update the test strategy
This commit is contained in:
parent
165d184d4a
commit
ef261d01f3
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@ -9,13 +9,13 @@ notifications:
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submitOrder: true
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sessions:
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# binance:
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# exchange: binance
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# envVarPrefix: binance
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binance:
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exchange: binance
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envVarPrefix: binance
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max:
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exchange: max
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envVarPrefix: MAX
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# max:
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# exchange: max
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# envVarPrefix: MAX
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riskControls:
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# This is the session-based risk controller, which let you configure different risk controller by session.
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@ -26,7 +26,7 @@ riskControls:
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orderExecutor:
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# symbol-routed order executor
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bySymbol:
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BTCUSDT:
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ARUSDT:
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# basic risk control order executor
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basic:
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minQuoteBalance: 1000.0
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40
config/ccinr.yaml
Normal file
40
config/ccinr.yaml
Normal file
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@ -0,0 +1,40 @@
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sessions:
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binance_futures:
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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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ccinr:
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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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# - SOLUSDT
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# - WIFUSDT
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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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interval: 1m
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symbol: ARUSDT
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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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@ -21,7 +21,7 @@ sync:
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filledOrders: false
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# since is the start date of your trading data
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since: 2019-01-01
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since: 2024-01-01
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# sessions is the list of session names you want to sync
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# by default, qbtrade sync all your available sessions.
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@ -31,7 +31,11 @@ sync:
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# symbols is the list of symbols you want to sync
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# by default, qbtrade try to guess your symbols by your existing account balances.
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symbols:
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- BTCUSDT
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- ARUSDT
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- OPUSDT
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- ORDIUSDT
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- CFXUSDT
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- BNXUSDT
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# example command:
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# go run ./cmd/qbtrade backtest --config config/grid2.yaml --base-asset-baseline
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40
config/new_test.yaml
Normal file
40
config/new_test.yaml
Normal file
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@ -0,0 +1,40 @@
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sessions:
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binance_futures:
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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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new_test:
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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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# - SOLUSDT
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# - WIFUSDT
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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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interval: 1m
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# symbol: ARUSDT
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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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@ -190,6 +190,8 @@ func init() {
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RootCmd.PersistentFlags().String("telegram-bot-token", "", "telegram bot token from bot father")
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RootCmd.PersistentFlags().String("telegram-bot-auth-token", "", "telegram auth token")
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RootCmd.PersistentFlags().String("lark-bot-token", "", "lark bot token")
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RootCmd.PersistentFlags().String("binance-api-key", "", "binance api key")
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RootCmd.PersistentFlags().String("binance-api-secret", "", "binance api secret")
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@ -8,6 +8,7 @@ import (
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/autobuy"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/bollgrid"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/bollmaker"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/ccinr"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/convert"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/dca"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/deposit2transfer"
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@ -29,6 +30,7 @@ import (
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/linregmaker"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/liquiditymaker"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/marketcap"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/newTest"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pivotshort"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pricealert"
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_ "git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/pricedrop"
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@ -81,8 +81,8 @@ func toGlobalFuturesUserAssets(assets []*binanceapi.FuturesAccountAsset) (retAss
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func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, error) {
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switch orderType {
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// case types.OrderTypeLimitMaker:
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// return futures.OrderTypeLimitMaker, nil //TODO
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//case types.OrderTypeLimitMaker:
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// return futures.OrderTypeLimitMaker, nil //TODO
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case types.OrderTypeLimit, types.OrderTypeLimitMaker:
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return futures.OrderTypeLimit, nil
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@ -90,8 +90,11 @@ func toLocalFuturesOrderType(orderType types.OrderType) (futures.OrderType, erro
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// case types.OrderTypeStopLimit:
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// return futures.OrderTypeStopLossLimit, nil //TODO
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// case types.OrderTypeStopMarket:
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// return futures.OrderTypeStopLoss, nil //TODO
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case types.OrderTypeTakeProfitMarket:
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return futures.OrderTypeTakeProfitMarket, nil
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case types.OrderTypeStopMarket:
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return futures.OrderTypeStopMarket, nil //TODO
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case types.OrderTypeMarket:
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return futures.OrderTypeMarket, nil
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@ -207,12 +210,8 @@ func toGlobalFuturesOrderType(orderType futures.OrderType) types.OrderType {
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// FIXME: handle this order type
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// case futures.OrderTypeTrailingStopMarket:
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case futures.OrderTypeTakeProfit:
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return types.OrderTypeStopLimit
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case futures.OrderTypeTakeProfitMarket:
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return types.OrderTypeStopMarket
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return types.OrderTypeTakeProfitMarket
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case futures.OrderTypeStopMarket:
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return types.OrderTypeStopMarket
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@ -3,6 +3,8 @@ package binance
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import (
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"context"
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"fmt"
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"net/http"
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"net/url"
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"strconv"
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"strings"
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"sync"
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@ -90,7 +92,7 @@ type Exchange struct {
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var timeSetterOnce sync.Once
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func New(key, secret string) *Exchange {
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func New(key, secret, proxy string) *Exchange {
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if util.IsPaperTrade() {
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binance.UseTestnet = true
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}
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@ -101,7 +103,6 @@ func New(key, secret string) *Exchange {
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var futuresClient = binance.NewFuturesClient(key, secret)
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futuresClient.HTTPClient = binanceapi.DefaultHttpClient
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futuresClient.Debug = viper.GetBool("debug-binance-futures-client")
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if isBinanceUs() {
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client.BaseURL = BinanceUSBaseURL
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}
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@ -109,6 +110,19 @@ func New(key, secret string) *Exchange {
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client2 := binanceapi.NewClient(client.BaseURL)
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futuresClient2 := binanceapi.NewFuturesRestClient(futuresClient.BaseURL)
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if proxy != "" {
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proxyURL, err := url.Parse(proxy)
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if err == nil {
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proxyTransport := &http.Transport{
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Proxy: http.ProxyURL(proxyURL),
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}
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client.HTTPClient.Transport = proxyTransport
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futuresClient.HTTPClient.Transport = proxyTransport
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client2.HttpClient.Transport = proxyTransport
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futuresClient2.HttpClient.Transport = proxyTransport
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}
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}
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ex := &Exchange{
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key: key,
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secret: secret,
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@ -139,7 +139,8 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
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req := e.futuresClient.NewCreateOrderService().
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Symbol(order.Symbol).
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Type(orderType).
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Side(futures.SideType(order.Side))
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Side(futures.SideType(order.Side)).
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PositionSide(futures.PositionSideType(order.PositionSide))
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if order.ReduceOnly {
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req.ReduceOnly(order.ReduceOnly)
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@ -178,7 +179,7 @@ func (e *Exchange) submitFuturesOrder(ctx context.Context, order types.SubmitOrd
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// set stop price
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switch order.Type {
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case types.OrderTypeStopLimit, types.OrderTypeStopMarket:
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case types.OrderTypeStopLimit, types.OrderTypeStopMarket, types.OrderTypeTakeProfitMarket:
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if order.Market.Symbol != "" {
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req.StopPrice(order.Market.FormatPrice(order.StopPrice))
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} else {
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@ -15,7 +15,7 @@ import (
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)
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func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
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exMinimal, err := New(exchangeName, "", "", "")
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exMinimal, err := New(exchangeName, "", "", "", "")
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if err != nil {
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return nil, err
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}
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@ -27,11 +27,11 @@ func NewPublic(exchangeName types.ExchangeName) (types.Exchange, error) {
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return nil, fmt.Errorf("exchange %T does not implement types.Exchange", exMinimal)
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}
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func New(n types.ExchangeName, key, secret, passphrase string) (types.ExchangeMinimal, error) {
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func New(n types.ExchangeName, key, secret, passphrase, proxy string) (types.ExchangeMinimal, error) {
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switch n {
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case types.ExchangeBinance:
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return binance.New(key, secret), nil
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return binance.New(key, secret, proxy), nil
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case types.ExchangeMax:
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return max.New(key, secret), nil
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@ -70,5 +70,6 @@ func NewWithEnvVarPrefix(n types.ExchangeName, varPrefix string) (types.Exchange
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}
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passphrase := os.Getenv(varPrefix + "_API_PASSPHRASE")
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return New(n, key, secret, passphrase)
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proxy := os.Getenv(varPrefix + "_PROXY")
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return New(n, key, secret, passphrase, proxy)
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}
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70
pkg/indicator/v2/nr.go
Normal file
70
pkg/indicator/v2/nr.go
Normal file
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@ -0,0 +1,70 @@
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package indicatorv2
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import (
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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type NRStrean struct {
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*types.Float64Series
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nrCount int
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kLines []types.KLine
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strictMode bool
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NrKLine types.KLine
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}
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func NR(source KLineSubscription, nrCount int, strictMode bool) *NRStrean {
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s := &NRStrean{
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nrCount: nrCount,
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Float64Series: types.NewFloat64Series(),
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}
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source.AddSubscriber(func(k types.KLine) {
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s.calculateAndPush(k)
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})
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return s
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}
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func (s *NRStrean) calculateAndPush(k types.KLine) {
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s.kLines = append(s.kLines, k)
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if len(s.kLines) < s.nrCount {
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return
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}
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nr := s.kLines[len(s.kLines)-1]
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preNr := s.kLines[len(s.kLines)-2]
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isNR := true
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if preNr.High < nr.High || preNr.Low > nr.Low {
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isNR = false
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return
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}
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for i := len(s.kLines) - s.nrCount; i < len(s.kLines); i++ {
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// 这种是所有的kline都要高于nr
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//if s.CalKLines[i].High > nr.High || s.CalKLines[i].Low < nr.Low {
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// isNR = false
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// break
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//}
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if s.strictMode {
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if s.kLines[i].High-s.kLines[i].Low < nr.High-nr.Low {
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isNR = false
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break
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}
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} else {
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if (s.kLines[i].High-s.kLines[i].Low)/s.kLines[i].Low < (nr.High-nr.Low)/nr.Low {
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isNR = false
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break
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}
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}
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}
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if isNR {
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s.NrKLine = nr
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s.PushAndEmit(nr.High.Float64())
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}
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return
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}
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195
pkg/notifier/larknotifier/lark.go
Normal file
195
pkg/notifier/larknotifier/lark.go
Normal file
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@ -0,0 +1,195 @@
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package larknotifier
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import (
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"bytes"
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"context"
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"encoding/json"
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"fmt"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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"github.com/sirupsen/logrus"
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"golang.org/x/time/rate"
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"net/http"
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"reflect"
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"time"
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)
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var apiLimiter = rate.NewLimiter(rate.Every(time.Second), 5)
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var log = logrus.WithField("service", "lark")
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type notifyTask struct {
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message string
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}
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type Notifier struct {
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token string
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taskC chan notifyTask
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}
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type Option func(notifier *Notifier)
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type TextMessage struct {
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MsgType string `json:"msg_type"`
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Content struct {
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Text string `json:"text"`
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} `json:"content"`
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}
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func getLocDateTimeString() string {
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loc, err := time.LoadLocation("Asia/Shanghai")
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if err != nil {
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fmt.Println("Error loading location:", err)
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return ""
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}
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// 获取当前东八区时间
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currentTime := time.Now().In(loc)
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// 格式化时间
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formattedTime := currentTime.Format("2006-01-02 15:04:05")
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return formattedTime
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}
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func sendLarkMessage(token, text string) error {
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// 创建消息结构体
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message := TextMessage{
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MsgType: "text",
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Content: struct {
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Text string `json:"text"`
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}{
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Text: fmt.Sprintf("通知时间:%s\n内容:\n%s", getLocDateTimeString(), text),
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},
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}
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// 将消息结构体序列化为 JSON
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jsonData, err := json.Marshal(message)
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if err != nil {
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return fmt.Errorf("failed to marshal JSON: %v", err)
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}
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webhookURL := fmt.Sprintf("https://open.larksuite.com/open-apis/bot/v2/hook/%s", token)
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// 创建 HTTP POST 请求
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req, err := http.NewRequest("POST", webhookURL, bytes.NewBuffer(jsonData))
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if err != nil {
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return fmt.Errorf("failed to create request: %v", err)
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}
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req.Header.Set("Content-Type", "application/json")
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// 发送 HTTP 请求
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client := &http.Client{}
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resp, err := client.Do(req)
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if err != nil {
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return fmt.Errorf("failed to send request: %v", err)
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}
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defer resp.Body.Close()
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// 检查响应状态码
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if resp.StatusCode != http.StatusOK {
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return fmt.Errorf("request failed with status code: %d", resp.StatusCode)
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}
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return nil
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}
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func New(token string, options ...Option) *Notifier {
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notifier := &Notifier{
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token: token,
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taskC: make(chan notifyTask, 100),
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}
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for _, o := range options {
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o(notifier)
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}
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go notifier.worker()
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return notifier
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}
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func (n *Notifier) worker() {
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ctx := context.Background()
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for {
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select {
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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
|
||||
}
|
45
pkg/notifier/larknotifier/logrus_look.go
Normal file
45
pkg/notifier/larknotifier/logrus_look.go
Normal file
|
@ -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
|
||||
}
|
|
@ -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
|
||||
|
|
|
@ -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)
|
||||
}
|
||||
|
|
|
@ -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)
|
||||
}
|
||||
|
|
|
@ -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)
|
||||
|
|
128
pkg/strategy/ccinr/strategy.go
Normal file
128
pkg/strategy/ccinr/strategy.go
Normal file
|
@ -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")
|
||||
}
|
470
pkg/strategy/newTest/strategy.go
Normal file
470
pkg/strategy/newTest/strategy.go
Normal file
|
@ -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
|
||||
}
|
|
@ -74,11 +74,12 @@ func (t *MarginOrderSideEffectType) UnmarshalJSON(data []byte) error {
|
|||
type OrderType string
|
||||
|
||||
const (
|
||||
OrderTypeLimit OrderType = "LIMIT"
|
||||
OrderTypeLimitMaker OrderType = "LIMIT_MAKER"
|
||||
OrderTypeMarket OrderType = "MARKET"
|
||||
OrderTypeStopLimit OrderType = "STOP_LIMIT"
|
||||
OrderTypeStopMarket OrderType = "STOP_MARKET"
|
||||
OrderTypeLimit OrderType = "LIMIT"
|
||||
OrderTypeLimitMaker OrderType = "LIMIT_MAKER"
|
||||
OrderTypeMarket OrderType = "MARKET"
|
||||
OrderTypeStopLimit OrderType = "STOP_LIMIT"
|
||||
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"`
|
||||
Side SideType `json:"side" db:"side"`
|
||||
Type OrderType `json:"orderType" db:"order_type"`
|
||||
Symbol string `json:"symbol" db:"symbol"`
|
||||
Side SideType `json:"side" db:"side"`
|
||||
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"`
|
||||
|
|
84
pkg/types/positionSide.go
Normal file
84
pkg/types/positionSide.go
Normal file
|
@ -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()
|
||||
}
|
Loading…
Reference in New Issue
Block a user