exit trailing stop add callback by high profit

c9s · Oct 27, 2024 · 3219bd0 · 3219bd0
1 parent f4df9a0
commit 3219bd0
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Showing 2 changed files with 134 additions and 21 deletions.
diff --git a/pkg/bbgo/exit_trailing_stop.go b/pkg/bbgo/exit_trailing_stop.go
@@ -16,6 +16,9 @@ type TrailingStop2 struct {
 	// CallbackRate is the callback rate from the previous high price
 	CallbackRate fixedpoint.Value `json:"callbackRate,omitempty"`
 
+	// CallbackProfitRate is the callback rate from the previous high profit
+	CallbackProfitRate fixedpoint.Value `json:"callbackProfitRate,omitempty"`
+
 	ActivationRatio fixedpoint.Value `json:"activationRatio,omitempty"`
 
 	// ClosePosition is a percentage of the position to be closed
@@ -31,7 +34,8 @@ type TrailingStop2 struct {
 
 	Side types.SideType `json:"side,omitempty"`
 
-	latestHigh fixedpoint.Value
+	latestHigh       fixedpoint.Value
+	latestHighProfit fixedpoint.Value
 
 	// activated: when the price reaches the min profit price, we set the activated to true to enable trailing stop
 	activated bool
@@ -140,32 +144,48 @@ func (s *TrailingStop2) checkStopPrice(price fixedpoint.Value, position *types.P
 		return nil
 	}
 
-	switch s.Side {
-	case types.SideTypeBuy:
-		change := price.Sub(s.latestHigh).Div(s.latestHigh)
-		if change.Compare(s.CallbackRate) >= 0 {
-			// submit order
-			return s.triggerStop(price)
-		}
-	case types.SideTypeSell:
-		change := s.latestHigh.Sub(price).Div(s.latestHigh)
-		if change.Compare(s.CallbackRate) >= 0 {
-			// submit order
-			return s.triggerStop(price)
-		}
-	default:
-		if position.IsLong() {
-			change := s.latestHigh.Sub(price).Div(s.latestHigh)
+	if !s.CallbackRate.IsZero() {
+		switch s.Side {
+		case types.SideTypeBuy:
+			change := price.Sub(s.latestHigh).Div(s.latestHigh)
 			if change.Compare(s.CallbackRate) >= 0 {
 				// submit order
 				return s.triggerStop(price)
 			}
-		} else if position.IsShort() {
-			change := price.Sub(s.latestHigh).Div(s.latestHigh)
+		case types.SideTypeSell:
+			change := s.latestHigh.Sub(price).Div(s.latestHigh)
 			if change.Compare(s.CallbackRate) >= 0 {
 				// submit order
 				return s.triggerStop(price)
 			}
+		default:
+			if position.IsLong() {
+				change := s.latestHigh.Sub(price).Div(s.latestHigh)
+				if change.Compare(s.CallbackRate) >= 0 {
+					// submit order
+					return s.triggerStop(price)
+				}
+			} else if position.IsShort() {
+				change := price.Sub(s.latestHigh).Div(s.latestHigh)
+				if change.Compare(s.CallbackRate) >= 0 {
+					// submit order
+					return s.triggerStop(price)
+				}
+			}
+		}
+	}
+
+	if !s.CallbackProfitRate.IsZero() {
+		if s.latestHighProfit.IsZero() {
+			s.latestHighProfit = position.UnrealizedProfit(price)
+		} else {
+			profit := position.UnrealizedProfit(price)
+			change := s.latestHighProfit.Sub(profit).Div(s.latestHighProfit)
+			if change.Compare(s.CallbackProfitRate) >= 0 {
+				// submit order
+				return s.triggerStop(price)
+			}
+			s.latestHighProfit = fixedpoint.Max(profit, s.latestHighProfit)
 		}
 	}
 
@@ -177,16 +197,32 @@ func (s *TrailingStop2) triggerStop(price fixedpoint.Value) error {
 	defer func() {
 		s.activated = false
 		s.latestHigh = fixedpoint.Zero
+		s.latestHighProfit = fixedpoint.Zero
 	}()
 
-	Notify("[TrailingStop] %s %s tailingStop is triggered. price: %f callbackRate: %s", s.Symbol, s.ActivationRatio.Percentage(), price.Float64(), s.CallbackRate.Percentage())
+	message := fmt.Sprintf("[TrailingStop] %s %s tailingStop is triggered. price: %f ",
+		s.Symbol, s.ActivationRatio.Percentage(), price.Float64())
+	if !s.CallbackRate.IsZero() {
+		message += fmt.Sprintf(" callbackRate: %s", s.CallbackRate.Percentage())
+	}
+	if !s.CallbackProfitRate.IsZero() {
+		message += fmt.Sprintf(" callbackProfitRate: %s", s.CallbackProfitRate.Percentage())
+	}
+	Notify("%s", message)
+
 	ctx := context.Background()
 	p := fixedpoint.One
 	if !s.ClosePosition.IsZero() {
 		p = s.ClosePosition
 	}
 
-	tagName := fmt.Sprintf("trailingStop:activation=%s,callback=%s", s.ActivationRatio.Percentage(), s.CallbackRate.Percentage())
+	tagName := fmt.Sprintf("trailingStop:activation=%s", s.ActivationRatio.Percentage())
+	if !s.CallbackRate.IsZero() {
+		tagName += fmt.Sprintf(",callback=%s", s.CallbackRate.Percentage())
+	}
+	if !s.CallbackProfitRate.IsZero() {
+		tagName += fmt.Sprintf(",callbackProfit=%s", s.CallbackProfitRate.Percentage())
+	}
 
 	return s.orderExecutor.ClosePosition(ctx, p, tagName)
 }
diff --git a/pkg/bbgo/exit_trailing_stop_test.go b/pkg/bbgo/exit_trailing_stop_test.go
@@ -182,3 +182,80 @@ func TestTrailingStop_LongPosition(t *testing.T) {
 		assert.False(t, stop.activated)
 	}
 }
+
+func TestTrailingStop_CallbackProfitRate(t *testing.T) {
+	market := getTestMarket()
+
+	mockCtrl := gomock.NewController(t)
+	defer mockCtrl.Finish()
+
+	mockEx := mocks.NewMockExchange(mockCtrl)
+	mockEx.EXPECT().NewStream().Return(&types.StandardStream{}).Times(2)
+	mockEx.EXPECT().SubmitOrder(gomock.Any(), types.SubmitOrder{
+		Symbol:           "BTCUSDT",
+		Side:             types.SideTypeSell,
+		Type:             types.OrderTypeMarket,
+		Market:           market,
+		Quantity:         fixedpoint.NewFromFloat(1.0),
+		Tag:              "trailingStop:activation=1%,callbackProfit=10%",
+		MarginSideEffect: types.SideEffectTypeAutoRepay,
+	})
+
+	session := NewExchangeSession("test", mockEx)
+	assert.NotNil(t, session)
+
+	session.markets[market.Symbol] = market
+
+	position := types.NewPositionFromMarket(market)
+	position.AverageCost = fixedpoint.NewFromFloat(20000.0)
+	position.Base = fixedpoint.NewFromFloat(1.0)
+
+	orderExecutor := NewGeneralOrderExecutor(session, "BTCUSDT", "test", "test-01", position)
+
+	activationRatio := fixedpoint.NewFromFloat(0.01)
+	callbackProfitRatio := fixedpoint.NewFromFloat(0.1)
+	stop := &TrailingStop2{
+		Symbol:             "BTCUSDT",
+		Interval:           types.Interval1m,
+		Side:               types.SideTypeSell,
+		CallbackProfitRate: callbackProfitRatio,
+		ActivationRatio:    activationRatio,
+	}
+	stop.Bind(session, orderExecutor)
+
+	// the same price
+	currentPrice := fixedpoint.NewFromFloat(20000.0)
+	err := stop.checkStopPrice(currentPrice, position)
+	if assert.NoError(t, err) {
+		assert.False(t, stop.activated)
+	}
+
+	// 20000 + 1% = 20200
+	currentPrice = currentPrice.Mul(one.Add(activationRatio))
+	assert.Equal(t, fixedpoint.NewFromFloat(20200.0), currentPrice)
+
+	err = stop.checkStopPrice(currentPrice, position)
+	if assert.NoError(t, err) {
+		assert.True(t, stop.activated)
+		assert.Equal(t, fixedpoint.NewFromFloat(200), stop.latestHighProfit)
+	}
+
+	// 20200 + 1% = 20402
+	currentPrice = currentPrice.Mul(one.Add(activationRatio))
+	assert.Equal(t, fixedpoint.NewFromFloat(20402.0), currentPrice)
+
+	err = stop.checkStopPrice(currentPrice, position)
+	if assert.NoError(t, err) {
+		assert.Equal(t, fixedpoint.NewFromFloat(402), stop.latestHighProfit)
+		assert.True(t, stop.activated)
+	}
+
+	// 20402 - 402*(1-10%)
+	currentPrice = currentPrice.Sub(stop.latestHighProfit.Mul(one.Sub(callbackProfitRatio)))
+	assert.Equal(t, fixedpoint.NewFromFloat(20040.2), currentPrice)
+	err = stop.checkStopPrice(currentPrice, position)
+	if assert.NoError(t, err) {
+		assert.False(t, stop.activated)
+		assert.Equal(t, fixedpoint.Zero, stop.latestHighProfit)
+	}
+}