103 lines
2.7 KiB
Go
103 lines
2.7 KiB
Go
package emacross
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import (
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"context"
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"fmt"
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"sync"
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log "github.com/sirupsen/logrus"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/qbtrade/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/util"
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)
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const ID = "emacross"
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func init() {
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qbtrade.RegisterStrategy(ID, &Strategy{})
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}
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type Strategy struct {
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*common.Strategy
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Environment *qbtrade.Environment
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Market types.Market
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Symbol string `json:"symbol"`
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Interval types.Interval `json:"interval"`
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SlowWindow int `json:"slowWindow"`
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FastWindow int `json:"fastWindow"`
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OpenBelow fixedpoint.Value `json:"openBelow"`
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CloseAbove fixedpoint.Value `json:"closeAbove"`
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lastKLine types.KLine
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qbtrade.OpenPositionOptions
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) InstanceID() string {
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return fmt.Sprintf("%s:%s:%s:%d-%d", ID, s.Symbol, s.Interval, s.FastWindow, s.SlowWindow)
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}
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func (s *Strategy) Initialize() error {
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if s.Strategy == nil {
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s.Strategy = &common.Strategy{}
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}
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return nil
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}
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func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
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}
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func (s *Strategy) Run(ctx context.Context, _ qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
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s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
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session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval5m, func(k types.KLine) {
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s.lastKLine = k
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}))
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fastEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
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slowEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
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cross := indicatorv2.Cross(fastEMA, slowEMA)
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cross.OnUpdate(func(v float64) {
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switch indicatorv2.CrossType(v) {
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case indicatorv2.CrossOver:
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if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("unable to cancel order")
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}
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opts := s.OpenPositionOptions
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opts.Long = true
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if price, ok := session.LastPrice(s.Symbol); ok {
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opts.Price = price
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}
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opts.Tags = []string{"emaCrossOver"}
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_, err := s.Strategy.OrderExecutor.OpenPosition(ctx, opts)
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util.LogErr(err, "unable to open position")
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case indicatorv2.CrossUnder:
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err := s.Strategy.OrderExecutor.ClosePosition(ctx, fixedpoint.One)
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util.LogErr(err, "unable to submit close position order")
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}
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})
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qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
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defer wg.Done()
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qbtrade.Sync(ctx, s)
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})
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return nil
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}
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