sentio/strategy/alpaca/qqq15_nodelay/strategy.go

package main

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

const (
	ATR_MULTIPLIER = 1.5
	ATR_PERIOD     = 5
	ATR_HHV        = 4

	ATR_STOPLOSS_THRESHOLD   = 1
	EXTRA_POSITION_THRESHOLD = 1.002
)

var Strategy = qqq{}

type qqq struct{}

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

func (strategy qqq) Model() string {
	return "qqq15"
}

func (strategy qqq) MarketId() string {
	return "alpaca"
}

func (strategy qqq) Interval() uint8 {
	return 5
}

func (strategy qqq) Cooldown(periods uint8) time.Duration {
	return time.Minute * time.Duration(strategy.Interval()*periods)
}

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

func (strategy qqq) PositionProbabilities() map[sentio.Side]float64 {
	return map[sentio.Side]float64{
		sentio.BASE:  -1,
		sentio.LONG:  1.0008,
		sentio.SHORT: .9990,
	}
}

func (strategy qqq) Handle(market sentio.Market, probability sentio.Probability) error {
	var (
		now        = market.Clock().Now()
		symbols    = strategy.Symbols()
		stoplosses map[string]float64
		quotes     map[string]sentio.Quote
		orders     []sentio.Order
		portfolio  sentio.Portfolio
		err        error
	)

	// skip too early orders
	if now.Hour() == 9 && now.Minute() < 45 {
		return nil
	}

	// close all orders before market close
	if now.Hour() == 15 && now.Minute() > 50 {
		return strategy.CloseAllOrders(market)
	}

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

	if stoplosses, err = strategy.AtrStopLoss(market, symbols...); err != nil {
		return err
	}

	// update stoplosses or close running orders
	for i := range orders {
		if strategy.PositionSymbols()[sentio.LONG] == orders[i].GetSymbol() &&
			probability.Value < 1.0008 {
			if _, err = market.CloseOrder(orders[i].GetId()); err != nil {
				return err
			}

			continue
		}

		if strategy.PositionSymbols()[sentio.SHORT] == orders[i].GetSymbol() &&
			probability.Value > .9998 {
			if _, err = market.CloseOrder(orders[i].GetId()); err != nil {
				return err
			}

			continue
		}

		if f, ok := stoplosses[orders[i].GetId()]; ok && f > 0 {
			if err = market.UpdateOrder(orders[i].GetId(), f); err != nil {
				return err
			}

			continue
		}
	}

	//if probability.TS.Add(time.Minute * time.Duration(int64(strategy.Interval()/2))).Before(now.Round(time.Minute)) {
	//	return nil
	//}

	// Prevent BUYs on closing market
	if now.Hour() == 15 && now.Minute() > 46 {
		return nil
	}

	// Prevent Market.CreateOrder while probability is not clear
	if probability.Value == 1 || probability.Value < 0 {
		return nil
	}

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

	if quotes, err = market.Quotes(symbols...); err != nil {
		return err
	}

	var t = sentio.SHORT
	if probability.Value > 1 {
		t = sentio.LONG
	}

	return strategy.CreateOrder(market, t, probability, portfolio, quotes, stoplosses)
}

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

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

		symbols = append(symbols, s)
	}

	return symbols
}

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

	if orders, err = market.Orders(sentio.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 qqq) AtrStopLoss(market sentio.Market, symbols ...string) (map[string]float64, error) {
	var (
		stoplosses map[string]float64
		bars       map[string][]sentio.Bar
		err        error
	)

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

	stoplosses = make(map[string]float64)
	for s := range bars {
		if bars == nil || len(bars[s]) < ATR_PERIOD {
			return nil, errors.New("AtrStopLoss: could not calculate stoploss for too short timeseries")
		}

		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 qqq) CreateOrder(m sentio.Market, t sentio.Side, proba sentio.Probability, p sentio.Portfolio, q map[string]sentio.Quote, sl map[string]float64) error {
	var (
		symbol    = strategy.PositionSymbols()[t]
		position  sentio.Position
		account   sentio.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 sentio.ErrTooSmallOrder
	}

	if !has && proba.Value > threshold {

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

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

	return nil
}