add pause trade
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d973d95121
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@ -7,13 +7,13 @@
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# db: 0
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sessions:
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binance_futures:
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binance:
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exchange: binance
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envVarPrefix: BINANCE
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futures: true
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exchangeStrategies:
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- on: binance_futures
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- on: binance
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ccinr:
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symbols:
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- ARUSDT
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@ -24,17 +24,17 @@ exchangeStrategies:
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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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# - DOGEUSDT
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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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# - STXUSDT
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# - WLDUSDT
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# - FILUSDT
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# - DOGEUSDT
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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: 1m
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@ -55,9 +55,33 @@ exchangeStrategies:
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placePriceType: 2
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lossType: 1
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profitOrderType: 0
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atrProfitRange: 0.8
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atrLossRange: 1.0
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atrProfitRange: 1.0
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atrLossRange: 2.0
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tradeStartHour: 0
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tradeEndHour: 8
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pauseTradeLoss: -10.0
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# recalculate: false
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# dry_run: false
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# # quantity: 3
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# strict_mode: true
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backtest:
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startTime: "2023-10-15"
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endTime: "2024-08-02"
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symbols:
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- ARUSDT
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- ORDIUSDT
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- OPUSDT
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- OMUSDT
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- WIFUSDT
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- DYDXUSDT
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- XRPUSDT
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- PEOPLEUSDT
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sessions: [ binance ]
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syncSecKLines: true
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accounts:
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binance:
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takerFeeRate: 0.0002
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makerFeeRate: 0.0005
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balances:
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USDT: 200
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BIN
otp.png
BIN
otp.png
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Before Width: | Height: | Size: 3.0 KiB After Width: | Height: | Size: 2.9 KiB |
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@ -174,7 +174,8 @@ func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}
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message = fmt.Sprintf(a, args...)
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default:
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log.Errorf("unsupported notification format: %T %+v", a, a)
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//log.Errorf("unsupported notification format: %T %+v", a, a)
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return
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}
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select {
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@ -13,6 +13,7 @@ import (
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"strconv"
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"strings"
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"sync"
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"time"
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)
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const ID = "ccinr"
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@ -49,6 +50,9 @@ type Strategy struct {
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LossRange fixedpoint.Value `json:"lossRange"`
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AtrProfitRange float64 `json:"atrProfitRange"`
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AtrLossRange float64 `json:"atrLossRange"`
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TradeStartHour int `json:"tradeStartHour"`
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TradeEndHour int `json:"tradeEndHour"`
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PauseTradeLoss fixedpoint.Value `json:"pauseTradeLoss"`
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qbtrade.QuantityOrAmount
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@ -89,6 +93,10 @@ type Strategy struct {
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TotalOrderCount int
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TotalProfitCount int
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TotalLossCount int
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// 累计暂停交易的次数
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PauseTradeCount fixedpoint.Value
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// 最近一次暂停交易的时间
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PauseTradeTime time.Time
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}
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func (s *Strategy) ID() string {
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@ -101,7 +109,10 @@ func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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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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if !qbtrade.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
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}
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}
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}
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@ -114,7 +125,7 @@ func (s *Strategy) Initialize() error {
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s:%s", ID, strings.Join(s.Symbols, "-"), s.Interval)
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return fmt.Sprintf("%s:%s", ID, s.Interval)
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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@ -206,10 +217,17 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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// 止盈订单类型
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profitOrderType := types.OrderTypeTakeProfitMarket
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// 止损订单类型
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lossOrderType := types.OrderTypeStopMarket
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if s.ProfitOrderType == 1 {
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profitOrderType = types.OrderTypeStopMarket
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}
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if qbtrade.IsBackTesting {
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profitOrderType = types.OrderTypeStopLimit
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lossOrderType = types.OrderTypeStopLimit
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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.Zero
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profitPrice := fixedpoint.Zero
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@ -267,7 +285,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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s.ShortLossOrder[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: lossOrderType,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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@ -300,7 +318,7 @@ func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]typ
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s.LongLossOrder[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: lossOrderType,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: lossPrice,
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TimeInForce: types.TimeInForceGTC,
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@ -394,6 +412,38 @@ func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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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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// isTradeTime 是否交易时间
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func (s *Strategy) isTradeTime(ctx context.Context) bool {
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// 如果时间一致则表示不限制交易时间
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if s.TradeEndHour == s.TradeStartHour {
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return true
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}
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location, err := time.LoadLocation("Asia/Shanghai")
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if err != nil {
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return false
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}
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now := time.Now().In(location)
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hour := now.Hour()
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return hour >= s.TradeStartHour && hour < s.TradeEndHour
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}
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func (s *Strategy) isPauseTrade(ctx context.Context) bool {
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// 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
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if s.PauseTradeCount != fixedpoint.Zero && s.PauseTradeTime.Day() == time.Now().Day() {
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return true
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}
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// 总收益大于(暂停次数+1)*暂停亏损，则表示暂停
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if s.TotalProfit < s.PauseTradeLoss.Mul(s.PauseTradeCount.Add(fixedpoint.One)) {
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s.PauseTradeCount.Add(fixedpoint.One)
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s.PauseTradeTime = time.Now()
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return true
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}
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return false
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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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s.ExchangeSession = session
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@ -427,6 +477,8 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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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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s.PauseTradeCount = fixedpoint.Zero
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s.PauseTradeTime = time.Now().Add(-24 * time.Hour)
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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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@ -481,6 +533,15 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
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if s.Traded[sym] {
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return
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}
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if !s.isTradeTime(ctx) || s.isPauseTrade(ctx) {
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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)",
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s.TotalProfit.Float64(), s.PauseTradeCount.Float64(), s.PauseTradeTime, s.TradeStartHour,
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s.TradeEndHour)
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qbtrade.Notify(pauseMsg)
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return
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}
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cciV := s.cci[sym].Last(0)
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if cciV <= s.LongCCI.Float64() {
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s.TradeType[sym] = "long"
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