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https://github.com/c9s/bbgo.git
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695 lines
20 KiB
Go
695 lines
20 KiB
Go
package drift
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import (
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"bufio"
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"context"
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"encoding/json"
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"errors"
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"fmt"
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"math"
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"os"
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"strings"
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"sync"
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"github.com/fatih/color"
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"github.com/sirupsen/logrus"
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"github.com/wcharczuk/go-chart/v2"
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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/indicator"
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"github.com/c9s/bbgo/pkg/types"
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"github.com/c9s/bbgo/pkg/util"
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)
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const ID = "drift"
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var log = logrus.WithField("strategy", ID)
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var Four fixedpoint.Value = fixedpoint.NewFromInt(4)
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var Three fixedpoint.Value = fixedpoint.NewFromInt(3)
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var Two fixedpoint.Value = fixedpoint.NewFromInt(2)
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var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type SourceFunc func(*types.KLine) fixedpoint.Value
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type Strategy struct {
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Symbol string `json:"symbol"`
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bbgo.StrategyController
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types.Market
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types.IntervalWindow
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*bbgo.Environment
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*types.Position `persistence:"position"`
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*types.ProfitStats `persistence:"profit_stats"`
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*types.TradeStats `persistence:"trade_stats"`
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drift *indicator.Drift
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atr *indicator.ATR
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midPrice fixedpoint.Value
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lock sync.RWMutex
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Source string `json:"source"`
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StopLoss fixedpoint.Value `json:"stoploss"`
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CanvasPath string `json:"canvasPath"`
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PredictOffset int `json:"predictOffset"`
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NoStopPrice bool `json:"noStopPrice"`
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NoTrailingStopLoss bool `json:"noTrailingStopLoss"`
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// This is not related to trade but for statistics graph generation
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// Will deduct fee in percentage from every trade
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GraphPNLDeductFee bool `json:"graphPNLDeductFee"`
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GraphPNLPath string `json:"graphPNLPath"`
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GraphCumPNLPath string `json:"graphCumPNLPath"`
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// Whether to generate graph when shutdown
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GenerateGraph bool `json:"generateGraph"`
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StopOrders map[uint64]types.SubmitOrder
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ExitMethods bbgo.ExitMethodSet `json:"exits"`
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Session *bbgo.ExchangeSession
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*bbgo.GeneralOrderExecutor
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getLastPrice func() fixedpoint.Value
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getSource SourceFunc
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}
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func (s *Strategy) Print(o *os.File) {
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f := bufio.NewWriter(o)
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defer f.Flush()
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b, _ := json.MarshalIndent(s.ExitMethods, " ", " ")
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hiyellow := color.New(color.FgHiYellow).FprintfFunc()
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hiyellow(f, "------ %s Settings ------\n", s.InstanceID())
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hiyellow(f, "canvasPath: %s\n", s.CanvasPath)
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hiyellow(f, "source: %s\n", s.Source)
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hiyellow(f, "stoploss: %v\n", s.StopLoss)
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hiyellow(f, "predictOffset: %d\n", s.PredictOffset)
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hiyellow(f, "exits:\n %s\n", string(b))
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hiyellow(f, "symbol: %s\n", s.Symbol)
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hiyellow(f, "interval: %s\n", s.Interval)
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hiyellow(f, "window: %d\n", s.Window)
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hiyellow(f, "noStopPrice: %v\n", s.NoStopPrice)
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hiyellow(f, "noTrailingStopLoss: %v\n", s.NoTrailingStopLoss)
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hiyellow(f, "\n")
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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) InstanceID() string {
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return fmt.Sprintf("%s:%s", ID, s.Symbol)
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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{
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Interval: s.Interval,
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})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{
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Interval: types.Interval1m,
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})
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if !bbgo.IsBackTesting {
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session.Subscribe(types.BookTickerChannel, s.Symbol, types.SubscribeOptions{})
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}
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s.ExitMethods.SetAndSubscribe(session, s)
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}
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func (s *Strategy) ClosePosition(ctx context.Context) (*types.Order, bool) {
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// Cleanup pending StopOrders
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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order := s.Position.NewMarketCloseOrder(fixedpoint.One)
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if order == nil {
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return nil, false
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}
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order.Tag = "close"
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order.TimeInForce = ""
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balances := s.Session.GetAccount().Balances()
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baseBalance := balances[s.Market.BaseCurrency].Available
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price := s.getLastPrice()
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if order.Side == types.SideTypeBuy {
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quoteAmount := balances[s.Market.QuoteCurrency].Available.Div(price)
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if order.Quantity.Compare(quoteAmount) > 0 {
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order.Quantity = quoteAmount
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}
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} else if order.Side == types.SideTypeSell && order.Quantity.Compare(baseBalance) > 0 {
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order.Quantity = baseBalance
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}
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for {
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if s.Market.IsDustQuantity(order.Quantity, price) {
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return nil, true
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}
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createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, *order)
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if err != nil {
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order.Quantity = order.Quantity.Mul(fixedpoint.One.Sub(Delta))
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continue
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}
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return &createdOrders[0], true
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}
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}
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func (s *Strategy) SourceFuncGenerator() SourceFunc {
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switch strings.ToLower(s.Source) {
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case "close":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Close }
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case "high":
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return func(kline *types.KLine) fixedpoint.Value { return kline.High }
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case "low":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Low }
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case "hl2":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.High.Add(kline.Low).Div(Two)
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}
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case "hlc3":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.High.Add(kline.Low).Add(kline.Close).Div(Three)
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}
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case "ohlc4":
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return func(kline *types.KLine) fixedpoint.Value {
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return kline.Open.Add(kline.High).Add(kline.Low).Add(kline.Close).Div(Four)
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}
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case "open":
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return func(kline *types.KLine) fixedpoint.Value { return kline.Open }
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case "":
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return func(kline *types.KLine) fixedpoint.Value {
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log.Infof("source not set, use hl2 by default")
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return kline.High.Add(kline.Low).Div(Two)
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}
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default:
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panic(fmt.Sprintf("Unable to parse: %s", s.Source))
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}
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}
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func (s *Strategy) BindStopLoss(ctx context.Context) {
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s.StopOrders = make(map[uint64]types.SubmitOrder)
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s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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if len(s.StopOrders) == 0 {
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return
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}
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if order.Symbol != s.Symbol {
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return
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}
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if order.Status == types.OrderStatusCanceled {
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delete(s.StopOrders, order.OrderID)
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return
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}
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if order.Status != types.OrderStatusFilled {
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return
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}
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if o, ok := s.StopOrders[order.OrderID]; ok {
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delete(s.StopOrders, order.OrderID)
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if o.Side == types.SideTypeBuy {
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quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
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if !ok {
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log.Errorf("unable to get quoteCurrency")
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return
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}
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o.Quantity = quoteBalance.Available.Div(o.Price)
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} else {
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baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
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if !ok {
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log.Errorf("unable to get baseCurrency")
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return
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}
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o.Quantity = baseBalance.Available
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}
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if _, err := s.GeneralOrderExecutor.SubmitOrders(ctx, o); err != nil {
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log.WithError(err).Errorf("cannot send stop order: %v", order)
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}
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}
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})
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}
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func (s *Strategy) InitIndicators() error {
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s.drift = &indicator.Drift{
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MA: &indicator.SMA{IntervalWindow: s.IntervalWindow},
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IntervalWindow: s.IntervalWindow,
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}
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s.atr = &indicator.ATR{IntervalWindow: types.IntervalWindow{Interval: s.Interval, Window: 14}}
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store, _ := s.Session.MarketDataStore(s.Symbol)
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klines, ok := store.KLinesOfInterval(s.Interval)
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if !ok {
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return errors.New("klines not exists")
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}
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for _, kline := range *klines {
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source := s.getSource(&kline).Float64()
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s.drift.Update(source)
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s.atr.PushK(kline)
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}
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return nil
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}
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func (s *Strategy) InitTickerFunctions(ctx context.Context) {
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if s.IsBackTesting() {
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s.getLastPrice = func() fixedpoint.Value {
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lastPrice, ok := s.Session.LastPrice(s.Symbol)
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if !ok {
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log.Error("cannot get lastprice")
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}
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return lastPrice
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}
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} else {
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s.Session.MarketDataStream.OnBookTickerUpdate(func(ticker types.BookTicker) {
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bestBid := ticker.Buy
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bestAsk := ticker.Sell
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var pricef, stoploss, atr, avg float64
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var price fixedpoint.Value
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if util.TryLock(&s.lock) {
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if !bestAsk.IsZero() && !bestBid.IsZero() {
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s.midPrice = bestAsk.Add(bestBid).Div(Two)
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} else if !bestAsk.IsZero() {
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s.midPrice = bestAsk
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} else {
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s.midPrice = bestBid
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}
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price = s.midPrice
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pricef = s.midPrice.Float64()
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s.lock.Unlock()
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} else {
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return
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}
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// for trailing stoploss during the realtime
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if s.NoTrailingStopLoss {
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return
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}
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atr = s.atr.Last()
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avg = s.Position.AverageCost.Float64()
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stoploss = s.StopLoss.Float64()
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exitShortCondition := (avg+atr/2 <= pricef || avg*(1.+stoploss) <= pricef) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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exitLongCondition := (avg-atr/2 >= pricef || avg*(1.-stoploss) >= pricef) &&
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(!s.Position.IsClosed() && !s.Position.IsDust(price))
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if exitShortCondition || exitLongCondition {
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if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("cannot cancel orders")
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return
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}
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_, _ = s.ClosePosition(ctx)
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}
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})
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s.getLastPrice = func() (lastPrice fixedpoint.Value) {
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var ok bool
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s.lock.RLock()
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if s.midPrice.IsZero() {
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lastPrice, ok = s.Session.LastPrice(s.Symbol)
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if !ok {
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log.Error("cannot get lastprice")
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return lastPrice
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}
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} else {
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lastPrice = s.midPrice
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}
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s.lock.RUnlock()
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return lastPrice
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}
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}
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}
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func (s *Strategy) Draw(time types.Time, priceLine types.SeriesExtend, profit types.Series, cumProfit types.Series) {
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canvas := types.NewCanvas(s.InstanceID(), s.Interval)
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Length := priceLine.Length()
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if Length > 100 {
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Length = 100
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}
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mean := priceLine.Mean(Length)
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highestPrice := priceLine.Minus(mean).Abs().Highest(Length)
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highestDrift := s.drift.Abs().Highest(Length)
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meanDrift := s.drift.Mean(Length)
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ratio := highestDrift / highestPrice
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canvas.Plot("drift", s.drift, time, Length)
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canvas.Plot("zero", types.NumberSeries(0), time, Length)
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canvas.Plot("price", priceLine.Minus(mean).Mul(ratio), time, Length)
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canvas.Plot("0", types.NumberSeries(meanDrift), time, Length)
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f, err := os.Create(s.CanvasPath)
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if err != nil {
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log.WithError(err).Errorf("cannot create on %s", s.CanvasPath)
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return
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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log.WithError(err).Errorf("cannot render in drift")
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}
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canvas = types.NewCanvas(s.InstanceID())
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("pnl % (with Fee Deducted)", profit, profit.Length())
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} else {
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canvas.PlotRaw("pnl %", profit, profit.Length())
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}
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f, err = os.Create(s.GraphPNLPath)
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if err != nil {
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panic("open pnl")
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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panic("render pnl")
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}
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canvas = types.NewCanvas(s.InstanceID())
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if s.GraphPNLDeductFee {
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canvas.PlotRaw("cummulative pnl % (with Fee Deducted)", cumProfit, cumProfit.Length())
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} else {
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canvas.PlotRaw("cummulative pnl %", cumProfit, cumProfit.Length())
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}
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f, err = os.Create(s.GraphCumPNLPath)
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if err != nil {
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panic("open cumpnl")
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}
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defer f.Close()
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if err := canvas.Render(chart.PNG, f); err != nil {
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panic("render cumpnl")
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}
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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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instanceID := s.InstanceID()
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// Will be set by persistence if there's any from DB
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if s.Position == nil {
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s.Position = types.NewPositionFromMarket(s.Market)
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}
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if s.ProfitStats == nil {
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s.ProfitStats = types.NewProfitStats(s.Market)
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}
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if s.TradeStats == nil {
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s.TradeStats = types.NewTradeStats(s.Symbol)
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}
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// StrategyController
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s.Status = types.StrategyStatusRunning
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// Get source function from config input
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s.getSource = s.SourceFuncGenerator()
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s.OnSuspend(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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})
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s.OnEmergencyStop(func() {
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_ = s.GeneralOrderExecutor.GracefulCancel(ctx)
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_, _ = s.ClosePosition(ctx)
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})
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s.GeneralOrderExecutor = bbgo.NewGeneralOrderExecutor(session, s.Symbol, ID, instanceID, s.Position)
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s.GeneralOrderExecutor.BindEnvironment(s.Environment)
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s.GeneralOrderExecutor.BindProfitStats(s.ProfitStats)
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s.GeneralOrderExecutor.BindTradeStats(s.TradeStats)
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s.GeneralOrderExecutor.TradeCollector().OnPositionUpdate(func(position *types.Position) {
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bbgo.Sync(s)
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})
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s.GeneralOrderExecutor.Bind()
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// Exit methods from config
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for _, method := range s.ExitMethods {
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method.Bind(session, s.GeneralOrderExecutor)
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}
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buyPrice := fixedpoint.Zero
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sellPrice := fixedpoint.Zero
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profit := types.Float64Slice{}
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cumProfit := types.Float64Slice{1.}
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orderTagHistory := make(map[uint64]string)
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if s.GenerateGraph {
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s.Session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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orderTagHistory[order.OrderID] = order.Tag
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})
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modify := func(p fixedpoint.Value) fixedpoint.Value {
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return p
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}
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if s.GraphPNLDeductFee {
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fee := fixedpoint.NewFromFloat(0.0004) // taker fee % * 2, for upper bound
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modify = func(p fixedpoint.Value) fixedpoint.Value {
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return p.Mul(fixedpoint.One.Sub(fee))
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}
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}
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s.Session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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tag, ok := orderTagHistory[trade.OrderID]
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if !ok {
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panic(fmt.Sprintf("cannot find order: %v", trade))
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}
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if tag == "close" {
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if !buyPrice.IsZero() {
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profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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buyPrice = fixedpoint.Zero
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if !sellPrice.IsZero() {
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panic("sellprice shouldn't be zero")
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}
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} else if !sellPrice.IsZero() {
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profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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sellPrice = fixedpoint.Zero
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if !buyPrice.IsZero() {
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panic("buyprice shouldn't be zero")
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}
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} else {
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panic("no price available")
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}
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} else if tag == "short" {
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if buyPrice.IsZero() {
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if !sellPrice.IsZero() {
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panic("sellPrice not zero")
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}
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sellPrice = trade.Price
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} else {
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profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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buyPrice = fixedpoint.Zero
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sellPrice = trade.Price
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}
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} else if tag == "long" {
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if sellPrice.IsZero() {
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if !buyPrice.IsZero() {
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panic("buyPrice not zero")
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}
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buyPrice = trade.Price
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} else {
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profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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sellPrice = fixedpoint.Zero
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buyPrice = trade.Price
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}
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} else if tag == "sl" {
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if !buyPrice.IsZero() {
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profit.Update(modify(trade.Price.Div(buyPrice)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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buyPrice = fixedpoint.Zero
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} else if !sellPrice.IsZero() {
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profit.Update(modify(sellPrice.Div(trade.Price)).Float64())
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cumProfit.Update(cumProfit.Last() * profit.Last())
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sellPrice = fixedpoint.Zero
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} else {
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panic("no position to sl")
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|
}
|
|
}
|
|
})
|
|
}
|
|
|
|
s.BindStopLoss(ctx)
|
|
|
|
if err := s.InitIndicators(); err != nil {
|
|
log.WithError(err).Errorf("InitIndicator failed")
|
|
return nil
|
|
}
|
|
s.InitTickerFunctions(ctx)
|
|
|
|
dynamicKLine := &types.KLine{}
|
|
priceLine := types.NewQueue(100)
|
|
stoploss := s.StopLoss.Float64()
|
|
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
if s.Status != types.StrategyStatusRunning {
|
|
return
|
|
}
|
|
if kline.Symbol != s.Symbol {
|
|
return
|
|
}
|
|
var driftPred, atr float64
|
|
var drift []float64
|
|
|
|
if !kline.Closed {
|
|
return
|
|
}
|
|
if kline.Interval == types.Interval1m {
|
|
if s.NoTrailingStopLoss || !s.IsBackTesting() {
|
|
return
|
|
}
|
|
// for doing the trailing stoploss during backtesting
|
|
atr = s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
avg := s.Position.AverageCost.Float64()
|
|
|
|
exitShortCondition := (avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
|
|
(!s.Position.IsClosed() && !s.Position.IsDust(price))
|
|
exitLongCondition := (avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
|
|
(!s.Position.IsClosed() && !s.Position.IsDust(price))
|
|
if exitShortCondition || exitLongCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
_, _ = s.ClosePosition(ctx)
|
|
}
|
|
return
|
|
}
|
|
dynamicKLine.Copy(&kline)
|
|
|
|
source := s.getSource(dynamicKLine)
|
|
sourcef := source.Float64()
|
|
priceLine.Update(sourcef)
|
|
s.drift.Update(sourcef)
|
|
s.atr.PushK(kline)
|
|
drift = s.drift.Array(2)
|
|
driftPred = s.drift.Predict(s.PredictOffset)
|
|
atr = s.atr.Last()
|
|
price := s.getLastPrice()
|
|
pricef := price.Float64()
|
|
lowf := math.Min(kline.Low.Float64(), pricef)
|
|
highf := math.Max(kline.High.Float64(), pricef)
|
|
avg := s.Position.AverageCost.Float64()
|
|
|
|
shortCondition := (driftPred <= 0 && drift[0] <= 0)
|
|
longCondition := (driftPred >= 0 && drift[0] >= 0)
|
|
exitShortCondition := ((drift[1] < 0 && drift[0] >= 0) || avg+atr/2 <= highf || avg*(1.+stoploss) <= highf) &&
|
|
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Max(price, source))) && !longCondition
|
|
exitLongCondition := ((drift[1] > 0 && drift[0] < 0) || avg-atr/2 >= lowf || avg*(1.-stoploss) >= lowf) &&
|
|
(!s.Position.IsClosed() && !s.Position.IsDust(fixedpoint.Min(price, source))) && !shortCondition
|
|
|
|
if exitShortCondition || exitLongCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
_, _ = s.ClosePosition(ctx)
|
|
}
|
|
if shortCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
baseBalance, ok := s.Session.GetAccount().Balance(s.Market.BaseCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get baseBalance")
|
|
return
|
|
}
|
|
if source.Compare(price) < 0 {
|
|
source = price
|
|
}
|
|
source = source.Mul(fixedpoint.NewFromFloat(1.0002))
|
|
|
|
if s.Market.IsDustQuantity(baseBalance.Available, source) {
|
|
return
|
|
}
|
|
// Cleanup pending StopOrders
|
|
s.StopOrders = make(map[uint64]types.SubmitOrder)
|
|
quantity := baseBalance.Available
|
|
stopPrice := fixedpoint.NewFromFloat(math.Min(sourcef+atr/2, sourcef*(1.+stoploss)))
|
|
stopOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeStopLimit,
|
|
StopPrice: stopPrice,
|
|
Price: stopPrice,
|
|
Quantity: quantity,
|
|
Tag: "sl",
|
|
}
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "short",
|
|
})
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place sell order")
|
|
return
|
|
}
|
|
if s.NoStopPrice {
|
|
return
|
|
}
|
|
if createdOrders[0].Status == types.OrderStatusFilled {
|
|
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
|
|
return
|
|
}
|
|
s.StopOrders[createdOrders[0].OrderID] = stopOrder
|
|
}
|
|
if longCondition {
|
|
if err := s.GeneralOrderExecutor.GracefulCancel(ctx); err != nil {
|
|
log.WithError(err).Errorf("cannot cancel orders")
|
|
return
|
|
}
|
|
if source.Compare(price) > 0 {
|
|
source = price
|
|
}
|
|
source = source.Mul(fixedpoint.NewFromFloat(0.9998))
|
|
quoteBalance, ok := s.Session.GetAccount().Balance(s.Market.QuoteCurrency)
|
|
if !ok {
|
|
log.Errorf("unable to get quoteCurrency")
|
|
return
|
|
}
|
|
if s.Market.IsDustQuantity(
|
|
quoteBalance.Available.Div(source), source) {
|
|
return
|
|
}
|
|
// Cleanup pending StopOrders
|
|
s.StopOrders = make(map[uint64]types.SubmitOrder)
|
|
quantity := quoteBalance.Available.Div(source)
|
|
stopPrice := fixedpoint.NewFromFloat(math.Max(sourcef-atr/2, sourcef*(1.-stoploss)))
|
|
stopOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeStopLimit,
|
|
TimeInForce: types.TimeInForceGTC,
|
|
StopPrice: stopPrice,
|
|
Price: stopPrice,
|
|
Quantity: quantity,
|
|
Tag: "sl",
|
|
}
|
|
createdOrders, err := s.GeneralOrderExecutor.SubmitOrders(ctx, types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeBuy,
|
|
Type: types.OrderTypeLimit,
|
|
Price: source,
|
|
Quantity: quantity,
|
|
Tag: "long",
|
|
})
|
|
if err != nil {
|
|
log.WithError(err).Errorf("cannot place buy order")
|
|
return
|
|
}
|
|
if s.NoStopPrice {
|
|
return
|
|
}
|
|
if createdOrders[0].Status == types.OrderStatusFilled {
|
|
s.GeneralOrderExecutor.SubmitOrders(ctx, stopOrder)
|
|
return
|
|
}
|
|
s.StopOrders[createdOrders[0].OrderID] = stopOrder
|
|
}
|
|
})
|
|
|
|
bbgo.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
|
|
defer s.Print(os.Stdout)
|
|
|
|
defer fmt.Fprintln(os.Stdout, s.TradeStats.String())
|
|
|
|
if s.GenerateGraph {
|
|
s.Draw(dynamicKLine.StartTime, priceLine, &profit, &cumProfit)
|
|
}
|
|
|
|
wg.Done()
|
|
})
|
|
return nil
|
|
}
|