522 lines
16 KiB
Go
522 lines
16 KiB
Go
package ccinr
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import (
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"context"
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"fmt"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/exchange/binance"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/fixedpoint"
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indicatorv2 "git.qtrade.icu/lychiyu/qbtrade/pkg/indicator/v2"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/qbtrade"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/strategy/common"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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log "github.com/sirupsen/logrus"
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"strings"
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"sync"
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)
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const ID = "ccinr"
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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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Market types.Market
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Environment *qbtrade.Environment
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markets map[string]types.Market
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//Symbol string `json:"symbol"`
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Symbols []string `json:"symbols"`
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Interval types.Interval `json:"interval"`
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NrCount int `json:"nrCount"`
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StrictMode bool `json:"strictMode"`
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DryRun bool `json:"dryRun"`
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CCIWindow int `json:"cciWindow"`
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LongCCI fixedpoint.Value `json:"longCCI"`
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ShortCCI fixedpoint.Value `json:"shortCCI"`
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Leverage fixedpoint.Value `json:"leverage"`
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ProfitRange fixedpoint.Value `json:"profitRange"`
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LossRange fixedpoint.Value `json:"lossRange"`
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qbtrade.QuantityOrAmount
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//Position *types.Position `persistence:"position"`
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Positions map[string]*types.Position `persistence:"position"`
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ProfitStats map[string]*types.ProfitStats `persistence:"profit_stats"`
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ExchangeSession *qbtrade.ExchangeSession
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orderExecutor *qbtrade.GeneralOrderExecutor
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orderExecutors map[string]*qbtrade.GeneralOrderExecutor
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qbtrade.StrategyController
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Traded map[string]bool
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TradeType map[string]string
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TradeKLine map[string]types.KLine
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TradeRetry map[string]int
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// orders
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LongOrder map[string]types.SubmitOrder
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LongProfitOrder map[string]types.SubmitOrder
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LongLossOrder map[string]types.SubmitOrder
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ShortOrder map[string]types.SubmitOrder
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ShortProfitOrder map[string]types.SubmitOrder
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ShortLossOrder map[string]types.SubmitOrder
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// 开仓
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OpenTrade map[string][]types.Trade
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// 清仓
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EndTrade map[string][]types.Trade
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OpenQuantity map[string]fixedpoint.Value
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EndQuantity map[string]fixedpoint.Value
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nr map[string]*indicatorv2.NRStrean
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cci map[string]*indicatorv2.CCIStream
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}
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func (s *Strategy) ID() string {
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return ID
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}
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func (s *Strategy) Subscribe(session *qbtrade.ExchangeSession) {
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for _, symbol := range s.Symbols {
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session.Subscribe(types.KLineChannel, symbol, types.SubscribeOptions{Interval: s.Interval})
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session.Subscribe(types.MarketTradeChannel, symbol, types.SubscribeOptions{})
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}
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}
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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) InstanceID() string {
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return fmt.Sprintf("%s:%s:%s", ID, strings.Join(s.Symbols, "-"), s.Interval)
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}
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func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error {
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return s.orderExecutor.ClosePosition(ctx, percentage)
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}
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func (s *Strategy) CurrentPosition() *types.Position {
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return s.Position
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}
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func (s *Strategy) cancelOrders(ctx context.Context, symbol string) {
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if len(s.orderExecutors[symbol].ActiveMakerOrders().Orders()) <= 0 {
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return
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}
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log.Infof(fmt.Sprintf("[%s] the order is not filled, will cancel all orders", symbol))
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if err := s.orderExecutors[symbol].GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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s.Traded[symbol] = false
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s.TradeType[symbol] = ""
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s.TradeRetry[symbol] = 0
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}
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func (s *Strategy) placeOrders(ctx context.Context, kline types.KLine) {
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symbol := kline.Symbol
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orders, err := s.generateOrders(ctx, kline)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to generate orders (%s)", symbol))
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return
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}
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log.Infof("orders: %+v", orders)
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if s.DryRun {
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log.Infof("dry run, not submitting orders (%s)", symbol)
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return
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}
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createdOrders, err := s.orderExecutors[symbol].SubmitOrders(ctx, orders...)
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if err != nil {
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log.WithError(err).Error(fmt.Sprintf("failed to submit orders (%s)", symbol))
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return
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}
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log.Infof("created orders (%s): %+v", symbol, createdOrders)
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return
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}
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func (s *Strategy) generateOrders(ctx context.Context, kline types.KLine) ([]types.SubmitOrder, error) {
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var orders []types.SubmitOrder
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symbol := kline.Symbol
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log.Infof(fmt.Sprintf("place order keline info: symbol %s, high %v, low %v, open %v, close %v", symbol,
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kline.High.Float64(), kline.Low.Float64(), kline.Open.Float64(), kline.Close.Float64()))
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placePrice := fixedpoint.Value(0)
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//midPrice := (kline.High.Add(kline.Low)).Div(fixedpoint.Value(2.0))
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//midP := (kline.High + kline.Low) / 2
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if s.TradeType[symbol] == "long" {
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placePrice = kline.Low
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//placePrice = midP
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} else if s.TradeType[symbol] == "short" {
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placePrice = kline.High
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//placePrice = midP
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} else {
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return orders, nil
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}
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// 下单数量
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placeQuantity := s.QuantityOrAmount.CalculateQuantity(placePrice).Mul(s.Leverage)
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log.Infof(fmt.Sprintf("will place order, price %v, quantity %v", placePrice.Float64(),
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placeQuantity.Float64()))
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s.ShortOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeShort,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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s.ShortProfitOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeTakeProfitMarket,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Sub(placePrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.ShortLossOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeShort,
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StopPrice: placePrice.Add(placePrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.LongOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeBuy,
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Type: types.OrderTypeLimit,
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Price: placePrice,
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PositionSide: types.PositionSideTypeLong,
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Quantity: placeQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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}
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s.LongProfitOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeTakeProfitMarket,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Add(placePrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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s.LongLossOrder[symbol] = types.SubmitOrder{
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Symbol: symbol,
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Side: types.SideTypeSell,
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Type: types.OrderTypeStopMarket,
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PositionSide: types.PositionSideTypeLong,
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StopPrice: placePrice.Sub(placePrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.Market,
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ClosePosition: true,
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}
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if s.TradeType[symbol] == "short" {
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// 挂空单
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orders = append(orders, s.ShortOrder[symbol])
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// 空单止盈
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orders = append(orders, s.ShortProfitOrder[symbol])
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// 空单止损
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orders = append(orders, s.ShortLossOrder[symbol])
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}
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if s.TradeType[symbol] == "long" {
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// 挂多单
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orders = append(orders, s.LongOrder[symbol])
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// 多单止盈
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orders = append(orders, s.LongProfitOrder[symbol])
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// 多单止损
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orders = append(orders, s.LongLossOrder[symbol])
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}
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return orders, nil
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}
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func (s *Strategy) notifyProfit(ctx context.Context, symbol string) {
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if s.EndQuantity[symbol] != s.OpenQuantity[symbol] {
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return
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}
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profit := 0.
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openProfit := fixedpoint.Value(0)
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endProfit := fixedpoint.Value(0)
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free := fixedpoint.Value(0)
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var openMsgs []string
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var endMsgs []string
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// 开仓成本
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for _, trade := range s.OpenTrade[symbol] {
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openProfit = openProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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openMsgs = append(openMsgs, fmt.Sprintf("价格：%v, 数量：%v, 手续费：%v；",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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// 清仓资产
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for _, trade := range s.EndTrade[symbol] {
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endProfit = endProfit.Add(trade.Price.Mul(trade.Quantity))
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free = free.Add(trade.Fee)
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endMsgs = append(endMsgs, fmt.Sprintf("价格：%v, 数量：%v, 手续费：%v；",
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trade.Price.Float64(), trade.Quantity.Float64(), trade.Fee.Float64()))
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}
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side := s.OpenTrade[symbol][0].Side
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// 做多
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if side == types.SideTypeBuy {
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profit = (endProfit - openProfit - free).Float64()
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}
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// 做空
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if side == types.SideTypeSell {
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profit = (openProfit - endProfit - free).Float64()
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}
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msg := fmt.Sprintf("交易完成：\n 币种: %s, 方向：%v, 收益：%v, 手续费：%v \n Trade详情：\n 开仓Trade：\n %s\n 清仓Trade：\n %s",
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symbol, s.TradeType, profit, free.Float64(), strings.Join(openMsgs, "\n"), strings.Join(endMsgs, "\n"))
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log.Infof(msg)
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qbtrade.Notify(msg)
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// 重置
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s.OpenTrade[symbol] = []types.Trade{}
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s.EndTrade[symbol] = []types.Trade{}
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s.OpenQuantity[symbol] = fixedpoint.Value(0)
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s.EndQuantity[symbol] = fixedpoint.Value(0)
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}
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func (s *Strategy) Run(ctx context.Context, orderExecutor qbtrade.OrderExecutor, session *qbtrade.ExchangeSession) error {
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s.ExchangeSession = session
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s.markets = s.ExchangeSession.Markets()
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s.Positions = make(map[string]*types.Position)
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s.ProfitStats = make(map[string]*types.ProfitStats)
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s.orderExecutors = make(map[string]*qbtrade.GeneralOrderExecutor)
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s.Traded = make(map[string]bool)
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s.TradeType = make(map[string]string)
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s.TradeKLine = make(map[string]types.KLine)
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s.TradeRetry = make(map[string]int)
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s.ShortOrder = make(map[string]types.SubmitOrder)
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s.ShortProfitOrder = make(map[string]types.SubmitOrder)
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s.ShortLossOrder = make(map[string]types.SubmitOrder)
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s.LongOrder = make(map[string]types.SubmitOrder)
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s.LongProfitOrder = make(map[string]types.SubmitOrder)
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s.LongLossOrder = make(map[string]types.SubmitOrder)
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s.OpenTrade = make(map[string][]types.Trade)
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s.EndTrade = make(map[string][]types.Trade)
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s.OpenQuantity = make(map[string]fixedpoint.Value)
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s.EndQuantity = make(map[string]fixedpoint.Value)
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s.nr = make(map[string]*indicatorv2.NRStrean)
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s.cci = make(map[string]*indicatorv2.CCIStream)
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for _, symbol := range s.Symbols {
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s.Positions[symbol] = types.NewPositionFromMarket(s.markets[symbol])
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s.ProfitStats[symbol] = types.NewProfitStats(s.markets[symbol])
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s.orderExecutors[symbol] = qbtrade.NewGeneralOrderExecutor(session, symbol, ID, s.InstanceID(), s.Positions[symbol])
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s.orderExecutors[symbol].BindEnvironment(s.Environment)
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_ = s.orderExecutors[symbol].GracefulCancel(ctx)
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//s.orderExecutors[symbol].BindProfitStats(s.ProfitStats[symbol])
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//s.orderExecutors[symbol].TradeCollector().OnPositionUpdate(func(position *types.Position) {
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// qbtrade.Sync(ctx, s)
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//})
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s.orderExecutors[symbol].Bind()
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// 初始化
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s.Traded[symbol] = false
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s.TradeType[symbol] = ""
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}
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qbtrade.Notify("CCINR策略开始执行...")
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for _, symbol := range s.Symbols {
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s.nr[symbol] = session.Indicators(symbol).NR(s.Interval, s.NrCount, s.StrictMode)
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s.cci[symbol] = session.Indicators(symbol).CCI(s.Interval, s.CCIWindow)
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s.TradeRetry[symbol] = 0
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}
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session.MarketDataStream.OnKLineClosed(func(k types.KLine) {
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for _, symbol := range s.Symbols {
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if k.Symbol != symbol || k.Interval != s.Interval {
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continue
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}
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if !s.Traded[symbol] {
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// 如若在下一根k线未成交 则取消订单
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if s.TradeType[symbol] != "" && s.TradeRetry[symbol] > 10 {
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qbtrade.Notify(fmt.Sprintf("交易信号未成交，取消订单: %s", symbol))
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s.cancelOrders(ctx, symbol)
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}
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if s.TradeType[symbol] != "" && s.TradeRetry[symbol] <= 10 {
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s.TradeRetry[symbol] = s.TradeRetry[symbol] + 1
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}
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}
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s.TradeKLine[symbol] = k
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}
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})
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for _, symbol := range s.Symbols {
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sym := symbol
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s.nr[sym].OnUpdate(func(v float64) {
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if s.Traded[sym] {
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return
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}
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cciV := s.cci[sym].Last(0)
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if cciV <= s.LongCCI.Float64() {
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s.TradeType[sym] = "long"
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} else if cciV >= s.ShortCCI.Float64() {
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s.TradeType[sym] = "short"
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} else {
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return
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}
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msg := fmt.Sprintf("交易信号：币种：%s, 方向 %s, 时间: %s, 最高价：%f，最低价:%f, CCI: %v",
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sym, s.TradeType[sym], s.nr[sym].NrKLine.GetStartTime(), s.nr[sym].NrKLine.High.Float64(),
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s.nr[sym].NrKLine.Low.Float64(), cciV)
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qbtrade.Notify(msg)
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tk := s.TradeKLine[sym]
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s.placeOrders(ctx, tk)
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})
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}
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//
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//session.MarketDataStream.OnMarketTrade(func(trade types.Trade) {
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// // handle market trade event here
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// fmt.Println(trade)
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//})
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b, ok := s.getBalance(ctx)
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fmt.Println(b, ok)
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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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orderSymbol := order.Symbol
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if order.Status == types.OrderStatusFilled {
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if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeBuy {
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log.Infof("the long order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
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order, order.OrderID, orderSymbol, order.Type, order.Status)
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s.Traded[orderSymbol] = true
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s.TradeRetry[orderSymbol] = 0
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qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
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order.Price, order.Quantity)
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}
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if order.Type == types.OrderTypeLimit && order.Side == types.SideTypeSell {
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log.Infof("the short order is filled: %+v,id is %d, symbol is %s, type is %s, status is %s",
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order, order.OrderID, orderSymbol, order.Type, order.Status)
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s.Traded[orderSymbol] = true
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s.TradeRetry[orderSymbol] = 0
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qbtrade.Notify("订单成交通知：\n 币种：%s, 方向：%s, 价格：%s, 数量：%s", order.Symbol, s.TradeType,
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order.Price, order.Quantity)
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}
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if order.Type == types.OrderTypeMarket {
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log.Infof("the loss or profit order is filled: %+v,id is %d, symbol is %s, type is %s, "+
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"status is %s", order, order.OrderID, orderSymbol, order.Type, order.Status)
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qbtrade.Notify("订单止盈或止损通知：\n %s", order.Symbol)
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s.Traded[orderSymbol] = false
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s.TradeRetry[orderSymbol] = 0
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s.TradeType[orderSymbol] = ""
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} else {
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log.Infof("the order is: %+v,id is %d, symbol is %s, type is %s, status is %s",
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order, order.OrderID, orderSymbol, order.Type, order.Status)
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}
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}
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})
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session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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symbol := trade.Symbol
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if (trade.Side == types.SideTypeBuy && s.TradeType[symbol] == "long") || (trade.Side == types.SideTypeSell && s.TradeType[symbol] == "short") {
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s.OpenTrade[symbol] = append(s.OpenTrade[symbol], trade)
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s.OpenQuantity[symbol] += trade.Quantity
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}
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if (trade.Side == types.SideTypeSell && s.TradeType[symbol] == "long") || (trade.Side == types.SideTypeBuy && s.TradeType[symbol] == "short") {
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s.EndTrade[symbol] = append(s.EndTrade[symbol], trade)
|
||
s.EndQuantity[symbol] += trade.Quantity
|
||
s.notifyProfit(ctx, symbol)
|
||
}
|
||
log.Infof("trade: symbol %s, side %s, price %f, fee %f, quantity %f, buyer %v, maker %v",
|
||
symbol, trade.Side, trade.Price.Float64(), trade.Fee.Float64(), trade.Quantity.Float64(),
|
||
trade.IsBuyer, trade.IsMaker)
|
||
})
|
||
|
||
s.OnSuspend(func() {
|
||
// Cancel active orders
|
||
for _, symbol := range s.Symbols {
|
||
_ = s.orderExecutors[symbol].GracefulCancel(ctx)
|
||
}
|
||
})
|
||
|
||
s.OnEmergencyStop(func() {
|
||
// Cancel active orders
|
||
for _, symbol := range s.Symbols {
|
||
_ = s.orderExecutors[symbol].GracefulCancel(ctx)
|
||
}
|
||
// Close 100% position
|
||
//_ = s.ClosePosition(ctx, fixedpoint.One)
|
||
})
|
||
|
||
qbtrade.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
|
||
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) {
|
||
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")
|
||
}
|