Merge pull request c9s#1393 from c9s/strategy/emacross

STRATEGY: add emacross strategy

config/emacross.yaml

@@ -0,0 +1,37 @@
+persistence:
+  json:
+    directory: var/data
+  redis:
+    host: 127.0.0.1
+    port: 6379
+    db: 0
+
+sessions:
+  binance:
+    exchange: binance
+    envVarPrefix: binance
+
+exchangeStrategies:
+- on: binance
+  emacross:
+    symbol: BTCUSDT
+    # interval: 5m
+    # fastWindow: 6
+    # slowWindow: 18
+    # quantity: 0.01
+    leverage: 2
+
+backtest:
+  startTime: "2022-01-01"
+  endTime: "2022-03-01"
+  symbols:
+  - BTCUSDT
+  sessions: [max,binance]
+  # syncSecKLines: true
+  accounts:
+    binance:
+      makerFeeRate: 0.0%
+      takerFeeRate: 0.075%
+      balances:
+        BTC: 0.0
+        USDT: 10_000.0

pkg/cmd/strategy/builtin.go

@@ -12,6 +12,7 @@ import (
 	_ "github.com/c9s/bbgo/pkg/strategy/deposit2transfer"
 	_ "github.com/c9s/bbgo/pkg/strategy/drift"
 	_ "github.com/c9s/bbgo/pkg/strategy/elliottwave"
+	_ "github.com/c9s/bbgo/pkg/strategy/emacross"
 	_ "github.com/c9s/bbgo/pkg/strategy/emastop"
 	_ "github.com/c9s/bbgo/pkg/strategy/etf"
 	_ "github.com/c9s/bbgo/pkg/strategy/ewoDgtrd"

pkg/strategy/emacross/strategy.go

@@ -0,0 +1,118 @@
+package emacross
+
+import (
+	"context"
+	"fmt"
+	"sync"
+
+	log "github.com/sirupsen/logrus"
+
+	"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"
+)
+
+const ID = "emacross"
+
+func init() {
+	bbgo.RegisterStrategy(ID, &Strategy{})
+}
+
+type Strategy struct {
+	*common.Strategy
+
+	Environment *bbgo.Environment
+	Market      types.Market
+
+	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"`
+
+	lastKLine types.KLine
+
+	bbgo.OpenPositionOptions
+}
+
+func (s *Strategy) ID() string {
+	return ID
+}
+
+func (s *Strategy) InstanceID() string {
+	return fmt.Sprintf("%s:%s:%s:%d-%d", ID, s.Symbol, s.Interval, s.FastWindow, s.SlowWindow)
+}
+
+func (s *Strategy) Initialize() error {
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
+	return nil
+}
+
+func (s *Strategy) Subscribe(session *bbgo.ExchangeSession) {
+	session.Subscribe(types.KLineChannel, s.Symbol, types.SubscribeOptions{Interval: s.Interval})
+}
+
+func (s *Strategy) Run(ctx context.Context, _ bbgo.OrderExecutor, session *bbgo.ExchangeSession) error {
+	s.Strategy.Initialize(ctx, s.Environment, session, s.Market, ID, s.InstanceID())
+
+	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, types.Interval5m, func(k types.KLine) {
+		s.lastKLine = k
+	}))
+
+	fastEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.FastWindow})
+	slowEMA := session.Indicators(s.Symbol).EWMA(types.IntervalWindow{Interval: s.Interval, Window: s.SlowWindow})
+
+	cross := indicatorv2.Cross(fastEMA, slowEMA)
+	cross.OnUpdate(func(v float64) {
+		switch indicatorv2.CrossType(v) {
+
+		case indicatorv2.CrossOver:
+			if err := s.Strategy.OrderExecutor.GracefulCancel(ctx); err != nil {
+				log.WithError(err).Errorf("unable to cancel order")
+			}
+
+			opts := s.OpenPositionOptions
+			opts.Long = true
+			if price, ok := session.LastPrice(s.Symbol); ok {
+				opts.Price = price
+			}
+
+			opts.Tags = []string{"emaCrossOver"}
+
+			_, err := s.Strategy.OrderExecutor.OpenPosition(ctx, opts)
+			logErr(err, "unable to open position")
+		case indicatorv2.CrossUnder:
+			err := s.Strategy.OrderExecutor.ClosePosition(ctx, fixedpoint.One)
+			logErr(err, "unable to submit close position order")
+		}
+	})
+
+	bbgo.OnShutdown(ctx, func(ctx context.Context, wg *sync.WaitGroup) {
+		defer wg.Done()
+	})
+
+	return nil
+}
+
+func logErr(err error, msgAndArgs ...interface{}) bool {
+	if err == nil {
+		return false
+	}
+
+	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:]...)
+	}
+
+	return true
+}

pkg/strategy/fixedmaker/strategy.go

@@ -47,7 +47,10 @@ func (s *Strategy) Defaults() error {
 }
 
 func (s *Strategy) Initialize() error {
-	s.Strategy = &common.Strategy{}
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
+
 	return nil
 }
 

pkg/strategy/liquiditymaker/strategy.go

@@ -67,7 +67,9 @@ type Strategy struct {
 }
 
 func (s *Strategy) Initialize() error {
-	s.Strategy = &common.Strategy{}
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
 	return nil
 }
 

pkg/strategy/scmaker/strategy.go

@@ -70,7 +70,9 @@ type Strategy struct {
 }
 
 func (s *Strategy) Initialize() error {
-	s.Strategy = &common.Strategy{}
+	if s.Strategy == nil {
+		s.Strategy = &common.Strategy{}
+	}
 	return nil
 }