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285 lines
9.3 KiB
Go
285 lines
9.3 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/risk"
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"github.com/c9s/bbgo/pkg/types"
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)
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// BreakLow -- when price breaks the previous pivot low, we set a trade entry
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type BreakLow struct {
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Symbol string
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Market types.Market
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types.IntervalWindow
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// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
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Ratio fixedpoint.Value `json:"ratio"`
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// MarketOrder is the option to enable market order short.
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MarketOrder bool `json:"marketOrder"`
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// BounceRatio is a ratio used for placing the limit order sell price
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// limit sell price = breakLowPrice * (1 + BounceRatio)
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BounceRatio fixedpoint.Value `json:"bounceRatio"`
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Leverage fixedpoint.Value `json:"leverage"`
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Quantity fixedpoint.Value `json:"quantity"`
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StopEMARange fixedpoint.Value `json:"stopEMARange"`
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StopEMA *types.IntervalWindow `json:"stopEMA"`
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TrendEMA *types.IntervalWindow `json:"trendEMA"`
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lastLow fixedpoint.Value
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pivot *indicator.Pivot
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stopEWMA *indicator.EWMA
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trendEWMA *indicator.EWMA
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trendEWMALast, trendEWMACurrent float64
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pivotLowPrices []fixedpoint.Value
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orderExecutor *bbgo.GeneralOrderExecutor
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session *bbgo.ExchangeSession
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}
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func (s *BreakLow) 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: types.Interval1m})
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if s.StopEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
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}
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if s.TrendEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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}
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func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.GeneralOrderExecutor) {
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s.session = session
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s.orderExecutor = orderExecutor
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position := orderExecutor.Position()
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symbol := position.Symbol
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store, _ := session.MarketDataStore(s.Symbol)
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standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
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s.lastLow = fixedpoint.Zero
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s.pivot = &indicator.Pivot{IntervalWindow: s.IntervalWindow}
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s.pivot.Bind(store)
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preloadPivot(s.pivot, store)
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if s.StopEMA != nil {
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s.stopEWMA = standardIndicator.EWMA(*s.StopEMA)
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}
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if s.TrendEMA != nil {
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s.trendEWMA = standardIndicator.EWMA(*s.TrendEMA)
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.TrendEMA.Interval, func(kline types.KLine) {
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s.trendEWMALast = s.trendEWMACurrent
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s.trendEWMACurrent = s.trendEWMA.Last()
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}))
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}
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// update pivot low data
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
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if lastLow.IsZero() {
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return
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}
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if lastLow.Compare(s.lastLow) != 0 {
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bbgo.Notify("%s new pivot low detected: %f %s", s.Symbol, s.pivot.LastLow(), kline.EndTime.Time().String())
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}
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s.lastLow = lastLow
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s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
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}))
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, types.Interval1m, func(kline types.KLine) {
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if len(s.pivotLowPrices) == 0 {
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log.Infof("currently there is no pivot low prices, can not check break low...")
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return
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}
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previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousLow.Mul(ratio)
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openPrice := kline.Open
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closePrice := kline.Close
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// if the previous low is not break, or the kline is not strong enough to break it, skip
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if closePrice.Compare(breakPrice) >= 0 {
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return
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}
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// we need the price cross the break line, or we do nothing:
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// open > break price > close price
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if !(openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) {
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return
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}
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// force direction to be down
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if closePrice.Compare(openPrice) >= 0 {
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log.Infof("%s price %f is closed higher than the open price %f, skip this break", kline.Symbol, closePrice.Float64(), openPrice.Float64())
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// skip UP klines
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return
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}
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log.Infof("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64())
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if position.IsOpened(kline.Close) {
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log.Infof("position is already opened, skip short")
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return
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}
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// trend EMA protection
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if s.trendEWMALast > 0.0 && s.trendEWMACurrent > 0.0 {
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slope := s.trendEWMALast / s.trendEWMACurrent
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if slope > 1.0 {
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log.Infof("trendEMA %+v current=%f last=%f slope=%f: skip short", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
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return
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}
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log.Infof("trendEMA %+v current=%f last=%f slope=%f: short is enabled", s.TrendEMA, s.trendEWMACurrent, s.trendEWMALast, slope)
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}
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// stop EMA protection
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if s.stopEWMA != nil {
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ema := fixedpoint.NewFromFloat(s.stopEWMA.Last())
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if ema.IsZero() {
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return
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}
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emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.StopEMARange))
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if closePrice.Compare(emaStopShortPrice) < 0 {
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log.Infof("stopEMA protection: close price %f < EMA(%v) = %f", closePrice.Float64(), s.StopEMA, ema.Float64())
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return
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}
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}
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ctx := context.Background()
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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quantity, err := useQuantityOrBaseBalance(s.session, s.Market, closePrice, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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return
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}
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if s.MarketOrder {
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bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: s.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeMarket,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "breakLowMarket",
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})
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} else {
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sellPrice := previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
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bbgo.Notify("%s price %f breaks the previous low %f with ratio %f, submitting limit sell @ %f", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64(), sellPrice.Float64())
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_, _ = s.orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
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Symbol: kline.Symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: sellPrice,
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Quantity: quantity,
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MarginSideEffect: types.SideEffectTypeMarginBuy,
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Tag: "breakLowLimit",
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})
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}
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}))
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if !bbgo.IsBackTesting {
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// use market trade to submit short order
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session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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})
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}
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}
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func useQuantityOrBaseBalance(session *bbgo.ExchangeSession, market types.Market, price, quantity, leverage fixedpoint.Value) (fixedpoint.Value, error) {
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usingLeverage := session.Margin || session.IsolatedMargin || session.Futures || session.IsolatedFutures
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if usingLeverage {
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if !quantity.IsZero() {
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return quantity, nil
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}
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if leverage.IsZero() {
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leverage = fixedpoint.NewFromInt(3)
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}
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// quantity is zero, we need to calculate the quantity
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baseBalance, _ := session.Account.Balance(market.BaseCurrency)
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quoteBalance, _ := session.Account.Balance(market.QuoteCurrency)
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// calculate the quantity automatically
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if session.Margin || session.IsolatedMargin {
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baseBalanceValue := baseBalance.Total().Mul(price)
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accountValue := baseBalanceValue.Add(quoteBalance.Total())
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if session.IsolatedMargin {
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originLeverage := leverage
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leverage = fixedpoint.Max(leverage, fixedpoint.NewFromInt(10))
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log.Infof("using isolated margin, maxLeverage=10 originalLeverage=%f currentLeverage=%f",
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originLeverage.Float64(),
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leverage.Float64())
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}
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// spot margin use the equity value, so we use the total quote balance here
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maxPositionQuantity := risk.CalculateMaxPosition(price, accountValue, leverage)
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log.Infof("margin leverage: calculated maxPositionQuantity=%f price=%f accountValue=%f %s leverage=%f",
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maxPositionQuantity.Float64(),
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price.Float64(),
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accountValue.Float64(),
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market.QuoteCurrency,
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leverage.Float64())
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return maxPositionQuantity, nil
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}
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if session.Futures || session.IsolatedFutures {
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// TODO: get mark price here
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maxPositionQuantity := risk.CalculateMaxPosition(price, quoteBalance.Available, leverage)
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requiredPositionCost := risk.CalculatePositionCost(price, price, maxPositionQuantity, leverage, types.SideTypeSell)
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if quoteBalance.Available.Compare(requiredPositionCost) < 0 {
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return maxPositionQuantity, fmt.Errorf("available margin %f %s is not enough, can not submit order", quoteBalance.Available.Float64(), market.QuoteCurrency)
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}
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return maxPositionQuantity, nil
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}
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}
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// For spot, we simply sell the base currency
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balance, hasBalance := session.Account.Balance(market.BaseCurrency)
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if hasBalance {
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if quantity.IsZero() {
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log.Warnf("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
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quantity = balance.Available
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} else {
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quantity = fixedpoint.Min(quantity, balance.Available)
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}
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}
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return quantity, fmt.Errorf("quantity is zero, can not submit sell order, please check your settings")
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}
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