bbgo_origin/pkg/strategy/pricedrop/strategy.go

113 lines
2.6 KiB
Go

package pricedrop
import (
"context"
"fmt"
"github.com/sirupsen/logrus"
"github.com/c9s/bbgo/pkg/bbgo"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
const ID = "pricedrop"
var log = logrus.WithField("strategy", ID)
func init() {
bbgo.RegisterStrategy(ID, &Strategy{})
}
type Strategy struct {
Symbol string `json:"symbol"`
Interval types.Interval `json:"interval"`
BaseQuantity fixedpoint.Value `json:"baseQuantity"`
MinDropPercentage fixedpoint.Value `json:"minDropPercentage"`
MinDropChange fixedpoint.Value `json:"minDropChange"`
MovingAverageWindow int `json:"movingAverageWindow"`
}
func (s *Strategy) ID() string {
return ID
}
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
}
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
if s.Interval == "" {
s.Interval = types.Interval5m
}
if s.MovingAverageWindow == 0 {
s.MovingAverageWindow = 99
}
// buy when price drops -8%
market, ok := session.Market(s.Symbol)
if !ok {
return fmt.Errorf("market %s is not defined", s.Symbol)
}
standardIndicatorSet := session.StandardIndicatorSet(s.Symbol)
if !ok {
return fmt.Errorf("standardIndicatorSet is nil, symbol %s", s.Symbol)
}
var iw = types.IntervalWindow{Interval: s.Interval, Window: s.MovingAverageWindow}
var ema = standardIndicatorSet.EWMA(iw)
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
// skip k-lines from other symbols
if kline.Symbol != s.Symbol {
return
}
change := kline.GetChange()
// skip positive change
if change.Sign() > 0 {
return
}
if kline.Close.Float64() > ema.Last() {
log.Warnf("kline close price %v is above EMA %s %f", kline.Close, ema.IntervalWindow, ema.Last())
return
}
changeP := change.Div(kline.Open).Abs()
if !s.MinDropPercentage.IsZero() {
if changeP.Compare(s.MinDropPercentage.Abs()) < 0 {
return
}
} else if !s.MinDropChange.IsZero() {
if change.Abs().Compare(s.MinDropChange.Abs()) < 0 {
return
}
} else {
// not configured, we shall skip
log.Warnf("parameters are not configured, skipping action...")
return
}
quantity := s.BaseQuantity.Mul(fixedpoint.One.Add(changeP))
_, err := orderExecutor.SubmitOrders(ctx, types.SubmitOrder{
Symbol: kline.Symbol,
Market: market,
Side: types.SideTypeBuy,
Type: types.OrderTypeMarket,
Quantity: quantity,
})
if err != nil {
log.WithError(err).Error("submit order error")
}
})
return nil
}