mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 15:25:14 +00:00
81 lines
2.1 KiB
Go
81 lines
2.1 KiB
Go
package bbgo
|
|
|
|
import (
|
|
"context"
|
|
|
|
log "github.com/sirupsen/logrus"
|
|
|
|
"github.com/c9s/bbgo/pkg/fixedpoint"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type RoiStopLoss struct {
|
|
Symbol string
|
|
|
|
// Percentage is the ROI loss percentage
|
|
// 1% means when you loss 1% and it will close the position
|
|
Percentage fixedpoint.Value `json:"percentage"`
|
|
|
|
// Partial is a percentage of the position to be closed
|
|
// 50% means you will close halt the position
|
|
Partial fixedpoint.Value `json:"partial,omitempty"`
|
|
|
|
session *ExchangeSession
|
|
orderExecutor *GeneralOrderExecutor
|
|
}
|
|
|
|
func (s *RoiStopLoss) Subscribe(session *ExchangeSession) {
|
|
// use 1m kline to handle roi stop
|
|
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
|
|
}
|
|
|
|
func (s *RoiStopLoss) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExecutor) {
|
|
s.session = session
|
|
s.orderExecutor = orderExecutor
|
|
|
|
position := orderExecutor.Position()
|
|
session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
|
|
s.checkStopPrice(kline.Close, position)
|
|
}))
|
|
|
|
if !IsBackTesting && enableMarketTradeStop {
|
|
session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
|
|
if trade.Symbol != position.Symbol {
|
|
return
|
|
}
|
|
|
|
s.checkStopPrice(trade.Price, position)
|
|
})
|
|
}
|
|
}
|
|
|
|
func (s *RoiStopLoss) checkStopPrice(closePrice fixedpoint.Value, position *types.Position) {
|
|
if position.IsClosed() || position.IsDust(closePrice) {
|
|
return
|
|
}
|
|
|
|
roi := position.ROI(closePrice)
|
|
// logrus.Debugf("ROIStopLoss: price=%f roi=%s stop=%s", closePrice.Float64(), roi.Percentage(), s.Percentage.Neg().Percentage())
|
|
|
|
if roi.Compare(s.Percentage.Neg()) > 0 {
|
|
return
|
|
}
|
|
|
|
// default to close the whole position
|
|
percent := one
|
|
if !s.Partial.IsZero() {
|
|
percent = s.Partial
|
|
}
|
|
|
|
Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f, closing: %s",
|
|
position.Symbol,
|
|
roi.Percentage(),
|
|
s.Percentage.Neg().Percentage(),
|
|
closePrice.Float64(),
|
|
percent.Percentage())
|
|
|
|
if err := s.orderExecutor.ClosePosition(context.Background(), percent, "roiStopLoss"); err != nil {
|
|
log.WithError(err).Error("failed to close position")
|
|
}
|
|
}
|