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306 lines
8.3 KiB
Go
306 lines
8.3 KiB
Go
package pivotshort
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import (
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"context"
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"fmt"
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"os"
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"sync"
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"github.com/sirupsen/logrus"
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"github.com/c9s/bbgo/pkg/bbgo"
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"github.com/c9s/bbgo/pkg/dynamic"
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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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)
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const ID = "pivotshort"
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var one = fixedpoint.One
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var zero = fixedpoint.Zero
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type SupportTakeProfit struct {
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Symbol string
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types.IntervalWindow
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Ratio fixedpoint.Value `json:"ratio"`
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pivot *indicator.Pivot
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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activeOrders *bbgo.ActiveOrderBook
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currentSupportPrice fixedpoint.Value
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triggeredPrices []fixedpoint.Value
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}
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func (s *SupportTakeProfit) Subscribe(session *bbgo.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *SupportTakeProfit) 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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s.activeOrders = bbgo.NewActiveOrderBook(s.Symbol)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if s.activeOrders.Exists(order) {
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if !s.currentSupportPrice.IsZero() {
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s.triggeredPrices = append(s.triggeredPrices, s.currentSupportPrice)
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}
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}
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})
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s.activeOrders.BindStream(session.UserDataStream)
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
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if !s.updateSupportPrice(kline.Close) {
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return
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}
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if !position.IsOpened(kline.Close) {
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log.Infof("position is not opened, skip updating support take profit order")
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return
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}
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buyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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quantity := position.GetQuantity()
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ctx := context.Background()
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if err := orderExecutor.GracefulCancelActiveOrderBook(ctx, s.activeOrders); err != nil {
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log.WithError(err).Errorf("cancel order failed")
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}
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bbgo.Notify("placing %s take profit order at price %f", s.Symbol, buyPrice.Float64())
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createdOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: symbol,
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Type: types.OrderTypeLimitMaker,
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Side: types.SideTypeBuy,
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Price: buyPrice,
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Quantity: quantity,
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Tag: "supportTakeProfit",
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})
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if err != nil {
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log.WithError(err).Errorf("can not submit orders: %+v", createdOrders)
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}
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s.activeOrders.Add(createdOrders...)
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}))
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}
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func (s *SupportTakeProfit) updateSupportPrice(closePrice fixedpoint.Value) bool {
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log.Infof("[supportTakeProfit] lows: %v", s.pivot.Lows)
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groupDistance := 0.01
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minDistance := 0.05
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supportPrices := findPossibleSupportPrices(closePrice.Float64()*(1.0-minDistance), groupDistance, s.pivot.Lows)
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if len(supportPrices) == 0 {
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return false
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}
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log.Infof("[supportTakeProfit] found possible support prices: %v", supportPrices)
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// nextSupportPrice are sorted in increasing order
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nextSupportPrice := fixedpoint.NewFromFloat(supportPrices[len(supportPrices)-1])
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// it's price that we have been used to take profit
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for _, p := range s.triggeredPrices {
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var l = p.Mul(one.Sub(fixedpoint.NewFromFloat(0.01)))
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var h = p.Mul(one.Add(fixedpoint.NewFromFloat(0.01)))
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if p.Compare(l) > 0 && p.Compare(h) < 0 {
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return false
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}
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}
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currentBuyPrice := s.currentSupportPrice.Mul(one.Add(s.Ratio))
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if s.currentSupportPrice.IsZero() {
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log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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// the close price is already lower than the support price, than we should update
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if closePrice.Compare(currentBuyPrice) < 0 || nextSupportPrice.Compare(s.currentSupportPrice) > 0 {
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log.Infof("setup next support take profit price at %f", nextSupportPrice.Float64())
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s.currentSupportPrice = nextSupportPrice
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return true
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}
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return false
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}
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type Strategy struct {
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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// pivot interval and window
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types.IntervalWindow
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// persistence fields
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Position *types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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TradeStats *types.TradeStats `persistence:"trade_stats"`
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// BreakLow is one of the entry method
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BreakLow *BreakLow `json:"breakLow"`
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// ResistanceShort is one of the entry method
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ResistanceShort *ResistanceShort `json:"resistanceShort"`
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SupportTakeProfit []*SupportTakeProfit `json:"supportTakeProfit"`
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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// StrategyController
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bbgo.StrategyController
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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) 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.ResistanceShort != nil && s.ResistanceShort.Enabled {
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dynamic.InheritStructValues(s.ResistanceShort, s)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.ResistanceShort.Interval})
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}
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if s.BreakLow != nil {
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dynamic.InheritStructValues(s.BreakLow, s)
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s.BreakLow.Subscribe(session)
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}
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for i := range s.SupportTakeProfit {
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m := s.SupportTakeProfit[i]
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dynamic.InheritStructValues(m, s)
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m.Subscribe(session)
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}
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if !bbgo.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, 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) 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) 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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return s.orderExecutor.ClosePosition(ctx, percentage)
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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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var instanceID = s.InstanceID()
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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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// StrategyController
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s.Status = types.StrategyStatusRunning
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s.OnSuspend(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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_ = s.orderExecutor.GracefulCancel(ctx)
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// Close 100% position
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_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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// initial required information
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s.session = session
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s.orderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.orderExecutor.BindEnvironment(s.Environment)
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s.orderExecutor.BindProfitStats(s.ProfitStats)
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s.orderExecutor.BindTradeStats(s.TradeStats)
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s.orderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.orderExecutor.Bind()
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s.ExitMethods.Bind(session, s.orderExecutor)
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if s.ResistanceShort != nil && s.ResistanceShort.Enabled {
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s.ResistanceShort.Bind(session, s.orderExecutor)
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}
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if s.BreakLow != nil {
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s.BreakLow.Bind(session, s.orderExecutor)
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}
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for i := range s.SupportTakeProfit {
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s.SupportTakeProfit[i].Bind(session, s.orderExecutor)
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}
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bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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_, _ = fmt.Fprintln(os.Stderr, s.TradeStats.String())
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_ = s.orderExecutor.GracefulCancel(ctx)
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})
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return nil
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}
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func preloadPivot(pivot *indicator.Pivot, store *bbgo.MarketDataStore) *types.KLine {
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klines, ok := store.KLinesOfInterval(pivot.Interval)
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if !ok {
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return nil
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}
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last := (*klines)[len(*klines)-1]
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log.Debugf("updating pivot indicator: %d klines", len(*klines))
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for i := pivot.Window; i < len(*klines); i++ {
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pivot.Update((*klines)[0 : i+1])
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}
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log.Debugf("found %v previous lows: %v", pivot.IntervalWindow, pivot.Lows)
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log.Debugf("found %v previous highs: %v", pivot.IntervalWindow, pivot.Highs)
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return &last
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}
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