removed commented trailingstop strategy
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Giulio De Pasquale
parent
3adceef1e9
commit
2aa9bcdb95
253
src/strategy.rs
253
src/strategy.rs
@ -323,259 +323,6 @@ impl PositionStrategy for HiddenTrailingStop {
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}
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}
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// #[derive(Clone, Debug)]
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// pub struct TrailingStop {
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// stop_percentages: HashMap<u64, f64>,
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// capital_max_loss: f64,
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// capital_min_profit: f64,
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// capital_good_profit: f64,
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// min_profit_trailing_delta: f64,
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// good_profit_trailing_delta: f64,
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// leverage: f64,
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// min_profit_percentage: f64,
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// good_profit_percentage: f64,
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// max_loss_percentage: f64,
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// }
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//
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// impl TrailingStop {
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// fn update_stop_percentage(&mut self, position: &Position) -> Option<OrderForm> {
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// let mut order_form = None;
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//
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// if let Some(profit_state) = position.profit_state() {
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// let profit_state_delta = match profit_state {
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// PositionProfitState::MinimumProfit => Some(self.min_profit_trailing_delta),
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// PositionProfitState::Profit => Some(self.good_profit_trailing_delta),
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// _ => None,
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// };
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//
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// if let Some(profit_state_delta) = profit_state_delta {
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// let current_stop_percentage = position.pl_perc() - profit_state_delta;
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// let price_percentage_delta = {
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// if position.is_short() {
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// // 1.0 is the base price
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// 1.0 - current_stop_percentage / 100.0
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// } else {
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// 1.0 + current_stop_percentage / 100.0
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// }
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// };
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//
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// println!("Delta: {}", price_percentage_delta);
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//
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// if let PositionProfitState::MinimumProfit | PositionProfitState::Profit =
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// profit_state
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// {
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// match self.stop_percentages.get(&position.id()) {
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// None => {
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// self.stop_percentages
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// .insert(position.id(), current_stop_percentage);
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//
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// trace!("Setting trailing stop, asking order manager to cancel previous orders.");
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// order_form = Some(
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// OrderForm::new(
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// position.pair().clone(),
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// OrderKind::Limit {
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// price: position.base_price() * price_percentage_delta,
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// },
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// position.platform(),
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// position.amount().neg(),
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// )
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// .with_metadata(OrderMetadata::with_position_id(position.id())),
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// );
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// }
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// Some(existing_threshold) => {
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// // follow and update trailing stop
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// if existing_threshold < ¤t_stop_percentage {
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// self.stop_percentages
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// .insert(position.id(), current_stop_percentage);
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//
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// trace!("Updating threshold, asking order manager to cancel previous orders.");
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// order_form = Some(
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// OrderForm::new(
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// position.pair().clone(),
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// OrderKind::Limit {
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// price: position.base_price() * price_percentage_delta,
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// },
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// position.platform(),
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// position.amount().neg(),
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// )
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// .with_metadata(OrderMetadata::with_position_id(position.id())),
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// );
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// }
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// }
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// }
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// }
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// }
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//
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// info!(
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// "\tState: {:?} | PL: {:0.2}{} ({:0.2}%) | Stop: {:0.2}",
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// position.profit_state().unwrap(),
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// position.pl(),
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// position.pair().quote(),
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// position.pl_perc(),
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// self.stop_percentages.get(&position.id()).unwrap_or(&0.0)
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// );
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// }
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//
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// order_form
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// }
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// }
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//
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// impl Default for TrailingStop {
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// fn default() -> Self {
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// let leverage = 5.0;
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//
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// // in percentage
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// let capital_max_loss = 15.0;
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// let capital_min_profit = 1.0;
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// let capital_good_profit = 6.0;
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//
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// let weighted_min_profit = capital_min_profit / leverage;
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// let weighted_good_profit = capital_good_profit / leverage;
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// let weighted_max_loss = capital_max_loss / leverage;
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//
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// let min_profit_trailing_delta = weighted_min_profit * 0.2;
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// let good_profit_trailing_delta = weighted_good_profit * 0.08;
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//
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// let min_profit_percentage = weighted_min_profit + min_profit_trailing_delta;
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// let good_profit_percentage = weighted_good_profit + good_profit_trailing_delta;
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// let max_loss_percentage = -weighted_max_loss;
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//
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// TrailingStop {
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// stop_percentages: Default::default(),
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// capital_max_loss,
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// capital_min_profit,
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// capital_good_profit,
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// min_profit_trailing_delta,
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// good_profit_trailing_delta,
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// leverage,
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// min_profit_percentage,
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// good_profit_percentage,
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// max_loss_percentage,
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// }
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// }
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// }
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// impl PositionStrategy for TrailingStop {
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// fn name(&self) -> String {
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// "Trailing Stop".into()
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// }
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//
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// /// Sets the profit state of an open position
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// fn on_tick(
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// &mut self,
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// position: Position,
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// current_tick: u64,
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// positions_history: &HashMap<u64, Position>,
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// ) -> (Position, Option<Vec<Event>>, Option<Vec<ActionMessage>>) {
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// let pl_perc = position.pl_perc();
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//
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// let state = {
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// if pl_perc > self.good_profit_percentage {
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// PositionProfitState::Profit
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// } else if (self.min_profit_percentage..self.good_profit_percentage).contains(&pl_perc) {
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// PositionProfitState::MinimumProfit
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// } else if (0.0..self.min_profit_percentage).contains(&pl_perc) {
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// PositionProfitState::BreakEven
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// } else if (self.max_loss_percentage..0.0).contains(&pl_perc) {
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// PositionProfitState::Loss
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// } else {
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// PositionProfitState::Critical
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// }
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// };
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//
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// let opt_prev_position = positions_history.get(&(current_tick - 1));
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// let event_metadata = EventMetadata::new(Some(position.id()), None);
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// let new_position = position.with_profit_state(Some(state));
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//
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// match opt_prev_position {
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// Some(prev) => {
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// if prev.profit_state() == Some(state) {
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// return (new_position, None, None);
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// }
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// }
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// None => return (new_position, None, None),
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// };
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//
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// let events = {
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// let mut events = vec![];
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//
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// if state == PositionProfitState::Profit {
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// events.push(Event::new(
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// EventKind::ReachedGoodProfit,
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// current_tick,
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// Some(event_metadata),
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// ));
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// } else if state == PositionProfitState::MinimumProfit {
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// events.push(Event::new(
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// EventKind::ReachedMinProfit,
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// current_tick,
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// Some(event_metadata),
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// ));
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// } else if state == PositionProfitState::BreakEven {
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// events.push(Event::new(
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// EventKind::ReachedBreakEven,
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// current_tick,
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// Some(event_metadata),
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// ));
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// } else if state == PositionProfitState::Loss {
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// events.push(Event::new(
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// EventKind::ReachedLoss,
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// current_tick,
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// Some(event_metadata),
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// ));
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// } else {
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// events.push(Event::new(
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// EventKind::ReachedMaxLoss,
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// current_tick,
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// Some(event_metadata),
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// ));
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// }
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//
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// events
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// };
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//
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// (new_position, Some(events), None)
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// }
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//
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// fn post_tick(
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// &mut self,
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// position: Position,
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// _: u64,
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// _: &HashMap<u64, Position>,
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// ) -> (Position, Option<Vec<Event>>, Option<Vec<ActionMessage>>) {
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// let close_message = ActionMessage::ClosePosition {
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// position_id: position.id(),
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// };
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//
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// // if critical, early return with close position
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// if let Some(PositionProfitState::Critical) = position.profit_state() {
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// info!("Maximum loss reached. Closing position.");
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// return (position, None, Some(vec![close_message]));
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// };
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//
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// // let's check if we surpassed an existing stop percentage
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// if let Some(existing_stop_percentage) = self.stop_percentages.get(&position.id()) {
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// if &position.pl_perc() <= existing_stop_percentage {
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// info!("Stop percentage surpassed. Closing position.");
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// return (position, None, Some(vec![close_message]));
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// }
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// }
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//
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// // updated or new trailing stop. should cancel orders and submit new one
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// if let Some(order_form) = self.update_stop_percentage(&position) {
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// let mut messages = vec![];
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//
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// messages.push(ActionMessage::ClosePositionOrders {
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// position_id: position.id(),
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// });
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// messages.push(ActionMessage::SubmitOrder { order: order_form });
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//
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// return (position, None, Some(messages));
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// }
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//
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// (position, None, None)
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// }
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// }
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/*
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* ORDER STRATEGIES
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*/
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