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272 lines
7.8 KiB
Go
272 lines
7.8 KiB
Go
package pivotshort
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import (
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"context"
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"fmt"
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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/sirupsen/logrus"
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)
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const ID = "pivotshort"
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var fifteen = fixedpoint.NewFromInt(15)
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var three = fixedpoint.NewFromInt(3)
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var two = fixedpoint.NewFromInt(2)
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var log = logrus.WithField("strategy", ID)
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func init() {
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bbgo.RegisterStrategy(ID, &Strategy{})
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}
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type IntervalWindowSetting struct {
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types.IntervalWindow
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}
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type Strategy struct {
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*bbgo.Graceful
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*bbgo.Notifiability
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*bbgo.Persistence
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Environment *bbgo.Environment
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Symbol string `json:"symbol"`
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Market types.Market
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Interval types.Interval `json:"interval"`
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Quantity fixedpoint.Value `json:"quantity"`
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// persistence fields
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Position *types.Position `json:"position,omitempty" persistence:"position"`
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ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
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PivotLength int `json:"pivotLength"`
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StopLossRatio fixedpoint.Value `json:"stopLossRatio"`
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CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
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NumLayers fixedpoint.Value `json:"numLayers"`
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ShadowTPRatio fixedpoint.Value `json:"shadowTPRatio"`
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activeMakerOrders *bbgo.LocalActiveOrderBook
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orderStore *bbgo.OrderStore
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tradeCollector *bbgo.TradeCollector
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session *bbgo.ExchangeSession
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pivot *indicator.Pivot
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// StrategyController
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bbgo.StrategyController
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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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log.Infof("subscribe %s", s.Symbol)
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval.String()})
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//session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1d.String()})
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}
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func (s *Strategy) placeOrder(ctx context.Context, price fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: price,
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Quantity: qty,
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}
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createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place orders")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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//s.tradeCollector.Process()
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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base := s.Position.GetBase()
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if base.IsZero() {
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return fmt.Errorf("no opened %s position", s.Position.Symbol)
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}
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// make it negative
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quantity := base.Mul(percentage).Abs()
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side := types.SideTypeBuy
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if base.Sign() > 0 {
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side = types.SideTypeSell
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}
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if quantity.Compare(s.Market.MinQuantity) < 0 {
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return fmt.Errorf("order quantity %v is too small, less than %v", quantity, s.Market.MinQuantity)
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}
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submitOrder := types.SubmitOrder{
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Symbol: s.Symbol,
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Side: side,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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Market: s.Market,
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}
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//s.Notify("Submitting %s %s order to close position by %v", s.Symbol, side.String(), percentage, submitOrder)
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createdOrders, err := s.session.Exchange.SubmitOrders(ctx, submitOrder)
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if err != nil {
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log.WithError(err).Errorf("can not place position close order")
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}
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s.orderStore.Add(createdOrders...)
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s.activeMakerOrders.Add(createdOrders...)
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return err
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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) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
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// initial required information
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s.session = session
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//s.prevClose = fixedpoint.Zero
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// first we need to get market data store(cached market data) from the exchange session
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//st, _ := session.MarketDataStore(s.Symbol)
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s.activeMakerOrders = bbgo.NewLocalActiveOrderBook(s.Symbol)
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s.activeMakerOrders.BindStream(session.UserDataStream)
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s.orderStore = bbgo.NewOrderStore(s.Symbol)
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s.orderStore.BindStream(session.UserDataStream)
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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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// calculate group id for orders
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instanceID := s.InstanceID()
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//s.groupID = util.FNV32(instanceID)
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// Always update the position fields
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s.Position.Strategy = ID
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s.Position.StrategyInstanceID = instanceID
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s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
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s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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s.Notifiability.Notify(trade)
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s.ProfitStats.AddTrade(trade)
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if profit.Compare(fixedpoint.Zero) == 0 {
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s.Environment.RecordPosition(s.Position, trade, nil)
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} else {
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log.Infof("%s generated profit: %v", s.Symbol, profit)
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p := s.Position.NewProfit(trade, profit, netProfit)
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p.Strategy = ID
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p.StrategyInstanceID = instanceID
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s.Notify(&p)
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s.ProfitStats.AddProfit(p)
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s.Notify(&s.ProfitStats)
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s.Environment.RecordPosition(s.Position, trade, &p)
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}
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})
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s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
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log.Infof("position changed: %s", s.Position)
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s.Notify(s.Position)
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})
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s.tradeCollector.BindStream(session.UserDataStream)
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iw := types.IntervalWindow{Window: s.PivotLength, Interval: s.Interval}
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st, _ := session.MarketDataStore(s.Symbol)
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s.pivot = &indicator.Pivot{IntervalWindow: iw}
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s.pivot.Bind(st)
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session.UserDataStream.OnStart(func() {
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log.Infof("connected")
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})
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var lastLow fixedpoint.Value
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futuresMode := s.session.Futures || s.session.IsolatedFutures
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d := s.CatBounceRatio.Div(s.NumLayers)
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q := s.Quantity.Div(s.NumLayers)
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log.Info(futuresMode)
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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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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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if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
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log.WithError(err).Errorf("graceful cancel order error")
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}
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if s.pivot.LastLow() > 0. {
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log.Info(s.pivot.LastLow(), kline.EndTime)
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lastLow = fixedpoint.NewFromFloat(s.pivot.LastLow())
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} else {
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if !lastLow.IsZero() && !s.Position.GetBase().IsZero() {
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R := kline.Close.Div(s.Position.AverageCost)
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if R.Compare(fixedpoint.One.Add(s.StopLossRatio)) > 0 {
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// SL
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log.Infof("SL triggered")
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if R.Compare(fixedpoint.One.Sub(s.StopLossRatio.Mul(fifteen))) < 0 {
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// TP
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log.Infof("TP triggered")
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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} else if kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.ShadowTPRatio) > 0 {
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// shadow TP
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log.Infof("shadow TP triggered")
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s.ClosePosition(ctx, fixedpoint.One)
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s.tradeCollector.Process()
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}
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}
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lastLow = fixedpoint.Zero
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}
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if !lastLow.IsZero() {
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for i := 0; i < int(s.NumLayers.Float64()); i++ {
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balances := s.session.GetAccount().Balances()
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quoteBalance, _ := balances[s.Market.QuoteCurrency]
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baseBalance, _ := balances[s.Market.BaseCurrency]
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p := lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
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//
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if futuresMode {
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//log.Infof("futures mode on ")
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if q.Mul(p).Compare(quoteBalance.Available) < 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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} else if s.Environment.IsBackTesting() {
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//log.Infof("spot backtest mode on ")
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if q.Compare(baseBalance.Available) < 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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} else {
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//log.Infof("spot mode on ")
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if q.Compare(baseBalance.Available) < 0 {
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s.placeOrder(ctx, p, q, orderExecutor)
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s.tradeCollector.Process()
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}
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}
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}
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//s.placeOrder(ctx, lastLow.Mul(fixedpoint.One.Add(s.CatBounceRatio)), s.Quantity, orderExecutor)
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}
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})
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return nil
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}
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