bbgo_origin/pkg/strategy/pivotshort/failedbreakhigh.go
2022-09-16 01:24:01 +08:00

405 lines
11 KiB
Go

package pivotshort
import (
"context"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/indicator"
"github.com/c9s/bbgo/pkg/types"
)
type MACDDivergence struct {
*indicator.MACDConfig
PivotWindow int `json:"pivotWindow"`
}
// FailedBreakHigh -- when price breaks the previous pivot low, we set a trade entry
type FailedBreakHigh struct {
Symbol string
Market types.Market
// IntervalWindow is used for finding the pivot high
types.IntervalWindow
FastWindow int
bbgo.OpenPositionOptions
// BreakInterval is used for checking failed break
BreakInterval types.Interval `json:"breakInterval"`
Enabled bool `json:"enabled"`
// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
Ratio fixedpoint.Value `json:"ratio"`
// EarlyStopRatio adjusts the break high price with the given ratio
// this is for stop loss earlier if the price goes above the previous price
EarlyStopRatio fixedpoint.Value `json:"earlyStopRatio"`
VWMA *types.IntervalWindow `json:"vwma"`
StopEMA *bbgo.StopEMA `json:"stopEMA"`
TrendEMA *bbgo.TrendEMA `json:"trendEMA"`
MACDDivergence *MACDDivergence `json:"macdDivergence"`
macd *indicator.MACD
macdTopDivergence bool
lastFailedBreakHigh, lastHigh, lastFastHigh fixedpoint.Value
lastHighInvalidated bool
pivotHighPrices []fixedpoint.Value
pivotHigh, fastPivotHigh *indicator.PivotHigh
vwma *indicator.VWMA
orderExecutor *bbgo.GeneralOrderExecutor
session *bbgo.ExchangeSession
// StrategyController
bbgo.StrategyController
}
func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
if s.BreakInterval == "" {
s.BreakInterval = types.Interval1m
}
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.BreakInterval})
if s.StopEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
}
if s.TrendEMA != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
}
if s.MACDDivergence != nil {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.MACDDivergence.Interval})
}
}
func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
s.session = session
s.orderExecutor = orderExecutor
if !s.Enabled {
return
}
// set default value for StrategyController
s.Status = types.StrategyStatusRunning
if s.FastWindow == 0 {
s.FastWindow = 3
}
position := orderExecutor.Position()
symbol := position.Symbol
standardIndicator := session.StandardIndicatorSet(s.Symbol)
s.lastHigh = fixedpoint.Zero
s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
s.fastPivotHigh = standardIndicator.PivotHigh(types.IntervalWindow{
Interval: s.IntervalWindow.Interval,
Window: s.FastWindow,
})
// Experimental: MACD divergence detection
if s.MACDDivergence != nil {
log.Infof("MACD divergence detection is enabled")
s.macd = standardIndicator.MACD(s.MACDDivergence.IntervalWindow, s.MACDDivergence.ShortPeriod, s.MACDDivergence.LongPeriod)
s.macd.OnUpdate(func(macd, signal, histogram float64) {
log.Infof("MACD %+v: macd: %f, signal: %f histogram: %f", s.macd.IntervalWindow, macd, signal, histogram)
s.detectMacdDivergence()
})
s.detectMacdDivergence()
}
if s.VWMA != nil {
s.vwma = standardIndicator.VWMA(types.IntervalWindow{
Interval: s.BreakInterval,
Window: s.VWMA.Window,
})
}
if s.StopEMA != nil {
s.StopEMA.Bind(session, orderExecutor)
}
if s.TrendEMA != nil {
s.TrendEMA.Bind(session, orderExecutor)
}
// update pivot low data
session.MarketDataStream.OnStart(func() {
if s.updatePivotHigh() {
bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
}
s.pilotQuantityCalculation()
})
session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
if s.updatePivotHigh() {
// when position is opened, do not send pivot low notify
if position.IsOpened(kline.Close) {
return
}
bbgo.Notify("%s new pivot high: %f", s.Symbol, s.pivotHigh.Last())
}
}))
// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
// so that we can close the position earlier
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.BreakInterval, func(k types.KLine) {
if !s.Enabled {
return
}
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
// make sure the position is opened, and it's a short position
if !position.IsOpened(k.Close) || !position.IsShort() {
return
}
// make sure we recorded the last break low
if s.lastFailedBreakHigh.IsZero() {
return
}
lastHigh := s.lastFastHigh
if !s.EarlyStopRatio.IsZero() {
lastHigh = lastHigh.Mul(one.Add(s.EarlyStopRatio))
}
// the kline opened below the last break low, and closed above the last break low
if k.Open.Compare(lastHigh) < 0 && k.Close.Compare(lastHigh) > 0 && k.Open.Compare(k.Close) > 0 {
bbgo.Notify("kLine closed %f above the last break high %f (ratio %f), triggering stop earlier", k.Close.Float64(), lastHigh.Float64(), s.EarlyStopRatio.Float64())
if err := s.orderExecutor.ClosePosition(context.Background(), one, "failedBreakHighStop"); err != nil {
log.WithError(err).Error("position close error")
}
// reset to zero
s.lastFailedBreakHigh = fixedpoint.Zero
}
}))
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.BreakInterval, func(kline types.KLine) {
if len(s.pivotHighPrices) == 0 || s.lastHigh.IsZero() {
log.Infof("%s currently there is no pivot high prices, can not check failed break high...", s.Symbol)
return
}
if s.lastHighInvalidated {
log.Infof("%s last high %f is invalidated by the fast pivot", s.Symbol, s.lastHigh.Float64())
return
}
// StrategyController
if s.Status != types.StrategyStatusRunning {
return
}
previousHigh := s.lastHigh
ratio := fixedpoint.One.Add(s.Ratio)
breakPrice := previousHigh.Mul(ratio)
openPrice := kline.Open
closePrice := kline.Close
// we need few conditions:
// 1) kline.High is higher than the previous high
// 2) kline.Close is lower than the previous high
if kline.High.Compare(breakPrice) < 0 || closePrice.Compare(breakPrice) >= 0 {
return
}
// 3) kline.Close is lower than kline.Open
if closePrice.Compare(openPrice) > 0 {
bbgo.Notify("the %s closed price %f is higher than the open price %f, skip failed break high short", s.Symbol, closePrice.Float64(), openPrice.Float64())
return
}
if s.vwma != nil {
vma := fixedpoint.NewFromFloat(s.vwma.Last())
if kline.Volume.Compare(vma) < 0 {
bbgo.Notify("%s %s kline volume %f is less than VMA %f, skip failed break high short", kline.Symbol, kline.Interval, kline.Volume.Float64(), vma.Float64())
return
}
}
bbgo.Notify("%s FailedBreakHigh signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
if position.IsOpened(kline.Close) {
bbgo.Notify("%s position is already opened, skip", s.Symbol)
return
}
// trend EMA protection
if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
bbgo.Notify("trendEMA protection: close price %f, gradient %f", kline.Close.Float64(), s.TrendEMA.Gradient())
return
}
// stop EMA protection
if s.StopEMA != nil {
if !s.StopEMA.Allowed(closePrice) {
bbgo.Notify("stopEMA protection: close price %f %s", kline.Close.Float64(), s.StopEMA.String())
return
}
}
if s.macd != nil && !s.macdTopDivergence {
bbgo.Notify("Detected MACD top divergence")
return
}
if s.lastFailedBreakHigh.IsZero() || previousHigh.Compare(s.lastFailedBreakHigh) < 0 {
s.lastFailedBreakHigh = previousHigh
}
ctx := context.Background()
bbgo.Notify("%s price %f failed breaking the previous high %f with ratio %f, opening short position",
symbol,
kline.Close.Float64(),
previousHigh.Float64(),
s.Ratio.Float64())
// graceful cancel all active orders
_ = orderExecutor.GracefulCancel(ctx)
opts := s.OpenPositionOptions
opts.Short = true
opts.Price = closePrice
opts.Tags = []string{"FailedBreakHighMarket"}
if err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
log.WithError(err).Errorf("failed to open short position")
}
}))
}
func (s *FailedBreakHigh) pilotQuantityCalculation() {
if s.lastHigh.IsZero() {
return
}
log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
s.lastHigh.Float64(),
s.Quantity.Float64(),
s.Leverage.Float64())
quantity, err := bbgo.CalculateBaseQuantity(s.session, s.Market, s.lastHigh, s.Quantity, s.Leverage)
if err != nil {
log.WithError(err).Errorf("quantity calculation error")
}
if quantity.IsZero() {
log.WithError(err).Errorf("quantity is zero, can not submit order")
return
}
bbgo.Notify("%s %f quantity will be used for failed break high short", s.Symbol, quantity.Float64())
}
func (s *FailedBreakHigh) detectMacdDivergence() {
if s.MACDDivergence == nil {
return
}
// always reset the top divergence to false
s.macdTopDivergence = false
histogramValues := s.macd.Histogram
pivotWindow := s.MACDDivergence.PivotWindow
if pivotWindow == 0 {
pivotWindow = 3
}
if len(histogramValues) < pivotWindow*2 {
log.Warnf("histogram values is not enough for finding pivots, length=%d", len(histogramValues))
return
}
var histogramPivots floats.Slice
for i := pivotWindow; i > 0 && i < len(histogramValues); i++ {
// find positive histogram and the top
pivot, ok := floats.CalculatePivot(histogramValues[0:i], pivotWindow, pivotWindow, func(a, pivot float64) bool {
return pivot > 0 && pivot > a
})
if ok {
histogramPivots = append(histogramPivots, pivot)
}
}
log.Infof("histogram pivots: %+v", histogramPivots)
// take the last 2-3 pivots to check if there is a divergence
if len(histogramPivots) < 3 {
return
}
histogramPivots = histogramPivots[len(histogramPivots)-3:]
minDiff := 0.01
for i := len(histogramPivots) - 1; i > 0; i-- {
p1 := histogramPivots[i]
p2 := histogramPivots[i-1]
diff := p1 - p2
if diff > -minDiff || diff > minDiff {
continue
}
// negative value = MACD top divergence
if diff < -minDiff {
log.Infof("MACD TOP DIVERGENCE DETECTED: diff %f", diff)
s.macdTopDivergence = true
} else {
s.macdTopDivergence = false
}
return
}
}
func (s *FailedBreakHigh) updatePivotHigh() bool {
high := fixedpoint.NewFromFloat(s.pivotHigh.Last())
if high.IsZero() {
return false
}
lastHighChanged := high.Compare(s.lastHigh) != 0
if lastHighChanged {
s.lastHigh = high
s.lastHighInvalidated = false
s.pivotHighPrices = append(s.pivotHighPrices, high)
}
fastHigh := fixedpoint.NewFromFloat(s.fastPivotHigh.Last())
if !fastHigh.IsZero() {
if fastHigh.Compare(s.lastHigh) > 0 {
// invalidate the last low
lastHighChanged = false
s.lastHighInvalidated = true
}
s.lastFastHigh = fastHigh
}
return lastHighChanged
}