rust #10
@ -16,7 +16,7 @@ use crate::events::{ActorMessage, Event, Message};
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use crate::models::{
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ActiveOrder, OrderBook, OrderForm, OrderKind, Position, PriceTicker, TradingPlatform,
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};
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use crate::strategy::{FastOrderStrategy, OrderStrategy, PositionStrategy, TrailingStop};
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use crate::strategy::{HiddenTrailingStop, MarketEnforce, OrderStrategy, PositionStrategy};
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use crate::BoxError;
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pub type OptionUpdate = (Option<Vec<Event>>, Option<Vec<Message>>);
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@ -534,12 +534,12 @@ impl PairManager {
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order_manager: OrderManagerHandle::new(
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pair.clone(),
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client.clone(),
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Box::new(FastOrderStrategy::default()),
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Box::new(MarketEnforce::default()),
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),
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position_manager: PositionManagerHandle::new(
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pair,
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client,
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Box::new(TrailingStop::new()),
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Box::new(HiddenTrailingStop::new()),
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),
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}
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}
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@ -67,15 +67,15 @@ impl Debug for dyn OrderStrategy {
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***************/
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#[derive(Clone, Debug)]
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pub struct TrailingStop {
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pub struct HiddenTrailingStop {
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stop_percentages: HashMap<u64, f64>,
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}
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impl TrailingStop {
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impl HiddenTrailingStop {
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// in percentage
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const CAPITAL_MAX_LOSS: f64 = 17.5;
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const CAPITAL_MIN_PROFIT: f64 = 10.0;
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const CAPITAL_GOOD_PROFIT: f64 = 20.0;
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const CAPITAL_MAX_LOSS: f64 = 15.0;
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const CAPITAL_MIN_PROFIT: f64 = 9.0;
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const CAPITAL_GOOD_PROFIT: f64 = HiddenTrailingStop::CAPITAL_MIN_PROFIT * 2.0;
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// in percentage
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const MIN_PROFIT_TRAILING_DELTA: f64 = 0.2;
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@ -83,14 +83,17 @@ impl TrailingStop {
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const LEVERAGE: f64 = 15.0;
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const MIN_PROFIT_PERC: f64 = (TrailingStop::CAPITAL_MIN_PROFIT / TrailingStop::LEVERAGE)
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+ TrailingStop::MIN_PROFIT_TRAILING_DELTA;
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const GOOD_PROFIT_PERC: f64 = (TrailingStop::CAPITAL_GOOD_PROFIT / TrailingStop::LEVERAGE)
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+ TrailingStop::GOOD_PROFIT_TRAILING_DELTA;
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const MAX_LOSS_PERC: f64 = -(TrailingStop::CAPITAL_MAX_LOSS / TrailingStop::LEVERAGE);
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const MIN_PROFIT_PERC: f64 = (HiddenTrailingStop::CAPITAL_MIN_PROFIT
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/ HiddenTrailingStop::LEVERAGE)
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+ HiddenTrailingStop::MIN_PROFIT_TRAILING_DELTA;
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const GOOD_PROFIT_PERC: f64 = (HiddenTrailingStop::CAPITAL_GOOD_PROFIT
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/ HiddenTrailingStop::LEVERAGE)
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+ HiddenTrailingStop::GOOD_PROFIT_TRAILING_DELTA;
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const MAX_LOSS_PERC: f64 =
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-(HiddenTrailingStop::CAPITAL_MAX_LOSS / HiddenTrailingStop::LEVERAGE);
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pub fn new() -> Self {
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TrailingStop {
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HiddenTrailingStop {
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stop_percentages: HashMap::new(),
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}
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}
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@ -98,8 +101,10 @@ impl TrailingStop {
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fn update_stop_percentage(&mut self, position: &Position) {
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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(TrailingStop::MIN_PROFIT_TRAILING_DELTA),
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PositionProfitState::Profit => Some(TrailingStop::GOOD_PROFIT_TRAILING_DELTA),
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PositionProfitState::MinimumProfit => {
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Some(HiddenTrailingStop::MIN_PROFIT_TRAILING_DELTA)
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}
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PositionProfitState::Profit => Some(HiddenTrailingStop::GOOD_PROFIT_TRAILING_DELTA),
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_ => None,
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};
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@ -125,8 +130,10 @@ impl TrailingStop {
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}
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}
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info!(
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"\tState: {:?} | PL%: {:0.2} | Stop: {:0.2}",
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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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@ -134,9 +141,9 @@ impl TrailingStop {
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}
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}
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impl PositionStrategy for TrailingStop {
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impl PositionStrategy for HiddenTrailingStop {
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fn name(&self) -> String {
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"Trailing stop".into()
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"Hidden Trailing Stop".into()
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}
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/// Sets the profit state of an open position
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@ -149,15 +156,15 @@ impl PositionStrategy for TrailingStop {
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let pl_perc = position.pl_perc();
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let state = {
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if pl_perc > TrailingStop::GOOD_PROFIT_PERC {
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if pl_perc > HiddenTrailingStop::GOOD_PROFIT_PERC {
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PositionProfitState::Profit
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} else if TrailingStop::MIN_PROFIT_PERC <= pl_perc
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&& pl_perc < TrailingStop::GOOD_PROFIT_PERC
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} else if HiddenTrailingStop::MIN_PROFIT_PERC <= pl_perc
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&& pl_perc < HiddenTrailingStop::GOOD_PROFIT_PERC
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{
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PositionProfitState::MinimumProfit
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} else if (0.0..TrailingStop::MIN_PROFIT_PERC).contains(&pl_perc) {
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} else if (0.0..HiddenTrailingStop::MIN_PROFIT_PERC).contains(&pl_perc) {
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PositionProfitState::BreakEven
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} else if (TrailingStop::MAX_LOSS_PERC..0.0).contains(&pl_perc) {
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} else if (HiddenTrailingStop::MAX_LOSS_PERC..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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@ -249,21 +256,21 @@ impl PositionStrategy for TrailingStop {
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}
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#[derive(Clone, Debug)]
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pub struct FastOrderStrategy {
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pub struct MarketEnforce {
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// threshold (%) for which we trigger a market order
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// to close an open position
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threshold: f64,
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}
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impl Default for FastOrderStrategy {
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impl Default for MarketEnforce {
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fn default() -> Self {
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Self { threshold: 0.15 }
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}
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}
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impl OrderStrategy for FastOrderStrategy {
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impl OrderStrategy for MarketEnforce {
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fn name(&self) -> String {
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"Fast order strategy".into()
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"Market Enforce".into()
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}
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fn on_open_order(
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@ -294,7 +301,7 @@ impl OrderStrategy for FastOrderStrategy {
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messages.push(Message::SubmitOrder {
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order: OrderForm::new(
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order.symbol.clone(),
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OrderKind::Market {},
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OrderKind::Market,
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*order.details.platform(),
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order.details.amount(),
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),
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@ -303,44 +310,4 @@ impl OrderStrategy for FastOrderStrategy {
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Ok((None, (!messages.is_empty()).then_some(messages)))
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}
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// fn on_position_order(
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// &self,
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// order: &ActiveOrder,
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// _: &Position,
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// order_book: &OrderBook,
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// ) -> Result<OptionUpdate, BoxError> {
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// let mut messages = vec![];
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//
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// // long
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// let offer_comparison = {
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// if order.current_form.amount() > 0.0 {
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// order_book.highest_bid()
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// } else {
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// order_book.lowest_ask()
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// }
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// };
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//
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// // if the best offer is higher than our threshold,
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// // ask the manager to close the position with a market order
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// let order_price = order
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// .current_form
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// .price()
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// .ok_or("The active order does not have a price!")?;
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// let delta = (1.0 - (offer_comparison / order_price)).abs() * 100.0;
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//
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// if delta > self.threshold {
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// messages.push(Message::SubmitOrder {
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// order: OrderForm::new(
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// order.symbol.clone(),
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// OrderKind::Market {
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// amount: order.current_form.amount(),
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// },
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// order.current_form.platform().clone(),
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// ),
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// })
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// }
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//
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// Ok((None, (!messages.is_empty()).then_some(messages)))
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// }
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}
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