mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-26 16:55:15 +00:00
102 lines
2.6 KiB
Go
102 lines
2.6 KiB
Go
package rsicross
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
indicatorv2 "github.com/c9s/bbgo/pkg/indicator/v2"
|
|
"github.com/c9s/bbgo/pkg/strategy/common"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
"github.com/c9s/bbgo/pkg/util"
|
|
)
|
|
|
|
const ID = "rsicross"
|
|
|
|
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"`
|
|
|
|
bbgo.OpenPositionOptions
|
|
}
|
|
|
|
func (s *Strategy) Initialize() error {
|
|
if s.Strategy == nil {
|
|
s.Strategy = &common.Strategy{}
|
|
}
|
|
|
|
return nil
|
|
}
|
|
|
|
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) Subscribe(session *bbgo.ExchangeSession) {
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
|
|
|
|
fastRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
|
|
slowRsi := session.Indicators(s.Symbol).RSI(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
|
|
rsiCross := indicatorv2.Cross(fastRsi, slowRsi)
|
|
rsiCross.OnUpdate(func(v float64) {
|
|
switch indicatorv2.CrossType(v) {
|
|
case indicatorv2.CrossOver:
|
|
if s.OpenBelow.Sign() > 0 && fastRsi.Last(0) > s.OpenBelow.Float64() {
|
|
return
|
|
}
|
|
|
|
opts := s.OpenPositionOptions
|
|
opts.Long = true
|
|
|
|
if price, ok := session.LastPrice(s.Symbol); ok {
|
|
opts.Price = price
|
|
}
|
|
|
|
// opts.Price = closePrice
|
|
opts.Tags = []string{"rsiCrossOver"}
|
|
if _, err := s.OrderExecutor.OpenPosition(ctx, opts); err != nil {
|
|
util.LogErr(err, "unable to open position")
|
|
}
|
|
|
|
case indicatorv2.CrossUnder:
|
|
if s.CloseAbove.Sign() > 0 && fastRsi.Last(0) < s.CloseAbove.Float64() {
|
|
return
|
|
}
|
|
|
|
if err := s.OrderExecutor.ClosePosition(ctx, fixedpoint.One); err != nil {
|
|
util.LogErr(err, "failed to close position")
|
|
}
|
|
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
|
defer wg.Done()
|
|
})
|
|
|
|
return nil
|
|
}
|