Strategy: PPO

- decrease MaxTradeDuration
- adjust trading hours

strategy/alpaca/ppo/strategy.go

@@ -35,7 +35,7 @@ func (strategy qqq) PositionSymbols() map[sentio.Side]string {
 }
 
 func (strategy qqq) MaxTradeDuration() time.Duration {
-	return time.Duration(strategy.Interval()) * time.Minute * 5
+	return time.Duration(strategy.Interval()) * time.Minute * 3
 }
 
 func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.RiskManager) error {
@@ -52,12 +52,12 @@ func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.Ri
 	)
 
 	// skip too early orders or late orders
-	if (now.Hour() == 9 && now.Minute() < 31) || now.Hour() > 15 {
+	if (now.Hour() == 9 && now.Minute() < 44) || now.Hour() > 15 {
 		return nil
 	}
 
 	// close all orders before market close
-	if now.Hour() == 15 && now.Minute() > 50 {
+	if now.Hour() == 15 && now.Minute() > 45 {
 		return util.CloseAllOrders(market, strategy)
 	}
 
@@ -80,21 +80,15 @@ func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.Ri
 		shouldClose := false
 		side := util.SideOf(orders[i].GetIntent())
 
-		if orders[i].GetSymbol() == strategy.PositionSymbols()[sentio.LONG] && sentio.Action_SELL == turn.Action {
-			shouldClose = true
-		}
-
-		if orders[i].GetSymbol() == strategy.PositionSymbols()[sentio.BASE] &&
-			sentio.LONG == side && sentio.Action_SELL == turn.Action {
+		if sentio.LONG == side && sentio.Action_SELL == turn.Action {
 			shouldClose = true
 		}
 
-		if orders[i].GetSymbol() == strategy.PositionSymbols()[sentio.SHORT] && sentio.Action_BUY == turn.Action {
+		if sentio.SHORT == side && sentio.Action_BUY == turn.Action {
 			shouldClose = true
 		}
 
-		if orders[i].GetSymbol() == strategy.PositionSymbols()[sentio.BASE] &&
-			sentio.SHORT == side && sentio.Action_BUY == turn.Action {
+		if orders[i].GetCreatedAt().Round(time.Minute).Add(strategy.MaxTradeDuration()).Before(now) {
 			shouldClose = true
 		}
 
@@ -107,15 +101,6 @@ func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.Ri
 			continue
 		}
 
-		if orders[i].GetCreatedAt().Round(time.Minute).Add(strategy.MaxTradeDuration()).Before(time.Now()) {
-			if _, err = market.CloseOrder(orders[i], nil); err != nil {
-				return err
-			}
-
-			hasClosedOrders = true
-			continue
-		}
-
 		opts := sentio.OrderUpdateOptions{
 			TakeProfit:     rs.TakeProfit(orders[i].GetSymbol(), quotes[orders[i].GetSymbol()].BidPrice),
 			StopLoss:       rs.StopLoss(orders[i].GetSymbol(), quotes[orders[i].GetSymbol()].BidPrice),
@@ -133,7 +118,7 @@ func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.Ri
 	}
 
 	// Prevent BUYs on closing market
-	if now.Hour() == 15 && now.Minute() > 45 {
+	if now.Hour() == 15 && now.Minute() > 30 {
 		return nil
 	}