drift

Documentation

Index

• Constants
• Variables
• type DriftMA
  • func (s *DriftMA) Clone() *DriftMA
  • func (s *DriftMA) Index(i int) float64
  • func (s *DriftMA) Last(i int) float64
  • func (s *DriftMA) Length() int
  • func (s *DriftMA) TestUpdate(v, weight float64) *DriftMA
  • func (s *DriftMA) Update(value, weight float64)
  • func (s *DriftMA) ZeroPoint() float64
• type Strategy
  • func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value
  • func (s *Strategy) CheckStopLoss() bool
  • func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error
  • func (s *Strategy) CurrentPosition() *types.Position
  • func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series)
  • func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas
  • func (s *Strategy) DrawElapsed() *types.Canvas
  • func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas
  • func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas
  • func (s *Strategy) ID() string
  • func (s *Strategy) InitDrawCommands(profit, cumProfit types.Series)
  • func (s *Strategy) InstanceID() string
  • func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool)
  • func (s *Strategy) Rebalance(ctx context.Context)
  • func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, ...) error
  • func (s *Strategy) SubmitOrder(ctx context.Context, submitOrder types.SubmitOrder) (*types.Order, error)
  • func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)

Constants

const ID = "drift"

Variables

var Delta fixedpoint.Value = fixedpoint.NewFromFloat(0.01)

var Fee = 0.0008 // taker fee % * 2, for upper bound

var Four fixedpoint.Value = fixedpoint.NewFromInt(4)

var Three fixedpoint.Value = fixedpoint.NewFromInt(3)

var Two fixedpoint.Value = fixedpoint.NewFromInt(2)

Types

type DriftMA

type DriftMA struct {
	types.SeriesBase
	// contains filtered or unexported fields
}

func (*DriftMA) Clone

func (s *DriftMA) Clone() *DriftMA

func (*DriftMA) Index

func (s *DriftMA) Index(i int) float64

func (*DriftMA) Last

func (s *DriftMA) Last(i int) float64

func (*DriftMA) Length

func (s *DriftMA) Length() int

func (*DriftMA) TestUpdate

func (s *DriftMA) TestUpdate(v, weight float64) *DriftMA

func (*DriftMA) Update

func (s *DriftMA) Update(value, weight float64)

func (*DriftMA) ZeroPoint

func (s *DriftMA) ZeroPoint() float64

type Strategy

type Strategy struct {
	Symbol string `json:"symbol"`

	bbgo.OpenPositionOptions
	bbgo.StrategyController
	types.Market
	types.IntervalWindow
	bbgo.SourceSelector

	*bbgo.Environment
	*types.Position    `persistence:"position"`
	*types.ProfitStats `persistence:"profit_stats"`
	*types.TradeStats  `persistence:"trade_stats"`

	MinInterval types.Interval `json:"MinInterval"` // minimum interval referred for doing stoploss/trailing exists and updating highest/lowest

	Debug                     bool             `json:"debug" modifiable:"true"`                // to print debug message or not
	UseStopLoss               bool             `json:"useStopLoss" modifiable:"true"`          // whether to use stoploss rate to do stoploss
	UseAtr                    bool             `json:"useAtr" modifiable:"true"`               // use atr as stoploss
	StopLoss                  fixedpoint.Value `json:"stoploss" modifiable:"true"`             // stoploss rate
	PredictOffset             int              `json:"predictOffset"`                          // the lookback length for the prediction using linear regression
	HighLowVarianceMultiplier float64          `json:"hlVarianceMultiplier" modifiable:"true"` // modifier to set the limit order price
	NoTrailingStopLoss        bool             `json:"noTrailingStopLoss" modifiable:"true"`   // turn off the trailing exit and stoploss
	HLRangeWindow             int              `json:"hlRangeWindow"`                          // ma window for kline high/low changes
	SmootherWindow            int              `json:"smootherWindow"`                         // window that controls the smoothness of drift
	FisherTransformWindow     int              `json:"fisherTransformWindow"`                  // fisher transform window to filter drift's negative signals
	ATRWindow                 int              `json:"atrWindow"`                              // window for atr indicator
	PendingMinInterval        int              `json:"pendingMinInterval" modifiable:"true"`   // if order not be traded for pendingMinInterval of time, cancel it.
	NoRebalance               bool             `json:"noRebalance" modifiable:"true"`          // disable rebalance
	TrendWindow               int              `json:"trendWindow"`                            // trendLine is used for rebalancing the position. When trendLine goes up, hold base, otherwise hold quote
	RebalanceFilter           float64          `json:"rebalanceFilter" modifiable:"true"`      // beta filter on the Linear Regression of trendLine
	TrailingCallbackRate      []float64        `json:"trailingCallbackRate" modifiable:"true"`
	TrailingActivationRatio   []float64        `json:"trailingActivationRatio" modifiable:"true"`

	// This is not related to trade but for statistics graph generation
	// Will deduct fee in percentage from every trade
	GraphPNLDeductFee bool   `json:"graphPNLDeductFee"`
	CanvasPath        string `json:"canvasPath"`       // backtest related. the path to store the indicator graph
	GraphPNLPath      string `json:"graphPNLPath"`     // backtest related. the path to store the pnl % graph per trade graph.
	GraphCumPNLPath   string `json:"graphCumPNLPath"`  // backtest related. the path to store the asset changes in graph
	GraphElapsedPath  string `json:"graphElapsedPath"` // the path to store the elapsed time in ms
	GenerateGraph     bool   `json:"generateGraph"`    // whether to generate graph when shutdown

	ExitMethods bbgo.ExitMethodSet `json:"exits"`
	Session     *bbgo.ExchangeSession

	*bbgo.FastOrderExecutor
	// contains filtered or unexported fields
}

func (*Strategy) CalcAssetValue

func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value

func (*Strategy) CheckStopLoss

func (s *Strategy) CheckStopLoss() bool

func (*Strategy) ClosePosition

func (s *Strategy) ClosePosition(ctx context.Context, percentage fixedpoint.Value) error

func (*Strategy) CurrentPosition

func (s *Strategy) CurrentPosition() *types.Position

func (*Strategy) Draw

func (s *Strategy) Draw(time types.Time, profit types.Series, cumProfit types.Series)

func (*Strategy) DrawCumPNL

func (s *Strategy) DrawCumPNL(cumProfit types.Series) *types.Canvas

func (*Strategy) DrawElapsed

func (s *Strategy) DrawElapsed() *types.Canvas

func (*Strategy) DrawIndicators

func (s *Strategy) DrawIndicators(time types.Time) *types.Canvas

func (*Strategy) DrawPNL

func (s *Strategy) DrawPNL(profit types.Series) *types.Canvas

func (*Strategy) ID

func (s *Strategy) ID() string

func (*Strategy) InitDrawCommands

func (s *Strategy) InitDrawCommands(profit, cumProfit types.Series)

func (*Strategy) InstanceID

func (s *Strategy) InstanceID() string

func (*Strategy) Print

func (s *Strategy) Print(f io.Writer, pretty bool, withColor ...bool)

func (*Strategy) Rebalance

func (s *Strategy) Rebalance(ctx context.Context)

Sending new rebalance orders cost too much. Modify the position instead to expect the strategy itself rebalance on Close

func (*Strategy) Run

func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, session *bbgo.ExchangeSession) error

func (*Strategy) SubmitOrder

func (s *Strategy) SubmitOrder(ctx context.Context, submitOrder types.SubmitOrder) (*types.Order, error)

func (*Strategy) Subscribe

func (s *Strategy) Subscribe(session *bbgo.ExchangeSession)