atr计算止盈止损价格
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@ -17,14 +17,14 @@ exchangeStrategies:
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ccinr:
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symbols:
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- ARUSDT
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# - BNBUSDT
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# - BTCUSDT
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# - ETHUSDT
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- ORDIUSDT
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- OPUSDT
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- OMUSDT
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# - SOLUSDT
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- WIFUSDT
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# - BNBUSDT
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# - BTCUSDT
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# - ETHUSDT
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# - SOLUSDT
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# - DYDXUSDT
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# - XRPUSDT
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# - PEOPLEUSDT
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@ -36,18 +36,23 @@ exchangeStrategies:
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# - NOTUSDT
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# - ENSUSDT
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interval: 1m
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nrInterval: 5m
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cciInterval: 15m
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atrInterval: 1h
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nrCount: 4
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cciWindow: 20
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atrWindow: 14
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symbol: ARUSDT
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dryRun: false
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nrCount: 4
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strictMode: true
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cciWindow: 20
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longCCI: -150.0
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shortCCI: 150.0
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longCCI: -180.0
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shortCCI: 180.0
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leverage: 5.0
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profitRange: 0.4%
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profitRange: 5%
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lossRange: 1%
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amount: 20
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placePriceType: 0
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placePriceType: 2
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lossType: 1
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# recalculate: false
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# dry_run: false
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# # quantity: 3
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@ -30,11 +30,16 @@ type Strategy struct {
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Symbols []string `json:"symbols"`
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Interval types.Interval `json:"interval"`
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NRInterval types.Interval `json:"nrInterval"`
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CCIInterval types.Interval `json:"cciInterval"`
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ATRInterval types.Interval `json:"atrInterval"`
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NrCount int `json:"nrCount"`
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StrictMode bool `json:"strictMode"`
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PlacePriceType int `json:"placePriceType"`
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LossType int `json:"lossType"`
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DryRun bool `json:"dryRun"`
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CCIWindow int `json:"cciWindow"`
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ATRWindow int `json:"atrWindow"`
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LongCCI fixedpoint.Value `json:"longCCI"`
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ShortCCI fixedpoint.Value `json:"shortCCI"`
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Leverage fixedpoint.Value `json:"leverage"`
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@ -73,10 +78,13 @@ type Strategy struct {
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nr map[string]*indicatorv2.NRStrean
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cci map[string]*indicatorv2.CCIStream
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atr map[string]*indicatorv2.ATRStream
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TotalProfit fixedpoint.Value
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TotalFree fixedpoint.Value
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TotalOrderCount int
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TotalProfitCount int
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TotalLossCount int
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}
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func (s *Strategy) ID() string {
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@ -86,6 +94,9 @@ func (s *Strategy) ID() string {
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func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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for _, symbol := range s.Symbols {
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.CCIInterval})
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.ATRInterval})
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.NRInterval})
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session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
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}
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}
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@ -189,10 +200,32 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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// 获取下单价格
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placePrice := s.getPlacePrice(ctx, kline)
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// 计算止损止盈价格，以ATR为基准或者固定百分比
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lossPrice := fixedpoint.Value(0)
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profitPrice := fixedpoint.Value(0)
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lastATR := s.atr[symbol].Last(0)
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if s.TradeType[symbol] == "long" {
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if s.LossType == 0 {
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lossPrice = placePrice.Sub(placePrice.Mul(s.LossRange))
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profitPrice = placePrice.Add(placePrice.Mul(s.ProfitRange))
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} else if s.LossType == 1 {
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lossPrice = placePrice.Sub(fixedpoint.Value(lastATR))
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profitPrice = placePrice.Add(fixedpoint.Value(lastATR * 2))
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}
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} else if s.TradeType[symbol] == "short" {
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if s.LossType == 0 {
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lossPrice = placePrice.Add(placePrice.Mul(s.LossRange))
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profitPrice = placePrice.Sub(placePrice.Mul(s.ProfitRange))
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} else if s.LossType == 1 {
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lossPrice = placePrice.Add(fixedpoint.Value(lastATR))
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profitPrice = placePrice.Sub(fixedpoint.Value(lastATR * 2))
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}
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}
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// 下单数量
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placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
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log.Infof(fmt.Sprintf("will place order, price %v, quantity %v", placePrice.Float64(),
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placeQuantity.Float64()))
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log.Infof(fmt.Sprintf("will place order, price %v, quantity %v, lossprice %v, profitprice: %v",
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placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64()))
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s.ShortOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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@ -208,9 +241,9 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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s.ShortProfitOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeTakeProfitMarket,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Sub(placePrice.Mul(s.ProfitRange)),
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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@ -221,7 +254,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Add(placePrice.Mul(s.LossRange)),
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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@ -241,9 +274,9 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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s.LongProfitOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeTakeProfitMarket,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Add(placePrice.Mul(s.ProfitRange)),
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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@ -254,7 +287,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Sub(placePrice.Mul(s.LossRange)),
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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@ -325,6 +358,11 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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s.TotalProfit = s.TotalProfit.Add(profit)
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s.TotalFree = s.TotalFree.Add(free)
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s.TotalOrderCount += 1
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if profit > fixedpoint.Value(0) {
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s.TotalProfitCount += 1
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} else {
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s.TotalLossCount += 1
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}
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log.Infof(msg)
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qbtrade.Notify(msg)
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@ -338,7 +376,8 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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// 记得取消订单
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s.cancelOrders(ctx, symbol)
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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()))
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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",
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s.TotalOrderCount, s.TotalProfit.Float64(), s.TotalFree.Float64(), s.TotalProfitCount, s.TotalLossCount))
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
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@ -366,10 +405,13 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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s.nr = make(map[string]*indicatorv2.NRStrean)
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s.cci = make(map[string]*indicatorv2.CCIStream)
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s.atr = make(map[string]*indicatorv2.ATRStream)
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s.TotalProfit = fixedpoint.Value(0)
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s.TotalFree = fixedpoint.Value(0)
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s.TotalOrderCount = 0
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s.TotalProfitCount = 0
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s.TotalLossCount = 0
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for _, symbol := range s.Symbols {
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s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
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@ -392,18 +434,19 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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qbtrade.Notify("CCINR策略开始执行...")
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for _, symbol := range s.Symbols {
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s.nr[symbol] = session.Indicators(symbol).NR(s.Interval, s.NrCount, s.StrictMode)
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s.cci[symbol] = session.Indicators(symbol).CCI(s.Interval, s.CCIWindow)
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s.nr[symbol] = session.Indicators(symbol).NR(s.NRInterval, s.NrCount, s.StrictMode)
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s.cci[symbol] = session.Indicators(symbol).CCI(s.CCIInterval, s.CCIWindow)
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s.atr[symbol] = session.Indicators(symbol).ATR(s.ATRInterval, s.ATRWindow)
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s.TradeRetry[symbol] = 0
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}
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session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
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for _, symbol := range s.Symbols {
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if k.Symbol != symbol || k.Interval != s.Interval {
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if k.Symbol != symbol {
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continue
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}
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if !s.Traded[symbol] {
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if !s.Traded[symbol] && k.Interval == s.NRInterval {
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// 如若在下一根k线未成交 则取消订单
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if s.TradeType[symbol] != "" && s.TradeRetry[symbol] > 1 {
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qbtrade.Notify(fmt.Sprintf("交易信号未成交，取消订单: %s", symbol))
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@ -431,9 +474,9 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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} else {
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return
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}
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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",
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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",
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sym, s.TradeType[sym], s.nr[sym].NrKLine.GetStartTime(), s.nr[sym].NrKLine.High.Float64(),
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s.nr[sym].NrKLine.Low.Float64(), cciV)
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s.nr[sym].NrKLine.Low.Float64(), cciV, s.atr[sym].Last(0))
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qbtrade.Notify(msg)
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tk := s.nr[sym].NrKLine
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s.placeOrders(ctx, tk)
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@ -479,6 +522,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
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order, order.OrderID, orderSymbol, order.Type, order.Status)
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}
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} else if order.Status == types.OrderStatusCanceled {
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log.Infof("canceled order %+v", order)
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}
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})
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