101 lines
3.1 KiB
Go
101 lines
3.1 KiB
Go
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package dynamicrisk
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import (
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/indicator"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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"github.com/pkg/errors"
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)
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// DynamicQuantitySet uses multiple dynamic quantity rules to calculate the total quantity
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type DynamicQuantitySet []DynamicQuantity
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// Initialize dynamic quantity set
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func (d *DynamicQuantitySet) Initialize(symbol string, session *qbtrade.ExchangeSession) {
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for i := range *d {
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(*d)[i].Initialize(symbol, session)
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}
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}
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// GetQuantity returns the quantity
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func (d *DynamicQuantitySet) GetQuantity(reverse bool) (fixedpoint.Value, error) {
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quantity := fixedpoint.Zero
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for i := range *d {
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v, err := (*d)[i].getQuantity(reverse)
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if err != nil {
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return fixedpoint.Zero, err
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}
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quantity = quantity.Add(v)
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}
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return quantity, nil
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}
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type DynamicQuantity struct {
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// LinRegQty calculates quantity based on LinReg slope
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LinRegDynamicQuantity *DynamicQuantityLinReg `json:"linRegDynamicQuantity"`
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}
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// Initialize dynamic quantity
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func (d *DynamicQuantity) Initialize(symbol string, session *qbtrade.ExchangeSession) {
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switch {
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case d.LinRegDynamicQuantity != nil:
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d.LinRegDynamicQuantity.initialize(symbol, session)
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}
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}
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func (d *DynamicQuantity) IsEnabled() bool {
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return d.LinRegDynamicQuantity != nil
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}
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// getQuantity returns quantity
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func (d *DynamicQuantity) getQuantity(reverse bool) (fixedpoint.Value, error) {
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switch {
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case d.LinRegDynamicQuantity != nil:
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return d.LinRegDynamicQuantity.getQuantity(reverse)
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default:
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return fixedpoint.Zero, errors.New("dynamic quantity is not enabled")
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}
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}
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// DynamicQuantityLinReg uses LinReg slope to calculate quantity
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type DynamicQuantityLinReg struct {
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// DynamicQuantityLinRegScale is used to define the quantity range with the given parameters.
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DynamicQuantityLinRegScale *qbtrade.PercentageScale `json:"dynamicQuantityLinRegScale"`
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// QuantityLinReg to define the interval and window of the LinReg
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QuantityLinReg *indicator.LinReg `json:"quantityLinReg"`
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}
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// initialize LinReg dynamic quantity
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func (d *DynamicQuantityLinReg) initialize(symbol string, session *qbtrade.ExchangeSession) {
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// Subscribe for LinReg
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{
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Interval: d.QuantityLinReg.Interval,
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})
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// Initialize LinReg
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kLineStore, _ := session.MarketDataStore(symbol)
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d.QuantityLinReg.BindK(session.MarketDataStream, symbol, d.QuantityLinReg.Interval)
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if klines, ok := kLineStore.KLinesOfInterval(d.QuantityLinReg.Interval); ok {
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d.QuantityLinReg.LoadK((*klines)[0:])
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}
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}
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// getQuantity returns quantity
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// If reverse is true, the LinReg slope ratio is reversed, ie -0.01 becomes 0.01. This is for short orders.
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func (d *DynamicQuantityLinReg) getQuantity(reverse bool) (fixedpoint.Value, error) {
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var linregRatio float64
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if reverse {
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linregRatio = -d.QuantityLinReg.LastRatio()
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} else {
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linregRatio = d.QuantityLinReg.LastRatio()
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}
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v, err := d.DynamicQuantityLinRegScale.Scale(linregRatio)
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if err != nil {
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return fixedpoint.Zero, err
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}
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return fixedpoint.NewFromFloat(v), nil
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}
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