update the test strategy

config/bollgrid.yaml

@@ -9,13 +9,13 @@ notifications:
     submitOrder: true
 
 sessions:
-  # binance:
+   binance:
-  #   exchange: binance
+     exchange: binance
-  #   envVarPrefix: binance
+     envVarPrefix: binance
 
-  max:
+#  max:
-    exchange: max
+#    exchange: max
-    envVarPrefix: MAX
+#    envVarPrefix: MAX
 
 riskControls:
   # This is the session-based risk controller, which let you configure different risk controller by session.
@@ -26,7 +26,7 @@ riskControls:
       orderExecutor:
         # symbol-routed order executor
         bySymbol:
-          BTCUSDT:
+          ARUSDT:
             # basic risk control order executor
             basic:
               minQuoteBalance: 1000.0

config/ccinr.yaml

@@ -0,0 +1,40 @@
+sessions:
+  binance_futures:
+    exchange: binance
+    envVarPrefix: BINANCE
+    futures: true
+
+exchangeStrategies:
+  - on: binance_futures
+    ccinr:
+#      symbols:
+#        - ARUSDT
+#        - BNBUSDT
+#        - BTCUSDT
+#        - ETHUSDT
+#        - ORDIUSDT
+#        - OPUSDT
+#        - OMUSDT
+#        - SOLUSDT
+#        - WIFUSDT
+#        - DYDXUSDT
+#        - XRPUSDT
+#        - PEOPLEUSDT
+#        - STXUSDT
+#        - WLDUSDT
+#        - FILUSDT
+#        - DOGEUSDT
+#        - MKRUSDT
+#        - NOTUSDT
+#        - ENSUSDT
+      interval: 1m
+      symbol: ARUSDT
+#      recalculate: false
+#      nr_count: 4
+#      dry_run: false
+#      #      quantity: 3
+#      amount: 20
+#      leverage: 5.0
+#      profitRange: 0.5%
+#      lossRange: 10%
+#      strict_mode: true

config/grid2.yaml

@@ -21,7 +21,7 @@ sync:
     filledOrders: false
 
   # since is the start date of your trading data
-  since: 2019-01-01
+  since: 2024-01-01
 
   # sessions is the list of session names you want to sync
   # by default, qbtrade sync all your available sessions.
@@ -31,7 +31,11 @@ sync:
   # symbols is the list of symbols you want to sync
   # by default, qbtrade try to guess your symbols by your existing account balances.
   symbols:
-  - BTCUSDT
+  - ARUSDT
+  - OPUSDT
+  - ORDIUSDT
+  - CFXUSDT
+  - BNXUSDT
 
 # example command:
 #   go run ./cmd/qbtrade backtest --config config/grid2.yaml --base-asset-baseline

config/new_test.yaml

@@ -0,0 +1,40 @@
+sessions:
+  binance_futures:
+    exchange: binance
+    envVarPrefix: BINANCE
+    futures: true
+
+exchangeStrategies:
+  - on: binance_futures
+    new_test:
+      symbols:
+        - ARUSDT
+#        - BNBUSDT
+#        - BTCUSDT
+#        - ETHUSDT
+#        - ORDIUSDT
+#        - OPUSDT
+#        - OMUSDT
+#        - SOLUSDT
+#        - WIFUSDT
+#        - DYDXUSDT
+#        - XRPUSDT
+#        - PEOPLEUSDT
+#        - STXUSDT
+#        - WLDUSDT
+#        - FILUSDT
+#        - DOGEUSDT
+#        - MKRUSDT
+#        - NOTUSDT
+#        - ENSUSDT
+      interval: 1m
+      #      symbol: ARUSDT
+      recalculate: false
+      nr_count: 4
+      dry_run: false
+      #      quantity: 3
+      amount: 20
+      leverage: 5.0
+      profitRange: 0.5%
+      lossRange: 10%
+      strict_mode: true

pkg/cmd/root.go

@@ -190,6 +190,8 @@ func init() {
 	RootCmd.PersistentFlags().String("telegram-bot-token", "", "telegram bot token from bot father")
 	RootCmd.PersistentFlags().String("telegram-bot-auth-token", "", "telegram auth token")
 
+	RootCmd.PersistentFlags().String("lark-bot-token", "", "lark bot token")
+
 	RootCmd.PersistentFlags().String("binance-api-key", "", "binance api key")
 	RootCmd.PersistentFlags().String("binance-api-secret", "", "binance api secret")
 

pkg/cmd/strategy/builtin.go

@@ -8,6 +8,7 @@ import (
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/autobuy"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/bollgrid"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/bollmaker"
+	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/ccinr"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/convert"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/dca"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/deposit2transfer"
@@ -29,6 +30,7 @@ import (
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/linregmaker"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/liquiditymaker"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/marketcap"
+	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/newTest"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pivotshort"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pricealert"
 	_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pricedrop"

pkg/exchange/binance/convert_futures.go

@@ -81,8 +81,8 @@ func toGlobalFuturesUserAssets(assets []*binanceapi.FuturesAccountAsset) (retAss
 func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, error) {
 	switch orderType {
 
-	// case types.OrderTypeLimitMaker:
+	//case types.OrderTypeLimitMaker:
-	// 	return futures.OrderTypeLimitMaker, nil //TODO
+	//	return futures.OrderTypeLimitMaker, nil //TODO
 
 	case types.OrderTypeLimit, types.OrderTypeLimitMaker:
 		return futures.OrderTypeLimit, nil
@@ -90,8 +90,11 @@ func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, erro
 	// case types.OrderTypeStopLimit:
 	// 	return futures.OrderTypeStopLossLimit, nil //TODO
 
-	// case types.OrderTypeStopMarket:
+	case types.OrderTypeTakeProfitMarket:
-	// 	return futures.OrderTypeStopLoss, nil //TODO
+		return futures.OrderTypeTakeProfitMarket, nil
+
+	case types.OrderTypeStopMarket:
+		return futures.OrderTypeStopMarket, nil //TODO
 
 	case types.OrderTypeMarket:
 		return futures.OrderTypeMarket, nil
@@ -207,12 +210,8 @@ func toGlobalFuturesOrderType(orderType futures.OrderType) types.OrderType {
 	// FIXME: handle this order type
 	// case futures.OrderTypeTrailingStopMarket:
 
-	case futures.OrderTypeTakeProfit:
-		return types.OrderTypeStopLimit
-
 	case futures.OrderTypeTakeProfitMarket:
-		return types.OrderTypeStopMarket
+		return types.OrderTypeTakeProfitMarket
-
 	case futures.OrderTypeStopMarket:
 		return types.OrderTypeStopMarket
 

pkg/exchange/binance/exchange.go

@@ -3,6 +3,8 @@ package binance
 import (
 	"context"
 	"fmt"
+	"net/http"
+	"net/url"
 	"strconv"
 	"strings"
 	"sync"
@@ -90,7 +92,7 @@ type Exchange struct {
 
 var timeSetterOnce sync.Once
 
-func New(key, secret string) *Exchange {
+func New(key, secret, proxy string) *Exchange {
 	if util.IsPaperTrade() {
 		binance.UseTestnet = true
 	}
@@ -101,7 +103,6 @@ func New(key, secret string) *Exchange {
 	var futuresClient = binance.NewFuturesClient(key, secret)
 	futuresClient.HTTPClient = binanceapi.DefaultHttpClient
 	futuresClient.Debug = viper.GetBool("debug-binance-futures-client")
-
 	if isBinanceUs() {
 		client.BaseURL = BinanceUSBaseURL
 	}
@@ -109,6 +110,19 @@ func New(key, secret string) *Exchange {
 	client2 := binanceapi.NewClient(client.BaseURL)
 	futuresClient2 := binanceapi.NewFuturesRestClient(futuresClient.BaseURL)
 
+	if proxy != "" {
+		proxyURL, err := url.Parse(proxy)
+		if err == nil {
+			proxyTransport := &http.Transport{
+				Proxy: http.ProxyURL(proxyURL),
+			}
+			client.HTTPClient.Transport = proxyTransport
+			futuresClient.HTTPClient.Transport = proxyTransport
+			client2.HttpClient.Transport = proxyTransport
+			futuresClient2.HttpClient.Transport = proxyTransport
+		}
+	}
+
 	ex := &Exchange{
 		key:            key,
 		secret:         secret,

pkg/exchange/binance/futures.go

@@ -139,7 +139,8 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
 	req := e.futuresClient.NewCreateOrderService().
 		Symbol(order.Symbol).
 		Type(orderType).
-		Side(futures.SideType(order.Side))
+		Side(futures.SideType(order.Side)).
+		PositionSide(futures.PositionSideType(order.PositionSide))
 
 	if order.ReduceOnly {
 		req.ReduceOnly(order.ReduceOnly)
@@ -178,7 +179,7 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
 	// set stop price
 	switch order.Type {
 
-	case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
+	case types.OrderTypeStopLimit, types.OrderTypeStopMarket, types.OrderTypeTakeProfitMarket:
 		if order.Market.Symbol != "" {
 			req.StopPrice(order.Market.FormatPrice(order.StopPrice))
 		} else {

pkg/exchange/factory.go

@@ -15,7 +15,7 @@ import (
 )
 
 func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
-	exMinimal, err := New(exchangeName, "", "", "")
+	exMinimal, err := New(exchangeName, "", "", "", "")
 	if err != nil {
 		return nil, err
 	}
@@ -27,11 +27,11 @@ func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
 	return nil, fmt.Errorf("exchange %T does not implement types.Exchange", exMinimal)
 }
 
-func New(n types.ExchangeName, key, secret, passphrase string) (types.ExchangeMinimal, error) {
+func New(n types.ExchangeName, key, secret, passphrase, proxy string) (types.ExchangeMinimal, error) {
 	switch n {
 
 	case types.ExchangeBinance:
-		return binance.New(key, secret), nil
+		return binance.New(key, secret, proxy), nil
 
 	case types.ExchangeMax:
 		return max.New(key, secret), nil
@@ -70,5 +70,6 @@ func NewWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange
 	}
 
 	passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
-	return New(n, key, secret, passphrase)
+	proxy := os.Getenv(varPrefix + "_PROXY")
+	return New(n, key, secret, passphrase, proxy)
 }

pkg/indicator/v2/nr.go

@@ -0,0 +1,70 @@
+package indicatorv2
+
+import (
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
+)
+
+type NRStrean struct {
+	*types.Float64Series
+	nrCount int
+
+	kLines     []types.KLine
+	strictMode bool
+	NrKLine    types.KLine
+}
+
+func NR(source KLineSubscription, nrCount int, strictMode bool) *NRStrean {
+
+	s := &NRStrean{
+		nrCount:       nrCount,
+		Float64Series: types.NewFloat64Series(),
+	}
+	source.AddSubscriber(func(k types.KLine) {
+		s.calculateAndPush(k)
+	})
+	return s
+}
+
+func (s *NRStrean) calculateAndPush(k types.KLine) {
+
+	s.kLines = append(s.kLines, k)
+	if len(s.kLines) < s.nrCount {
+		return
+	}
+
+	nr := s.kLines[len(s.kLines)-1]
+	preNr := s.kLines[len(s.kLines)-2]
+	isNR := true
+
+	if preNr.High < nr.High || preNr.Low > nr.Low {
+		isNR = false
+		return
+	}
+
+	for i := len(s.kLines) - s.nrCount; i < len(s.kLines); i++ {
+		// 这种是所有的kline都要高于nr
+		//if s.CalKLines[i].High > nr.High || s.CalKLines[i].Low < nr.Low {
+		//	isNR = false
+		//	break
+		//}
+		if s.strictMode {
+			if s.kLines[i].High-s.kLines[i].Low < nr.High-nr.Low {
+				isNR = false
+				break
+			}
+		} else {
+			if (s.kLines[i].High-s.kLines[i].Low)/s.kLines[i].Low < (nr.High-nr.Low)/nr.Low {
+				isNR = false
+				break
+			}
+		}
+
+	}
+
+	if isNR {
+		s.NrKLine = nr
+		s.PushAndEmit(nr.High.Float64())
+	}
+
+	return
+}

pkg/notifier/larknotifier/lark.go

@@ -0,0 +1,195 @@
+package larknotifier
+
+import (
+	"bytes"
+	"context"
+	"encoding/json"
+	"fmt"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
+	"github.com/sirupsen/logrus"
+	"golang.org/x/time/rate"
+	"net/http"
+	"reflect"
+	"time"
+)
+
+var apiLimiter = rate.NewLimiter(rate.Every(time.Second), 5)
+var log = logrus.WithField("service", "lark")
+
+type notifyTask struct {
+	message string
+}
+
+type Notifier struct {
+	token string
+	taskC chan notifyTask
+}
+
+type Option func(notifier *Notifier)
+
+type TextMessage struct {
+	MsgType string `json:"msg_type"`
+	Content struct {
+		Text string `json:"text"`
+	} `json:"content"`
+}
+
+func getLocDateTimeString() string {
+	loc, err := time.LoadLocation("Asia/Shanghai")
+	if err != nil {
+		fmt.Println("Error loading location:", err)
+		return ""
+	}
+
+	// 获取当前东八区时间
+	currentTime := time.Now().In(loc)
+
+	// 格式化时间
+	formattedTime := currentTime.Format("2006-01-02 15:04:05")
+	return formattedTime
+}
+
+func sendLarkMessage(token, text string) error {
+	// 创建消息结构体
+	message := TextMessage{
+		MsgType: "text",
+		Content: struct {
+			Text string `json:"text"`
+		}{
+			Text: fmt.Sprintf("通知时间：%s\n内容：\n%s", getLocDateTimeString(), text),
+		},
+	}
+
+	// 将消息结构体序列化为 JSON
+	jsonData, err := json.Marshal(message)
+	if err != nil {
+		return fmt.Errorf("failed to marshal JSON: %v", err)
+	}
+	webhookURL := fmt.Sprintf("https://open.larksuite.com/open-apis/bot/v2/hook/%s", token)
+	// 创建 HTTP POST 请求
+	req, err := http.NewRequest("POST", webhookURL, bytes.NewBuffer(jsonData))
+	if err != nil {
+		return fmt.Errorf("failed to create request: %v", err)
+	}
+	req.Header.Set("Content-Type", "application/json")
+
+	// 发送 HTTP 请求
+	client := &http.Client{}
+	resp, err := client.Do(req)
+	if err != nil {
+		return fmt.Errorf("failed to send request: %v", err)
+	}
+	defer resp.Body.Close()
+
+	// 检查响应状态码
+	if resp.StatusCode != http.StatusOK {
+		return fmt.Errorf("request failed with status code: %d", resp.StatusCode)
+	}
+
+	return nil
+}
+
+func New(token string, options ...Option) *Notifier {
+	notifier := &Notifier{
+		token: token,
+		taskC: make(chan notifyTask, 100),
+	}
+
+	for _, o := range options {
+		o(notifier)
+	}
+
+	go notifier.worker()
+
+	return notifier
+}
+
+func (n *Notifier) worker() {
+	ctx := context.Background()
+	for {
+		select {
+		case <-ctx.Done():
+			return
+		case task := <-n.taskC:
+			apiLimiter.Wait(ctx)
+			n.consume(task)
+		}
+	}
+}
+
+func (n *Notifier) consume(task notifyTask) {
+	if task.message != "" {
+		if err := sendLarkMessage(n.token, task.message); err != nil {
+			log.WithError(err).Error("lark send error")
+		}
+	}
+}
+
+func (n *Notifier) Notify(obj interface{}, args ...interface{}) {
+	n.NotifyTo("", obj, args...)
+}
+
+func filterPlaintextMessages(args []interface{}) (texts []string, pureArgs []interface{}) {
+	var firstObjectOffset = -1
+	for idx, arg := range args {
+		rt := reflect.TypeOf(arg)
+		if rt.Kind() == reflect.Ptr {
+			switch a := arg.(type) {
+
+			case nil:
+				texts = append(texts, "nil")
+				if firstObjectOffset == -1 {
+					firstObjectOffset = idx
+				}
+
+			case types.PlainText:
+				texts = append(texts, a.PlainText())
+				if firstObjectOffset == -1 {
+					firstObjectOffset = idx
+				}
+
+			case types.Stringer:
+				texts = append(texts, a.String())
+				if firstObjectOffset == -1 {
+					firstObjectOffset = idx
+				}
+			}
+		}
+	}
+
+	pureArgs = args
+	if firstObjectOffset > -1 {
+		pureArgs = args[:firstObjectOffset]
+	}
+
+	return texts, pureArgs
+}
+
+func (n *Notifier) NotifyTo(channel string, obj interface{}, args ...interface{}) {
+	var message string
+
+	switch a := obj.(type) {
+
+	case string:
+		message = fmt.Sprintf(a, args...)
+
+	default:
+		log.Errorf("unsupported notification format: %T %+v", a, a)
+	}
+
+	select {
+	case n.taskC <- notifyTask{
+		message: message,
+	}:
+	default:
+		log.Error("[lark] cannot send task to notify")
+	}
+}
+
+func (n *Notifier) SendPhoto(buffer *bytes.Buffer) {
+	n.SendPhotoTo("", buffer)
+}
+
+func (n *Notifier) SendPhotoTo(channel string, buffer *bytes.Buffer) {
+	// TODO
+}

pkg/notifier/larknotifier/logrus_look.go

@@ -0,0 +1,45 @@
+package larknotifier
+
+import (
+	"fmt"
+	"time"
+
+	"github.com/sirupsen/logrus"
+	"golang.org/x/time/rate"
+)
+
+var limiter = rate.NewLimiter(rate.Every(time.Minute), 3)
+
+type LogHook struct {
+	notifier *Notifier
+}
+
+func LarkNewLogHook(notifier *Notifier) *LogHook {
+	return &LogHook{
+		notifier: notifier,
+	}
+}
+
+func (t *LogHook) Levels() []logrus.Level {
+	return []logrus.Level{
+		logrus.ErrorLevel,
+		logrus.FatalLevel,
+		logrus.PanicLevel,
+	}
+}
+
+func (t *LogHook) Fire(e *logrus.Entry) error {
+	if !limiter.Allow() {
+		return nil
+	}
+
+	var message = fmt.Sprintf("[%s] %s", e.Level.String(), e.Message)
+	if errData, ok := e.Data[logrus.ErrorKey]; ok && errData != nil {
+		if err, isErr := errData.(error); isErr {
+			message += " Error: " + err.Error()
+		}
+	}
+
+	t.notifier.Notify(message)
+	return nil
+}

pkg/qbtrade/environment.go

@@ -4,6 +4,7 @@ import (
 	"bytes"
 	"context"
 	"fmt"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/notifier/larknotifier"
 	"image/png"
 	"io/ioutil"
 	stdlog "log"
@@ -676,6 +677,12 @@ func (environ *Environment) ConfigureNotificationSystem(ctx context.Context, use
 		}
 	}
 
+	larkBotToken := viper.GetString("lark-bot-token")
+	if len(larkBotToken) > 0 {
+		if err := environ.setupLark(userConfig, larkBotToken, persistence); err != nil {
+		}
+	}
+
 	if userConfig.Notifications != nil {
 		if err := environ.ConfigureNotification(userConfig.Notifications); err != nil {
 			return err
@@ -947,6 +954,15 @@ func (environ *Environment) setupTelegram(
 	return nil
 }
 
+func (environ *Environment) setupLark(userConfig *Config, larkBotToken string, persistence service.PersistenceService,
+) error {
+
+	var notifier = larknotifier.New(larkBotToken)
+	Notification.AddNotifier(notifier)
+	log.AddHook(larknotifier.LarkNewLogHook(notifier))
+	return nil
+}
+
 func writeOTPKeyAsQRCodePNG(key *otp.Key, imagePath string) error {
 	// Convert TOTP key into a PNG
 	var buf bytes.Buffer

pkg/qbtrade/indicator_set.go

@@ -112,3 +112,7 @@ func (i *IndicatorSet) ATRP(interval types.Interval, window int) *indicatorv2.AT
 func (i *IndicatorSet) ADX(interval types.Interval, window int) *indicatorv2.ADXStream {
 	return indicatorv2.ADX(i.KLines(interval), window)
 }
+
+func (i *IndicatorSet) NR(interval types.Interval, nrCount int, strictMode bool) *indicatorv2.NRStrean {
+	return indicatorv2.NR(i.KLines(interval), nrCount, strictMode)
+}

pkg/qbtrade/session.go

@@ -42,6 +42,7 @@ type ExchangeSession struct {
 	Key          string             `json:"key,omitempty" yaml:"key,omitempty"`
 	Secret       string             `json:"secret,omitempty" yaml:"secret,omitempty"`
 	Passphrase   string             `json:"passphrase,omitempty" yaml:"passphrase,omitempty"`
+	Proxy        string             `json:"proxy,omitempty" yaml:"proxy,omitempty"`
 	SubAccount   string             `json:"subAccount,omitempty" yaml:"subAccount,omitempty"`
 
 	// Withdrawal is used for enabling withdrawal functions
@@ -793,7 +794,7 @@ func (session *ExchangeSession) newBasicPrivateExchange(exchangeName types.Excha
 	var err error
 	var exMinimal types.ExchangeMinimal
 	if session.Key != "" && session.Secret != "" {
-		exMinimal, err = exchange2.New(exchangeName, session.Key, session.Secret, session.Passphrase)
+		exMinimal, err = exchange2.New(exchangeName, session.Key, session.Secret, session.Passphrase, session.Proxy)
 	} else {
 		exMinimal, err = exchange2.NewWithEnvVarPrefix(exchangeName, session.EnvVarPrefix)
 	}

pkg/strategy/atrpin/strategy.go

@@ -80,17 +80,20 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor,
 	atr := session.Indicators(s.Symbol).ATR(s.Interval, s.Window)
 
 	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(k types.KLine) {
+		// 取消订单
 		if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
 			s.logger.WithError(err).Error("unable to cancel open orders...")
 			return
 		}
 
+		// 更新并获取account信息
 		account, err := session.UpdateAccount(ctx)
 		if err != nil {
 			s.logger.WithError(err).Error("unable to update account")
 			return
 		}
 
+		// 获取balance信息
 		baseBalance, ok := account.Balance(s.Market.BaseCurrency)
 		if !ok {
 			s.logger.Errorf("%s balance not found", s.Market.BaseCurrency)

pkg/strategy/ccinr/strategy.go

@@ -0,0 +1,128 @@
+package ccinr
+
+import (
+	"context"
+	"fmt"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/exchange/binance"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
+	log "github.com/sirupsen/logrus"
+	"sync"
+)
+
+const ID = "ccinr"
+
+func init() {
+	qbtrade.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	*common.Strategy
+
+	Symbol   string         `json:"symbol"`
+	Interval types.Interval `json:"interval"`
+
+	ExchangeSession *qbtrade.ExchangeSession
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+	if !qbtrade.IsBackTesting {
+		session.Subscribe(types.MarketTradeChannel, s.Symbol, types.SubscribeOptions{})
+	}
+}
+
+func (s *Strategy) Initialize() error {
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
+
+	return nil
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
+	s.ExchangeSession = session
+
+	nr := session.Indicators(s.Symbol).NR(s.Interval, 4, true)
+	nr.OnUpdate(func(v float64) {
+		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())
+		qbtrade.Notify(msg)
+		fmt.Println(v)
+	})
+
+	//session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
+	//	if k.Symbol != s.Symbol || k.Interval != s.Interval {
+	//		return
+	//	}
+	//	fmt.Println(k)
+	//})
+	//
+	//session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
+	//	// handle market trade event here
+	//	fmt.Println(trade)
+	//})
+
+	b, ok := s.getBalance(ctx)
+	fmt.Println(b, ok)
+	session.UserDataStream.OnOrderUpdate(func(order types.Order) {
+		if order.Status == types.OrderStatusFilled {
+			log.Infof("your order is filled: %+v", order)
+		}
+	})
+
+	session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
+		log.Infof("trade price %f, fee %f %s", trade.Price.Float64(), trade.Fee.Float64(), trade.FeeCurrency)
+	})
+
+	qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+
+		if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
+			log.WithError(err).Error("unable to cancel open orders...")
+		}
+
+		qbtrade.Sync(ctx, s)
+	})
+
+	return nil
+}
+
+func (s *Strategy) handleBalanceUpdate(balances types.BalanceMap) {
+	for _, b := range balances {
+		if b.Available.IsZero() && b.Borrowed.IsZero() {
+			continue
+		}
+	}
+}
+
+func (s *Strategy) handleBinanceBalanceUpdateEvent(event *binance.BalanceUpdateEvent) {
+	qbtrade.Notify(event)
+
+	account := s.ExchangeSession.GetAccount()
+
+	fmt.Println(account)
+	delta := event.Delta
+
+	// ignore outflow
+	if delta.Sign() < 0 {
+		return
+	}
+}
+
+// getBalance 获取账户余额
+func (s *Strategy) getBalance(ctx context.Context) (balance types.Balance, ok bool) {
+	// 更新并获取account信息
+	account, err := s.ExchangeSession.UpdateAccount(ctx)
+	if err != nil {
+		log.WithError(err).Error("unable to update account")
+		return
+	}
+
+	// 获取balance信息
+	return account.Balance("USDT")
+}

pkg/strategy/newTest/strategy.go

@@ -0,0 +1,470 @@
+package newTest
+
+import (
+	"context"
+	"fmt"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/util"
+	log "github.com/sirupsen/logrus"
+	"strings"
+	"sync"
+)
+
+const ID = "new_test"
+
+const (
+	ShortTag       = "short"
+	ShortProfitTag = "short_profit"
+	ShortLossTag   = "short_loss"
+
+	LongTag       = "long"
+	LongProfitTag = "long_profit"
+	LongLossTag   = "long_loss"
+)
+
+func init() {
+	qbtrade.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	*common.Strategy
+
+	Environment *qbtrade.Environment
+	markets     map[string]types.Market
+
+	// persistence fields
+	Positions   map[string]*types.Position `persistence:"position"`
+	ProfitStats *types.ProfitStats         `persistence:"profit_stats"`
+	//TradeStats  *types.TradeStats  `persistence:"trade_stats"`
+
+	//配置文件
+	ReCalculate bool             `json:"recalculate"`
+	OrderType   types.OrderType  `json:"orderType"`
+	Symbols     []string         `json:"symbols"`
+	Interval    types.Interval   `json:"interval"`
+	NRCount     int              `json:"nr_count"`
+	DryRun      bool             `json:"dry_run"`
+	ProfitRange fixedpoint.Value `json:"profitRange"`
+	LossRange   fixedpoint.Value `json:"lossRange"`
+	StrictMode  bool             `json:"strict_mode"`
+	Leverage    fixedpoint.Value `json:"leverage"`
+	qbtrade.QuantityOrAmount
+
+	// 计算NR的历史kline
+	CalKLines map[string][]types.KLine
+	// 符合NR的kline
+	LastNRCandles map[string]*types.KLine
+
+	session        *qbtrade.ExchangeSession
+	orderExecutors map[string]*qbtrade.GeneralOrderExecutor
+
+	//AccountValueCalculator *qbtrade.AccountValueCalculator
+
+	qbtrade.StrategyController
+
+	ordered     map[string]bool   // 是否已经下单
+	orderedSide map[string]string // 成交单的方向
+
+	LongOrder        map[string]types.SubmitOrder
+	LongProfitOrder  map[string]types.SubmitOrder
+	LongLossOrder    map[string]types.SubmitOrder
+	ShortOrder       map[string]types.SubmitOrder
+	ShortProfitOrder map[string]types.SubmitOrder
+	ShortLossOrder   map[string]types.SubmitOrder
+}
+
+func (s *Strategy) Defaults() error {
+	if s.OrderType == "" {
+		log.Infof("order type is not set, using limit maker order type")
+		s.OrderType = types.OrderTypeLimit
+		//s.OrderType = types.OrderTypeStopLimit
+	}
+	return nil
+}
+
+func (s *Strategy) Initialize() error {
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
+
+	return nil
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s:%s:%s", ID, strings.Join(s.Symbols, "-"), s.Interval)
+}
+
+func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
+	for _, symbol := range s.Symbols {
+		session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
+		session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
+	}
+}
+
+func (s *Strategy) OnKLineClosed(ctx context.Context, kline types.KLine, symbol string) {
+	if s.ordered[symbol] {
+		return
+	}
+
+	calKLines := s.CalKLines[symbol]
+
+	if len(s.CalKLines) < s.NRCount {
+		return
+	}
+	nr := calKLines[len(calKLines)-1]
+	preNr := calKLines[len(calKLines)-2]
+	isNR := true
+
+	if preNr.High < nr.High || preNr.Low > nr.Low {
+		isNR = false
+		return
+	}
+
+	for i := len(calKLines) - s.NRCount; i < len(calKLines); i++ {
+		// 这种是所有的kline都要高于nr
+		//if s.CalKLines[i].High > nr.High || s.CalKLines[i].Low < nr.Low {
+		//	isNR = false
+		//	break
+		//}
+		if s.StrictMode {
+			if calKLines[i].High-calKLines[i].Low < nr.High-nr.Low {
+				isNR = false
+				break
+			}
+		} else {
+			if (calKLines[i].High-calKLines[i].Low)/calKLines[i].Low < (nr.High-nr.Low)/nr.Low {
+				isNR = false
+				break
+			}
+		}
+
+	}
+
+	if isNR {
+		s.LastNRCandles[symbol] = &nr
+		log.Infof("交易信号(%s)：%+v", symbol, kline)
+		s.placeOrders(ctx, symbol)
+		return
+	}
+}
+
+func (s *Strategy) cancelSideOrder(ctx context.Context, symbol string) {
+	if s.orderedSide[symbol] == "" || len(s.orderExecutors[symbol].ActiveMakerOrders().Orders()) <= 0 {
+		return
+	}
+
+	if s.orderedSide[symbol] == LongTag {
+		log.Infof("the long order is filled (%s), will cancel short order", symbol)
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortOrder[symbol]})
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortLossOrder[symbol]})
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortProfitOrder[symbol]})
+	} else {
+		log.Infof("the short order is filled (%s), will cancel short order", symbol)
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongOrder[symbol]})
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongLossOrder[symbol]})
+		s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongProfitOrder[symbol]})
+	}
+}
+
+func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
+	s.session = session
+	s.markets = s.session.Markets()
+
+	s.Positions = make(map[string]*types.Position)
+	s.CalKLines = make(map[string][]types.KLine)
+	s.LastNRCandles = make(map[string]*types.KLine)
+	s.orderExecutors = make(map[string]*qbtrade.GeneralOrderExecutor)
+	s.ordered = make(map[string]bool)
+	s.orderedSide = make(map[string]string)
+	s.LongOrder = make(map[string]types.SubmitOrder)
+	s.LongLossOrder = make(map[string]types.SubmitOrder)
+	s.LongProfitOrder = make(map[string]types.SubmitOrder)
+	s.ShortOrder = make(map[string]types.SubmitOrder)
+	s.ShortLossOrder = make(map[string]types.SubmitOrder)
+	s.ShortProfitOrder = make(map[string]types.SubmitOrder)
+
+	qbtrade.Notify("NR4策略开始执行...")
+
+	//for _, symbol := range s.Symbols {
+	//	s.Strategy.Initialize(ctx, s.Environment, session, s.markets[symbol], ID, s.InstanceID())
+	//}
+	//
+	for _, symbol := range s.Symbols {
+		s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
+	}
+	//
+	//if s.ProfitStats == nil {
+	//	s.ProfitStats = types.NewProfitStats(s.Market)
+	//}
+
+	//if s.TradeStats == nil {
+	//	s.TradeStats = types.NewTradeStats(s.Symbol)
+	//}
+
+	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)
+	})
+	for _, symbol := range s.Symbols {
+		s.orderExecutors[symbol] = qbtrade.NewGeneralOrderExecutor(session, symbol, ID, s.InstanceID(), s.Positions[symbol])
+		s.orderExecutors[symbol].BindEnvironment(s.Environment)
+		_ = s.orderExecutors[symbol].GracefulCancel(ctx)
+		//s.orderExecutors[symbol].BindProfitStats(s.ProfitStats)
+		//s.orderExecutor.BindTradeStats(s.TradeStats)
+
+		//s.orderExecutors[symbol].TradeCollector().OnPositionUpdate(func(position *types.Position) {
+		//	log.Infof("position is updated, symbol (%s): %+v", symbol, position)
+		//})
+	}
+
+	// AccountValueCalculator
+	//s.AccountValueCalculator = qbtrade.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
+
+	s.session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
+		for _, symbol := range s.Symbols {
+			if kline.Symbol != symbol {
+				continue
+			}
+			if !s.ordered[symbol] {
+				// 在下一根k线时没有成交订单则取消所有订单
+				s.cancelOrders(ctx, symbol)
+			} else {
+				// 如果有订单则不再进行NR的计算
+				return
+			}
+			s.CalKLines[symbol] = []types.KLine{}
+			// 获取历史最近的4根K线
+			if !s.ReCalculate {
+				lines, err := s.session.Exchange.QueryKLines(ctx, symbol, s.Interval, types.KLineQueryOptions{Limit: s.NRCount})
+				s.CalKLines[symbol] = lines
+				if err != nil {
+					util.LogErr(err, fmt.Sprintf("failed to close position %s", symbol))
+				}
+			}
+			if len(s.CalKLines) < s.NRCount {
+				s.CalKLines[symbol] = append(s.CalKLines[symbol], kline)
+			} else {
+				s.OnKLineClosed(ctx, kline, symbol)
+			}
+		}
+	})
+
+	// 监听市场的交易事件
+	//session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
+	//	// handle market trade event here
+	//	fmt.Println(trade)
+	//})
+	session.UserDataStream.OnOrderUpdate(func(order types.Order) {
+		orderSymbol := order.Symbol
+		log.Infof("the order is: %+v,id is %d type is %s, status is %s", order, order.OrderID, order.Type, order.Status)
+		s.cancelSideOrder(ctx, orderSymbol)
+		if order.Status == types.OrderStatusFilled {
+			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.ordered[orderSymbol] = true
+				s.orderedSide[orderSymbol] = LongTag
+				qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, LongTag, 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.ordered[orderSymbol] = true
+				s.orderedSide[orderSymbol] = ShortTag
+				qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, ShortTag, 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, order.Price)
+				s.ordered[orderSymbol] = false
+			}
+		} 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)
+	})
+
+	session.UserDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
+		log.Infof("balance update: %+v", balances)
+	})
+
+	qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+		qbtrade.Sync(ctx, s)
+	})
+
+	return nil
+}
+
+func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
+	if len(s.orderExecutors[symbol].ActiveMakerOrders().Orders()) <= 0 {
+		return
+	}
+	log.Infof("the order is not filled, will cancel all orders")
+	if err := s.orderExecutors[symbol].GracefulCancel(ctx); err != nil {
+		log.WithError(err).Errorf("failed to cancel orders")
+	}
+}
+
+func (s *Strategy) placeOrders(ctx context.Context, symbol string) {
+	orders, err := s.generateOrders(ctx, symbol)
+	if err != nil {
+		log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
+		return
+	}
+	log.Infof("orders: %+v", orders)
+
+	if s.DryRun {
+		log.Infof("dry run, not submitting orders (%s)", symbol)
+		return
+	}
+
+	createdOrders, err := s.orderExecutors[symbol].SubmitOrders(ctx, orders...)
+	if err != nil {
+		log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
+		return
+	}
+	log.Infof("created orders (%s): %+v", symbol, createdOrders)
+}
+
+func (s *Strategy) generateOrders(ctx context.Context, symbol string) ([]types.SubmitOrder, error) {
+	var orders []types.SubmitOrder
+	// 卖价
+	sellPrice := fixedpoint.NewFromFloat(s.LastNRCandles[symbol].High.Float64())
+	// 买价
+	buyPrice := fixedpoint.NewFromFloat(s.LastNRCandles[symbol].Low.Float64())
+
+	buyQuantity := s.QuantityOrAmount.CalculateQuantity(buyPrice).Mul(s.Leverage)
+	sellQuantity := s.QuantityOrAmount.CalculateQuantity(sellPrice).Mul(s.Leverage)
+	log.Infof("generateOrders (%s), sellPrice is %s, sellQuantity is %s, "+
+		"buyPrice is %s, buyQuantity is %s", symbol, sellPrice, sellQuantity, buyPrice, buyQuantity)
+	s.ShortOrder[symbol] = types.SubmitOrder{
+		Symbol:       symbol,
+		Side:         types.SideTypeSell,
+		Type:         s.OrderType,
+		Price:        sellPrice,
+		PositionSide: types.PositionSideTypeShort,
+		Quantity:     sellQuantity,
+		TimeInForce:  types.TimeInForceGTC,
+		Market:       s.markets[symbol],
+		Tag:          ShortTag,
+	}
+
+	s.ShortProfitOrder[symbol] = types.SubmitOrder{
+		Symbol:        symbol,
+		Side:          types.SideTypeBuy,
+		Type:          types.OrderTypeTakeProfitMarket,
+		PositionSide:  types.PositionSideTypeShort,
+		StopPrice:     sellPrice.Sub(sellPrice.Mul(s.ProfitRange)),
+		TimeInForce:   types.TimeInForceGTC,
+		Market:        s.markets[symbol],
+		Tag:           ShortProfitTag,
+		ClosePosition: true,
+	}
+
+	s.ShortLossOrder[symbol] = types.SubmitOrder{
+		Symbol:        symbol,
+		Side:          types.SideTypeBuy,
+		Type:          types.OrderTypeStopMarket,
+		PositionSide:  types.PositionSideTypeShort,
+		StopPrice:     buyPrice.Add(sellPrice.Mul(s.LossRange)),
+		TimeInForce:   types.TimeInForceGTC,
+		Market:        s.markets[symbol],
+		Tag:           ShortLossTag,
+		ClosePosition: true,
+	}
+
+	s.LongOrder[symbol] = types.SubmitOrder{
+		Symbol:       symbol,
+		Side:         types.SideTypeBuy,
+		Type:         s.OrderType,
+		Price:        buyPrice,
+		PositionSide: types.PositionSideTypeLong,
+		Quantity:     buyQuantity,
+		TimeInForce:  types.TimeInForceGTC,
+		Market:       s.markets[symbol],
+		Tag:          LongTag,
+	}
+
+	s.LongProfitOrder[symbol] = types.SubmitOrder{
+		Symbol:        symbol,
+		Side:          types.SideTypeSell,
+		Type:          types.OrderTypeTakeProfitMarket,
+		PositionSide:  types.PositionSideTypeLong,
+		StopPrice:     buyPrice.Add(buyPrice.Mul(s.ProfitRange)),
+		TimeInForce:   types.TimeInForceGTC,
+		Market:        s.markets[symbol],
+		Tag:           LongProfitTag,
+		ClosePosition: true,
+	}
+
+	s.LongLossOrder[symbol] = types.SubmitOrder{
+		Symbol:        symbol,
+		Side:          types.SideTypeSell,
+		Type:          types.OrderTypeStopMarket,
+		PositionSide:  types.PositionSideTypeLong,
+		StopPrice:     sellPrice.Sub(buyPrice.Mul(s.LossRange)),
+		TimeInForce:   types.TimeInForceGTC,
+		Market:        s.markets[symbol],
+		Tag:           LongLossTag,
+		ClosePosition: true,
+	}
+
+	//// 挂空单
+	//orders = append(orders, s.ShortOrder[symbol])
+	//// 挂多单
+	//orders = append(orders, s.LongOrder[symbol])
+	//
+	//// 空单止盈
+	//orders = append(orders, s.ShortProfitOrder[symbol])
+	//// 空单止损
+	//orders = append(orders, s.ShortLossOrder[symbol])
+	//
+	//// 多单止盈
+	//orders = append(orders, s.LongProfitOrder[symbol])
+	//// 多单止损
+	//orders = append(orders, s.LongLossOrder[symbol])
+
+	if s.LastNRCandles[symbol].Open > s.LastNRCandles[symbol].Close {
+		// 挂空单
+		orders = append(orders, s.ShortOrder[symbol])
+		// 空单止盈
+		orders = append(orders, s.ShortProfitOrder[symbol])
+		// 空单止损
+		orders = append(orders, s.ShortLossOrder[symbol])
+	}
+
+	if s.LastNRCandles[symbol].Open < s.LastNRCandles[symbol].Close {
+		// 挂多单
+		orders = append(orders, s.LongOrder[symbol])
+		// 多单止盈
+		orders = append(orders, s.LongProfitOrder[symbol])
+		// 多单止损
+		orders = append(orders, s.LongLossOrder[symbol])
+	}
+
+	return orders, nil
+}

pkg/types/order.go

@@ -74,11 +74,12 @@ func (t *MarginOrderSideEffectType) UnmarshalJSON(data []byte) error {
 type OrderType string
 
 const (
-	OrderTypeLimit      OrderType = "LIMIT"
+	OrderTypeLimit            OrderType = "LIMIT"
-	OrderTypeLimitMaker OrderType = "LIMIT_MAKER"
+	OrderTypeLimitMaker       OrderType = "LIMIT_MAKER"
-	OrderTypeMarket     OrderType = "MARKET"
+	OrderTypeMarket           OrderType = "MARKET"
-	OrderTypeStopLimit  OrderType = "STOP_LIMIT"
+	OrderTypeStopLimit        OrderType = "STOP_LIMIT"
-	OrderTypeStopMarket OrderType = "STOP_MARKET"
+	OrderTypeStopMarket       OrderType = "STOP_MARKET"
+	OrderTypeTakeProfitMarket OrderType = "TAKE_PROFIT_MARKET"
 )
 
 /*
@@ -125,9 +126,10 @@ func (o OrderStatus) Closed() bool {
 type SubmitOrder struct {
 	ClientOrderID string `json:"clientOrderID,omitempty" db:"client_order_id"`
 
-	Symbol string    `json:"symbol" db:"symbol"`
+	Symbol       string           `json:"symbol" db:"symbol"`
-	Side   SideType  `json:"side" db:"side"`
+	Side         SideType         `json:"side" db:"side"`
-	Type   OrderType `json:"orderType" db:"order_type"`
+	PositionSide PositionSideType `json:"positionSide" db:"positionSide"`
+	Type         OrderType        `json:"orderType" db:"order_type"`
 
 	Quantity fixedpoint.Value `json:"quantity" db:"quantity"`
 	Price    fixedpoint.Value `json:"price" db:"price"`

pkg/types/positionSide.go

@@ -0,0 +1,84 @@
+package types
+
+import (
+	"encoding/json"
+	"strings"
+
+	"github.com/pkg/errors"
+
+	"git.qtrade.icu/lychiyu/qbtrade/pkg/style"
+)
+
+// PositionSideType define side type of order
+type PositionSideType string
+
+const (
+	PositionSideTypeShort = PositionSideType("SHORT")
+	PositionSideTypeLong  = PositionSideType("LONG")
+)
+
+var ErrInvalidPositionSideType = errors.New("invalid position side type")
+
+func StrToPositionSideType(s string) (side PositionSideType, err error) {
+	switch strings.ToLower(s) {
+	case "LONG":
+		side = PositionSideTypeLong
+
+	case "SHORT":
+		side = PositionSideTypeShort
+
+	default:
+		err = ErrInvalidSideType
+		return side, err
+
+	}
+
+	return side, err
+}
+
+func (side *PositionSideType) UnmarshalJSON(data []byte) error {
+	var s string
+	if err := json.Unmarshal(data, &s); err != nil {
+		return err
+	}
+
+	ss, err := StrToPositionSideType(s)
+	if err != nil {
+		return err
+	}
+
+	*side = ss
+	return nil
+}
+
+func (side PositionSideType) Reverse() PositionSideType {
+	switch side {
+	case PositionSideTypeShort:
+		return PositionSideTypeShort
+
+	case PositionSideTypeLong:
+		return PositionSideTypeLong
+	}
+
+	return side
+}
+
+func (side PositionSideType) String() string {
+	return string(side)
+}
+
+func (side PositionSideType) Color() string {
+	if side == PositionSideTypeShort {
+		return style.GreenColor
+	}
+
+	if side == PositionSideTypeLong {
+		return style.RedColor
+	}
+
+	return style.GrayColor
+}
+
+func PositionSideToColorName(side PositionSideType) string {
+	return side.Color()
+}