[fix] 修复文件
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13481332fe
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@ -21,13 +21,9 @@ exchangeStrategies:
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- OPUSDT
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- OMUSDT
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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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- DYDXUSDT
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- XRPUSDT
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- PEOPLEUSDT
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# - STXUSDT
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# - WLDUSDT
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# - FILUSDT
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@ -35,9 +31,14 @@ exchangeStrategies:
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# - MKRUSDT
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# - NOTUSDT
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# - ENSUSDT
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# - BNBUSDT
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# - BTCUSDT
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# - ETHUSDT
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# - SOLUSDT
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interval: 1m
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nrInterval: 5m
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cciInterval: 15m
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nrInterval: 1m
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cciInterval: 5m
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atrInterval: 1h
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nrCount: 4
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cciWindow: 20
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@ -53,6 +54,7 @@ exchangeStrategies:
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amount: 20
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placePriceType: 2
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lossType: 1
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profitOrderType: 0
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# recalculate: false
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# dry_run: false
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# # quantity: 3
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@ -10,6 +10,7 @@ import (
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"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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log "github.com/sirupsen/logrus"
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"strconv"
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"strings"
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"sync"
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)
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@ -37,6 +38,7 @@ type Strategy struct {
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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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ProfitOrderType int `json:"profitOrderType"`
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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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@ -162,7 +164,7 @@ func (s *Strategy) getPlacePrice(ctx context.Context, kline types.KLine) fixedpo
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symbol := kline.Symbol
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placePrice := fixedpoint.Value(0)
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midPrice := (kline.High.Add(kline.Low)).Div(fixedpoint.Value(2.0))
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midPrice := (kline.High.Add(kline.Low)).Div(fixedpoint.One * 2)
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switch s.PlacePriceType {
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case 0:
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if s.TradeType[symbol] == "long" {
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@ -200,32 +202,43 @@ 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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// 止盈订单类型
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profitOrderType := types.OrderTypeTakeProfitMarket
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if s.ProfitOrderType == 1 {
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profitOrderType = types.OrderTypeStopMarket
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}
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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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lastATR, err := strconv.ParseFloat(strconv.FormatFloat(s.atr[symbol].Last(0), 'f', 6, 64), 64)
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if err != nil {
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log.WithError(err).Error("failed parse atr last value float")
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lastATR = 0.0
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}
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if s.TradeType[symbol] == "long" {
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if s.LossType == 0 {
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if s.LossType == 0 || s.atr[symbol].Last(0) == 0.0 {
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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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lossPrice = placePrice.Sub(fixedpoint.Value(1e8 * lastATR))
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profitPrice = placePrice.Add(fixedpoint.Value(1e8 * 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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if s.LossType == 0 || s.atr[symbol].Last(0) == 0.0 {
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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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lossPrice = placePrice.Add(fixedpoint.Value(1e8 * lastATR))
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profitPrice = placePrice.Sub(fixedpoint.Value(1e8 * 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, lossprice %v, profitprice: %v",
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placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64()))
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log.Infof(fmt.Sprintf("will place order, price %v, quantity %v, lossprice %v, profitprice: %v, atr: %v",
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placePrice.Float64(), placeQuantity.Float64(), lossPrice.Float64(), profitPrice.Float64(),
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lastATR))
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s.ShortOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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@ -241,7 +254,7 @@ 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.OrderTypeStopMarket,
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Type: profitOrderType,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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@ -274,7 +287,7 @@ 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.OrderTypeStopMarket,
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Type: profitOrderType,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: profitPrice,
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TimeInForce: types.TimeInForceGTC,
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