sentio/strategy/alpaca/qqq10f/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 "qqq10f"
}

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

	var (
		portfolio sentio.Portfolio
		orders    []sentio.StrategyOrder
		ok        bool
		err       error
	)

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

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

		var (
			position sentio.Position
			t        = market.Time().Now()
		)

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

		// Close positions before market closed
		if ok && t.Hour() == 19 && t.Minute() > 30 {
			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 {
			orders = append(orders, sentio.StrategyOrder{
				Symbol: symbol,
				Action: sentio.OrderSell,
				Ratio:  1,
			})
		}

		if ok && sentio.SHORT == side && proba > .9995 {
			orders = append(orders, sentio.StrategyOrder{
				Symbol: symbol,
				Action: sentio.OrderSell,
				Ratio:  1,
			})
		}

		if t.Hour() == 19 && t.Minute() > 29 {
			continue
		}

		if sentio.LONG == side && proba > 1.0009 {
			if ok && position != nil && position.GetCurrentPrice() > position.GetAvgPrice() {
				continue
			}

			orders = append(orders, sentio.StrategyOrder{
				Symbol: symbol,
				Action: sentio.OrderBuy,
				Ratio: func() float64 {
					if t.Hour() >= 18 {
						return .3
					}

					if ok {
						return .4
					} else {
						return .6
					}
				}(),
			})
			continue
		}

		if sentio.SHORT == side && proba < .9991 {
			// prevent extra orders if our position is cheaper
			if ok && position != nil && position.GetCurrentPrice() > position.GetAvgPrice() {
				continue
			}

			orders = append(orders, sentio.StrategyOrder{
				Symbol: symbol,
				Action: sentio.OrderBuy,
				Ratio: func() float64 {
					if t.Hour() >= 18 {
						return .3
					}

					if ok {
						return .4
					} else {
						return .6
					}
				}(),
			})
			continue
		}
	}

	return orders, nil
}