mid price

.gitignore

@@ -2,3 +2,5 @@
 .vscode
 *.log
 *.exe
+qbtrade.yaml
+*.png

pkg/strategy/ccinr/strategy.go

@@ -53,6 +53,7 @@ type Strategy struct {
 	Traded     map[string]bool
 	TradeType  map[string]string
 	TradeKLine map[string]types.KLine
+	TradeRetry map[string]int
 
 	// orders
 	LongOrder        map[string]types.SubmitOrder
@@ -115,6 +116,7 @@ func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
 
 	s.Traded[symbol] = false
 	s.TradeType[symbol] = ""
+	s.TradeRetry[symbol] = 0
 }
 
 func (s *Strategy) placeOrders(ctx context.Context, kline types.KLine) {
@@ -147,10 +149,11 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	log.Infof(fmt.Sprintf("place order keline info: symbol %s, high %v, low %v, open %v, close %v", symbol,
 		kline.High.Float64(), kline.Low.Float64(), kline.Open.Float64(), kline.Close.Float64()))
 	placePrice := fixedpoint.Value(0)
+	midPrice := (kline.High.Add(kline.Low)).Div(2)
 	if s.TradeType[symbol] == "long" {
-		placePrice = kline.Low
+		placePrice = midPrice
 	} else if s.TradeType[symbol] == "short" {
-		placePrice = kline.High
+		placePrice = midPrice
 	} else {
 		return orders, nil
 	}
@@ -306,6 +309,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 	s.Traded = make(map[string]bool)
 	s.TradeType = make(map[string]string)
 	s.TradeKLine = make(map[string]types.KLine)
+	s.TradeRetry = make(map[string]int)
 
 	s.ShortOrder = make(map[string]types.SubmitOrder)
 	s.ShortProfitOrder = make(map[string]types.SubmitOrder)
@@ -345,6 +349,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 	for _, symbol := range s.Symbols {
 		s.nr[symbol] = session.Indicators(symbol).NR(s.Interval, s.NrCount, s.StrictMode)
 		s.cci[symbol] = session.Indicators(symbol).CCI(s.Interval, s.CCIWindow)
+		s.TradeRetry[symbol] = 0
 	}
 
 	session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
@@ -355,10 +360,14 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 
 			if !s.Traded[symbol] {
 				// 如若在下一根k线未成交 则取消订单
-				if s.TradeType[symbol] != "" {
+				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))
 					s.cancelOrders(ctx, symbol)
 				}
+
+				if s.TradeType[symbol] != "" && s.TradeRetry[symbol] <= 1 {
+					s.TradeRetry[symbol] = s.TradeRetry[symbol] + 1
+				}
 			}
 			s.TradeKLine[symbol] = k
 		}
@@ -402,6 +411,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 				log.Infof("the long order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
 					order, order.OrderID, orderSymbol, order.Type, order.Status)
 				s.Traded[orderSymbol] = true
+				s.TradeRetry[orderSymbol] = 0
 				qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
 					order.Price, order.Quantity)
 			}
@@ -409,6 +419,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 				log.Infof("the short order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
 					order, order.OrderID, orderSymbol, order.Type, order.Status)
 				s.Traded[orderSymbol] = true
+				s.TradeRetry[orderSymbol] = 0
 				qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
 					order.Price, order.Quantity)
 			}
@@ -418,6 +429,7 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 					"status is %s", order, order.OrderID, orderSymbol, order.Type, order.Status)
 				qbtrade.Notify("订单止盈或止损通知：\n %s", order.Symbol)
 				s.Traded[orderSymbol] = false
+				s.TradeRetry[orderSymbol] = 0
 				s.TradeType[orderSymbol] = ""
 			} else {
 				log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",