471 lines
15 KiB
Go
471 lines
15 KiB
Go
package newTest
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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/fixedpoint"
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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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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 = "new_test"
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const (
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ShortTag = "short"
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ShortProfitTag = "short_profit"
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ShortLossTag = "short_loss"
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LongTag = "long"
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LongProfitTag = "long_profit"
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LongLossTag = "long_loss"
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)
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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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markets map[string]types.Market
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// persistence fields
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Positions map[string]*types.Position `persistence:"position"`
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ProfitStats *types.ProfitStats `persistence:"profit_stats"`
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//TradeStats *types.TradeStats `persistence:"trade_stats"`
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//配置文件
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ReCalculate bool `json:"recalculate"`
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OrderType types.OrderType `json:"orderType"`
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Symbols []string `json:"symbols"`
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Interval types.Interval `json:"interval"`
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NRCount int `json:"nr_count"`
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DryRun bool `json:"dry_run"`
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ProfitRange fixedpoint.Value `json:"profitRange"`
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LossRange fixedpoint.Value `json:"lossRange"`
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StrictMode bool `json:"strict_mode"`
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Leverage fixedpoint.Value `json:"leverage"`
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qbtrade.QuantityOrAmount
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// 计算NR的历史kline
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CalKLines map[string][]types.KLine
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// 符合NR的kline
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LastNRCandles map[string]*types.KLine
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session *qbtrade.ExchangeSession
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orderExecutors map[string]*qbtrade.GeneralOrderExecutor
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//AccountValueCalculator *qbtrade.AccountValueCalculator
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qbtrade.StrategyController
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ordered map[string]bool // 是否已经下单
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orderedSide map[string]string // 成交单的方向
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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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}
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func (s *Strategy) Defaults() error {
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if s.OrderType == "" {
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log.Infof("order type is not set, using limit maker order type")
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s.OrderType = types.OrderTypeLimit
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//s.OrderType = types.OrderTypeStopLimit
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}
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return nil
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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) 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", ID, strings.Join(s.Symbols, "-"), s.Interval)
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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) OnKLineClosed(ctx context.Context, kline types.KLine, symbol string) {
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if s.ordered[symbol] {
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return
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}
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calKLines := s.CalKLines[symbol]
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if len(s.CalKLines) < s.NRCount {
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return
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}
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nr := calKLines[len(calKLines)-1]
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preNr := calKLines[len(calKLines)-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(calKLines) - s.NRCount; i < len(calKLines); 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 calKLines[i].High-calKLines[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 (calKLines[i].High-calKLines[i].Low)/calKLines[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.LastNRCandles[symbol] = &nr
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log.Infof("交易信号(%s)：%+v", symbol, kline)
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s.placeOrders(ctx, symbol)
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return
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}
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}
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func (s *Strategy) cancelSideOrder(ctx context.Context, symbol string) {
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if s.orderedSide[symbol] == "" || len(s.orderExecutors[symbol].ActiveMakerOrders().Orders()) <= 0 {
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return
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}
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if s.orderedSide[symbol] == LongTag {
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log.Infof("the long order is filled (%s), will cancel short order", symbol)
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortOrder[symbol]})
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortLossOrder[symbol]})
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.ShortProfitOrder[symbol]})
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} else {
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log.Infof("the short order is filled (%s), will cancel short order", symbol)
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongOrder[symbol]})
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongLossOrder[symbol]})
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s.orderExecutors[symbol].CancelOrders(ctx, types.Order{SubmitOrder: s.LongProfitOrder[symbol]})
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}
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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.session = session
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s.markets = s.session.Markets()
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s.Positions = make(map[string]*types.Position)
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s.CalKLines = make(map[string][]types.KLine)
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s.LastNRCandles = make(map[string]*types.KLine)
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s.orderExecutors = make(map[string]*qbtrade.GeneralOrderExecutor)
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s.ordered = make(map[string]bool)
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s.orderedSide = make(map[string]string)
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s.LongOrder = make(map[string]types.SubmitOrder)
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s.LongLossOrder = make(map[string]types.SubmitOrder)
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s.LongProfitOrder = make(map[string]types.SubmitOrder)
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s.ShortOrder = make(map[string]types.SubmitOrder)
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s.ShortLossOrder = make(map[string]types.SubmitOrder)
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s.ShortProfitOrder = make(map[string]types.SubmitOrder)
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qbtrade.Notify("NR4策略开始执行...")
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//for _, symbol := range s.Symbols {
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// s.Strategy.Initialize(ctx, s.Environment, session, s.markets[symbol], ID, s.InstanceID())
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//}
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//
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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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}
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//
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//if s.ProfitStats == nil {
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// s.ProfitStats = types.NewProfitStats(s.Market)
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//}
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//if s.TradeStats == nil {
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// s.TradeStats = types.NewTradeStats(s.Symbol)
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//}
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s.OnSuspend(func() {
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// Cancel active orders
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for _, symbol := range s.Symbols {
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_ = s.orderExecutors[symbol].GracefulCancel(ctx)
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}
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})
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s.OnEmergencyStop(func() {
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// Cancel active orders
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for _, symbol := range s.Symbols {
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_ = s.orderExecutors[symbol].GracefulCancel(ctx)
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}
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// Close 100% position
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//_ = s.ClosePosition(ctx, fixedpoint.One)
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})
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for _, symbol := range s.Symbols {
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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)
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//s.orderExecutor.BindTradeStats(s.TradeStats)
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//s.orderExecutors[symbol].TradeCollector().OnPositionUpdate(func(position *types.Position) {
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// log.Infof("position is updated, symbol (%s): %+v", symbol, position)
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//})
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}
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// AccountValueCalculator
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//s.AccountValueCalculator = qbtrade.NewAccountValueCalculator(s.session, s.Market.QuoteCurrency)
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s.session.MarketDataStream.OnKLineClosed(func(kline types.KLine) {
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for _, symbol := range s.Symbols {
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if kline.Symbol != symbol {
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continue
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}
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if !s.ordered[symbol] {
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// 在下一根k线时没有成交订单则取消所有订单
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s.cancelOrders(ctx, symbol)
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} else {
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// 如果有订单则不再进行NR的计算
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return
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}
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s.CalKLines[symbol] = []types.KLine{}
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// 获取历史最近的4根K线
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if !s.ReCalculate {
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lines, err := s.session.Exchange.QueryKLines(ctx, symbol, s.Interval, types.KLineQueryOptions{Limit: s.NRCount})
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s.CalKLines[symbol] = lines
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if err != nil {
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util.LogErr(err, fmt.Sprintf("failed to close position %s", symbol))
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}
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}
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if len(s.CalKLines) < s.NRCount {
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s.CalKLines[symbol] = append(s.CalKLines[symbol], kline)
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} else {
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s.OnKLineClosed(ctx, kline, symbol)
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}
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}
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})
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// 监听市场的交易事件
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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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session.UserDataStream.OnOrderUpdate(func(order types.Order) {
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orderSymbol := order.Symbol
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log.Infof("the order is: %+v,id is %d type is %s, status is %s", order, order.OrderID, order.Type, order.Status)
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s.cancelSideOrder(ctx, orderSymbol)
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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.ordered[orderSymbol] = true
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s.orderedSide[orderSymbol] = LongTag
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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, LongTag, 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.ordered[orderSymbol] = true
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s.orderedSide[orderSymbol] = ShortTag
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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, ShortTag, 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, status is %s",
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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, order.Price)
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s.ordered[orderSymbol] = false
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}
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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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session.UserDataStream.OnTradeUpdate(func(trade types.Trade) {
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log.Infof("trade price %f, fee %f %s", trade.Price.Float64(), trade.Fee.Float64(), trade.FeeCurrency)
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})
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session.UserDataStream.OnBalanceUpdate(func(balances types.BalanceMap) {
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log.Infof("balance update: %+v", balances)
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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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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("the order is not filled, will cancel all orders")
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if err := s.orderExecutors[symbol].GracefulCancel(ctx); err != nil {
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log.WithError(err).Errorf("failed to cancel orders")
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}
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}
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func (s *Strategy) placeOrders(ctx context.Context, symbol string) {
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orders, err := s.generateOrders(ctx, symbol)
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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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}
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func (s *Strategy) generateOrders(ctx context.Context, symbol string) ([]types.SubmitOrder, error) {
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var orders []types.SubmitOrder
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// 卖价
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sellPrice := fixedpoint.NewFromFloat(s.LastNRCandles[symbol].High.Float64())
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// 买价
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buyPrice := fixedpoint.NewFromFloat(s.LastNRCandles[symbol].Low.Float64())
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buyQuantity := s.QuantityOrAmount.CalculateQuantity(buyPrice).Mul(s.Leverage)
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sellQuantity := s.QuantityOrAmount.CalculateQuantity(sellPrice).Mul(s.Leverage)
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log.Infof("generateOrders (%s), sellPrice is %s, sellQuantity is %s, "+
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"buyPrice is %s, buyQuantity is %s", symbol, sellPrice, sellQuantity, buyPrice, buyQuantity)
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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: s.OrderType,
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Price: sellPrice,
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PositionSide: types.PositionSideTypeShort,
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Quantity: sellQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: ShortTag,
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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: sellPrice.Sub(sellPrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: ShortProfitTag,
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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: buyPrice.Add(sellPrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: ShortLossTag,
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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: s.OrderType,
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Price: buyPrice,
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PositionSide: types.PositionSideTypeLong,
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Quantity: buyQuantity,
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: LongTag,
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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: buyPrice.Add(buyPrice.Mul(s.ProfitRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: LongProfitTag,
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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: sellPrice.Sub(buyPrice.Mul(s.LossRange)),
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TimeInForce: types.TimeInForceGTC,
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Market: s.markets[symbol],
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Tag: LongLossTag,
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ClosePosition: true,
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}
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//// 挂空单
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//orders = append(orders, s.ShortOrder[symbol])
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//// 挂多单
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//orders = append(orders, s.LongOrder[symbol])
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//
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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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//// 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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if s.LastNRCandles[symbol].Open > s.LastNRCandles[symbol].Close {
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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.LastNRCandles[symbol].Open < s.LastNRCandles[symbol].Close {
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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
|
||
}
|