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package emacross | ||
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import ( | ||
"context" | ||
"fmt" | ||
"sync" | ||
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log "github.com/sirupsen/logrus" | ||
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"github.com/c9s/bbgo/pkg/bbgo" | ||
"github.com/c9s/bbgo/pkg/fixedpoint" | ||
"github.com/c9s/bbgo/pkg/indicator/v2" | ||
"github.com/c9s/bbgo/pkg/strategy/common" | ||
"github.com/c9s/bbgo/pkg/types" | ||
) | ||
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const ID = "emacross" | ||
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func init() { | ||
bbgo.RegisterStrategy(ID, &Strategy{}) | ||
} | ||
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type Strategy struct { | ||
*common.Strategy | ||
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Environment *bbgo.Environment | ||
Market types.Market | ||
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Symbol string `json:"symbol"` | ||
Interval types.Interval `json:"interval"` | ||
SlowWindow int `json:"slowWindow"` | ||
FastWindow int `json:"fastWindow"` | ||
OpenBelow fixedpoint.Value `json:"openBelow"` | ||
CloseAbove fixedpoint.Value `json:"closeAbove"` | ||
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lastKLine types.KLine | ||
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bbgo.OpenPositionOptions | ||
} | ||
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func (s *Strategy) ID() string { | ||
return ID | ||
} | ||
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func (s *Strategy) InstanceID() string { | ||
return fmt.Sprintf("%s:%s:%s:%d-%d", ID, s.Symbol, s.Interval, s.FastWindow, s.SlowWindow) | ||
} | ||
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func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) { | ||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval5m}) | ||
session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: types.Interval1m}) | ||
} | ||
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func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error { | ||
s.Strategy = &common.Strategy{} | ||
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) { | ||
s.lastKLine = k | ||
})) | ||
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fastEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: types.Interval5m, Window: 7}) | ||
slowEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: types.Interval5m, Window: 14}) | ||
cross := indicatorv2.Cross(fastEMA, slowEMA) | ||
cross.OnUpdate(func(v float64) { | ||
switch indicatorv2.CrossType(v) { | ||
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case indicatorv2.CrossOver: | ||
if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil { | ||
log.WithError(err).Errorf("unable to cancel order") | ||
} | ||
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opts := s.OpenPositionOptions | ||
opts.Long = true | ||
if price, ok := session.LastPrice(s.Symbol); ok { | ||
opts.Price = price | ||
} | ||
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opts.Tags = []string{"emaCrossOver"} | ||
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_, err := s.Strategy.OrderExecutor.OpenPosition(ctx, opts) | ||
if err != nil { | ||
log.WithError(err).Errorf("unable to submit buy order") | ||
} | ||
case indicatorv2.CrossUnder: | ||
err := s.Strategy.OrderExecutor.ClosePosition(ctx, fixedpoint.One) | ||
if err != nil { | ||
log.WithError(err).Errorf("unable to submit sell order") | ||
} | ||
} | ||
}) | ||
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bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) { | ||
defer wg.Done() | ||
}) | ||
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return nil | ||
} | ||
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func logErr(err error, msgAndArgs ...interface{}) bool { | ||
if err == nil { | ||
return false | ||
} | ||
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if len(msgAndArgs) == 0 { | ||
log.WithError(err).Error(err.Error()) | ||
} else if len(msgAndArgs) == 1 { | ||
msg := msgAndArgs[0].(string) | ||
log.WithError(err).Error(msg) | ||
} else if len(msgAndArgs) > 1 { | ||
msg := msgAndArgs[0].(string) | ||
log.WithError(err).Errorf(msg, msgAndArgs[1:]...) | ||
} | ||
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return true | ||
} |