sentio/strategy/alpaca/qqq/strategy.go

package main

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

var Strategy = alpacaQQQ{}

type alpacaQQQ struct{}

func (s alpacaQQQ) Name() string {
	return "Alpaca: QQQ"
}

func (s alpacaQQQ) Model() string {
	return "qqq001"
}

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

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

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

	var (
		symbol    string
		portfolio sentio.Portfolio
		ok        bool
		err       error
	)

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

	if symbol, ok = s.PositionSymbols()[sentio.LONG]; !ok {
		return nil, errors.New("incorrect strategy")
	}

	var (
		position sentio.Position
		act      sentio.OrderAction
		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 {
		act = sentio.OrderSell
		if position.GetSize() < 0 {
			act = sentio.OrderBuy
		}

		return []sentio.StrategyOrder{
			{
				Symbol: position.GetSymbol(),
				Action: act,
				Ratio:  1,
			},
		}, nil
	}

	if proba < 0 {
		return nil, nil
	}

	// 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 t.Hour() == 19 && t.Minute() >= 30 {
		return nil, nil
	}

	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
}