sentio/strategy.go

package sentio

import (
	"errors"
	"git.beejay.kim/Gshopper/sentio/indicator"
	"math"
	"time"
)

type Strategy interface {
	Name() string

	Model() string
	MarketId() string
	PositionSymbols() map[Side]string
	PositionProbabilities() map[Side]float64
	Interval() uint8
	Cooldown(periods uint8) time.Duration

	Handle(market Market, probability Probability) error
}

const (
	ATR_MULTIPLIER = 1.5
	ATR_PERIOD     = 5
	ATR_HHV        = 4

	ATR_STOPLOSS_THRESHOLD   = 1
	EXTRA_POSITION_THRESHOLD = 1.002
)

type BaseStrategy struct {
	Strategy
}

func (strategy BaseStrategy) Symbols() []string {
	var symbols []string

	for side, s := range strategy.PositionSymbols() {
		if BASE == side {
			continue
		}

		symbols = append(symbols, s)
	}

	return symbols
}

func (strategy BaseStrategy) CloseAllOrders(market Market) error {
	var (
		symbols = strategy.Symbols()
		orders  []Order
		err     error
	)

	if orders, err = market.Orders(OrderListCriteria{
		Status:  "open",
		Symbols: symbols,
		Nested:  true,
	}); err != nil {
		return err
	}

	for i := range orders {
		if _, err = market.CloseOrder(orders[i].GetId()); err != nil {
			return err
		}
	}

	return nil
}

func (strategy BaseStrategy) AtrStopLoss(market Market, symbols ...string) (map[string]float64, error) {
	var (
		stoplosses map[string]float64
		bars       map[string][]Bar
		err        error
	)

	if bars, err = market.HistoricalBars(symbols, time.Minute, nil); err != nil {
		return nil, err
	}

	if bars == nil || len(bars) < ATR_PERIOD {
		return nil, errors.New("AtrStopLoss: could not calculate stoploss for too short timeseries")
	}

	stoplosses = make(map[string]float64)
	for s := range bars {
		h := make([]float64, len(bars[s]))
		l := make([]float64, len(bars[s]))
		c := make([]float64, len(bars[s]))

		for i := range bars[s] {
			h[i] = bars[s][i].High
			l[i] = bars[s][i].Low
			c[i] = bars[s][i].Close
		}

		trailing := indicator.AtrTrailingStopLoss(h, l, c, ATR_PERIOD, ATR_MULTIPLIER, ATR_HHV)
		stoplosses[s] = trailing[len(trailing)-1]
	}

	return stoplosses, nil
}

func (strategy BaseStrategy) CreateOrder(m Market, t Side, proba Probability, p Portfolio, q map[string]Quote, sl map[string]float64) error {
	var (
		symbol    = strategy.PositionSymbols()[t]
		position  Position
		account   MarketAccount
		has       = false
		threshold float64
		size      uint
		ok        bool
		err       error
	)

	// ensure portfolio
	position, has = p.Get(symbol)

	// define threshold
	if threshold, ok = strategy.PositionProbabilities()[t]; !ok {
		threshold = -1
	}

	if threshold == -1 || symbol == "" {
		return nil
	}

	// Prevent Market.CreateOrder when BidPrice less than ATR_STOPLOSS_THRESHOLD
	if q[symbol].BidPrice/sl[symbol] < ATR_STOPLOSS_THRESHOLD {
		return nil
	}

	if account, err = m.Account(); err != nil {
		return err
	}

	if account.GetCash() < q[symbol].BidPrice {
		return ErrTooSmallOrder
	}

	if !has && proba.Value > threshold {

		// create a new order
		if size = uint(math.Floor(account.GetCash() * .7 / q[symbol].BidPrice)); size < 1 {
			return ErrTooSmallOrder
		}

		_, err = m.CreateOrder(symbol, size, sl[symbol])
		return err

	} else if has && position.GetAvgPrice()/position.GetCurrentPrice() > EXTRA_POSITION_THRESHOLD {

		// create an extra position
		if size = uint(math.Floor(account.GetCash() * .5 / q[symbol].BidPrice)); size < 1 {
			return ErrTooSmallOrder
		}

		_, err = m.CreateOrder(symbol, size, sl[symbol])
		return err
	}

	return nil
}