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42 lines
1.1 KiB
Go
42 lines
1.1 KiB
Go
package pivotshort
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import (
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"context"
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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/types"
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)
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type RoiStopLoss struct {
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Percentage fixedpoint.Value `json:"percentage"`
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session *bbgo.ExchangeSession
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orderExecutor *bbgo.GeneralOrderExecutor
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}
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func (s *RoiStopLoss) 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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session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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if kline.Symbol != position.Symbol || kline.Interval != types.Interval1m {
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return
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}
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closePrice := kline.Close
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if position.IsClosed() || position.IsDust(closePrice) {
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return
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}
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roi := position.ROI(closePrice)
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if roi.Compare(s.Percentage.Neg()) < 0 {
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// stop loss
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bbgo.Notify("[RoiStopLoss] %s stop loss triggered by ROI %s/%s, price: %f", position.Symbol, roi.Percentage(), s.Percentage.Neg().Percentage(), kline.Close.Float64())
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_ = orderExecutor.ClosePosition(context.Background(), fixedpoint.One)
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return
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}
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})
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}
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