[add] ccinr策略
This commit is contained in:
parent
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commit
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@ -1,3 +1,11 @@
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persistence:
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json:
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directory: var/data
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redis:
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host: 127.0.0.1
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port: 6379
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db: 0
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sessions:
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binance_futures:
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exchange: binance
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@ -7,16 +15,16 @@ sessions:
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exchangeStrategies:
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- on: binance_futures
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ccinr:
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# symbols:
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# - ARUSDT
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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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- 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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- WIFUSDT
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# - DYDXUSDT
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# - XRPUSDT
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# - PEOPLEUSDT
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@ -29,12 +37,17 @@ exchangeStrategies:
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# - ENSUSDT
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interval: 1m
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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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leverage: 5.0
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profitRange: 0.25%
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lossRange: 1%
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amount: 20
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# recalculate: false
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# nr_count: 4
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# dry_run: false
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# # quantity: 3
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# amount: 20
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# leverage: 5.0
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# profitRange: 0.5%
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# lossRange: 10%
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# strict_mode: true
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@ -44,7 +44,7 @@ func CCI(source types.Float64Source, window int) *CCIStream {
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return s
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}
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func (s *CCIStream) Calculate(value float64) float64 {
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func (s *CCIStream) Calculate1(value float64) float64 {
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var tp = value
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if s.TypicalPrice.Length() > 0 {
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tp = s.TypicalPrice.Last(0) - s.source.Last(s.window) + value
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@ -63,3 +63,20 @@ func (s *CCIStream) Calculate(value float64) float64 {
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cci := (value - ma) / (0.015 * md)
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return cci
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}
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func (s *CCIStream) Calculate(value float64) float64 {
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ma := 0.
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for i := 0; i < s.window; i++ {
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ma += s.source.Last(i)
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}
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ma = ma / float64(s.window)
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md := 0.
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for i := 0; i < s.window; i++ {
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md += math.Abs(s.source.Last(i) - ma)
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}
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md = md / float64(s.window)
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cci := (value - ma) / (0.015 * md)
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return cci
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}
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@ -116,3 +116,7 @@ func (i *IndicatorSet) ADX(interval types.Interval, window int) *indicatorv2.ADX
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func (i *IndicatorSet) NR(interval types.Interval, nrCount int, strictMode bool) *indicatorv2.NRStrean {
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return indicatorv2.NR(i.KLines(interval), nrCount, strictMode)
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}
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func (i *IndicatorSet) CCI(interval types.Interval, window int) *indicatorv2.CCIStream {
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return indicatorv2.CCI(indicatorv2.HLC3(i.KLines(interval)), window)
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}
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@ -4,10 +4,13 @@ import (
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"context"
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"fmt"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/exchange/binance"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/qbtrade/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
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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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"strings"
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"sync"
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)
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@ -20,10 +23,54 @@ func init() {
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type Strategy struct {
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*common.Strategy
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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Market types.Market
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Environment *qbtrade.Environment
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markets map[string]types.Market
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//Symbol string `json:"symbol"`
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Symbols []string `json:"symbols"`
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Interval types.Interval `json:"interval"`
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NrCount int `json:"nrCount"`
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StrictMode bool `json:"strictMode"`
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DryRun bool `json:"dryRun"`
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CCIWindow int `json:"cciWindow"`
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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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ProfitRange fixedpoint.Value `json:"profitRange"`
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LossRange fixedpoint.Value `json:"lossRange"`
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qbtrade.QuantityOrAmount
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//Position *types.Position `persistence:"position"`
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Positions map[string]*types.Position `persistence:"position"`
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ProfitStats map[string]*types.ProfitStats `persistence:"profit_stats"`
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ExchangeSession *qbtrade.ExchangeSession
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orderExecutor *qbtrade.GeneralOrderExecutor
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orderExecutors map[string]*qbtrade.GeneralOrderExecutor
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qbtrade.StrategyController
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Traded map[string]bool
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TradeType map[string]string
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TradeKLine map[string]types.KLine
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// orders
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LongOrder map[string]types.SubmitOrder
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LongProfitOrder map[string]types.SubmitOrder
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LongLossOrder map[string]types.SubmitOrder
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ShortOrder map[string]types.SubmitOrder
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ShortProfitOrder map[string]types.SubmitOrder
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ShortLossOrder map[string]types.SubmitOrder
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// 开仓
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OpenTrade map[string][]types.Trade
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// 清仓
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EndTrade map[string][]types.Trade
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OpenQuantity map[string]fixedpoint.Value
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EndQuantity map[string]fixedpoint.Value
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nr map[string]*indicatorv2.NRStrean
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cci map[string]*indicatorv2.CCIStream
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}
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func (s *Strategy) ID() string {
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@ -31,9 +78,9 @@ func (s *Strategy) ID() string {
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}
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func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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if !qbtrade.IsBackTesting {
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session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
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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.MarketTradeChannel, symbol, types.SubscribeOptions{})
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}
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}
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@ -45,22 +92,295 @@ func (s *Strategy) Initialize() error {
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return nil
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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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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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}
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nr := session.Indicators(s.Symbol).NR(s.Interval, 4, true)
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nr.OnUpdate(func(v float64) {
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msg := fmt.Sprintf("交易信号:时间: %s, 最高价:%f,最低价:%f", nr.NrKLine.GetStartTime(), nr.NrKLine.High.Float64(), nr.NrKLine.Low.Float64())
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qbtrade.Notify(msg)
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fmt.Println(v)
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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return s.orderExecutor.ClosePosition(ctx, percentage)
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
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if len(s.orderExecutors[symbol].ActiveMakerOrders().Orders()) <= 0 {
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return
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}
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log.Infof(fmt.Sprintf("[%s] the order is not filled, will cancel all orders", symbol))
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if err := s.orderExecutors[symbol].GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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}
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func (s *Strategy) placeOrders(ctx context.Context, kline types.KLine) {
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symbol := kline.Symbol
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orders, err := s.generateOrders(ctx, kline)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
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return
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}
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log.Infof("orders: %+v", orders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders (%s)", symbol)
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return
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}
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createdOrders, err := s.orderExecutors[symbol].SubmitOrders(ctx, orders...)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
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return
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}
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log.Infof("created orders (%s): %+v", symbol, createdOrders)
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return
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}
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func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]types.SubmitOrder, error) {
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var orders []types.SubmitOrder
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symbol := kline.Symbol
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log.Infof(fmt.Sprintf("place order keline info: symbol %s, high %v, low %v, open %v, close %v", symbol,
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kline.High.Float64(), kline.Low.Float64(), kline.Open.Float64(), kline.Close.Float64()))
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placePrice := fixedpoint.Value(0)
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if s.TradeType[symbol] == "long" {
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placePrice = kline.Low
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} else if s.TradeType[symbol] == "short" {
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placePrice = kline.High
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} else {
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return orders, nil
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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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s.ShortOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeShort,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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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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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Sub(placePrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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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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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Add(placePrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.LongOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeLong,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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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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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Add(placePrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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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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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Sub(placePrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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if s.TradeType[symbol] == "short" {
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// 挂空单
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orders = append(orders, s.ShortOrder[symbol])
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// 空单止盈
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orders = append(orders, s.ShortProfitOrder[symbol])
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// 空单止损
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orders = append(orders, s.ShortLossOrder[symbol])
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}
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if s.TradeType[symbol] == "long" {
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// 挂多单
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orders = append(orders, s.LongOrder[symbol])
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// 多单止盈
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orders = append(orders, s.LongProfitOrder[symbol])
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// 多单止损
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orders = append(orders, s.LongLossOrder[symbol])
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}
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return orders, nil
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}
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func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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if s.EndQuantity[symbol] != s.OpenQuantity[symbol] {
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return
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}
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profit := 0.
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openProfit := fixedpoint.Value(0)
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endProfit := fixedpoint.Value(0)
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free := fixedpoint.Value(0)
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var openMsgs []string
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var endMsgs []string
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// 开仓成本
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for _, trade := range s.OpenTrade[symbol] {
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openProfit = openProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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openMsgs = append(openMsgs, fmt.Sprintf("价格:%v, 数量:%v, 手续费:%v;",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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// 清仓资产
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for _, trade := range s.EndTrade[symbol] {
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endProfit = endProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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endMsgs = append(endMsgs, fmt.Sprintf("价格:%v, 数量:%v, 手续费:%v;",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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side := s.OpenTrade[symbol][0].Side
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// 做多
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if side == types.SideTypeBuy {
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profit = (endProfit - openProfit - free).Float64()
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}
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// 做空
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if side == types.SideTypeSell {
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profit = (openProfit - endProfit - free).Float64()
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}
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msg := fmt.Sprintf("交易完成:\n 币种: %s, 方向:%v, 收益:%v, 手续费:%v \n Trade详情:\n 开仓Trade:\n %s\n 清仓Trade:\n %s",
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symbol, s.TradeType, profit, free.Float64(), strings.Join(openMsgs, "\n"), strings.Join(endMsgs, "\n"))
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log.Infof(msg)
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qbtrade.Notify(msg)
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// 重置
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s.OpenTrade[symbol] = []types.Trade{}
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s.EndTrade[symbol] = []types.Trade{}
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s.OpenQuantity[symbol] = fixedpoint.Value(0)
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s.EndQuantity[symbol] = fixedpoint.Value(0)
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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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s.markets = s.ExchangeSession.Markets()
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s.Positions = make(map[string]*types.Position)
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s.ProfitStats = make(map[string]*types.ProfitStats)
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s.orderExecutors = make(map[string]*qbtrade.GeneralOrderExecutor)
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s.Traded = make(map[string]bool)
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s.TradeType = make(map[string]string)
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s.TradeKLine = make(map[string]types.KLine)
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s.ShortOrder = make(map[string]types.SubmitOrder)
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s.ShortProfitOrder = make(map[string]types.SubmitOrder)
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s.ShortLossOrder = make(map[string]types.SubmitOrder)
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s.LongOrder = make(map[string]types.SubmitOrder)
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s.LongProfitOrder = make(map[string]types.SubmitOrder)
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s.LongLossOrder = make(map[string]types.SubmitOrder)
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s.OpenTrade = make(map[string][]types.Trade)
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s.EndTrade = make(map[string][]types.Trade)
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s.OpenQuantity = make(map[string]fixedpoint.Value)
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s.EndQuantity = make(map[string]fixedpoint.Value)
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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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for _, symbol := range s.Symbols {
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s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
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s.ProfitStats[symbol] = types.NewProfitStats(s.markets[symbol])
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s.orderExecutors[symbol] = qbtrade.NewGeneralOrderExecutor(session, symbol, ID, s.InstanceID(), s.Positions[symbol])
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s.orderExecutors[symbol].BindEnvironment(s.Environment)
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_ = s.orderExecutors[symbol].GracefulCancel(ctx)
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s.orderExecutors[symbol].BindProfitStats(s.ProfitStats[symbol])
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s.orderExecutors[symbol].TradeCollector().OnPositionUpdate(func(position *types.Position) {
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qbtrade.Sync(ctx, s)
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})
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s.orderExecutors[symbol].Bind()
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// 初始化
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s.Traded[symbol] = false
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s.TradeType[symbol] = ""
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}
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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)
|
||||
}
|
||||
|
||||
session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
|
||||
for _, symbol := range s.Symbols {
|
||||
if k.Symbol != symbol || k.Interval != s.Interval {
|
||||
continue
|
||||
}
|
||||
|
||||
if !s.Traded[symbol] {
|
||||
// 如若在下一根k线未成交 则取消订单
|
||||
s.cancelOrders(ctx, symbol)
|
||||
}
|
||||
s.TradeKLine[symbol] = k
|
||||
}
|
||||
})
|
||||
|
||||
//session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
|
||||
// if k.Symbol != s.Symbol || k.Interval != s.Interval {
|
||||
// return
|
||||
// }
|
||||
// fmt.Println(k)
|
||||
//})
|
||||
for _, symbol := range s.Symbols {
|
||||
sym := symbol
|
||||
s.nr[sym].OnUpdate(func(v float64) {
|
||||
if s.Traded[sym] {
|
||||
return
|
||||
}
|
||||
cciV := s.cci[sym].Last(0)
|
||||
if cciV <= s.LongCCI.Float64() {
|
||||
s.TradeType[sym] = "long"
|
||||
} else if cciV >= s.ShortCCI.Float64() {
|
||||
s.TradeType[sym] = "short"
|
||||
} else {
|
||||
return
|
||||
}
|
||||
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",
|
||||
sym, s.TradeType[sym], s.nr[sym].NrKLine.GetStartTime(), s.nr[sym].NrKLine.High.Float64(),
|
||||
s.nr[sym].NrKLine.Low.Float64(), cciV)
|
||||
qbtrade.Notify(msg)
|
||||
tk := s.TradeKLine[sym]
|
||||
s.placeOrders(ctx, tk)
|
||||
})
|
||||
}
|
||||
|
||||
//
|
||||
//session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
|
||||
// // handle market trade event here
|
||||
|
@ -70,13 +390,67 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
|
|||
b, ok := s.getBalance(ctx)
|
||||
fmt.Println(b, ok)
|
||||
session.UserDataStream.OnOrderUpdate(func(order types.Order) {
|
||||
orderSymbol := order.Symbol
|
||||
if order.Status == types.OrderStatusFilled {
|
||||
log.Infof("your order is filled: %+v", order)
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeBuy {
|
||||
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
|
||||
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)
|
||||
}
|
||||
if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeSell {
|
||||
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
|
||||
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)
|
||||
}
|
||||
|
||||
if order.Type == types.OrderTypeMarket {
|
||||
log.Infof("the loss or profit order is filled: %+v,id is %d, symbol is %s, type is %s, "+
|
||||
"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.TradeType[orderSymbol] = ""
|
||||
} else {
|
||||
log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
|
||||
order, order.OrderID, orderSymbol, order.Type, order.Status)
|
||||
}
|
||||
}
|
||||
})
|
||||
|
||||
session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
|
||||
log.Infof("trade price %f, fee %f %s", trade.Price.Float64(), trade.Fee.Float64(), trade.FeeCurrency)
|
||||
symbol := trade.Symbol
|
||||
|
||||
if (trade.Side == types.SideTypeBuy && s.TradeType[symbol] == "long") || (trade.Side == types.SideTypeSell && s.TradeType[symbol] == "short") {
|
||||
s.OpenTrade[symbol] = append(s.OpenTrade[symbol], trade)
|
||||
s.OpenQuantity[symbol] += trade.Quantity
|
||||
}
|
||||
if (trade.Side == types.SideTypeSell && s.TradeType[symbol] == "long") || (trade.Side == types.SideTypeBuy && s.TradeType[symbol] == "short") {
|
||||
s.EndTrade[symbol] = append(s.EndTrade[symbol], trade)
|
||||
s.EndQuantity[symbol] += trade.Quantity
|
||||
s.notifyProfit(ctx, symbol)
|
||||
}
|
||||
log.Infof("trade: symbol %s, side %s, price %f, fee %f, quantity %f, buyer %v, maker %v",
|
||||
symbol, trade.Side, trade.Price.Float64(), trade.Fee.Float64(), trade.Quantity.Float64(),
|
||||
trade.IsBuyer, trade.IsMaker)
|
||||
})
|
||||
|
||||
s.OnSuspend(func() {
|
||||
// Cancel active orders
|
||||
for _, symbol := range s.Symbols {
|
||||
_ = s.orderExecutors[symbol].GracefulCancel(ctx)
|
||||
}
|
||||
})
|
||||
|
||||
s.OnEmergencyStop(func() {
|
||||
// Cancel active orders
|
||||
for _, symbol := range s.Symbols {
|
||||
_ = s.orderExecutors[symbol].GracefulCancel(ctx)
|
||||
}
|
||||
// Close 100% position
|
||||
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
||||
})
|
||||
|
||||
qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||||
|
@ -101,8 +475,6 @@ func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
|
|||
}
|
||||
|
||||
func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
|
||||
qbtrade.Notify(event)
|
||||
|
||||
account := s.ExchangeSession.GetAccount()
|
||||
|
||||
fmt.Println(account)
|
||||
|
|
Loading…
Reference in New Issue
Block a user