Merge pull request #930 from andycheng123/fix/pivotshort-trendema

Fix: Pivotshort

pkg/bbgo/trend_ema.go

@@ -44,7 +44,7 @@ func (s *TrendEMA) Bind(session *ExchangeSession, orderExecutor *GeneralOrderExe
 
 func (s *TrendEMA) Gradient() float64 {
 	if s.last > 0.0 && s.current > 0.0 {
-		return s.last / s.current
+		return s.current / s.last
 	}
 	return 0.0
 }
@@ -58,11 +58,7 @@ func (s *TrendEMA) GradientAllowed() bool {
 		return false
 	}
 
-	if s.MaxGradient > 0.0 && gradient < s.MaxGradient {
-		return true
-	}
-
-	if s.MinGradient > 0.0 && gradient > s.MinGradient {
+	if s.MaxGradient > 0.0 && gradient < s.MaxGradient && gradient > s.MinGradient {
 		return true
 	}
 

pkg/bbgo/trend_ema_test.go

@@ -0,0 +1,21 @@
+package bbgo
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+func Test_TrendEMA(t *testing.T) {
+	t.Run("Test Trend EMA", func(t *testing.T) {
+		trendEMA_test := TrendEMA{
+			IntervalWindow: types.IntervalWindow{Window: 1},
+		}
+		trendEMA_test.last = 1000.0
+		trendEMA_test.current = 1200.0
+
+		if trendEMA_test.Gradient() != 1.2 {
+			t.Errorf("Gradient() = %v, want %v", trendEMA_test.Gradient(), 1.2)
+		}
+	})
+}

pkg/strategy/pivotshort/breaklow.go

@@ -50,6 +50,9 @@ type BreakLow struct {
 
 	orderExecutor *bbgo.GeneralOrderExecutor
 	session       *bbgo.ExchangeSession
+
+	// StrategyController
+	bbgo.StrategyController
 }
 
 func (s *BreakLow) Subscribe(session *bbgo.ExchangeSession) {
@@ -73,6 +76,9 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 	s.session = session
 	s.orderExecutor = orderExecutor
 
+	// StrategyController
+	s.Status = types.StrategyStatusRunning
+
 	position := orderExecutor.Position()
 	symbol := position.Symbol
 	standardIndicator := session.StandardIndicatorSet(s.Symbol)
@@ -146,6 +152,11 @@ func (s *BreakLow) Bind(session *bbgo.ExchangeSession, orderExecutor *bbgo.Gener
 		ratio := fixedpoint.One.Add(s.Ratio)
 		breakPrice := previousLow.Mul(ratio)
 
+		// StrategyController
+		if s.Status != types.StrategyStatusRunning {
+			return
+		}
+
 		openPrice := kline.Open
 		closePrice := kline.Close
 

pkg/strategy/pivotshort/failedbreakhigh.go

@@ -45,6 +45,9 @@ type FailedBreakHigh struct {
 
 	orderExecutor *bbgo.GeneralOrderExecutor
 	session       *bbgo.ExchangeSession
+
+	// StrategyController
+	bbgo.StrategyController
 }
 
 func (s *FailedBreakHigh) Subscribe(session *bbgo.ExchangeSession) {
@@ -80,6 +83,9 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 	s.lastHigh = fixedpoint.Zero
 	s.pivotHigh = standardIndicator.PivotHigh(s.IntervalWindow)
 
+	// StrategyController
+	s.Status = types.StrategyStatusRunning
+
 	if s.VWMA != nil {
 		s.vwma = standardIndicator.VWMA(types.IntervalWindow{
 			Interval: s.BreakInterval,
@@ -122,6 +128,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 			return
 		}
 
+		// StrategyController
+		if s.Status != types.StrategyStatusRunning {
+			return
+		}
+
 		// make sure the position is opened, and it's a short position
 		if !position.IsOpened(k.Close) || !position.IsShort() {
 			return
@@ -150,6 +161,11 @@ func (s *FailedBreakHigh) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 			return
 		}
 
+		// StrategyController
+		if s.Status != types.StrategyStatusRunning {
+			return
+		}
+
 		previousHigh := s.lastHigh
 		ratio := fixedpoint.One.Add(s.Ratio)
 		breakPrice := previousHigh.Mul(ratio)

pkg/strategy/pivotshort/resistance.go

@@ -35,6 +35,9 @@ type ResistanceShort struct {
 	currentResistancePrice fixedpoint.Value
 
 	activeOrders *bbgo.ActiveOrderBook
+
+	// StrategyController
+	bbgo.StrategyController
 }
 
 func (s *ResistanceShort) Subscribe(session *bbgo.ExchangeSession) {
@@ -59,6 +62,9 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 	})
 	s.activeOrders.BindStream(session.UserDataStream)
 
+	// StrategyController
+	s.Status = types.StrategyStatusRunning
+
 	if s.TrendEMA != nil {
 		s.TrendEMA.Bind(session, orderExecutor)
 	}
@@ -69,6 +75,11 @@ func (s *ResistanceShort) Bind(session *bbgo.ExchangeSession, orderExecutor *bbg
 	s.updateResistanceOrders(fixedpoint.NewFromFloat(s.resistancePivot.Last()))
 
 	session.MarketDataStream.OnKLineClosed(types.KLineWith(s.Symbol, s.Interval, func(kline types.KLine) {
+		// StrategyController
+		if s.Status != types.StrategyStatusRunning {
+			return
+		}
+
 		// trend EMA protection
 		if s.TrendEMA != nil && !s.TrendEMA.GradientAllowed() {
 			return

pkg/strategy/pivotshort/strategy.go

@@ -125,13 +125,37 @@ func (s *Strategy) Run(ctx context.Context, orderExecutor bbgo.OrderExecutor, se
 	s.OnSuspend(func() {
 		// Cancel active orders
 		_ = s.orderExecutor.GracefulCancel(ctx)
+
+		if s.BreakLow != nil {
+			s.BreakLow.Suspend()
+		}
+
+		if s.ResistanceShort != nil {
+			s.ResistanceShort.Suspend()
+		}
+
+		if s.FailedBreakHigh != nil {
+			s.FailedBreakHigh.Suspend()
+		}
 	})
 
 	s.OnEmergencyStop(func() {
 		// Cancel active orders
 		_ = s.orderExecutor.GracefulCancel(ctx)
 		// Close 100% position
 		_ = s.ClosePosition(ctx, fixedpoint.One)
+
+		if s.BreakLow != nil {
+			s.BreakLow.EmergencyStop()
+		}
+
+		if s.ResistanceShort != nil {
+			s.ResistanceShort.EmergencyStop()
+		}
+
+		if s.FailedBreakHigh != nil {
+			s.FailedBreakHigh.EmergencyStop()
+		}
 	})
 
 	// initial required information