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270 lines
7.8 KiB
Go
270 lines
7.8 KiB
Go
package emastop
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import (
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"context"
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"fmt"
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"strings"
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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/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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const ID = "emastop"
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var log = logrus.WithField("strategy", ID)
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func init() {
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// Register the pointer of the strategy struct,
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// so that bbgo knows what struct to be used to unmarshal the configs (YAML or JSON)
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// Note: built-in strategies need to imported manually in the bbgo cmd package.
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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SourceExchangeName string `json:"sourceExchange"`
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TargetExchangeName string `json:"targetExchange"`
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// These fields will be filled from the config file (it translates YAML to JSON)
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Symbol string `json:"symbol"`
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// Interval is the interval of the kline channel we want to subscribe,
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// the kline event will trigger the strategy to check if we need to submit order.
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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BalancePercentage fixedpoint.Value `json:"balancePercentage"`
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OrderType string `json:"orderType"`
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PriceRatio fixedpoint.Value `json:"priceRatio"`
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StopPriceRatio fixedpoint.Value `json:"stopPriceRatio"`
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// MovingAverageType is the moving average indicator type that we want to use,
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// it could be SMA or EWMA
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MovingAverageType string `json:"movingAverageType"`
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// MovingAverageInterval is the interval of k-lines for the moving average indicator to calculate,
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// it could be "1m", "5m", "1h" and so on. note that, the moving averages are calculated from
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// the k-line data we subscribed
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MovingAverageInterval types.Interval `json:"movingAverageInterval"`
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// MovingAverageWindow is the number of the window size of the moving average indicator.
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// The number of k-lines in the window. generally used window sizes are 7, 25 and 99 in the TradingView.
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MovingAverageWindow int `json:"movingAverageWindow"`
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order types.Order
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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: s.MovingAverageInterval})
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}
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func (s *Strategy) CrossSubscribe(sessions map[string]*bbgo.ExchangeSession) {
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sourceSession := sessions[s.SourceExchangeName]
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s.Subscribe(sourceSession)
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// make sure we have the connection alive
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targetSession := sessions[s.TargetExchangeName]
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targetSession.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) clear(ctx context.Context, orderExecutor bbgo.OrderExecutor) {
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if s.order.OrderID > 0 {
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if err := orderExecutor.CancelOrders(ctx, s.order); err != nil {
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log.WithError(err).Errorf("can not cancel trailingstop order: %+v", s.order)
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}
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// clear out the existing order
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s.order = types.Order{}
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}
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}
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func (s *Strategy) place(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession, indicator types.Float64Indicator, closePrice fixedpoint.Value) {
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closePriceF := closePrice.Float64()
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movingAveragePriceF := indicator.Last()
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// skip it if it's near zero because it's not loaded yet
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if movingAveragePriceF < 0.0001 {
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log.Warnf("moving average price is near 0: %f", movingAveragePriceF)
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return
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}
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// place stop limit order only when the closed price is greater than the moving average price
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if closePriceF <= movingAveragePriceF {
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log.Warnf("close price %v is less than moving average price %f", closePrice, movingAveragePriceF)
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return
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}
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movingAveragePrice := fixedpoint.NewFromFloat(movingAveragePriceF)
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var price = fixedpoint.Zero
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var orderType = types.OrderTypeStopMarket
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switch strings.ToLower(s.OrderType) {
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case "market":
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orderType = types.OrderTypeStopMarket
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case "limit":
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orderType = types.OrderTypeStopLimit
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price = movingAveragePrice
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if s.PriceRatio.Sign() > 0 {
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price = price.Mul(s.PriceRatio)
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}
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}
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market, ok := session.Market(s.Symbol)
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if !ok {
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log.Errorf("market not found, symbol %s", s.Symbol)
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return
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}
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quantity := s.Quantity
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if s.BalancePercentage.Sign() > 0 {
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if balance, ok := session.GetAccount().Balance(market.BaseCurrency); ok {
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quantity = balance.Available.Mul(s.BalancePercentage)
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}
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}
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amount := quantity.Mul(closePrice)
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if amount.Compare(market.MinNotional) < 0 {
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log.Errorf("the amount of stop order (%v) is less than min notional %v", amount, market.MinNotional)
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return
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}
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var stopPrice = movingAveragePrice
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if s.StopPriceRatio.Sign() > 0 {
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stopPrice = stopPrice.Mul(s.StopPriceRatio)
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}
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log.Infof("placing trailingstop order %s at stop price %v, quantity %v", s.Symbol, stopPrice, quantity)
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retOrders, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: orderType,
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Price: price,
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StopPrice: stopPrice,
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Quantity: quantity,
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})
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if err != nil {
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log.WithError(err).Error("submit order error")
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}
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if len(retOrders) > 0 {
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s.order = retOrders[0]
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}
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}
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func (s *Strategy) handleOrderUpdate(order types.Order) {
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if order.OrderID == s.order.OrderID {
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s.order = order
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}
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}
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func (s *Strategy) loadIndicator(sourceSession *bbgo.ExchangeSession) (types.Float64Indicator, error) {
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var standardIndicatorSet = sourceSession.StandardIndicatorSet(s.Symbol)
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var iw = types.IntervalWindow{Interval: s.MovingAverageInterval, Window: s.MovingAverageWindow}
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switch strings.ToUpper(s.MovingAverageType) {
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case "SMA":
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return standardIndicatorSet.SMA(iw), nil
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case "EWMA", "EMA":
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return standardIndicatorSet.EWMA(iw), nil
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}
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return nil, fmt.Errorf("unsupported moving average type: %s", s.MovingAverageType)
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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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indicator, err := s.loadIndicator(session)
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if err != nil {
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return err
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}
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session.UserDataStream.OnOrderUpdate(s.handleOrderUpdate)
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// session.UserDataStream.OnKLineClosed
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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closePrice := kline.Close
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// ok, it's our call, we need to cancel the stop limit order first
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s.clear(ctx, orderExecutor)
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s.place(ctx, orderExecutor, session, indicator, closePrice)
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})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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log.Infof("canceling trailingstop order...")
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s.clear(ctx, orderExecutor)
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})
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if lastPrice, ok := session.LastPrice(s.Symbol); ok {
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s.place(ctx, orderExecutor, session, indicator, lastPrice)
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}
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return nil
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}
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func (s *Strategy) CrossRun(ctx context.Context, _ bbgo.OrderExecutionRouter, sessions map[string]*bbgo.ExchangeSession) error {
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// source session
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sourceSession := sessions[s.SourceExchangeName]
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// target exchange
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session := sessions[s.TargetExchangeName]
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orderExecutor := bbgo.ExchangeOrderExecutor{
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Session: session,
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}
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indicator, err := s.loadIndicator(sourceSession)
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if err != nil {
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return err
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}
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session.UserDataStream.OnOrderUpdate(s.handleOrderUpdate)
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// session.UserDataStream.OnKLineClosed
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sourceSession.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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// skip k-lines from other symbols
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if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
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return
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}
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closePrice := kline.Close
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// ok, it's our call, we need to cancel the stop limit order first
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s.clear(ctx, &orderExecutor)
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s.place(ctx, &orderExecutor, session, indicator, closePrice)
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})
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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log.Infof("canceling trailingstop order...")
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s.clear(ctx, &orderExecutor)
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})
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if lastPrice, ok := session.LastPrice(s.Symbol); ok {
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s.place(ctx, &orderExecutor, session, indicator, lastPrice)
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}
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return nil
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}
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