow(f, "canvasPath: %s\n", s.CanvasPath)
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hiyellow(f, "graphPNLPath: %s\n", s.GraphPNLPath)
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hiyellow(f, "graphCumPNLPath: %s\n", s.GraphCumPNLPath)
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hiyellow(f, "source: %s\n", s.Source)
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hiyellow(f, "stoploss: %v\n", s.StopLoss)
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hiyellow(f, "takeProfitFactor(last): %f, (init): %f\n", s.takeProfitFactor.Last(), s.TakeProfitFactor)
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hiyellow(f, "profitFactorWindow: %d\n", s.ProfitFactorWindow)
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hiyellow(f, "predictOffset: %d\n", s.PredictOffset)
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hiyellow(f, "exits:\n %s\n", string(b))
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hiyellow(f, "symbol: %s\n", s.Symbol)
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hiyellow(f, "interval: %s\n", s.Interval)
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hiyellow(f, "window: %d\n", s.Window)
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hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
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hiyellow(f, "hlVarianceMutiplier: %f\n", s.HighLowVarianceMultiplier)
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hiyellow(f, "hlRangeWindow: %d\n", s.HLRangeWindow)
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hiyellow(f, "smootherWindow: %d\n", s.SmootherWindow)
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hiyellow(f, "fisherTransformWindow: %d\n", s.FisherTransformWindow)
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hiyellow(f, "atrWindow: %d\n", s.ATRWindow)
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hiyellow(f, "\n")
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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) 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) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: s.Interval,
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})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: types.Interval1m,
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})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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order := s.Position.NewMarketCloseOrder(percentage)
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if order == nil {
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return nil
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}
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order.Tag = "close"
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order.TimeInForce = ""
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balances := s.Session.GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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price := s.getLastPrice()
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if order.Side == types.SideTypeBuy {
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quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
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if order.Quantity.Compare(quoteAmount) > 0 {
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order.Quantity = quoteAmount
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}
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} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
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order.Quantity = baseBalance
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}
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for {
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if s.Market.IsDustQuantity(order.Quantity, price) {
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return nil
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}
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_, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
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if err != nil {
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order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
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continue
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}
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return nil
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}
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}
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func (s *Strategy) SourceFuncGenerator() SourceFunc {
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switch strings.ToLower(s.Source) {
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case "close":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Close }
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case "high":
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return func(kline *types.KLine) fixedpoint.Value { return kline.High }
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case "low":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Low }
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case "hl2":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.High.Add(kline.Low).Div(Two)
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}
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case "hlc3":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
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}
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case "ohlc4":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.Open.Add(kline.High).Add(kline.Low).Add(kline.Close).Div(Four)
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}
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case "open":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Open }
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case "":
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log.Infof("source not set, use hl2 by default")
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.High.Add(kline.Low).Div(Two)
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}
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default:
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panic(fmt.Sprintf("Unable to parse: %s", s.Source))
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}
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}
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type DriftMA struct {
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types.SeriesBase
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ma1 types.UpdatableSeriesExtend
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drift *indicator.Drift
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ma2 types.UpdatableSeriesExtend
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}
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func (s *DriftMA) Update(value float64) {
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s.ma1.Update(value)
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s.drift.Update(s.ma1.Last())
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s.ma2.Update(s.drift.Last())
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}
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func (s *DriftMA) Last() float64 {
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return s.ma2.Last()
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}
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func (s *DriftMA) Index(i int) float64 {
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return s.ma2.Index(i)
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}
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func (s *DriftMA) Length() int {
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return s.ma2.Length()
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}
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func (s *DriftMA) ZeroPoint() float64 {
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return s.drift.ZeroPoint()
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}
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func (s *DriftMA) Clone() *DriftMA {
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out := DriftMA{
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ma1: types.Clone(s.ma1),
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drift: s.drift.Clone(),
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ma2: types.Clone(s.ma2),
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}
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out.SeriesBase.Series = &out
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return &out
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}
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func (s *DriftMA) TestUpdate(v float64) *DriftMA {
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out := s.Clone()
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out.Update(v)
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return out
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}
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func (s *Strategy) initIndicators() error {
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s.ma = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.stdevHigh = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.stdevLow = &indicator.StdDev{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.HLRangeWindow}}
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s.drift = &DriftMA{
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drift: &indicator.Drift{
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MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
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IntervalWindow: s.IntervalWindow,
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},
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ma1: &indicator.EWMA{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.SmootherWindow},
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},
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ma2: &indicator.FisherTransform{
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IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.FisherTransformWindow},
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},
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}
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s.drift.SeriesBase.Series = s.drift
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ATRWindow}}
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s.takeProfitFactor = &indicator.SMA{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: s.ProfitFactorWindow}}
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for i := 0; i < s.ProfitFactorWindow; i++ {
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s.takeProfitFactor.Update(s.TakeProfitFactor)
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}
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store, _ := s.Session.MarketDataStore(s.Symbol)
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klines, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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return errors.New("klines not exists")
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}
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for _, kline := range *klines {
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source := s.getSource(&kline).Float64()
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high := kline.High.Float64()
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low := kline.Low.Float64()
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s.ma.Update(source)
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s.stdevHigh.Update(high - s.ma.Last())
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s.stdevLow.Update(s.ma.Last() - low)
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s.drift.Update(source)
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s.atr.PushK(kline)
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}
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return nil
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}
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func (s *Strategy) initTickerFunctions(ctx context.Context) {
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if s.IsBackTesting() {
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s.getLastPrice = func() fixedpoint.Value {
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lastPrice, ok := s.Session.LastPrice(s.Symbol)
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if !ok {
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log.Error("cannot get lastprice")
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}
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return lastPrice
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}
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} else {
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s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var pricef, atr, avg float64
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var price fixedpoint.Value
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if util.TryLock(&s.lock) {
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if !bestAsk.IsZero() && !bestBid.IsZero() {
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s.midPrice = bestAsk.Add(bestBid).Div(Two)
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} else if !bestAsk.IsZero() {
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s.midPrice = bestAsk
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} else {
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s.midPrice = bestBid
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}
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price = s.midPrice
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pricef = s.midPrice.Float64()
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} else {
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return
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}
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if s.highestPrice > 0 && s.highestPrice < pricef {
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s.highestPrice = pricef
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}
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if s.lowestPrice > 0 && s.lowestPrice > pricef {
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s.lowestPrice = pricef
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}
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss || s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
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s.lock.Unlock()
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return
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}
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atr = s.atr.Last()
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avg = s.buyPrice + s.sellPrice
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d := s.drift.TestUpdate(pricef)
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drift := d.Last()
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ddrift := d.drift.Last()
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takeProfitFactor := s.takeProfitFactor.Predict(2)
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exitShortCondition := ( /*avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
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((pricef-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
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(s.Position.IsShort() && !s.Position.IsDust(price))
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exitLongCondition := ( /*avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef ||*/ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
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((s.highestPrice-pricef)/pricef > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
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(!s.Position.IsLong() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if exitLongCondition && s.highestPrice > avg {
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s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
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} else if exitShortCondition && avg > s.lowestPrice {
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s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
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}
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_ = s.ClosePosition(ctx, fixedpoint.One)
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}
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s.lock.Unlock()
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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var ok bool
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s.lock.RLock()
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if s.midPrice.IsZero() {
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lastPrice, ok = s.Session.LastPrice(s.Symbol)
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if !ok {
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log.Error("cannot get lastprice")
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return lastPrice
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}
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} else {
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lastPrice = s.midPrice
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}
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s.lock.RUnlock()
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return lastPrice
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}
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}
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}
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func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series, zeroPoints types.Series) {
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canvas := types.NewCanvas(s.InstanceID(), s.Interval)
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Length := priceLine.Length()
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if Length > 300 {
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Length = 300
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}
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mean := priceLine.Mean(Length)
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highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
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highestDrift := s.drift.Abs().Highest(Length)
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hi := s.drift.drift.Abs().Highest(Length)
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ratio := highestPrice / highestDrift
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canvas.Plot("upband", s.ma.Add(s.stdevHigh), time, Length)
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canvas.Plot("ma", s.ma, time, Length)
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canvas.Plot("downband", s.ma.Minus(s.stdevLow), time, Length)
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canvas.Plot("drift", s.drift.Mul(ratio).Add(mean), time, Length)
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canvas.Plot("driftOrig", s.drift.drift.Mul(highestPrice/hi).Add(mean), time, Length)
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canvas.Plot("zero", types.NumberSeries(mean), time, Length)
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canvas.Plot("price", priceLine, time, Length)
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canvas.Plot("zeroPoint", zeroPoints, time, Length)
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f, err := os.Create(s.CanvasPath)
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if err != nil {
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log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("cannot render in drift")
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}
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canvas = types.NewCanvas(s.InstanceID())
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("pnl % (with Fee Deducted)", profit, profit.Length())
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} else {
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canvas.PlotRaw("pnl %", profit, profit.Length())
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}
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f, err = os.Create(s.GraphPNLPath)
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if err != nil {
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log.WithError(err).Errorf("open pnl")
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("render pnl")
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}
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canvas = types.NewCanvas(s.InstanceID())
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("cummulative pnl % (with Fee Deducted)", cumProfit, cumProfit.Length())
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} else {
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canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length())
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}
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f, err = os.Create(s.GraphCumPNLPath)
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if err != nil {
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log.WithError(err).Errorf("open cumpnl")
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("render cumpnl")
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}
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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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instanceID := s.InstanceID()
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// Will be set by persistence if there's any from DB
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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 = types.NewTradeStats(s.Symbol)
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}
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startTime := s.Environment.StartTime()
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s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1d, startTime))
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s.TradeStats.SetIntervalProfitCollector(types.NewIntervalProfitCollector(types.Interval1w, startTime))
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// StrategyController
|
|
s.Status = types.StrategyStatusRunning
|
|
// Get source function from config input
|
|
s.getSource = s.SourceFuncGenerator()
|
|
|
|
s.OnSuspend(func() {
|
|
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
|
})
|
|
|
|
s.OnEmergencyStop(func() {
|
|
_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
})
|
|
|
|
s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
|
|
s.GeneralOrderExecutor.BindEnvironment(s.Environment)
|
|
s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
|
|
s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
|
|
s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
|
|
bbgo.Sync(s)
|
|
})
|
|
s.GeneralOrderExecutor.Bind()
|
|
|
|
// Exit methods from config
|
|
for _, method := range s.ExitMethods {
|
|
method.Bind(session, s.GeneralOrderExecutor)
|
|
}
|
|
buyPrice := fixedpoint.Zero
|
|
sellPrice := fixedpoint.Zero
|
|
Volume := fixedpoint.Zero
|
|
profit := types.Float64Slice{}
|
|
cumProfit := types.Float64Slice{1.}
|
|
orderTagHistory := make(map[uint64]string)
|
|
s.buyPrice = 0
|
|
s.sellPrice = 0
|
|
s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
|
orderTagHistory[order.OrderID] = order.Tag
|
|
})
|
|
modify := func(p fixedpoint.Value) fixedpoint.Value {
|
|
return p
|
|
}
|
|
if s.GraphPNLDeductFee {
|
|
modify = func(p fixedpoint.Value) fixedpoint.Value {
|
|
return p.Mul(fixedpoint.One.Sub(Fee))
|
|
}
|
|
}
|
|
s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
|
tag, ok := orderTagHistory[trade.OrderID]
|
|
if !ok {
|
|
panic(fmt.Sprintf("cannot find order: %v", trade))
|
|
}
|
|
if tag == "close" {
|
|
if !buyPrice.IsZero() {
|
|
profit.Update(modify(trade.Price.Div(buyPrice)).
|
|
Sub(fixedpoint.One).
|
|
Mul(trade.Quantity).
|
|
Div(Volume).
|
|
Add(fixedpoint.One).
|
|
Float64())
|
|
cumProfit.Update(cumProfit.Last() * profit.Last())
|
|
Volume = Volume.Sub(trade.Quantity)
|
|
if Volume.IsZero() {
|
|
buyPrice = fixedpoint.Zero
|
|
}
|
|
if !sellPrice.IsZero() {
|
|
panic("sellprice shouldn't be zero")
|
|
}
|
|
} else if !sellPrice.IsZero() {
|
|
profit.Update(modify(sellPrice.Div(trade.Price)).
|
|
Sub(fixedpoint.One).
|
|
Mul(trade.Quantity).
|
|
Div(Volume).
|
|
Neg().
|
|
Add(fixedpoint.One).
|
|
Float64())
|
|
cumProfit.Update(cumProfit.Last() * profit.Last())
|
|
Volume = Volume.Add(trade.Quantity)
|
|
if Volume.IsZero() {
|
|
sellPrice = fixedpoint.Zero
|
|
}
|
|
if !buyPrice.IsZero() {
|
|
panic("buyprice shouldn't be zero")
|
|
}
|
|
} else {
|
|
panic("no price available")
|
|
}
|
|
} else if tag == "short" {
|
|
if buyPrice.IsZero() {
|
|
if !sellPrice.IsZero() {
|
|
sellPrice = sellPrice.Mul(Volume).Sub(trade.Price.Mul(trade.Quantity)).Div(Volume.Sub(trade.Quantity))
|
|
} else {
|
|
sellPrice = trade.Price
|
|
}
|
|
} else {
|
|
profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
|
|
cumProfit.Update(cumProfit.Last() * profit.Last())
|
|
buyPrice = fixedpoint.Zero
|
|
Volume = fixedpoint.Zero
|
|
sellPrice = trade.Price
|
|
}
|
|
Volume = Volume.Sub(trade.Quantity)
|
|
} else if tag == "long" {
|
|
if sellPrice.IsZero() {
|
|
if !buyPrice.IsZero() {
|
|
buyPrice = buyPrice.Mul(Volume).Add(trade.Price.Mul(trade.Quantity)).Div(Volume.Add(trade.Quantity))
|
|
} else {
|
|
buyPrice = trade.Price
|
|
}
|
|
} else {
|
|
profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
|
|
cumProfit.Update(cumProfit.Last() * profit.Last())
|
|
sellPrice = fixedpoint.Zero
|
|
buyPrice = trade.Price
|
|
Volume = fixedpoint.Zero
|
|
}
|
|
Volume = Volume.Add(trade.Quantity)
|
|
}
|
|
s.buyPrice = buyPrice.Float64()
|
|
s.highestPrice = s.buyPrice
|
|
s.sellPrice = sellPrice.Float64()
|
|
s.lowestPrice = s.sellPrice
|
|
})
|
|
|
|
if err := s.initIndicators(); err != nil {
|
|
log.WithError(err).Errorf("initIndicator failed")
|
|
return nil
|
|
}
|
|
s.initTickerFunctions(ctx)
|
|
|
|
dynamicKLine := &types.KLine{}
|
|
priceLine := types.NewQueue(300)
|
|
zeroPoints := types.NewQueue(300)
|
|
stoploss := s.StopLoss.Float64()
|
|
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
if s.Status != types.StrategyStatusRunning {
|
|
return
|
|
}
|
|
if kline.Symbol != s.Symbol {
|
|
return
|
|
}
|
|
var driftPred, atr float64
|
|
var drift []float64
|
|
|
|
if !kline.Closed {
|
|
return
|
|
}
|
|
if kline.Interval == types.Interval1m {
|
|
if s.NoTrailingStopLoss || !s.IsBackTesting() {
|
|
return
|
|
}
|
|
// for doing the trailing stoploss during backtesting
|
|
atr = s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
d := s.drift.TestUpdate(pricef)
|
|
drift := d.Last()
|
|
ddrift := d.drift.Last()
|
|
|
|
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
|
s.lowestPrice = lowf
|
|
}
|
|
if s.highestPrice > 0 && highf > s.highestPrice {
|
|
s.highestPrice = highf
|
|
}
|
|
avg := s.buyPrice + s.sellPrice
|
|
|
|
if s.GeneralOrderExecutor.ActiveMakerOrders().NumOfOrders() > 0 {
|
|
return
|
|
}
|
|
|
|
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
|
exitShortCondition := ( /*avg+atr/2 <= highf || avg*(1.+stoploss) <= pricef ||*/ (drift > 0 && ddrift > 0.6) || avg-atr*takeProfitFactor >= pricef ||
|
|
((highf-s.lowestPrice)/s.lowestPrice > 0.003 && (avg-s.lowestPrice)/s.lowestPrice > 0.015)) &&
|
|
(s.Position.IsShort() && !s.Position.IsDust(price))
|
|
exitLongCondition := ( /*avg-atr/2 >= lowf || avg*(1.-stoploss) >= pricef || */ (drift < 0 && ddrift < -0.6) || avg+atr*takeProfitFactor <= pricef ||
|
|
((s.highestPrice-lowf)/lowf > 0.003 && (s.highestPrice-avg)/avg > 0.015)) &&
|
|
(s.Position.IsLong() && !s.Position.IsDust(price))
|
|
if exitShortCondition || exitLongCondition {
|
|
if exitLongCondition && s.highestPrice > avg {
|
|
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
|
} else if exitShortCondition && avg > s.lowestPrice {
|
|
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
|
}
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
}
|
|
return
|
|
}
|
|
dynamicKLine.Set(&kline)
|
|
|
|
source := s.getSource(dynamicKLine)
|
|
sourcef := source.Float64()
|
|
priceLine.Update(sourcef)
|
|
s.ma.Update(sourcef)
|
|
s.drift.Update(sourcef)
|
|
zeroPoint := s.drift.ZeroPoint()
|
|
zeroPoints.Update(zeroPoint)
|
|
s.atr.PushK(kline)
|
|
drift = s.drift.Array(2)
|
|
ddrift := s.drift.drift.Array(2)
|
|
driftPred = s.drift.Predict(s.PredictOffset)
|
|
ddriftPred := s.drift.drift.Predict(s.PredictOffset)
|
|
atr = s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
lowdiff := s.ma.Last() - lowf
|
|
s.stdevLow.Update(lowdiff)
|
|
highdiff := highf - s.ma.Last()
|
|
s.stdevHigh.Update(highdiff)
|
|
if s.lowestPrice > 0 && lowf < s.lowestPrice {
|
|
s.lowestPrice = lowf
|
|
}
|
|
if s.highestPrice > 0 && highf > s.highestPrice {
|
|
s.highestPrice = highf
|
|
}
|
|
avg := s.buyPrice + s.sellPrice
|
|
takeProfitFactor := s.takeProfitFactor.Predict(2)
|
|
|
|
if !s.IsBackTesting() {
|
|
balances := s.Session.GetAccount().Balances()
|
|
bbgo.Notify("zeroPoint: %.4f, source: %.4f, price: %.4f, driftPred: %.4f, drift: %.4f, drift[1]: %.4f, atr: %.4f, avg: %.4f",
|
|
zeroPoint, sourcef, pricef, driftPred, drift[0], drift[1], atr, avg)
|
|
// Notify will parse args to strings and process separately
|
|
bbgo.Notify("balances: [Base] %s [Quote] %s", balances[s.Market.BaseCurrency].String(), balances[s.Market.QuoteCurrency].String())
|
|
}
|
|
|
|
//shortCondition := (sourcef <= zeroPoint && driftPred <= drift[0] && drift[0] <= 0 && drift[1] > 0 && drift[2] > drift[1])
|
|
//longCondition := (sourcef >= zeroPoint && driftPred >= drift[0] && drift[0] >= 0 && drift[1] < 0 && drift[2] < drift[1])
|
|
//bothUp := ddrift[1] < ddrift[0] && drift[1] < drift[0]
|
|
//bothDown := ddrift[1] > ddrift[0] && drift[1] > drift[0]
|
|
shortCondition := (drift[1] >= -0.9 || ddrift[1] >= 0) && (driftPred <= -0.6 || ddriftPred <= 0)
|
|
longCondition := (drift[1] <= 0.9 || ddrift[1] <= 0) && (driftPred >= 0.6 || ddriftPred >= 0)
|
|
exitShortCondition := ((drift[0] >= 0.6 && ddrift[0] >= 0) ||
|
|
avg*(1.+stoploss) <= pricef ||
|
|
avg-atr*takeProfitFactor >= pricef) &&
|
|
s.Position.IsShort() && !longCondition && !shortCondition
|
|
exitLongCondition := ((drift[0] <= -0.6 && ddrift[0] <= 0) ||
|
|
avg*(1.-stoploss) >= pricef ||
|
|
avg+atr*takeProfitFactor <= pricef) &&
|
|
s.Position.IsLong() && !shortCondition && !longCondition
|
|
|
|
if (exitShortCondition || exitLongCondition) && s.Position.IsOpened(price) {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
if exitShortCondition && avg > s.lowestPrice {
|
|
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
|
} else if exitLongCondition && avg < s.highestPrice {
|
|
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
|
}
|
|
if s.takeProfitFactor.Last() == 0 {
|
|
log.Errorf("exit %f %f %f %v", s.highestPrice, s.lowestPrice, avg, s.takeProfitFactor.Array(10))
|
|
}
|
|
_ = s.ClosePosition(ctx, fixedpoint.One)
|
|
return
|
|
}
|
|
if shortCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get baseBalance")
|
|
return
|
|
}
|
|
source = source.Add(fixedpoint.NewFromFloat(s.stdevHigh.Last() * s.HighLowVarianceMultiplier))
|
|
if source.Compare(price) < 0 {
|
|
source = price
|
|
}
|
|
sourcef = source.Float64()
|
|
|
|
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
|
return
|
|
}
|
|
if avg < s.highestPrice && avg > 0 && s.Position.IsLong() {
|
|
s.takeProfitFactor.Update((s.highestPrice - avg) / atr * 4)
|
|
if s.takeProfitFactor.Last() == 0 {
|
|
log.Errorf("short %f %f", s.highestPrice, avg)
|
|
}
|
|
}
|
|
// Cleanup pending StopOrders
|
|
quantity := baseBalance.Available
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "short",
|
|
})
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place sell order")
|
|
return
|
|
}
|
|
orderTagHistory[createdOrders[0].OrderID] = "short"
|
|
}
|
|
if longCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
source = source.Sub(fixedpoint.NewFromFloat(s.stdevLow.Last() * s.HighLowVarianceMultiplier))
|
|
if source.Compare(price) > 0 {
|
|
source = price
|
|
}
|
|
sourcef = source.Float64()
|
|
|
|
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get quoteCurrency")
|
|
return
|
|
}
|
|
if s.Market.IsDustQuantity(
|
|
quoteBalance.Available.Div(source), source) {
|
|
return
|
|
}
|
|
if avg > s.lowestPrice && s.Position.IsShort() {
|
|
s.takeProfitFactor.Update((avg - s.lowestPrice) / atr * 4)
|
|
if s.takeProfitFactor.Last() == 0 {
|
|
log.Errorf("long %f %f", s.lowestPrice, avg)
|
|
}
|
|
|
|
}
|
|
quantity := quoteBalance.Available.Div(source)
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "long",
|
|
})
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place buy order")
|
|
return
|
|
}
|
|
orderTagHistory[createdOrders[0].OrderID] = "long"
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
|
|
defer s.Print(os.Stdout)
|
|
|
|
defer fmt.Fprintln(os.Stdout, s.TradeStats.BriefString())
|
|
|
|
if s.GenerateGraph {
|
|
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit, zeroPoints)
|
|
}
|
|
|
|
wg.Done()
|
|
})
|
|
return nil
|
|
}
|