bbgo_origin/bbgo/kline_detector.go
2020-06-19 09:24:22 +08:00

198 lines
5.2 KiB
Go

package bbgo
import (
"fmt"
"github.com/adshao/go-binance"
"github.com/c9s/bbgo/pkg/bbgo/types"
"github.com/slack-go/slack"
"math"
"strconv"
)
const epsilon = 0.00000001
func NotZero(v float64) bool {
return math.Abs(v) < epsilon
}
type KLineDetector struct {
Interval string `json:"interval"`
MinPriceChange float64 `json:"minPriceChange"`
MaxPriceChange float64 `json:"maxPriceChange"`
EnableMinThickness bool `json:"enableMinThickness"`
MinThickness float64 `json:"minThickness"`
EnableMaxShadowRatio bool `json:"enableMaxShadowRatio"`
MaxShadowRatio float64 `json:"maxShadowRatio"`
EnableLookBack bool `json:"enableLookBack"`
LookBackFrames int `json:"lookBackFrames"`
DelayMilliseconds int `json:"delayMsec"`
Stop bool `json:"stop"`
}
func (d *KLineDetector) SlackAttachment() slack.Attachment {
var name = fmt.Sprintf("Detector %s", d.Interval)
if d.EnableLookBack {
name = fmt.Sprintf("Detector %s x %d", d.Interval, d.LookBackFrames)
}
if NotZero(d.MaxPriceChange) {
name += fmt.Sprintf(" MaxPriceChange %.2f ~ %.2f", d.MinPriceChange, d.MaxPriceChange)
} else {
name += fmt.Sprintf(" MaxPriceChange %.2f ~ NO LIMIT", d.MinPriceChange)
}
var fields []slack.AttachmentField
if d.EnableMinThickness {
fields = append(fields, slack.AttachmentField{
Title: "MinThickness",
Value: formatFloat(d.MinThickness, 4),
Short: true,
})
}
if d.EnableMaxShadowRatio {
fields = append(fields, slack.AttachmentField{
Title: "MaxShadowRatio",
Value: formatFloat(d.MaxShadowRatio, 4),
Short: true,
})
}
if d.EnableLookBack {
fields = append(fields, slack.AttachmentField{
Title: "LookBackFrames",
Value: strconv.Itoa(d.LookBackFrames),
Short: true,
})
}
return slack.Attachment{
Color: "",
Fallback: "",
ID: 0,
Title: name,
Pretext: "",
Text: "",
Fields: fields,
Footer: "",
FooterIcon: "",
Ts: "",
}
}
func (d *KLineDetector) String() string {
var name = fmt.Sprintf("Detector %s (%f < x < %f)", d.Interval, d.MinPriceChange, d.MaxPriceChange)
if d.EnableMinThickness {
name += fmt.Sprintf(" [MinThickness: %f]", d.MinThickness)
}
if d.EnableLookBack {
name += fmt.Sprintf(" [LookBack: %d]", d.LookBackFrames)
}
if d.EnableMaxShadowRatio {
name += fmt.Sprintf(" [MaxShadowRatio: %f]", d.MaxShadowRatio)
}
return name
}
func (d *KLineDetector) NewOrder(e *KLineEvent, tradingCtx *TradingContext) Order {
var kline types.KLine = e.KLine
if d.EnableLookBack {
klineWindow := tradingCtx.KLineWindows[e.KLine.Interval]
if len(klineWindow) >= d.LookBackFrames {
kline = klineWindow.Tail(d.LookBackFrames)
}
}
var trend = kline.GetTrend()
var side binance.SideType
if trend < 0 {
side = binance.SideTypeBuy
} else if trend > 0 {
side = binance.SideTypeSell
}
var volume = tradingCtx.Market.FormatVolume(VolumeByPriceChange(tradingCtx.Market, kline.GetClose(), kline.GetChange(), side))
return Order{
Symbol: e.KLine.Symbol,
Type: binance.OrderTypeMarket,
Side: side,
VolumeStr: volume,
}
}
func (d *KLineDetector) Detect(e *KLineEvent, tradingCtx *TradingContext) (reason string, ok bool) {
var kline types.KLine = e.KLine
// if the 3m trend is drop, do not buy, let 5m window handle it.
if d.EnableLookBack {
klineWindow := tradingCtx.KLineWindows[e.KLine.Interval]
if len(klineWindow) >= d.LookBackFrames {
kline = klineWindow.Tail(d.LookBackFrames)
}
/*
if lookbackKline.AllDrop() {
trader.Infof("1m window all drop down (%d frames), do not buy: %+v", d.LookBackFrames, klineWindow)
} else if lookbackKline.AllRise() {
trader.Infof("1m window all rise up (%d frames), do not sell: %+v", d.LookBackFrames, klineWindow)
}
*/
}
var maxChange = math.Abs(kline.GetMaxChange())
if maxChange < d.MinPriceChange {
return "", false
}
if NotZero(d.MaxPriceChange) && maxChange > d.MaxPriceChange {
return fmt.Sprintf("1m lookback window (x %d) max price change %f", d.LookBackFrames, maxChange), false
}
if d.EnableMinThickness {
if kline.GetThickness() < d.MinThickness {
return fmt.Sprintf("kline too thin %f (1m) < min kline thickness %f, skip to the next round", e.KLine.GetThickness(), d.MinThickness), false
}
}
var trend = kline.GetTrend()
if d.EnableMaxShadowRatio {
if trend > 0 {
if kline.GetUpperShadowRatio() > d.MaxShadowRatio {
return fmt.Sprintf("kline upper shadow ratio too high. %f > %f (MaxShadowRatio), skipping...", e.KLine.GetUpperShadowRatio(), d.MaxShadowRatio), false
}
} else if trend < 0 {
if kline.GetLowerShadowRatio() > d.MaxShadowRatio {
return fmt.Sprintf("kline lower shadow ratio too high. %f > %f (MaxShadowRatio), skipping...", e.KLine.GetLowerShadowRatio(), d.MaxShadowRatio), false
}
}
}
if trend > 0 && kline.BounceUp() { // trend up, ignore bounce up
return fmt.Sprintf("bounce up, do not sell, kline mid: %f", e.KLine.Mid()), false
} else if trend < 0 && kline.BounceDown() { // trend down, ignore bounce down
return fmt.Sprintf("bounce down, do not buy, kline mid: %f", e.KLine.Mid()), false
}
/*
if toPrice(kline.GetClose()) == toPrice(kline.GetLow()) {
return fmt.Sprintf("close near the lowest price, the price might continue to drop."), false
}
*/
return "", true
}