init

old/t01/common.go

@@ -0,0 +1,138 @@
+package t01
+
+import (
+	"github.com/banbox/banbot/orm/ormo"
+	"github.com/banbox/banbot/strat"
+	"github.com/banbox/banexg/log"
+	"github.com/banbox/banstagy/com"
+	ta "github.com/banbox/banta"
+	"go.uber.org/zap"
+	"math"
+)
+
+var (
+	// 这里是默认参数，请尽量在MainVX()中修改，不要在这里修改
+	maBig       = 30
+	maSml       = 30
+	maParent    = 50
+	sampleNum   = 500 // 斜率采样数量
+	sampleStep  = 2   // 斜率计算间隔
+	atrLen      = 14
+	openOffRate = float64(0)  // 开单时，从均线偏移基准ATR的倍数
+	goodRate    = float64(10) // 收益超过此倍数的ATR时，将止损更新为均线
+	badRate     = float64(5)  // 损失超过此倍数的ATR时，止损退出
+)
+
+type MoreType struct {
+	bigSlop  *com.Slop
+	hitGoods map[int64]bool // 触发goodRate的订单ID，允许每个bar更新止损
+}
+
+func openOrder(s *strat.StratJob, closePrice, dirt, price, stopLoss float64) {
+	if (stopLoss-closePrice)*dirt >= 0 {
+		// 当前止损立刻满足，跳过
+		return
+	}
+	tag := "long"
+	if dirt < 0 {
+		tag = "short"
+	}
+	err := s.OpenOrder(&strat.EnterReq{
+		Tag:      tag,
+		Limit:    price,
+		StopLoss: stopLoss,
+		Short:    dirt < 0,
+	})
+	if err != nil {
+		log.Error("open order fail", zap.Error(err))
+	}
+}
+
+func onStartUp(s *strat.StratJob) {
+	s.More = &MoreType{
+		bigSlop:  com.NewSlop(sampleNum, 0.25),
+		hitGoods: make(map[int64]bool),
+	}
+}
+
+func onInfoBar(s *strat.StratJob, e *ta.BarEnv, pair, tf string) {
+	sma := ta.SMA(e.Close, maParent)
+	prevSma := sma.Get(sampleStep)
+	if e.BarNum%sampleStep > 0 || math.IsNaN(prevSma) {
+		return
+	}
+	more, _ := s.More.(*MoreType)
+	curSma := sma.Get(0)
+	slop := (curSma - prevSma) / curSma
+	more.bigSlop.Update(e.BarNum, slop)
+}
+
+func onBar(s *strat.StratJob) {
+	e := s.Env
+	atr := ta.ATR(e.High, e.Low, e.Close, atrLen)
+	baseAtrLen := int(math.Round(float64(atrLen) * 4.3))
+	atrBase := ta.Lowest(ta.Highest(atr, atrLen), baseAtrLen).Get(0)
+	c := e.Close.Get(0)
+	smaBig := ta.SMA(e.Close, maBig)
+	smaVal := smaBig.Get(0)
+	// smaSml := ta.SMA(e.Close, maSml)
+	// maX := smaSml.Cross(smaBig)
+	// rsiVal := ta.RSI(e.Close, 20).Get(0)
+
+	more, _ := s.More.(*MoreType)
+	prevSma := smaBig.Get(sampleStep)
+	if e.BarNum%sampleStep == 0 && !math.IsNaN(prevSma) {
+		slop := (smaVal - prevSma) / smaVal
+		more.bigSlop.Update(e.BarNum, slop)
+	}
+
+	var longOd, shortOd *ormo.InOutOrder
+	if len(s.LongOrders) > 0 {
+		longOd = s.LongOrders[0]
+	}
+	if len(s.ShortOrders) > 0 {
+		shortOd = s.ShortOrders[0]
+	}
+
+	atrVal := atr.Get(0)
+	slRange := max(atrBase*badRate, atrVal*1.5)
+
+	// 检查是否触发盈利阈值，若触发更新止损
+	var orders = []*ormo.InOutOrder{longOd, shortOd}
+	for _, od := range orders {
+		if od != nil {
+			odDirt := 1.0
+			if od.Short {
+				odDirt = -1
+			}
+			isGood, ok := more.hitGoods[od.ID]
+			if !ok && (c-od.Enter.Average)*odDirt >= atrBase*goodRate {
+				more.hitGoods[od.ID] = true
+				isGood = true
+			}
+			if isGood {
+				// 已触发盈利阈值，每个bar更新止损
+				sl := od.GetStopLoss()
+				if sl == nil || (smaVal-sl.Price)*odDirt > 0 {
+					od.SetStopLoss(&ormo.ExitTrigger{Price: smaVal})
+				}
+			} else if od.Status == ormo.InOutStatusInit {
+				// 尚未入场，更新入场价格，更新止损
+				_ = od.SetEnterLimit(smaVal)
+				od.SetStopLoss(&ormo.ExitTrigger{Price: smaVal - odDirt*slRange})
+			}
+		}
+	}
+	if atrVal < atrBase {
+		// && more.bigSlop.Dirt > 0
+		if longOd == nil && more.bigSlop.Dirt >= 0 {
+			// 开多单  && c-smaVal+slRange > atrBase*0.5
+			openOrder(s, c, 1, 0, c-slRange)
+		}
+		// && more.bigSlop.Dirt < 0
+		if shortOd == nil && more.bigSlop.Dirt <= 0 {
+			// 开空单  && smaVal+slRange-c > atrBase*0.5
+			openOrder(s, c, -1, 0, c+slRange)
+		}
+	}
+}