atr计算止盈止损价格

config/ccinr.yaml

@@ -17,14 +17,14 @@ exchangeStrategies:
     ccinr:
       symbols:
         - ARUSDT
-#        - BNBUSDT
-#        - BTCUSDT
-#        - ETHUSDT
         - ORDIUSDT
         - OPUSDT
         - OMUSDT
-#        - SOLUSDT
         - WIFUSDT
+#        - BNBUSDT
+#        - BTCUSDT
+#        - ETHUSDT
+#        - SOLUSDT
 #        - DYDXUSDT
 #        - XRPUSDT
 #        - PEOPLEUSDT
@@ -36,18 +36,23 @@ exchangeStrategies:
 #        - NOTUSDT
 #        - ENSUSDT
       interval: 1m
+      nrInterval: 5m
+      cciInterval: 15m
+      atrInterval: 1h
+      nrCount: 4
+      cciWindow: 20
+      atrWindow: 14
       symbol: ARUSDT
       dryRun: false
-      nrCount: 4
       strictMode: true
-      cciWindow: 20
+      longCCI: -180.0
-      longCCI: -150.0
+      shortCCI: 180.0
-      shortCCI: 150.0
       leverage: 5.0
-      profitRange: 0.4%
+      profitRange: 5%
       lossRange: 1%
       amount: 20
-      placePriceType: 0
+      placePriceType: 2
+      lossType: 1
 #      recalculate: false
 #      dry_run: false
 #      #      quantity: 3

pkg/strategy/ccinr/strategy.go

@@ -30,11 +30,16 @@ type Strategy struct {
 
 	Symbols        []string         `json:"symbols"`
 	Interval       types.Interval   `json:"interval"`
+	NRInterval     types.Interval   `json:"nrInterval"`
+	CCIInterval    types.Interval   `json:"cciInterval"`
+	ATRInterval    types.Interval   `json:"atrInterval"`
 	NrCount        int              `json:"nrCount"`
 	StrictMode     bool             `json:"strictMode"`
 	PlacePriceType int              `json:"placePriceType"`
+	LossType       int              `json:"lossType"`
 	DryRun         bool             `json:"dryRun"`
 	CCIWindow      int              `json:"cciWindow"`
+	ATRWindow      int              `json:"atrWindow"`
 	LongCCI        fixedpoint.Value `json:"longCCI"`
 	ShortCCI       fixedpoint.Value `json:"shortCCI"`
 	Leverage       fixedpoint.Value `json:"leverage"`
@@ -73,10 +78,13 @@ type Strategy struct {
 
 	nr  map[string]*indicatorv2.NRStrean
 	cci map[string]*indicatorv2.CCIStream
+	atr map[string]*indicatorv2.ATRStream
 
 	TotalProfit      fixedpoint.Value
 	TotalFree        fixedpoint.Value
 	TotalOrderCount  int
+	TotalProfitCount int
+	TotalLossCount   int
 }
 
 func (s *Strategy) ID() string {
@@ -86,6 +94,9 @@ func (s *Strategy) ID() string {
 func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
 	for _, symbol := range s.Symbols {
 		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
+		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.CCIInterval})
+		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.ATRInterval})
+		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.NRInterval})
 		session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
 	}
 }
@@ -189,10 +200,32 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	// 获取下单价格
 	placePrice := s.getPlacePrice(ctx, kline)
 
+	// 计算止损止盈价格，以ATR为基准或者固定百分比
+	lossPrice := fixedpoint.Value(0)
+	profitPrice := fixedpoint.Value(0)
+	lastATR := s.atr[symbol].Last(0)
+	if s.TradeType[symbol] == "long" {
+		if s.LossType == 0 {
+			lossPrice = placePrice.Sub(placePrice.Mul(s.LossRange))
+			profitPrice = placePrice.Add(placePrice.Mul(s.ProfitRange))
+		} else if s.LossType == 1 {
+			lossPrice = placePrice.Sub(fixedpoint.Value(lastATR))
+			profitPrice = placePrice.Add(fixedpoint.Value(lastATR * 2))
+		}
+	} else if s.TradeType[symbol] == "short" {
+		if s.LossType == 0 {
+			lossPrice = placePrice.Add(placePrice.Mul(s.LossRange))
+			profitPrice = placePrice.Sub(placePrice.Mul(s.ProfitRange))
+		} else if s.LossType == 1 {
+			lossPrice = placePrice.Add(fixedpoint.Value(lastATR))
+			profitPrice = placePrice.Sub(fixedpoint.Value(lastATR * 2))
+		}
+	}
+
 	// 下单数量
 	placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
-	log.Infof(fmt.Sprintf("will place order, price %v, quantity %v", placePrice.Float64(),
+	log.Infof(fmt.Sprintf("will place order, price %v, quantity %v, lossprice %v, profitprice: %v",
-		placeQuantity.Float64()))
+		placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64()))
 
 	s.ShortOrder[symbol] = types.SubmitOrder{
 		Symbol:       symbol,
@@ -208,9 +241,9 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	s.ShortProfitOrder[symbol] = types.SubmitOrder{
 		Symbol:        symbol,
 		Side:          types.SideTypeBuy,
-		Type:          types.OrderTypeTakeProfitMarket,
+		Type:          types.OrderTypeStopMarket,
 		PositionSide:  types.PositionSideTypeShort,
-		StopPrice:     placePrice.Sub(placePrice.Mul(s.ProfitRange)),
+		StopPrice:     profitPrice,
 		TimeInForce:   types.TimeInForceGTC,
 		Market:        s.Market,
 		ClosePosition: true,
@@ -221,7 +254,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 		Side:          types.SideTypeBuy,
 		Type:          types.OrderTypeStopMarket,
 		PositionSide:  types.PositionSideTypeShort,
-		StopPrice:     placePrice.Add(placePrice.Mul(s.LossRange)),
+		StopPrice:     lossPrice,
 		TimeInForce:   types.TimeInForceGTC,
 		Market:        s.Market,
 		ClosePosition: true,
@@ -241,9 +274,9 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	s.LongProfitOrder[symbol] = types.SubmitOrder{
 		Symbol:        symbol,
 		Side:          types.SideTypeSell,
-		Type:          types.OrderTypeTakeProfitMarket,
+		Type:          types.OrderTypeStopMarket,
 		PositionSide:  types.PositionSideTypeLong,
-		StopPrice:     placePrice.Add(placePrice.Mul(s.ProfitRange)),
+		StopPrice:     profitPrice,
 		TimeInForce:   types.TimeInForceGTC,
 		Market:        s.Market,
 		ClosePosition: true,
@@ -254,7 +287,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 		Side:          types.SideTypeSell,
 		Type:          types.OrderTypeStopMarket,
 		PositionSide:  types.PositionSideTypeLong,
-		StopPrice:     placePrice.Sub(placePrice.Mul(s.LossRange)),
+		StopPrice:     lossPrice,
 		TimeInForce:   types.TimeInForceGTC,
 		Market:        s.Market,
 		ClosePosition: true,
@@ -325,6 +358,11 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
 	s.TotalProfit = s.TotalProfit.Add(profit)
 	s.TotalFree = s.TotalFree.Add(free)
 	s.TotalOrderCount += 1
+	if profit > fixedpoint.Value(0) {
+		s.TotalProfitCount += 1
+	} else {
+		s.TotalLossCount += 1
+	}
 
 	log.Infof(msg)
 	qbtrade.Notify(msg)
@@ -338,7 +376,8 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
 	// 记得取消订单
 	s.cancelOrders(ctx, symbol)
 
-	qbtrade.Notify(fmt.Sprintf("总开仓：%v, 总收益：%v, 总手续费：%v", s.TotalOrderCount, s.TotalProfit.Float64(), s.TotalFree.Float64()))
+	qbtrade.Notify(fmt.Sprintf("总交易次数：%v, 总收益：%v, 总手续费：%v, 盈利次数：%v, 亏损次数：%v",
+		s.TotalOrderCount, s.TotalProfit.Float64(), s.TotalFree.Float64(), s.TotalProfitCount, s.TotalLossCount))
 }
 func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
 
@@ -366,10 +405,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 
 	s.nr = make(map[string]*indicatorv2.NRStrean)
 	s.cci = make(map[string]*indicatorv2.CCIStream)
+	s.atr = make(map[string]*indicatorv2.ATRStream)
 
 	s.TotalProfit = fixedpoint.Value(0)
 	s.TotalFree = fixedpoint.Value(0)
 	s.TotalOrderCount = 0
+	s.TotalProfitCount = 0
+	s.TotalLossCount = 0
 
 	for _, symbol := range s.Symbols {
 		s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
@@ -392,18 +434,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 	qbtrade.Notify("CCINR策略开始执行...")
 
 	for _, symbol := range s.Symbols {
-		s.nr[symbol] = session.Indicators(symbol).NR(s.Interval, s.NrCount, s.StrictMode)
+		s.nr[symbol] = session.Indicators(symbol).NR(s.NRInterval, s.NrCount, s.StrictMode)
-		s.cci[symbol] = session.Indicators(symbol).CCI(s.Interval, s.CCIWindow)
+		s.cci[symbol] = session.Indicators(symbol).CCI(s.CCIInterval, s.CCIWindow)
+		s.atr[symbol] = session.Indicators(symbol).ATR(s.ATRInterval, s.ATRWindow)
 		s.TradeRetry[symbol] = 0
 	}
 
 	session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
 		for _, symbol := range s.Symbols {
-			if k.Symbol != symbol || k.Interval != s.Interval {
+			if k.Symbol != symbol {
 				continue
 			}
 
-			if !s.Traded[symbol] {
+			if !s.Traded[symbol] && k.Interval == s.NRInterval {
 				// 如若在下一根k线未成交 则取消订单
 				if s.TradeType[symbol] != "" && s.TradeRetry[symbol] > 1 {
 					qbtrade.Notify(fmt.Sprintf("交易信号未成交，取消订单: %s", symbol))
@@ -431,9 +474,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 			} else {
 				return
 			}
-			msg := fmt.Sprintf("交易信号：币种：%s, 方向 %s, 时间: %s, 最高价：%f，最低价:%f, CCI: %v",
+			msg := fmt.Sprintf("交易信号：币种：%s, 方向 %s, 时间: %s, 最高价：%f，最低价:%f, CCI: %v, ATR: %v",
 				sym, s.TradeType[sym], s.nr[sym].NrKLine.GetStartTime(), s.nr[sym].NrKLine.High.Float64(),
-				s.nr[sym].NrKLine.Low.Float64(), cciV)
+				s.nr[sym].NrKLine.Low.Float64(), cciV, s.atr[sym].Last(0))
 			qbtrade.Notify(msg)
 			tk := s.nr[sym].NrKLine
 			s.placeOrders(ctx, tk)
@@ -479,6 +522,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 				log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
 					order, order.OrderID, orderSymbol, order.Type, order.Status)
 			}
+		} else if order.Status == types.OrderStatusCanceled {
+			log.Infof("canceled order %+v", order)
 		}
 	})