bbgo_origin/pkg/bbgo/exit_cumulated_volume_take_profit.go
2022-07-27 11:47:12 +08:00

82 lines
2.1 KiB
Go

package bbgo
import (
"context"
log "github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
// CumulatedVolumeTakeProfit
// This exit method cumulate the volume by N bars, if the cumulated volume exceeded a threshold, then we take profit.
//
// To query the historical quote volume, use the following query:
//
// > SELECT start_time, `interval`, quote_volume, open, close FROM binance_klines WHERE symbol = 'ETHUSDT' AND `interval` = '5m' ORDER BY quote_volume DESC LIMIT 20;
//
type CumulatedVolumeTakeProfit struct {
Symbol string `json:"symbol"`
types.IntervalWindow
Ratio fixedpoint.Value `json:"ratio"`
MinQuoteVolume fixedpoint.Value `json:"minQuoteVolume"`
session *ExchangeSession
orderExecutor *GeneralOrderExecutor
}
func (s *CumulatedVolumeTakeProfit) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
position := orderExecutor.Position()
store, _ := session.MarketDataStore(position.Symbol)
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
closePrice := kline.Close
if position.IsClosed() || position.IsDust(closePrice) {
return
}
roi := position.ROI(closePrice)
if roi.Sign() < 0 {
return
}
klines, ok := store.KLinesOfInterval(s.Interval)
if !ok {
log.Warnf("history kline not found")
return
}
if len(*klines) < s.Window {
return
}
var cbv = fixedpoint.Zero
var cqv = fixedpoint.Zero
for i := 0; i < s.Window; i++ {
last := (*klines)[len(*klines)-1-i]
cqv = cqv.Add(last.QuoteVolume)
cbv = cbv.Add(last.Volume)
}
if cqv.Compare(s.MinQuoteVolume) > 0 {
Notify("%s TakeProfit triggered by cumulated volume (window: %d) %f > %f, price = %f",
position.Symbol,
s.Window,
cqv.Float64(),
s.MinQuoteVolume.Float64(), kline.Close.Float64())
if err := orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "cumulatedVolumeTakeProfit") ; err != nil {
log.WithError(err).Errorf("close position error")
}
return
}
}))
}