bbgo_origin/bbgo/kline_detector.go

package bbgo

import (
	"fmt"
	"github.com/adshao/go-binance"
	"github.com/c9s/bbgo/pkg/bbgo/types"
	"math"
)

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) String() (name string) {
	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(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
}