From 37cf070bef007a6b732ce74dbb11cd07208aa368 Mon Sep 17 00:00:00 2001
From: lychiyu <lychiyu@gmail.com>
Date: Sun, 4 Aug 2024 23:49:16 +0800
Subject: [PATCH] add pause trade

---
 config/ccinr.yaml                 |  56 +++++++++++++++++-------
 otp.png                           | Bin 3113 -> 2941 bytes
 pkg/notifier/larknotifier/lark.go |   3 +-
 pkg/strategy/ccinr/strategy.go    |  69 ++++++++++++++++++++++++++++--
 4 files changed, 107 insertions(+), 21 deletions(-)

diff --git a/config/ccinr.yaml b/config/ccinr.yaml
index cc3183e..845e97a 100644
--- a/config/ccinr.yaml
+++ b/config/ccinr.yaml
@@ -7,13 +7,13 @@
 #    db: 0
 
 sessions:
-  binance_futures:
+  binance:
     exchange: binance
     envVarPrefix: BINANCE
     futures: true
 
 exchangeStrategies:
-  - on: binance_futures
+  - on: binance
     ccinr:
       symbols:
         - ARUSDT
@@ -24,22 +24,22 @@ exchangeStrategies:
         - DYDXUSDT
         - XRPUSDT
         - PEOPLEUSDT
-#        - STXUSDT
-#        - WLDUSDT
-#        - FILUSDT
-#        - DOGEUSDT
-#        - MKRUSDT
-#        - NOTUSDT
-#        - ENSUSDT
-#        - BNBUSDT
-#        - BTCUSDT
-#        - ETHUSDT
-#        - SOLUSDT
+      #        - STXUSDT
+      #        - WLDUSDT
+      #        - FILUSDT
+      #        - DOGEUSDT
+      #        - MKRUSDT
+      #        - NOTUSDT
+      #        - ENSUSDT
+      #        - BNBUSDT
+      #        - BTCUSDT
+      #        - ETHUSDT
+      #        - SOLUSDT
 
       interval: 1m
       nrInterval: 1m
       cciInterval: 5m
-      atrInterval: 1h
+      atrInterval: 2h
       nrCount: 4
       cciWindow: 20
       atrWindow: 14
@@ -55,9 +55,33 @@ exchangeStrategies:
       placePriceType: 2
       lossType: 1
       profitOrderType: 0
-      atrProfitRange: 0.8
+      atrProfitRange: 0.5
       atrLossRange: 1.0
+      tradeStartHour: 0
+      tradeEndHour: 8
+      pauseTradeLoss: 10.0
 #      recalculate: false
 #      dry_run: false
 #      #      quantity: 3
-#      strict_mode: true
\ No newline at end of file
+#      strict_mode: true
+
+backtest:
+  startTime: "2023-10-15"
+  endTime: "2024-08-02"
+  symbols:
+    - ARUSDT
+    - ORDIUSDT
+    - OPUSDT
+    - OMUSDT
+    - WIFUSDT
+    - DYDXUSDT
+    - XRPUSDT
+    - PEOPLEUSDT
+  sessions: [ binance ]
+  syncSecKLines: true
+  accounts:
+    binance:
+      takerFeeRate: 0.0002
+      makerFeeRate: 0.0005
+      balances:
+        USDT: 200
\ No newline at end of file
diff --git a/otp.png b/otp.png
index 54c6e89e3eda6830fb7e7b9ccc2779fc8745bc99..95829548e2d637dc48dd2f3c732d9a0a2a7e352f 100644
GIT binary patch
literal 2941
zcmai0e^8V68Gi-6mIy^J&1T^!-QfT)R}ZU*G=XSwP&-SsDP)t0MAp)yj-Qej2}w)^
zGB>2IZq=KR-0IC-yh&nH0{9Z%07F`wL}oey$@@kaKPpMyHxR>%zJ%;$f6d+H&E4nT
zd;fXf_xV1bAJ6yVvHZLkMjQhGfS4oi9{vCTBB<90U>o%W6c>aa0l?P7M-CtQu)f{x
z7^sNP{L#VjC37%%Kg*u`Vb=Dc<bYc;_SUiY{`y7Z!0-^c=F$a$<H5jUJkZ|;9K7}-
zYzw-ecWEg-V_8Bnx3blqXNXFtuPN))%bEkAy;}}5`%oPdXo?CAQ)>k8dYU+Mph+|l
zz)ueXu2Ic_^vyERTR-o-9Hustv35pYe-^vx47kRSDrm;q5omoABKx0Lej5c0ZVnA&
zu3}-znF+o1RWJOAfMOslcAvca(34)!I6_}3`ythf3_MWpK}omuio?lRyP|%cl@Dx7
z4h>^EgA1lCj&^j!y^bUnAi-BPxnlg4WmM`pc}f~fU%WD(>b2Oq-Uc5&#Q;|m8Td{o
z-R}!`z~Wp5-0<@!aOp?x<+5l;=K+5L?!=p_Ck0OX(J((;a@l6qZ(0Q_8G2P5E;R=K
zk<9f=!Hfl2_o?stO=Mlf`Ls<Tp}%_D%r49=z$+#ZcyA6Iv@|K~0)Ajp>%#2N-W1?v
zW@t!W+tSbZS3~*c6>OWQY0tQzbkZWc1`*=9%%eL_IAP2HIv>yzlr2kmjhoJWTXe8~
zFl}DDXIu&rPf+ASBiILG*`E|C6!7-Y4cOzhWT)?6b6b1dO^BX(uU*}7*AOMSnG#)s
z+a+IwncOoM&yk>zib28R@6>l#s~Cm^K#u?SC(d=Vm_|N)pT2d}!RR|Z_{s#nzltMr
zE$`CEVoBUs(+pvkk~o|G-+uq=M%(>VFR#yiJ!Sz-_(WCJ-0K`3&Ei5Flr!CJ2v*=V
z^pt&Cq!2og=>~$So@$|NRN_XY4?%+AtgCd`>3hxw*L~XUHt5DJQYT$OT5hF8@8a1L
zTeJK-@nYidSqJF*&X{6wMX7bzZhKj6UI~HN+o6W$GR-{+(fN2YAc_c$%8D&$Vu6XX
zFB3fPpLAG^!3XNQg9gC_0uO3`QbqC1+Zo!DD_^r#ZSgTSlstodJkguXRjT`>4b8_(
z9>>z9)tN0SeXV%d7od#Mp*Im2<l#9tsMQ_tHxedNQbj-LtH&R+z!AQ%6XJbv7rrl+
z|C+Gwz_bg{as_)HogA&>2V?{qM&VR=5ieCx-<ZLwFztk@rhLSw<#R>XRx#tW1fLHx
zx3&mf^f`1RE~)Y+(F|k(hqWG)hSK``JEo1S9jiGsV^0jO|1hf^c+ea97c#lkoo{O)
z-B{scfpd60tG(y5Fp1q7p`L1&P*G-0oijw`d;`MWy@Y-SHG39WE0c`qwJ%>>F)wI*
zVWL0K<S~(ve`B`DgvA`u&gWJik|8?Q5M&r5BH^FX&^>&^Oy;O87cR3Sza(`?;_|Pm
z!8{DC1$!FjuB-LGB>zO;`N?=H7j{GNuDVWUQHk&rR8wZ@w}aK-hz~Ih>e_)fj)sQ&
z-=;%@kff3yQ;KfHLwVW?23D63c@Rmxm@s(kWI-5vD{h-X;!$T0G~}PuR?iBG#Qd0h
z`8GCpdJHR`_IHKJrLS4_gR-fp92J@DHg!PkRqO6~sOT%07dDO8l~+$DjCG`qWr~hI
z#m;*jOQ;kad6W`8#4}JziKp2E7NS@Tej}di(&QFU%GxFqm&Yz^+3j(8#l6ZhHf&(+
z1>?h<`}z$tQ{0npd!w;D3Gat;M!}a#ahVU4yDXTeUQBPc&rc~M`Ik;+L!1+m@^5|C
zcb_<pe_sZ6Ck1CWO-tlI4nH(`yANX(-pj<>Ze?@QXU~<hy^e8jRQ#XuiaZqVylpl+
zU#7j=$h$iXwRxZ7ZCw<1e8Ot>ApAQs);ggrjMk|<H$bJW>?FOWMMgM(GmP-77wugC
z*%hT3uehk9I1Hm$(|>PACDqt(mmCT^3slw$G11&J6j|bm_N}2GpQh)YT7)W>_40y4
zdY4SnTMAoh2@uERmFx+VB$kZ@o`;dVvMqwg>DsemJ@3^b5L@_*4Zl(Dwd8xAX5G0m
zMZZ<3h~r-}W6mM%?JkYOqzwGwpMnb`8Y7{KySTm%C(!pUseN@7EBu}X5>NAcl!BsG
zB4a$8<3B4~etk9|(Nns8lSa3nM@imS=%z!ZXmBe41cQHkh%)yQ@4UBhuRij#{KK8^
HlzjFd+`oH$

literal 3113
zcmai1eM}R18Xlm@S~ucHms|pf-s#cY^-Oh@<4a@}jmH6l5hJeUL+UBp6lhWU#S}zc
z@3y+sbsOYETCzE%YmN`S!j>`}idYnIg$Q1O(xGex71~bukPcAVUj2VNn>?A!KW~2T
zJiq6C-e)8yz~h@XhHeA^U{mtnj-CX7K;LU1u*LTTu3pc)005uPCm%h0N?3104;P)+
zgnaQT=DnMv+248sK>s0YbHqNqcAx%m`c|S)xNddmyg^6ZxHAmEwgMX{e&AxS59Q`6
z&3*aszpC;RCnUe0Ma@g^6K=OWUhKG2#s0QQj3+KEDfW5_Fkok@AK0Gmp6av8ieY8T
z=^Ty|HYP0anTt04eRP1A-vBRmgmB#3H9-}71AZNkIH`fs`kK284JO$xqGeo6Eaptw
ztj%L?xk5-+w>)-=(10&$fM3U$W%ra7OFQ!tnUo|5RQ&XvEw;ai-ACV3Aon2m6Cf|p
z4|HE`<6cmreUfZ0JzHSF62#O-Pmw)G+z{`FE+37IdXkv+_c_C)8kIpXH8j1xM|%mS
zn9WTT<)+&vSNtV{6U{XwaakrhKtcy1G^o-u7`GtGY=NxByVO43G<XLAN1J68bo<)9
zcBr$^Sxjx5<HPM#t|7&{gEr|UJT&*smk-eR*Qd3KY0F-I!>RS*2o1%ts#kQ6TU&%)
z$J6b=*JMA~qX^c19`ch*LyhddXnujQG-&)fn5sp(S~+S)#uc_#N2m+1`<JBXbO<@1
z5m*r$-vVi(+_BaN5BnMBCw(iOzfnt}!h?qdhLn->v~o+EsfcEN(u`cEnO{hBxAzHv
zEs=iUtdv)b&_(Aqo5@u0-wBVe7xhZYg!HmcVC5M>`iebqcAVgw-Jiw>Wac=UWf|U8
zUV5swc`Tte)@5RhG^iUtfZFPIa}|L;Tzknv<{E2e`C@A^^GM;$^f&`rx+srf;mfn#
z)rTAd4$->DM4)EfBg(wq(|(8H5cNt}ZIle@F1p+!wvsHbqWIp13G#;ZB!7zjogh%E
zfFY(;UB3n~7Yk+(Q{8>>>}69a7D~id-ZriQlc>>*D^w>*F@`$VlHpxcFsX|-_W@(u
zJlQWV6R0|ONhP2*P8HeTLS?OHjI65$lN3BlbejulI*9-Ljz>^?D?UKLh&?96dB=<7
zLKymU@w7fzhmI7|)2>V!$uXaMvxpk^UGxOK?3`f2#^cy8-$S15QAfT3vv5Oy564YN
zb2LA&tEAM{{3q2NipvWA%x)1&Lty0$nDs`F4N!D60q~t)edST726EbsAYA2`GF;B|
zk(^b`d^cGHE17l@$+MF{mnzUEj91YMF%3+`2U9EDOYHT#Ll9H_OA|DrA{vM=S%n(>
z(JlFCJ20r7#AG))@;Wi|$R&fM|9KQqsn4G!NV#e>ArF6-U3&szaVBs2CJ>WVWNHue
z#=Q*&dPsiI^=yBVns1hKnLTrQ9AEQ3#~yYv;BZda5S$(sp;HjgLX7zR+gT+A!pbf8
z(dG>H@tnl$RYP!p2$jFJjzo&w;Kz8%&Tr$cd<c^9>Gt^vx2b9rj+zlN=@x9HE{$7m
zA!yhW>Rpl`9966O5_)G;>EXjs%h9e5R96{7mw%;Q>=6A1Q+>?|g|IS+V=oHJ7R(^p
zw#}UB<+5+7{4m8Mr(l}k=&pU_7&iW}T{T)GZ)4Qf8<AUFgH@K_n(lsSL?-6-E&8p>
zpdbnn*L3+=*Kn|I{GHSkcWmWBGK`KQQJZ4_>+%Zl4@!AO_YQy6hf)K<M0fXRrY450
zKy6c8gJ#=I)#Y@WZUG%ay$IoQQ3g2_N6yxE#ucL>YEX+J(Hvazf*KLMI9xJEW;cuy
z7-m@wDXaGTxCIksL_lp>SUY7&Q97jB1N(&RKa^Aw>4O_LFQJ^vw;$s143d#TPMXnu
z*Da-s+^TV(%^mg|H^A;MeG7@Nt43SZ(8+}d@*6Pqbx~TTVnugwfpM=4J4j?2zUiI+
zp_;En%8l0MeieiA%`UqAyKqg^A3GOK`*jdO?N1#P?uCuBdU87rOpV1n;q)}jtskjM
zU;pQ1+{_peNn^gfaFgxqR6DJern-X=tF!=bGc{++qWFP<SGM>`9Ii(cF5WiUL>WbR
zCv7RzfT7UrH-_YH8s$1YO(r$fX?^a>^0yCmL<Zy<|Kl9)?@@PEqZw>iId?ijz&6h7
zOQs|aQQ^r~L><?V!ebw|a`3PJmjW3<Ti-pN1sYFa;lm|U16HJ$sI)S_DyOcqlgG67
z4M^3#99duU*Lno&OQDEpqaDi$LuXgRePfvB?}o$T19AoI(gO9UZ;Ng$!u2x)(kG0;
z`ZIQd@hg9|dn!da)73@g;$W{Yk~PaKR72Zii@#qqa$XX&y9W%MH2%P6Cz=Lcn>m_i
zDW@A(a}sZeZj4;LO7_R?$1KNMW8wM<ESn2AKo&PrQaNtz@|4mBQ+IX}B)Qgx4s!4q
jQS9=?F*h9myx!8gIZ=7vG(7+K50HEeJlb;P+_nD$@D0BL

diff --git a/pkg/notifier/larknotifier/lark.go b/pkg/notifier/larknotifier/lark.go
index 64f0e6b..2cf113d 100644
--- a/pkg/notifier/larknotifier/lark.go
+++ b/pkg/notifier/larknotifier/lark.go
@@ -174,7 +174,8 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
 		message = fmt.Sprintf(a, args...)
 
 	default:
-		log.Errorf("unsupported notification format: %T %+v", a, a)
+		//log.Errorf("unsupported notification format: %T %+v", a, a)
+		return
 	}
 
 	select {
diff --git a/pkg/strategy/ccinr/strategy.go b/pkg/strategy/ccinr/strategy.go
index 9e31b41..13c413a 100644
--- a/pkg/strategy/ccinr/strategy.go
+++ b/pkg/strategy/ccinr/strategy.go
@@ -13,6 +13,7 @@ import (
 	"strconv"
 	"strings"
 	"sync"
+	"time"
 )
 
 const ID = "ccinr"
@@ -49,6 +50,9 @@ type Strategy struct {
 	LossRange       fixedpoint.Value `json:"lossRange"`
 	AtrProfitRange  float64          `json:"atrProfitRange"`
 	AtrLossRange    float64          `json:"atrLossRange"`
+	TradeStartHour  int              `json:"tradeStartHour"`
+	TradeEndHour    int              `json:"tradeEndHour"`
+	PauseTradeLoss  fixedpoint.Value `json:"pauseTradeLoss"`
 
 	qbtrade.QuantityOrAmount
 
@@ -89,6 +93,10 @@ type Strategy struct {
 	TotalOrderCount  int
 	TotalProfitCount int
 	TotalLossCount   int
+	// 累计暂停交易的次数
+	PauseTradeCount fixedpoint.Value
+	// 最近一次暂停交易的时间
+	PauseTradeTime time.Time
 }
 
 func (s *Strategy) ID() string {
@@ -101,7 +109,10 @@ func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
 		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{})
+
+		if !qbtrade.IsBackTesting {
+			session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
+		}
 	}
 }
 
@@ -114,7 +125,7 @@ func (s *Strategy) Initialize() error {
 }
 
 func (s *Strategy) InstanceID() string {
-	return fmt.Sprintf("%s:%s:%s", ID, strings.Join(s.Symbols, "-"), s.Interval)
+	return fmt.Sprintf("%s:%s", ID, s.Interval)
 }
 
 func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
@@ -206,10 +217,17 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 
 	// 止盈订单类型
 	profitOrderType := types.OrderTypeTakeProfitMarket
+	// 止损订单类型
+	lossOrderType := types.OrderTypeStopMarket
 	if s.ProfitOrderType == 1 {
 		profitOrderType = types.OrderTypeStopMarket
 	}
 
+	if qbtrade.IsBackTesting {
+		profitOrderType = types.OrderTypeStopLimit
+		lossOrderType = types.OrderTypeStopLimit
+	}
+
 	// 计算止损止盈价格，以ATR为基准或者固定百分比
 	lossPrice := fixedpoint.Zero
 	profitPrice := fixedpoint.Zero
@@ -267,7 +285,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	s.ShortLossOrder[symbol] = types.SubmitOrder{
 		Symbol:        symbol,
 		Side:          types.SideTypeBuy,
-		Type:          types.OrderTypeStopMarket,
+		Type:          lossOrderType,
 		PositionSide:  types.PositionSideTypeShort,
 		StopPrice:     lossPrice,
 		TimeInForce:   types.TimeInForceGTC,
@@ -300,7 +318,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
 	s.LongLossOrder[symbol] = types.SubmitOrder{
 		Symbol:        symbol,
 		Side:          types.SideTypeSell,
-		Type:          types.OrderTypeStopMarket,
+		Type:          lossOrderType,
 		PositionSide:  types.PositionSideTypeLong,
 		StopPrice:     lossPrice,
 		TimeInForce:   types.TimeInForceGTC,
@@ -394,6 +412,38 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
 	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))
 }
+
+// isTradeTime 是否交易时间
+func (s *Strategy) isTradeTime(ctx context.Context) bool {
+	// 如果时间一致则表示不限制交易时间
+	if s.TradeEndHour == s.TradeStartHour {
+		return true
+	}
+	location, err := time.LoadLocation("Asia/Shanghai")
+	if err != nil {
+		return false
+	}
+	now := time.Now().In(location)
+
+	hour := now.Hour()
+	return hour >= s.TradeStartHour && hour < s.TradeEndHour
+}
+
+func (s *Strategy) isPauseTrade(ctx context.Context) bool {
+	// 被暂停次数不为0，且最近一次的暂停时间和今天一致，则表示暂停
+	if s.PauseTradeCount != 0 && s.PauseTradeTime.Day() == time.Now().Day() {
+		return true
+	}
+	// 总收益大于(暂停次数+1)*暂停亏损，则表示暂停
+	if s.TotalProfit > s.PauseTradeLoss.Mul(s.PauseTradeCount.Add(fixedpoint.One)) {
+		s.PauseTradeCount.Add(fixedpoint.One)
+		s.PauseTradeTime = time.Now()
+		return true
+	}
+
+	return false
+}
+
 func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
 
 	s.ExchangeSession = session
@@ -427,6 +477,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 	s.TotalOrderCount = 0
 	s.TotalProfitCount = 0
 	s.TotalLossCount = 0
+	s.PauseTradeCount = fixedpoint.Zero
+	s.PauseTradeTime = time.Now().Add(-24 * time.Hour)
 
 	for _, symbol := range s.Symbols {
 		s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
@@ -481,6 +533,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 			if s.Traded[sym] {
 				return
 			}
+
+			if !s.isTradeTime(ctx) || !s.isPauseTrade(ctx) {
+				pauseMsg  := fmt.Sprintf("暂停交易：总收益：%v, 暂停次数：%v, 暂停时间：%v; 暂停时间段：[%v, %v)",
+					s.TotalProfit.Float64(), s.PauseTradeCount.Float64(), s.PauseTradeTime, s.TradeStartHour,
+					s.TradeEndHour)
+				qbtrade.Notify(pauseMsg)
+				return
+			}
+
 			cciV := s.cci[sym].Last(0)
 			if cciV <= s.LongCCI.Float64() {
 				s.TradeType[sym] = "long"