mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-21 08:41:10 +00:00
446 lines
14 KiB
Go
446 lines
14 KiB
Go
package pivotshort
|
|
|
|
import (
|
|
"context"
|
|
"fmt"
|
|
"sync"
|
|
|
|
"github.com/sirupsen/logrus"
|
|
"gopkg.in/yaml.v3"
|
|
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type TradeStats struct {
|
|
WinningRatio fixedpoint.Value `json:"winningRatio" yaml:"winningRatio"`
|
|
NumOfLossTrade int `json:"numOfLossTrade" yaml:"numOfLossTrade"`
|
|
NumOfProfitTrade int `json:"numOfProfitTrade" yaml:"numOfProfitTrade"`
|
|
GrossProfit fixedpoint.Value `json:"grossProfit" yaml:"grossProfit"`
|
|
GrossLoss fixedpoint.Value `json:"grossLoss" yaml:"grossLoss"`
|
|
Profits []fixedpoint.Value `json:"profits" yaml:"profits"`
|
|
Losses []fixedpoint.Value `json:"losses" yaml:"losses"`
|
|
MostProfitableTrade fixedpoint.Value `json:"mostProfitableTrade" yaml:"mostProfitableTrade"`
|
|
MostLossTrade fixedpoint.Value `json:"mostLossTrade" yaml:"mostLossTrade"`
|
|
}
|
|
|
|
func (s *TradeStats) Add(pnl fixedpoint.Value) {
|
|
if pnl.Sign() > 0 {
|
|
s.NumOfProfitTrade++
|
|
s.Profits = append(s.Profits, pnl)
|
|
s.GrossProfit = s.GrossProfit.Add(pnl)
|
|
s.MostProfitableTrade = fixedpoint.Max(s.MostProfitableTrade, pnl)
|
|
} else {
|
|
s.NumOfLossTrade++
|
|
s.Losses = append(s.Losses, pnl)
|
|
s.GrossLoss = s.GrossLoss.Add(pnl)
|
|
s.MostLossTrade = fixedpoint.Min(s.MostLossTrade, pnl)
|
|
}
|
|
|
|
s.WinningRatio = fixedpoint.NewFromFloat(float64(s.NumOfProfitTrade) / float64(s.NumOfLossTrade))
|
|
}
|
|
|
|
func (s *TradeStats) String() string {
|
|
out, _ := yaml.Marshal(s)
|
|
return string(out)
|
|
}
|
|
|
|
const ID = "pivotshort"
|
|
|
|
var log = logrus.WithField("strategy", ID)
|
|
|
|
func init() {
|
|
bbgo.RegisterStrategy(ID, &Strategy{})
|
|
}
|
|
|
|
type IntervalWindowSetting struct {
|
|
types.IntervalWindow
|
|
}
|
|
|
|
// BreakLow -- when price breaks the previous pivot low, we set a trade entry
|
|
type BreakLow struct {
|
|
Ratio fixedpoint.Value `json:"ratio"`
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
StopEMARange fixedpoint.Value `json:"stopEMARange"`
|
|
StopEMA *types.IntervalWindow `json:"stopEMA"`
|
|
}
|
|
|
|
type Entry struct {
|
|
CatBounceRatio fixedpoint.Value `json:"catBounceRatio"`
|
|
NumLayers int `json:"numLayers"`
|
|
TotalQuantity fixedpoint.Value `json:"totalQuantity"`
|
|
|
|
Quantity fixedpoint.Value `json:"quantity"`
|
|
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
|
}
|
|
|
|
type Exit struct {
|
|
RoiStopLossPercentage fixedpoint.Value `json:"roiStopLossPercentage"`
|
|
RoiTakeProfitPercentage fixedpoint.Value `json:"roiTakeProfitPercentage"`
|
|
|
|
LowerShadowRatio fixedpoint.Value `json:"lowerShadowRatio"`
|
|
|
|
MarginSideEffect types.MarginOrderSideEffectType `json:"marginOrderSideEffect"`
|
|
}
|
|
|
|
type Strategy struct {
|
|
*bbgo.Graceful
|
|
*bbgo.Notifiability
|
|
*bbgo.Persistence
|
|
|
|
Environment *bbgo.Environment
|
|
Symbol string `json:"symbol"`
|
|
Market types.Market
|
|
Interval types.Interval `json:"interval"`
|
|
|
|
// persistence fields
|
|
Position *types.Position `json:"position,omitempty" persistence:"position"`
|
|
ProfitStats *types.ProfitStats `json:"profitStats,omitempty" persistence:"profit_stats"`
|
|
TradeStats *TradeStats `persistence:"trade_stats"`
|
|
|
|
PivotLength int `json:"pivotLength"`
|
|
|
|
BreakLow BreakLow `json:"breakLow"`
|
|
Entry Entry `json:"entry"`
|
|
Exit Exit `json:"exit"`
|
|
|
|
activeMakerOrders *bbgo.ActiveOrderBook
|
|
orderStore *bbgo.OrderStore
|
|
tradeCollector *bbgo.TradeCollector
|
|
|
|
session *bbgo.ExchangeSession
|
|
|
|
lastLow fixedpoint.Value
|
|
pivot *indicator.Pivot
|
|
ewma *indicator.EWMA
|
|
pivotLowPrices []fixedpoint.Value
|
|
|
|
// StrategyController
|
|
bbgo.StrategyController
|
|
}
|
|
|
|
func (s *Strategy) ID() string {
|
|
return ID
|
|
}
|
|
|
|
func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
|
|
log.Infof("subscribe %s", s.Symbol)
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
|
|
}
|
|
|
|
func (s *Strategy) submitOrders(ctx context.Context, orderExecutor bbgo.OrderExecutor, submitOrders ...types.SubmitOrder) {
|
|
createdOrders, err := orderExecutor.SubmitOrders(ctx, submitOrders...)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not place orders")
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
s.activeMakerOrders.Add(createdOrders...)
|
|
s.tradeCollector.Process()
|
|
}
|
|
|
|
func (s *Strategy) placeMarketSell(ctx context.Context, orderExecutor bbgo.OrderExecutor, quantity fixedpoint.Value) {
|
|
if quantity.IsZero() {
|
|
if balance, ok := s.session.Account.Balance(s.Market.BaseCurrency); ok {
|
|
s.Notify("sell quantity is not set, submitting sell with all base balance: %s", balance.Available.String())
|
|
quantity = balance.Available
|
|
}
|
|
}
|
|
|
|
if quantity.IsZero() {
|
|
log.Errorf("quantity is zero, can not submit sell order, please check settings")
|
|
return
|
|
}
|
|
|
|
submitOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeMarket,
|
|
Quantity: quantity,
|
|
MarginSideEffect: types.SideEffectTypeMarginBuy,
|
|
}
|
|
|
|
s.submitOrders(ctx, orderExecutor, submitOrder)
|
|
}
|
|
|
|
func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
|
|
submitOrder := s.Position.NewMarketCloseOrder(percentage) // types.SubmitOrder{
|
|
if submitOrder == nil {
|
|
return nil
|
|
}
|
|
|
|
if s.session.Margin {
|
|
submitOrder.MarginSideEffect = s.Exit.MarginSideEffect
|
|
}
|
|
|
|
s.Notify("Closing %s position by %f", s.Symbol, percentage.Float64())
|
|
|
|
createdOrders, err := s.session.Exchange.SubmitOrders(ctx, *submitOrder)
|
|
if err != nil {
|
|
log.WithError(err).Errorf("can not place position close order")
|
|
}
|
|
|
|
s.orderStore.Add(createdOrders...)
|
|
s.activeMakerOrders.Add(createdOrders...)
|
|
s.tradeCollector.Process()
|
|
return err
|
|
}
|
|
|
|
func (s *Strategy) InstanceID() string {
|
|
return fmt.Sprintf("%s:%s", ID, s.Symbol)
|
|
}
|
|
|
|
func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
|
|
// initial required information
|
|
s.session = session
|
|
|
|
s.activeMakerOrders = bbgo.NewActiveOrderBook(s.Symbol)
|
|
s.activeMakerOrders.BindStream(session.UserDataStream)
|
|
|
|
s.orderStore = bbgo.NewOrderStore(s.Symbol)
|
|
s.orderStore.BindStream(session.UserDataStream)
|
|
|
|
if s.Position == nil {
|
|
s.Position = types.NewPositionFromMarket(s.Market)
|
|
}
|
|
|
|
if s.ProfitStats == nil {
|
|
s.ProfitStats = types.NewProfitStats(s.Market)
|
|
}
|
|
|
|
if s.TradeStats == nil {
|
|
s.TradeStats = &TradeStats{}
|
|
}
|
|
|
|
instanceID := s.InstanceID()
|
|
|
|
// Always update the position fields
|
|
s.Position.Strategy = ID
|
|
s.Position.StrategyInstanceID = instanceID
|
|
|
|
s.tradeCollector = bbgo.NewTradeCollector(s.Symbol, s.Position, s.orderStore)
|
|
s.tradeCollector.OnTrade(func(trade types.Trade, profit, netProfit fixedpoint.Value) {
|
|
s.Notifiability.Notify(trade)
|
|
s.ProfitStats.AddTrade(trade)
|
|
|
|
if profit.Compare(fixedpoint.Zero) == 0 {
|
|
s.Environment.RecordPosition(s.Position, trade, nil)
|
|
} else {
|
|
log.Infof("%s generated profit: %v", s.Symbol, profit)
|
|
|
|
p := s.Position.NewProfit(trade, profit, netProfit)
|
|
p.Strategy = ID
|
|
p.StrategyInstanceID = instanceID
|
|
s.Notify(&p)
|
|
|
|
s.ProfitStats.AddProfit(p)
|
|
s.Notify(&s.ProfitStats)
|
|
|
|
s.TradeStats.Add(profit)
|
|
|
|
s.Environment.RecordPosition(s.Position, trade, &p)
|
|
}
|
|
})
|
|
|
|
s.tradeCollector.OnPositionUpdate(func(position *types.Position) {
|
|
log.Infof("position changed: %s", s.Position)
|
|
s.Notify(s.Position)
|
|
})
|
|
s.tradeCollector.BindStream(session.UserDataStream)
|
|
|
|
iw := types.IntervalWindow{Window: s.PivotLength, Interval: s.Interval}
|
|
store, _ := session.MarketDataStore(s.Symbol)
|
|
s.pivot = &indicator.Pivot{IntervalWindow: iw}
|
|
s.pivot.Bind(store)
|
|
|
|
standardIndicator, _ := session.StandardIndicatorSet(s.Symbol)
|
|
if s.BreakLow.StopEMA != nil {
|
|
s.ewma = standardIndicator.EWMA(*s.BreakLow.StopEMA)
|
|
}
|
|
|
|
s.lastLow = fixedpoint.Zero
|
|
|
|
session.UserDataStream.OnStart(func() {
|
|
/*
|
|
if price, ok := session.LastPrice(s.Symbol); ok {
|
|
if limitPrice, ok := s.findHigherPivotLow(price); ok {
|
|
log.Infof("%s placing limit sell start from %f adds up to %f percent with %d layers of orders", s.Symbol, limitPrice.Float64(), s.Entry.CatBounceRatio.Mul(fixedpoint.NewFromInt(100)).Float64(), s.Entry.NumLayers)
|
|
s.placeBounceSellOrders(ctx, limitPrice, price, orderExecutor)
|
|
}
|
|
}
|
|
*/
|
|
})
|
|
|
|
// Always check whether you can open a short position or not
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
if kline.Symbol != s.Symbol || kline.Interval != types.Interval1m {
|
|
return
|
|
}
|
|
|
|
isPositionOpened := !s.Position.IsClosed() && !s.Position.IsDust(kline.Close)
|
|
|
|
if isPositionOpened && s.Position.IsShort() {
|
|
// calculate return rate
|
|
// TODO: apply quantity to this formula
|
|
roi := s.Position.AverageCost.Sub(kline.Close).Div(s.Position.AverageCost)
|
|
if roi.Compare(s.Exit.RoiStopLossPercentage.Neg()) < 0 {
|
|
// SL
|
|
s.Notify("%s ROI StopLoss triggered at price %f, ROI = %s", s.Symbol, kline.Close.Float64(), roi.Percentage())
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
|
|
log.WithError(err).Errorf("close position error")
|
|
}
|
|
|
|
return
|
|
} else if roi.Compare(s.Exit.RoiTakeProfitPercentage) > 0 { // disable this condition temporarily
|
|
s.Notify("%s TakeProfit triggered at price %f, ROI take profit percentage by %s", s.Symbol, kline.Close.Float64(), roi.Percentage(), kline)
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
|
|
log.WithError(err).Errorf("close position error")
|
|
}
|
|
} else if !s.Exit.LowerShadowRatio.IsZero() && kline.GetLowerShadowHeight().Div(kline.Close).Compare(s.Exit.LowerShadowRatio) > 0 {
|
|
s.Notify("%s TakeProfit triggered at price %f: shadow ratio %f", s.Symbol, kline.Close.Float64(), kline.GetLowerShadowRatio().Float64(), kline)
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
if err := s.ClosePosition(ctx, fixedpoint.One); err != nil {
|
|
log.WithError(err).Errorf("close position error")
|
|
}
|
|
return
|
|
}
|
|
}
|
|
|
|
if len(s.pivotLowPrices) == 0 {
|
|
return
|
|
}
|
|
|
|
previousLow := s.pivotLowPrices[len(s.pivotLowPrices)-1]
|
|
|
|
// truncate the pivot low prices
|
|
if len(s.pivotLowPrices) > 10 {
|
|
s.pivotLowPrices = s.pivotLowPrices[len(s.pivotLowPrices)-10:]
|
|
}
|
|
|
|
if s.ewma != nil && !s.BreakLow.StopEMARange.IsZero() {
|
|
ema := fixedpoint.NewFromFloat(s.ewma.Last())
|
|
if ema.IsZero() {
|
|
return
|
|
}
|
|
|
|
emaStopShortPrice := ema.Mul(fixedpoint.One.Sub(s.BreakLow.StopEMARange))
|
|
if kline.Close.Compare(emaStopShortPrice) < 0 {
|
|
return
|
|
}
|
|
}
|
|
|
|
ratio := fixedpoint.One.Sub(s.BreakLow.Ratio)
|
|
breakPrice := previousLow.Mul(ratio)
|
|
if kline.Close.Compare(breakPrice) > 0 {
|
|
return
|
|
}
|
|
|
|
if !s.Position.IsClosed() && !s.Position.IsDust(kline.Close) {
|
|
// s.Notify("skip opening %s position, which is not closed", s.Symbol, s.Position)
|
|
return
|
|
}
|
|
|
|
s.Notify("%s price %f breaks the previous low %f with ratio %f, submitting market sell to open a short position", s.Symbol, kline.Close.Float64(), previousLow.Float64(), s.BreakLow.Ratio.Float64())
|
|
|
|
if err := s.activeMakerOrders.GracefulCancel(ctx, s.session.Exchange); err != nil {
|
|
log.WithError(err).Errorf("graceful cancel order error")
|
|
}
|
|
|
|
s.placeMarketSell(ctx, orderExecutor, s.BreakLow.Quantity)
|
|
})
|
|
|
|
session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
|
|
if kline.Symbol != s.Symbol || kline.Interval != s.Interval {
|
|
return
|
|
}
|
|
|
|
if s.pivot.LastLow() > 0.0 {
|
|
log.Infof("pivot low detected: %f %s", s.pivot.LastLow(), kline.EndTime.Time())
|
|
lastLow := fixedpoint.NewFromFloat(s.pivot.LastLow())
|
|
if lastLow.Compare(s.lastLow) != 0 {
|
|
s.lastLow = lastLow
|
|
s.pivotLowPrices = append(s.pivotLowPrices, s.lastLow)
|
|
}
|
|
}
|
|
})
|
|
|
|
s.Graceful.OnShutdown(func(ctx context.Context, wg *sync.WaitGroup) {
|
|
log.Info(s.TradeStats.String())
|
|
wg.Done()
|
|
})
|
|
|
|
return nil
|
|
}
|
|
|
|
func (s *Strategy) findHigherPivotLow(price fixedpoint.Value) (fixedpoint.Value, bool) {
|
|
for l := len(s.pivotLowPrices) - 1; l > 0; l-- {
|
|
if s.pivotLowPrices[l].Compare(price) > 0 {
|
|
return s.pivotLowPrices[l], true
|
|
}
|
|
}
|
|
|
|
return price, false
|
|
}
|
|
|
|
func (s *Strategy) placeBounceSellOrders(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
|
|
futuresMode := s.session.Futures || s.session.IsolatedFutures
|
|
numLayers := fixedpoint.NewFromInt(int64(s.Entry.NumLayers))
|
|
d := s.Entry.CatBounceRatio.Div(numLayers)
|
|
q := s.Entry.Quantity
|
|
if !s.Entry.TotalQuantity.IsZero() {
|
|
q = s.Entry.TotalQuantity.Div(numLayers)
|
|
}
|
|
|
|
for i := 0; i < s.Entry.NumLayers; i++ {
|
|
balances := s.session.GetAccount().Balances()
|
|
quoteBalance, _ := balances[s.Market.QuoteCurrency]
|
|
baseBalance, _ := balances[s.Market.BaseCurrency]
|
|
|
|
p := limitPrice.Mul(fixedpoint.One.Add(s.Entry.CatBounceRatio.Sub(fixedpoint.NewFromFloat(d.Float64() * float64(i)))))
|
|
|
|
if futuresMode {
|
|
if q.Mul(p).Compare(quoteBalance.Available) <= 0 {
|
|
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
|
|
}
|
|
} else if s.Environment.IsBackTesting() {
|
|
if q.Compare(baseBalance.Available) <= 0 {
|
|
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
|
|
}
|
|
} else {
|
|
if q.Compare(baseBalance.Available) <= 0 {
|
|
s.placeOrder(ctx, lastLow, p, currentPrice, q, orderExecutor)
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
func (s *Strategy) placeOrder(ctx context.Context, lastLow fixedpoint.Value, limitPrice fixedpoint.Value, currentPrice fixedpoint.Value, qty fixedpoint.Value, orderExecutor bbgo.OrderExecutor) {
|
|
submitOrder := types.SubmitOrder{
|
|
Symbol: s.Symbol,
|
|
Side: types.SideTypeSell,
|
|
Type: types.OrderTypeLimit,
|
|
Price: limitPrice,
|
|
Quantity: qty,
|
|
}
|
|
|
|
if !lastLow.IsZero() && lastLow.Compare(currentPrice) <= 0 {
|
|
submitOrder.Type = types.OrderTypeMarket
|
|
}
|
|
|
|
s.submitOrders(ctx, orderExecutor, submitOrder)
|
|
}
|