303 lines
7.8 KiB
Go
303 lines
7.8 KiB
Go
package grid
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import (
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"fmt"
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"math"
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"slices"
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"strconv"
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"strings"
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"github.com/banbox/banbot/btime"
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"github.com/banbox/banbot/core"
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"github.com/banbox/banbot/orm/ormo"
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"github.com/banbox/banbot/strat"
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"github.com/banbox/banbot/utils"
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"github.com/banbox/banexg/log"
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ta "github.com/banbox/banta"
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)
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/*
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CheckPos在每个bar的close上检查位置，是否需要补仓或止盈。
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bar中间的high/low忽略。所以尽量在1m周期执行，避免一个bar的high/low突破网格，close又收回来导致未执行的问题
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*/
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func init() {
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strat.AddStratGroup("grid", map[string]strat.FuncMakeStrat{
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"inv": InvGrid,
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"long": LongGrid,
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})
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}
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func NewGrid(initRate, maxAdd int, slRate float64, debug bool) *Grid {
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return &Grid{
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InitRate: float64(initRate),
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MaxAdd: maxAdd,
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SLRate: slRate,
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Debug: debug,
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}
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}
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type Grid struct {
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InitRate float64 // 初次打开网格投入倍数
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MaxAdd int // 最大加仓次数
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SLRate float64 // 止损相对Unit的倍数
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Dirt float64 // 当前是做多网格还是做空；1做多，-1做空
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HoldSize float64 // 持有仓位倍率；相对单位开仓大小
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Unit float64 // 网格价格单位
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OneAmt float64 // 一份的数量，初次入场时计算
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EntPrice float64 // 入场价格
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Pos float64 // 网格位置，整数，-6/-5/-4/-3/-2/-1/0/1/2/3/4/5/6
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OldPos float64 // 上次网格位置
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openNeed bool // 是否需要打开加仓单
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takeNeed bool // 是否需要追加止盈单
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Debug bool
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barLogs []string
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barMS int64
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}
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func (m *Grid) UpdatePos(e *ta.BarEnv, price float64) {
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offRaw := (price - m.EntPrice) / m.Unit
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rate := math.Floor(math.Abs(offRaw) + 0.1)
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if offRaw < 0 {
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rate = -rate
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}
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if rate != m.Pos {
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m.Pos = rate
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m.takeNeed = true
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m.openNeed = true
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if m.Debug {
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base := m.EntPrice + m.Pos*m.Unit
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m.log(e, "upper: %.2f lower: %.2f", base+m.Unit, base-m.Unit)
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}
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}
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}
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func (m *Grid) Open(s *strat.StratJob) {
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c := s.Env.Close.Get(0)
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var tag = "short"
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if m.Dirt > 0 {
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tag = "long"
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}
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m.EntPrice = 0
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m.Pos = 0
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m.OldPos = 0
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m.HoldSize = 0
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m.OneAmt = s.Strat.GetStakeAmount(s) / c
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m.openNeed = true
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m.takeNeed = true
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s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Amount: m.InitRate * m.OneAmt,
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Short: m.Dirt < 0,
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StopLossVal: m.Unit * m.SLRate,
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})
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if m.Debug {
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m.log(s.Env, "init open, dir: %v, size: %v, grid: %.3f, pct: %.1f",
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m.Dirt, m.InitRate, m.Unit, m.Unit*100/c)
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}
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}
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func (m *Grid) CheckPos(s *strat.StratJob) {
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e := s.Env
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m.UpdatePos(e, e.Close.Get(0))
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if !m.openNeed && !m.takeNeed {
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return
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}
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odList := s.GetOrders(m.Dirt)
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// 取消未入场的触发订单
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cancels := make([]string, 0)
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var holds = make(map[string]int)
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for _, od := range odList {
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if od.Status < ormo.InOutStatusPartEnter {
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s.CloseOrders(&strat.ExitReq{Tag: "cancel", OrderID: od.ID, Force: true})
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if m.Debug {
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cancels = append(cancels, strconv.FormatFloat(od.Enter.Price, 'f', 4, 64))
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}
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} else if m.Debug {
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num := int(math.Round(od.HoldAmount() / m.OneAmt))
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row := strconv.FormatFloat(od.Enter.Average, 'f', 2, 64)
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old, _ := holds[row]
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holds[row] = old + num
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}
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}
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if m.HoldSize < 0.1 {
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if m.Debug {
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m.log(e, "hold reset\n")
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}
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s.CloseOrders(&strat.ExitReq{Tag: "clear", Force: true})
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return
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}
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posChg := (m.Pos - m.OldPos) * m.Dirt
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m.OldPos = m.Pos
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jumpNum := math.Abs(posChg) - 1
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var jumpStr string
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if jumpNum > 0 {
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// 市场剧烈变化，此时最新价格已偏移多个网格
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extAmt := m.OneAmt * jumpNum
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tag := "jadd"
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if posChg > 0 {
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// 剧烈盈利，卖出额外持仓
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tag = "jexit"
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s.CloseOrders(&strat.ExitReq{
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Tag: tag,
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Amount: extAmt,
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FilledOnly: true,
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Force: true,
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})
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} else {
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// 剧烈亏损，买入额外持仓
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s.OpenOrder(&strat.EnterReq{
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Tag: tag,
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Amount: extAmt,
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Short: m.Dirt < 0,
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StopLoss: odList[0].GetStopLoss().Price,
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})
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}
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if m.Debug {
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jumpStr = fmt.Sprintf("jump %v %.0f ", tag, jumpNum)
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}
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}
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// 设置最新的止盈止损等待触发
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trigPrice := m.EntPrice + m.Pos*m.Unit
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openPrice, closePrice := trigPrice-m.Unit, trigPrice+m.Unit
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if m.Dirt < 0 {
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openPrice, closePrice = closePrice, openPrice
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}
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var openInfo string
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if m.openNeed {
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if -m.Pos*m.Dirt >= float64(m.MaxAdd) {
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// 达到最大加仓深度
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if m.Debug {
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openInfo = "open=nil "
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}
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} else {
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sl := odList[0].GetStopLoss()
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stopLoss := e.Close.Get(0) - m.Dirt*m.Unit*m.SLRate
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if sl != nil {
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stopLoss = sl.Price
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} else {
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log.Info("hit sl nil")
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}
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s.OpenOrder(&strat.EnterReq{
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Tag: "add",
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Limit: openPrice,
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Amount: m.OneAmt,
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Short: m.Dirt < 0,
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StopLoss: stopLoss,
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})
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if m.Debug {
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openInfo = fmt.Sprintf("open=%.4f ", openPrice)
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}
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}
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}
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m.openNeed = false
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if m.takeNeed {
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s.SetAllTakeProfit(m.Dirt, &ormo.ExitTrigger{
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Price: closePrice,
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Rate: 1 / m.HoldSize,
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Tag: "exit",
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})
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//s.CloseOrders(&strat.ExitReq{
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// Tag: "exit",
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// Limit: closePrice,
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// Amount: m.OneAmt,
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// Force: true,
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//})
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}
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m.takeNeed = false
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if m.Debug {
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var takes = make(map[string]int)
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for _, od := range odList {
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tp := od.GetTakeProfit()
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if tp != nil {
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tpNum := math.Round(od.HoldAmount() / m.OneAmt)
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if tp.Rate > 0 && tp.Rate < 1 {
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tpNum *= tp.Rate
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}
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tpPrice := strconv.FormatFloat(tp.Price, 'f', 2, 64)
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old, _ := takes[tpPrice]
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takes[tpPrice] = old + int(math.Round(tpNum))
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}
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}
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var cancel string
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if len(cancels) > 0 {
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cancel = "cancel: [" + strings.Join(cancels, ", ") + "] "
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}
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hold := printAmts(holds, "hold: ")
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take := printAmts(takes, "take: ")
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m.log(e, cancel+jumpStr+openInfo+hold+take)
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}
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}
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func (m *Grid) OnOrderChange(s *strat.StratJob, od *ormo.InOutOrder, chgType int) {
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if chgType == strat.OdChgEnterFill && od.Enter.Filled > core.AmtDust {
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// 加仓入场完成事件
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e := s.Env
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if m.EntPrice == 0 {
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// 设置第一个下跌买入和第一个盈利卖出
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m.EntPrice = od.Enter.Average
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sl := od.GetStopLoss()
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stoploss := float64(0)
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if sl != nil {
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stoploss = sl.Price
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}
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upgaps := make([]string, 0, 5)
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dngaps := make([]string, 0, 5)
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for i := 0; i < 5; i++ {
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dist := m.Unit * float64(i+1)
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upgaps = append(upgaps, strconv.FormatFloat(m.EntPrice+dist, 'f', 4, 64))
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dngaps = append(dngaps, strconv.FormatFloat(m.EntPrice-dist, 'f', 4, 64))
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}
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if m.Debug {
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m.log(e, "p=%.4f sl=%.4f", m.EntPrice, stoploss)
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m.log(e, "up: %v", strings.Join(upgaps, " "))
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m.log(e, "dn: %v", strings.Join(dngaps, " "))
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}
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}
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addNum := math.Round(od.Enter.Filled / m.OneAmt)
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m.HoldSize += addNum
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m.openNeed = addNum > 0
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if m.Debug {
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m.log(e, "[enter] %.4f %.0f hold %.0f",
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od.Enter.Average, addNum, m.HoldSize)
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}
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} else if chgType == strat.OdChgExitFill && od.Exit.Filled > core.AmtDust {
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e := s.Env
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exitNum := math.Round(od.Exit.Filled / m.OneAmt)
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m.HoldSize -= exitNum
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m.takeNeed = exitNum > 0
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if m.Debug {
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m.log(e, "[exit] %v %.4f -> %.4f amt %.0f hold %.0f",
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od.ExitTag, od.Enter.Average, od.Exit.Average, exitNum, m.HoldSize)
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}
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}
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}
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func (m *Grid) log(e *ta.BarEnv, tpl string, args ...any) {
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if e.TimeStart > m.barMS {
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content := strings.Join(m.barLogs, "\n\t")
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fmt.Printf(content)
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fmt.Printf("\n")
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date := btime.ToDateStr(e.TimeStart, core.DefaultDateFmt)
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m.barLogs = []string{date + fmt.Sprintf(" h: %.2f l: %.2f c: %.2f",
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e.High.Get(0), e.Low.Get(0), e.Close.Get(0))}
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m.barMS = e.TimeStart
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}
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m.barLogs = append(m.barLogs, fmt.Sprintf(tpl, args...))
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}
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func printAmts(amts map[string]int, prefix string) string {
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if len(amts) == 0 {
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return ""
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}
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ents := utils.KeysOfMap(amts)
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slices.Sort(ents)
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for i, k := range ents {
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if amts[k] > 1 {
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ents[i] += " * " + strconv.Itoa(amts[k])
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}
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}
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return prefix + "[" + strings.Join(ents, ", ") + "] "
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}
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