287 lines
8.2 KiB
Go
287 lines
8.2 KiB
Go
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package pivotshort
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import (
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"context"
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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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)
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type FakeBreakStop struct {
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types.IntervalWindow
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}
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// BreakLow -- when price breaks the previous pivot low, we set a trade entry
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type BreakLow struct {
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Symbol string
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Market types.Market
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types.IntervalWindow
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// FastWindow is used for fast pivot (this is to filter the nearest high/low)
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FastWindow int `json:"fastWindow"`
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// Ratio is a number less than 1.0, price * ratio will be the price triggers the short order.
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Ratio fixedpoint.Value `json:"ratio"`
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qbtrade.OpenPositionOptions
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// BounceRatio is a ratio used for placing the limit order sell price
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// limit sell price = breakLowPrice * (1 + BounceRatio)
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BounceRatio fixedpoint.Value `json:"bounceRatio"`
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StopEMA *qbtrade.StopEMA `json:"stopEMA"`
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TrendEMA *qbtrade.TrendEMA `json:"trendEMA"`
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FakeBreakStop *FakeBreakStop `json:"fakeBreakStop"`
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lastLow, lastFastLow fixedpoint.Value
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lastLowInvalidated bool
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// lastBreakLow is the low that the price just break
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lastBreakLow fixedpoint.Value
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pivotLow, fastPivotLow *indicator.PivotLow
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pivotLowPrices []fixedpoint.Value
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orderExecutor *qbtrade.GeneralOrderExecutor
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session *qbtrade.ExchangeSession
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// StrategyController
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qbtrade.StrategyController
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}
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func (s *BreakLow) Subscribe(session *qbtrade.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m})
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if s.StopEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.StopEMA.Interval})
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}
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if s.TrendEMA != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.TrendEMA.Interval})
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}
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if s.FakeBreakStop != nil {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.FakeBreakStop.Interval})
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}
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}
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func (s *BreakLow) Bind(session *qbtrade.ExchangeSession, orderExecutor *qbtrade.GeneralOrderExecutor) {
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if s.FastWindow == 0 {
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s.FastWindow = 3
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}
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s.session = session
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s.orderExecutor = orderExecutor
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// StrategyController
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s.Status = types.StrategyStatusRunning
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position := orderExecutor.Position()
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symbol := position.Symbol
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standardIndicator := session.StandardIndicatorSet(s.Symbol)
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s.lastLow = fixedpoint.Zero
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s.pivotLow = standardIndicator.PivotLow(s.IntervalWindow)
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s.fastPivotLow = standardIndicator.PivotLow(types.IntervalWindow{
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Interval: s.Interval,
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Window: s.FastWindow, // make it faster
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})
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if s.StopEMA != nil {
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s.StopEMA.Bind(session, orderExecutor)
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}
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if s.TrendEMA != nil {
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s.TrendEMA.Bind(session, orderExecutor)
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}
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// update pivot low data
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session.MarketDataStream.OnStart(func() {
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if s.updatePivotLow() {
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qbtrade.Notify("%s new pivot low: %f", s.Symbol, s.pivotLow.Last(0))
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}
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s.pilotQuantityCalculation()
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})
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session.MarketDataStream.OnKLineClosed(types.KLineWith(symbol, s.Interval, func(kline types.KLine) {
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if s.updatePivotLow() {
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// when position is opened, do not send pivot low notify
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if position.IsOpened(kline.Close) {
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return
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}
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qbtrade.Notify("%s new pivot low: %f", s.Symbol, s.pivotLow.Last(0))
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}
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}))
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if s.FakeBreakStop != nil {
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// if the position is already opened, and we just break the low, this checks if the kline closed above the low,
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// so that we can close the position earlier
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.FakeBreakStop.Interval, func(k types.KLine) {
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// make sure the position is opened, and it's a short position
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if !position.IsOpened(k.Close) || !position.IsShort() {
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return
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}
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// make sure we recorded the last break low
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if s.lastBreakLow.IsZero() {
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return
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}
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// the kline opened below the last break low, and closed above the last break low
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if k.Open.Compare(s.lastBreakLow) < 0 && k.Close.Compare(s.lastBreakLow) > 0 {
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qbtrade.Notify("kLine closed above the last break low, triggering stop earlier")
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if err := s.orderExecutor.ClosePosition(context.Background(), one, "fakeBreakStop"); err != nil {
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log.WithError(err).Error("position close error")
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}
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// reset to zero
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s.lastBreakLow = fixedpoint.Zero
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}
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}))
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}
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval1m, func(kline types.KLine) {
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if len(s.pivotLowPrices) == 0 || s.lastLow.IsZero() {
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log.Infof("currently there is no pivot low prices, can not check break low...")
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return
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}
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if s.lastLowInvalidated {
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log.Infof("the last low is invalidated, skip")
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return
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}
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previousLow := s.lastLow
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ratio := fixedpoint.One.Add(s.Ratio)
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breakPrice := previousLow.Mul(ratio)
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// StrategyController
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if s.Status != types.StrategyStatusRunning {
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return
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}
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openPrice := kline.Open
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closePrice := kline.Close
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// if the previous low is not break, or the kline is not strong enough to break it, skip
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if closePrice.Compare(breakPrice) >= 0 {
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return
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}
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// we need the price cross the break line, or we do nothing:
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// 1) open > break price > close price
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// 2) high > break price > open price and close price
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// v2
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if !((openPrice.Compare(breakPrice) > 0 && closePrice.Compare(breakPrice) < 0) ||
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(kline.High.Compare(breakPrice) > 0 && openPrice.Compare(breakPrice) < 0 && closePrice.Compare(breakPrice) < 0)) {
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return
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}
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// force direction to be down
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if closePrice.Compare(openPrice) >= 0 {
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qbtrade.Notify("%s price %f is closed higher than the open price %f, skip this break", kline.Symbol, closePrice.Float64(), openPrice.Float64())
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// skip UP klines
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return
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}
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qbtrade.Notify("%s breakLow signal detected, closed price %f < breakPrice %f", kline.Symbol, closePrice.Float64(), breakPrice.Float64(), kline)
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if s.lastBreakLow.IsZero() || previousLow.Compare(s.lastBreakLow) < 0 {
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s.lastBreakLow = previousLow
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}
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if position.IsOpened(kline.Close) {
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qbtrade.Notify("%s position is already opened, skip", s.Symbol)
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return
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}
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// trend EMA protection
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if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
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qbtrade.Notify("trendEMA protection: %s close price %f, gradient %f", s.Symbol, kline.Close.Float64(), s.TrendEMA.Gradient())
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return
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}
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// stop EMA protection
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if s.StopEMA != nil {
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if !s.StopEMA.Allowed(closePrice) {
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return
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}
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}
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ctx := context.Background()
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// graceful cancel all active orders
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_ = orderExecutor.GracefulCancel(ctx)
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qbtrade.Notify("%s price %f breaks the previous low %f with ratio %f, opening short position", symbol, kline.Close.Float64(), previousLow.Float64(), s.Ratio.Float64())
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opts := s.OpenPositionOptions
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opts.Short = true
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opts.Price = closePrice
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opts.Tags = []string{"breakLowMarket"}
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if opts.LimitOrder && !s.BounceRatio.IsZero() {
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opts.Price = previousLow.Mul(fixedpoint.One.Add(s.BounceRatio))
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}
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if _, err := s.orderExecutor.OpenPosition(ctx, opts); err != nil {
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log.WithError(err).Errorf("failed to open short position")
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}
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}))
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}
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func (s *BreakLow) pilotQuantityCalculation() {
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if s.lastLow.IsZero() {
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return
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}
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log.Infof("pilot calculation for max position: last low = %f, quantity = %f, leverage = %f",
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s.lastLow.Float64(),
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s.Quantity.Float64(),
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s.Leverage.Float64())
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quantity, err := qbtrade.CalculateBaseQuantity(s.session, s.Market, s.lastLow, s.Quantity, s.Leverage)
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if err != nil {
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log.WithError(err).Errorf("quantity calculation error")
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}
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if quantity.IsZero() {
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log.WithError(err).Errorf("quantity is zero, can not submit order")
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return
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}
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qbtrade.Notify("%s %f quantity will be used for shorting", s.Symbol, quantity.Float64())
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}
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func (s *BreakLow) updatePivotLow() bool {
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low := fixedpoint.NewFromFloat(s.pivotLow.Last(0))
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if low.IsZero() {
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return false
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}
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// if the last low is different
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lastLowChanged := low.Compare(s.lastLow) != 0
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if lastLowChanged {
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s.lastLow = low
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s.lastLowInvalidated = false
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s.pivotLowPrices = append(s.pivotLowPrices, low)
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}
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fastLow := fixedpoint.NewFromFloat(s.fastPivotLow.Last(0))
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if !fastLow.IsZero() {
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if fastLow.Compare(s.lastLow) < 0 {
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s.lastLowInvalidated = true
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lastLowChanged = false
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}
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s.lastFastLow = fastLow
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}
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return lastLowChanged
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}
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