stocks_dqn_seed0_250325_094456

strategy/alpaca/stocks_dqn_seed0_250325_094456/strategy.go

@@ -0,0 +1,135 @@
+package main
+
+import (
+	"git.beejay.kim/Gshopper/sentio"
+	"git.beejay.kim/Gshopper/sentio/util"
+	"time"
+)
+
+var Strategy = qqq{}
+
+type qqq struct{}
+
+func (strategy qqq) Name() string {
+	return "Alpaca: QQQ [TQQQ : SQQQ]"
+}
+
+func (strategy qqq) Model() string {
+	return "stocks_dqn_seed0_250325_094456"
+}
+
+func (strategy qqq) MarketId() string {
+	return "alpaca"
+}
+
+func (strategy qqq) Interval() uint8 {
+	return 3
+}
+
+func (strategy qqq) PositionSymbols() map[sentio.Side]string {
+	return map[sentio.Side]string{
+		sentio.BASE:  "QQQ",
+		sentio.LONG:  "TQQQ",
+		sentio.SHORT: "SQQQ",
+	}
+}
+
+func (strategy qqq) MaxTradeDuration() time.Duration {
+	return time.Duration(strategy.Interval()) * time.Minute * 3
+}
+
+func (strategy qqq) Handle(turn *sentio.Turn, market sentio.Market, rs sentio.RiskManager) error {
+	if market == nil || turn == nil {
+		return nil
+	}
+
+	var (
+		now     = market.Clock().Now()
+		symbols = util.Symbols(strategy)
+		quotes  map[string]sentio.Quote
+		orders  []sentio.Order
+		err     error
+	)
+
+	// skip too early orders
+	if now.Hour() == 9 && now.Minute() < 44 {
+		return nil
+	}
+
+	// close all orders before market close
+	if now.Hour() == 15 && now.Minute() > 52 {
+		return util.CloseAllOrders(market, strategy)
+	}
+
+	// retrieve running orders
+	if orders, err = market.Orders(sentio.OrderListCriteria{
+		Status:  "open",
+		Symbols: symbols,
+	}); err != nil {
+		return err
+	}
+
+	// update stoplosses or close running orders
+	var (
+		ts              = turn.Time.AsTime().Round(time.Minute)
+		hasClosedOrders = false
+	)
+
+	for i := range orders {
+		if util.IsLongOrder(orders[i], strategy) &&
+			sentio.IsAction(turn.Action, sentio.Action_HOLD, sentio.Action_SELL, sentio.Action_DOUBLE_SELL) &&
+			ts.Before(time.Now()) {
+			if _, err = market.CloseOrder(orders[i]); err != nil {
+				return err
+			}
+
+			hasClosedOrders = true
+			continue
+		}
+
+		if util.IsShortOrder(orders[i], strategy) &&
+			sentio.IsAction(turn.Action, sentio.Action_HOLD, sentio.Action_BUY, sentio.Action_DOUBLE_BUY) &&
+			ts.Before(time.Now()) {
+			if _, err = market.CloseOrder(orders[i]); err != nil {
+				return err
+			}
+
+			hasClosedOrders = true
+			continue
+		}
+
+		if orders[i].GetCreatedAt().Round(time.Minute).Add(strategy.MaxTradeDuration()).Before(time.Now()) {
+			if _, err = market.CloseOrder(orders[i]); err != nil {
+				return err
+			}
+
+			hasClosedOrders = true
+			continue
+		}
+
+		if err = market.UpdateOrder(orders[i].GetId(), rs); err != nil {
+			return err
+		}
+	}
+
+	// Prevent new orders if we just closed one
+	if hasClosedOrders || len(orders) > 0 {
+		return nil
+	}
+
+	// Prevent BUYs on closing market
+	if now.Hour() == 15 && now.Minute() > 45 {
+		return nil
+	}
+
+	// Prevent Market.CreateOrder while probability is not clear
+	if sentio.Action_HOLD == turn.Action || ts.After(time.Now()) {
+		return nil
+	}
+
+	if quotes, err = market.Quotes(); err != nil {
+		return err
+	}
+
+	return util.CreateOrder(market, strategy, turn.Action, quotes, rs)
+}