func Sell() string {
if PrevTrade == "sell" {
return "0"
}
// compute the price
price, _, warning := getSellPrice()
// compute the amount
Available_coin := GetAvailable_coin()
if Available_coin < 0.01 {
warning = "没有足够的币"
logger.Infoln(warning)
PrevTrade = "sell"
PrevBuyPirce = 0
return "0"
}
amount := Option["tradeAmount"]
nAmount, err := strconv.ParseFloat(amount, 64)
if err != nil {
logger.Infoln("amount is not float")
return "0"
}
if nAmount > Available_coin {
nAmount = Available_coin
amount = fmt.Sprintf("%02f", nAmount)
}
sellID := sell(price, amount)
if sellID == "-1" {
warning += " [模拟]"
} else if sellID == "0" {
warning += "[委托失败]"
} else {
warning += "[委托成功]" + sellID
}
logger.Infoln(warning)
var coin string
if Option["symbol"] == "btc_cny" {
coin = "比特币"
} else {
coin = "莱特币"
}
if sellID != "0" {
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s卖出%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], price, amount, coin)
go email.TriggerTrender(warning)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s卖出%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], price, amount, coin)
}
}
return sellID
}
func (strategy *KDJStrategy) kdjSell(price float64) {
price = price - 0.5
strategy.PrevPrice = price
priceStr := fmt.Sprintf("%f", price)
amount := Option["tradeAmount"]
sell(priceStr, amount)
strategy.PrevTrade = "sell"
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%f卖出%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], price, amount, "比特币")
}
func (threelineStrategy *ThreelineStrategy) Sell(price float64) {
price = price - StringToFloat(Option["slippage"])
threelineStrategy.BuyPrice = 0
priceStr := fmt.Sprintf("%f", price)
amount := Option["tradeAmount"]
sell(priceStr, amount)
threelineStrategy.PrevTrade = "sell"
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%f卖出%s个%s\n",
t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"],
price, amount, coinName())
}
func backtesting() {
fmt.Println("back testing begin...")
SetBacktest(true)
SimAccount = make(map[string]string)
SimAccount["CNY"] = IntegerToString(BackTestCNY)
SimAccount["BTC"] = "0"
SimAccount["LTC"] = "0"
SaveSimulate()
btEnd := time.Now()
btEnd = time.Date(btEnd.Year(), btEnd.Month(), btEnd.Day(), btEnd.Hour(), btEnd.Minute(), 0, 0, time.Local)
//btEnd = btEnd.AddDate(0, 0, -1)
//btStart := btEnd.AddDate(0, -3, 0)
btEnd = btEnd.Add(0 - time.Second*3600*2)
btStart := btEnd.Add(0 - time.Second*3600*24*30)
day := time.Second * 3600 * 24
dayshift := 0
btEnd = btEnd.Add(0 - day*time.Duration(dayshift))
btStart = btStart.Add(0 - day*time.Duration(dayshift))
var symbolId string
if Option["symbol"] == "btc_cny" {
symbolId = "btccny"
} else {
symbolId = "ltccny"
}
fmt.Println("回测开始时间", btStart.Format("2006-01-02 15:04:05"))
fmt.Println("回测结束时间", btEnd.Format("2006-01-02 15:04:05"))
period := StringToInteger(Option["tick_interval"])
var records []Record
var err error
datacenter := Option["datacenter"]
if datacenter == "huobi" {
records, err = GetKLine(btStart, btEnd, period, symbolId)
} else {
records, err = OkcoinKLine(period, symbolId)
}
if err != nil {
fmt.Println(err)
return
} else {
fmt.Println(len(records))
}
if Option["tick_interval"] != "1" {
// check exception data
for i := 0; i < len(records)-1; i++ {
if strategy.CheckException(records[i], records[i+1]) == false {
logger.Errorln("detect exception data ",
records[i].Close, records[i+1].Close, records[i+1].Volumn)
return
}
}
}
filepath := btStart.Format("2006-01-02") + "_" + btEnd.Format("2006-01-02")
filepath = "\\test\\" + filepath + "_" + IntegerToString(period) + "_" + symbolId
filepath = filepath + "_" + Option["strategy"] + ".txt"
logger.SetBacktestFile(filepath)
DeleteFile(ROOT + filepath)
for i := ShiftNumber; i < len(records); i++ {
var rec []Record
if i < MaxKLineLength {
rec = records[0:i]
} else {
rec = records[i-MaxKLineLength : i]
}
SetBtTime(rec[len(rec)-1].Time)
SetBtPrice(records[i].Close)
strategy.Tick(simulate.NewSimulate(), rec)
}
var coin float64
var total float64
if symbolId == "btccny" {
coin = StringToFloat(SimAccount["BTC"])
total = coin*records[len(records)-1].Close + StringToFloat(SimAccount["CNY"])
} else {
coin = StringToFloat(SimAccount["LTC"])
total = coin*records[len(records)-1].Close + StringToFloat(SimAccount["CNY"])
}
logger.Backtestf("资金总计：%f 盈亏比：%f \n", total, (total-BackTestCNY)/BackTestCNY*100)
//peroids := []int{1, 5, 15, 30, 60, 100}
//for _, peroid := range peroids {
// if huobi.AnalyzeKLinePeroid("btc_cny", peroid) == true {
// } else {
// logger.Errorln("TradeKLine failed.")
// }
//}
//fmt.Println("生成 1/5/15/30/60分钟及1天 周期的后向测试报告于log/reportxxx.log文件中,请查看")
fmt.Println("back testing end ...")
}
// KDJ-EX strategy
func (kdjex *KDJexStrategy) Tick(records []Record) bool {
const btcslap = 0.2
const ltcslap = 0.01
const timeout = 300 // 秒
const ordercount = 5
tradeAmount := Option["tradeAmount"]
numTradeAmount, err := strconv.ParseFloat(Option["tradeAmount"], 64)
if err != nil {
logger.Errorln("config item tradeAmount is not float")
return false
}
var slappage float64
symbol := Option["symbol"]
if symbol == "btc_cny" {
slappage = btcslap
} else {
slappage = ltcslap
}
var coin string
if Option["symbol"] == "btc_cny" {
coin = "比特币"
} else {
coin = "莱特币"
}
nSplitTradeAmount := numTradeAmount / float64(ordercount)
splitTradeAmount := fmt.Sprintf("%f", nSplitTradeAmount)
stoploss, err := strconv.ParseFloat(Option["stoploss"], 64)
if err != nil {
logger.Errorln("config item stoploss is not float")
return false
}
var Time []string
var Price []float64
var Volumn []float64
for _, v := range records {
Time = append(Time, v.TimeStr)
Price = append(Price, v.Close)
Volumn = append(Volumn, v.Volumn)
}
length := len(records)
if kdjex.PrevTime == records[length-1].TimeStr &&
kdjex.PrevPrice == records[length-1].Close {
return false
}
// K线为白，D线为黄，J线为红，K in middle
k, d, j := getKDJ(records)
if kdjex.PrevTime != records[length-1].TimeStr ||
kdjex.PrevPrice != records[length-1].Close {
kdjex.PrevTime = records[length-1].TimeStr
kdjex.PrevPrice = records[length-1].Close
logger.Infoln(records[length-1].TimeStr, records[length-1].Close)
logger.Infof("d(黄线）%0.0f\tk(白线）%0.0f\tj(红线）%0.0f\n", d[length-2], k[length-2], j[length-2])
logger.Infof("d(黄线）%0.0f\tk(白线）%0.0f\tj(红线）%0.0f\n", d[length-1], k[length-1], j[length-1])
if j[length-1] > k[length-1] {
logger.Infoln("KDJ up trend")
} else {
logger.Infoln("KDJ down trend")
}
}
if (j[length-2] < k[length-2] && k[length-2] < d[length-2]) &&
(j[length-1] > k[length-1] && k[length-1] > d[length-1]) {
logger.Infoln("----------------->KDJ up cross", kdjex.PrevKDJTrade, d[length-2])
if kdjex.PrevKDJTrade != "buy" && j[length-2] <= 20 {
// do buy
ret, orderbook := GetOrderBook()
if !ret {
logger.Infoln("get orderbook failed 1")
ret, orderbook = GetOrderBook() // try again
if !ret {
logger.Infoln("get orderbook failed 2")
return false
}
}
logger.Infoln("卖一", (orderbook.Asks[len(orderbook.Asks)-1]))
logger.Infoln("买一", orderbook.Bids[0])
logger.Infoln("X 两根K线最低价", records[length-2].Low, records[length-1].Low)
logger.Infoln("X 两根K线最高价", records[length-2].High, records[length-1].High)
avgLow := (records[length-2].Close + records[length-1].Low) / 2.0
logger.Infoln("X 两根K线的最低平均价", avgLow)
warning := "KDJ up cross, 买入buy In<----限价单"
for i := 1; i <= ordercount; i++ {
warning := "KDJ up cross, 买入buy In<----限价单"
tradePrice := fmt.Sprintf("%f", avgLow+slappage*float64(i))
buyID := buy(tradePrice, splitTradeAmount)
if buyID != "0" {
warning += "[委托成功]"
kdjex.BuyId = append(kdjex.BuyId, buyID)
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s买入%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s买入%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
}
} else {
warning += "[委托失败]"
}
logger.Infoln(warning)
}
kdjex.BuyBegin = time.Now()
kdjex.PrevKDJTrade = "buy"
kdjex.PrevBuyPirce = avgLow
logger.Infoln("------------>>>stoploss price", kdjex.PrevBuyPirce*(1-stoploss*0.01))
_, ret = GetAccount()
if !ret {
logger.Infoln("GetAccount failed")
}
SendEmail(warning)
}
}
if (j[length-2] > k[length-2] && k[length-2] > d[length-2]) &&
(j[length-1] < k[length-1] && k[length-1] < d[length-1]) {
logger.Infoln("<----------------------KDJ down cross", kdjex.PrevKDJTrade, d[length-2])
if kdjex.PrevKDJTrade != "sell" && j[length-2] >= 80 {
// do sell
ret, orderbook := GetOrderBook()
if !ret {
logger.Infoln("get orderbook failed 1")
ret, orderbook = GetOrderBook() // try again
if !ret {
logger.Infoln("get orderbook failed 2")
return false
}
}
logger.Infoln("卖一", (orderbook.Asks[len(orderbook.Asks)-1]))
logger.Infoln("买一", orderbook.Bids[0])
logger.Infoln("X 两根K线最低价", records[length-2].Low, records[length-1].Low)
logger.Infoln("X 两根K线最高价", records[length-2].High, records[length-1].High)
avgHigh := (records[length-2].Close + records[length-1].High) / 2.0
logger.Infoln("X 两根K线的最高平均价", avgHigh)
warning := "KDJ down cross, 卖出Sell Out---->限价单"
for i := 1; i <= ordercount; i++ {
warning := "KDJ down cross, 卖出Sell Out---->限价单"
tradePrice := fmt.Sprintf("%f", avgHigh-slappage*float64(i))
sellID := sell(tradePrice, splitTradeAmount)
if sellID != "0" {
warning += "[委托成功]"
kdjex.SellId = append(kdjex.SellId, sellID)
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s卖出%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s卖出%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
}
} else {
warning += "[委托失败]"
}
logger.Infoln(warning)
}
kdjex.SellBegin = time.Now()
kdjex.PrevKDJTrade = "sell"
_, ret = GetAccount()
if !ret {
logger.Infoln("GetAccount failed")
}
SendEmail(warning)
}
}
// do sell when price is below stoploss point
if Price[length-1] < kdjex.PrevBuyPirce*(1-stoploss*0.01) {
if Option["disable_trading"] != "1" && kdjex.PrevKDJTrade != "sell" {
kdjex.PrevKDJTrade = "sell"
kdjex.PrevBuyPirce = 0
warning := "!<------------------stop loss, 卖出Sell Out---->市价" + getTradePrice("", Price[length-1]) + ",委托价" + getTradePrice("sell", Price[length-1])
logger.Infoln(warning)
tradePrice := getTradePrice("sell", Price[length-1])
if sell(tradePrice, tradeAmount) != "0" {
warning += "[委托成功]"
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s卖出%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], tradePrice, tradeAmount, coin)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s卖出%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], tradePrice, tradeAmount, coin)
}
} else {
warning += "[委托失败]"
for i := 1; i <= ordercount; i++ {
warning := "stop loss, 卖出Sell Out---->限价单"
tradePrice := getTradePrice("sell", Price[length-1])
sellID := sell(tradePrice, splitTradeAmount)
if sellID != "0" {
warning += "[委托成功]"
kdjex.SellId = append(kdjex.SellId, sellID)
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s卖出%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s卖出%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], tradePrice, splitTradeAmount, coin)
}
} else {
warning += "[委托失败]"
}
logger.Infoln(warning)
}
}
kdjex.SellBegin = time.Now()
kdjex.PrevKDJTrade = "sell"
_, ret := GetAccount()
if !ret {
logger.Infoln("GetAccount failed")
}
SendEmail(warning)
}
}
// check timeout trade
now := time.Now()
logger.Infoln("time go ", int64(now.Sub(kdjex.BuyBegin)/time.Second))
logger.Infoln("BuyId len", len(kdjex.BuyId), cap(kdjex.BuyId))
logger.Infoln("SellId len", len(kdjex.SellId), cap(kdjex.SellId))
if len(kdjex.BuyId) != 0 &&
int64(now.Sub(kdjex.BuyBegin)/time.Second) > timeout {
// todo
for _, BuyId := range kdjex.BuyId {
warning := "<--------------buy order timeout, cancel-------------->" + BuyId
if CancelOrder(BuyId) {
warning += "[Cancel委托成功]"
} else {
warning += "[Cancel委托失败]"
}
logger.Infoln(warning)
time.Sleep(1 * time.Second)
time.Sleep(500 * time.Microsecond)
}
kdjex.BuyId = kdjex.BuyId[:0]
}
if len(kdjex.SellId) != 0 &&
int64(now.Sub(kdjex.SellBegin)/time.Second) > timeout {
// todo
for _, SellId := range kdjex.SellId {
warning := "<--------------sell order timeout, cancel------------->" + SellId
if CancelOrder(SellId) {
warning += "[Cancel委托成功]"
} else {
warning += "[Cancel委托失败]"
}
logger.Infoln(warning)
time.Sleep(1 * time.Second)
time.Sleep(500 * time.Microsecond)
}
kdjex.SellId = kdjex.SellId[:0]
}
return true
}
func Buy() string {
if PrevTrade == "buy" {
return "0"
}
// init
isStoploss = false
// compute the price
price, nPrice, warning := getBuyPrice()
// compute the amount
amount := Option["tradeAmount"]
nAmount, err := strconv.ParseFloat(amount, 64)
if err != nil {
logger.Infoln("amount is not float")
return "0"
}
Available_cny := GetAvailable_cny()
if Available_cny < nPrice*nAmount {
var nMinTradeAmount float64
nAmount = Available_cny / nPrice
symbol := Option["symbol"]
if symbol == "btc_cny" {
nMinTradeAmount = 0.1
} else {
nMinTradeAmount = 0.01
}
if nAmount < nMinTradeAmount {
warning += "没有足够的法币余额"
logger.Infoln(warning)
PrevTrade = "buy"
PrevBuyPirce = nPrice
return "0"
}
amount = fmt.Sprintf("%02f", nAmount)
}
warning += "---->数量" + amount
buyID := buy(price, amount)
if buyID == "-1" {
warning += " [模拟]"
} else if buyID == "0" {
warning += "[委托失败]"
} else {
warning += "[委托成功]" + buyID
}
logger.Infoln(warning)
var coin string
if Option["symbol"] == "btc_cny" {
coin = "比特币"
} else {
coin = "莱特币"
}
if buyID != "0" {
if !GetBacktest() {
logger.Tradef("在%s，根据策略%s周期%s，以价格%s买入%s个%s\n", Option["tradecenter"], Option["strategy"], Option["tick_interval"], price, amount, coin)
go email.TriggerTrender(warning)
} else {
t := time.Unix(GetBtTime(), 0)
logger.Backtestf("%s 在simulate，根据策略%s周期%s，以价格%s买入%s个%s\n", t.Format("2006-01-02 15:04:05"), Option["strategy"], Option["tick_interval"], price, amount, coin)
}
}
return buyID
}