strategy:irr: a mean reversion based on box of klines in same direction #989
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@@ Coverage Diff @@
## main #989 +/- ##
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Coverage 19.88% 19.88%
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Files 420 420
Lines 31961 31961
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Hits 6356 6356
Misses 24999 24999
Partials 606 606 Continue to review full report at Codecov.
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pkg/strategy/irr/draw.go
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| return | ||
| } | ||
| bbgo.SendPhoto(&buffer) | ||
| return |
| s.currentTradePrice = atomic.NewFloat64(trade.Price.Float64()) | ||
| }) | ||
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| go func() { |
pkg/strategy/irr/strategy.go
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| Quantity: s.Quantity, | ||
| Type: types.OrderTypeLimitMaker, | ||
| Price: fixedpoint.NewFromFloat(bestBid - s.Spread), | ||
| Tag: "irr short: buy", |
There was a problem hiding this comment.
but I guess you mean irrShortClose here
pkg/strategy/irr/strategy.go
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| @@ -398,3 +486,31 @@ func (s *Strategy) CalcAssetValue(price fixedpoint.Value) fixedpoint.Value { | |||
| balances := s.session.GetAccount().Balances() | |||
| return balances[s.Market.BaseCurrency].Total().Mul(price).Add(balances[s.Market.QuoteCurrency].Total()) | |||
| } | |||
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| func (s *Strategy) rebalancePosition(bestBid, bestAsk float64, w float64) { | |||
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it's better to pass ctx to the function
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strategy:irr: clean up strategy:irr: clean up strategy:irr: clean up
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Hi @austin362667, Well done! 460 BBG has been sent to your polygon wallet. Please check the following tx: https://polygonscan.com/tx/0x6cf14db81c3ca27db323704f4327fa3a5704b33800c0378802a33780b9865695 Thank you for your contribution! |
Due to the severe "delay" issue in binance 1s kline stream.
We've refactored irr strategy into backtesting mode (consume KLine onClose), and real-time mode (consume bookTicker which triggered every interval via goroutine)Now we've redesigned the time ticker(goroutine) to consume aggerate trade market stream based on web socket .Rollback to interval time trigger for a much easier programming model and really small intervals.