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70 lines
2.2 KiB
Go
70 lines
2.2 KiB
Go
package bbgo
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import (
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"context"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type RoiStopLoss struct {
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Symbol string
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Percentage fixedpoint.Value `json:"percentage"`
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CancelActiveOrders bool `json:"cancelActiveOrders"`
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// Interval is the time resolution to update the stop order
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// KLine per Interval will be used for updating the stop order
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Interval types.Interval `json:"interval,omitempty"`
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session *ExchangeSession
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orderExecutor *GeneralOrderExecutor
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}
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func (s *RoiStopLoss) Subscribe(session *ExchangeSession) {
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// use kline to handle roi stop
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if s.Interval == "" {
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s.Interval = types.Interval1m
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}
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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 *RoiStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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f := func(kline types.KLine) {
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s.checkStopPrice(kline.Close, position)
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}
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, f))
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session.MarketDataStream.OnKLine(types.KLineWith(s.Symbol, s.Interval, f))
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if !IsBackTesting && enableMarketTradeStop {
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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if trade.Symbol != position.Symbol {
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return
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}
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s.checkStopPrice(trade.Price, position)
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})
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}
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}
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func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) {
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if position.IsClosed() || position.IsDust(closePrice) || position.IsClosing() {
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return
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}
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roi := position.ROI(closePrice)
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// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
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if roi.Compare(s.Percentage.Neg()) < 0 {
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// stop loss
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Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, currentPrice = %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), closePrice.Float64())
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if s.CancelActiveOrders {
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_ = s.orderExecutor.GracefulCancel(context.Background())
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}
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_ = s.orderExecutor.ClosePosition(context.Background(), fixedpoint.One, "roiStopLoss")
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return
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}
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}
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