sentio/strategy/alpaca/qqq15/strategy.go

package main

import (
	"git.beejay.kim/Gshopper/sentio"
)

var Strategy = alpacaQQQ{}

type alpacaQQQ struct{}

func (s alpacaQQQ) Name() string {
	return "Alpaca: QQQ [TQQQ : SQQQ]"
}

func (s alpacaQQQ) Model() string {
	return "price_return_vqqq_15"
}

func (s alpacaQQQ) MarketId() string {
	return "alpaca"
}

func (s alpacaQQQ) PositionSymbols() map[sentio.Side]string {
	return map[sentio.Side]string{
		sentio.BASE:  "QQQ",
		sentio.LONG:  "TQQQ",
		sentio.SHORT: "SQQQ",
	}
}

func (s alpacaQQQ) Interval() uint8 {
	return 5
}

func (s alpacaQQQ) Handle(market sentio.Market, proba float64) ([]sentio.StrategyOrder, error) {
	var (
		portfolio sentio.Portfolio
		orders    []sentio.StrategyOrder
		err       error
	)

	if portfolio, err = market.Portfolio(); err != nil {
		return nil, err
	}

	for side, symbol := range s.PositionSymbols() {
		var (
			position sentio.Position
			ok       bool
			t        = market.Time().Now()
		)

		// no need to trade BASE quote
		if sentio.BASE == side {
			continue
		}

		// skip too early trades
		if t.Hour() == 9 && t.Minute() < 40 {
			continue
		}

		if portfolio != nil {
			position, ok = portfolio.Get(symbol)
			ok = ok && position != nil && position.GetSize() != 0
		} else {
			ok = false
		}

		// Close positions before market closed
		if ok && t.Hour() == 15 && t.Minute() > 45 {
			orders = append(orders, sentio.StrategyOrder{
				Symbol: symbol,
				Action: sentio.OrderSell,
				Ratio:  1,
			})

			continue
		}

		if proba < 0 {
			continue
		}

		// Close LONG position
		if ok && sentio.LONG == side && proba < 1.0001 {
			return []sentio.StrategyOrder{{
				Symbol: symbol,
				Action: sentio.OrderSell,
				Ratio:  1,
			}}, nil
		}

		// Close SHORT position
		if ok && sentio.SHORT == side && proba > .9999 {
			return []sentio.StrategyOrder{{
				Symbol: symbol,
				Action: sentio.OrderSell,
				Ratio:  1,
			}}, nil
		}

		if t.Hour() == 15 && t.Minute() > 35 {
			continue
		}

		if sentio.LONG == side && proba > 1 {
			size := float64(0)

			if ok && position.GetAvgPrice() > position.GetCurrentPrice() {
				// extra position with cheaper price
				size = .4
			} else if !ok && proba > 1.00065 {
				// new trade position
				size = .6
			}

			if size > 0 {
				orders = append(orders, sentio.StrategyOrder{
					Symbol: symbol,
					Action: sentio.OrderBuy,
					Ratio:  size,
				})
			}

			continue
		}

		if sentio.SHORT == side && proba < 1 {
			size := float64(0)

			if ok && position.GetAvgPrice() > position.GetCurrentPrice() {
				// extra position with cheaper price
				size = .4
			} else if !ok && proba < .9992 {
				// new trade position
				size = .6
			}

			if size > 0 {
				orders = append(orders, sentio.StrategyOrder{
					Symbol: symbol,
					Action: sentio.OrderBuy,
					Ratio:  size,
				})
			}

			continue
		}
	}

	return orders, nil
}