sentio/strategy/ibkr/qqq/qqq.go

package main

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

var Strategy = _ib_qqq{
	clock: sentio.ClockUTC{},
}

type _ib_qqq struct {
	clock sentio.Clock
}

func (strategy _ib_qqq) Name() string {
	return "IBKR: QQQ"
}

func (strategy _ib_qqq) Model() string {
	return "qqq400"
}

func (strategy _ib_qqq) MarketId() string {
	return "ibkr"
}

func (strategy _ib_qqq) PositionSymbols() map[sentio.Side]string {
	return map[sentio.Side]string{
		sentio.LONG: "320227571", // QQQ@NASDAQ
	}
}

func (strategy _ib_qqq) Handle(market sentio.Market, proba float64) ([]sentio.StrategyOrder, error) {
	if !market.IsMarketOpened() {
		return nil, sentio.ErrMarketClosed
	}

	var (
		utc       = strategy.clock.Now()
		portfolio sentio.Portfolio
		err       error
	)

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

	for _, symbol := range strategy.PositionSymbols() {
		var (
			position sentio.Position
			ok       bool
		)

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

		// Close positions before market close
		if ok && utc.Hour() >= 19 && utc.Minute() >= 30 {
			return []sentio.StrategyOrder{
				{
					Symbol: position.GetSymbol(),
					Action: func() sentio.OrderAction {
						if position.GetSize() > 0 {
							return sentio.OrderSell
						} else {
							return sentio.OrderBuy
						}
					}(),
					Ratio: 1,
				},
			}, nil
		}

		if proba < 0 {
			continue
		}

		// Close LONG position
		if ok && position.GetSize() > 0 && proba < 1 {
			return []sentio.StrategyOrder{
				{
					Symbol: position.GetSymbol(),
					Action: sentio.OrderSell,
					Ratio:  1,
				},
			}, nil
		}

		// Close SHORT position
		if ok && position.GetSize() < 0 && proba > 1 {
			return []sentio.StrategyOrder{
				{
					Symbol: position.GetSymbol(),
					Action: sentio.OrderBuy,
					Ratio:  1,
				},
			}, nil
		}

		if utc.Hour() == 19 && utc.Minute() >= 30 {
			continue
		}

		if proba > 1.002 {
			return []sentio.StrategyOrder{
				{
					Symbol: symbol,
					Action: sentio.OrderBuy,
					Ratio: func() float64 {
						if ok {
							return .3
						} else {
							return .6
						}
					}(),
				},
			}, nil
		}

		if proba < .998 {
			return []sentio.StrategyOrder{
				{
					Symbol: symbol,
					Action: sentio.OrderSell,
					Ratio: func() float64 {
						if ok {
							return .3
						} else {
							return .6
						}
					}(),
				},
			}, nil
		}
	}

	return nil, nil
}