feat(backtesting): include OCO/Limit order support (#6)

.goreleaser.yml

@@ -20,6 +20,7 @@ archives:
       windows: Windows
       386: i386
       amd64: x86_64
+    format: zip
 
 checksum:
   name_template: 'checksums.txt'

example/backtesting/main.go → examples/backtesting/main.go

@@ -3,12 +3,11 @@ package main
 import (
 	"context"
 
-	"github.com/rodrigo-brito/ninjabot/pkg/plot"
-
 	"github.com/rodrigo-brito/ninjabot"
-	"github.com/rodrigo-brito/ninjabot/example"
+	"github.com/rodrigo-brito/ninjabot/examples/strategies"
 	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
 	"github.com/rodrigo-brito/ninjabot/pkg/model"
+	"github.com/rodrigo-brito/ninjabot/pkg/plot"
 	"github.com/rodrigo-brito/ninjabot/pkg/storage"
 
 	log "github.com/sirupsen/logrus"
@@ -24,7 +23,7 @@ func main() {
 		},
 	}
 
-	strategy := new(example.MyStrategy)
+	strategy := new(strategies.CrossEMA)
 
 	csvFeed, err := exchange.NewCSVFeed(
 		strategy.Timeframe(),
@@ -66,7 +65,7 @@ func main() {
 		ninjabot.WithCandleSubscription(wallet),
 		ninjabot.WithCandleSubscription(chart),
 		ninjabot.WithOrderSubscription(chart),
-		ninjabot.WithLogLevel(log.ErrorLevel),
+		ninjabot.WithLogLevel(log.InfoLevel),
 	)
 	if err != nil {
 		log.Fatal(err)

example/binance/main.go → examples/binance/main.go

@@ -5,9 +5,8 @@ import (
 	"log"
 	"os"
 
-	"github.com/rodrigo-brito/ninjabot/example"
-
 	"github.com/rodrigo-brito/ninjabot"
+	"github.com/rodrigo-brito/ninjabot/examples/strategies"
 	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
 	"github.com/rodrigo-brito/ninjabot/pkg/model"
 	"github.com/rodrigo-brito/ninjabot/pkg/notification"
@@ -39,7 +38,7 @@ func main() {
 	// (Optional) Telegram notifier
 	notifier := notification.NewTelegram(telegramID, telegramKey, telegramChannel)
 
-	strategy := &example.MyStrategy{}
+	strategy := &strategies.CrossEMA{}
 	bot, err := ninjabot.NewBot(ctx, settings, binance, strategy)
 	if err != nil {
 		log.Fatalln(err)

example/paperwallet/main.go → examples/paperwallet/main.go

@@ -5,7 +5,7 @@ import (
 	"os"
 
 	"github.com/rodrigo-brito/ninjabot"
-	"github.com/rodrigo-brito/ninjabot/example"
+	"github.com/rodrigo-brito/ninjabot/examples/strategies"
 	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
 	"github.com/rodrigo-brito/ninjabot/pkg/model"
 	"github.com/rodrigo-brito/ninjabot/pkg/notification"
@@ -51,7 +51,7 @@ func main() {
 		exchange.WithDataFeed(binance),
 	)
 
-	strategy := new(example.MyStrategy)
+	strategy := new(strategies.CrossEMA)
 	bot, err := ninjabot.NewBot(
 		ctx,
 		settings,

example/strategy.go → examples/strategies/emacross.go

@@ -1,4 +1,4 @@
-package example
+package strategies
 
 import (
 	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
@@ -8,23 +8,23 @@ import (
 	log "github.com/sirupsen/logrus"
 )
 
-type MyStrategy struct{}
+type CrossEMA struct{}
 
-func (e MyStrategy) Init(settings model.Settings) {}
+func (e CrossEMA) Init(settings model.Settings) {}
 
-func (e MyStrategy) Timeframe() string {
+func (e CrossEMA) Timeframe() string {
 	return "1d"
 }
 
-func (e MyStrategy) WarmupPeriod() int {
+func (e CrossEMA) WarmupPeriod() int {
 	return 9
 }
 
-func (e MyStrategy) Indicators(df *model.Dataframe) {
+func (e CrossEMA) Indicators(df *model.Dataframe) {
 	df.Metadata["ema9"] = talib.Ema(df.Close, 9)
 }
 
-func (e *MyStrategy) OnCandle(df *model.Dataframe, broker exchange.Broker) {
+func (e *CrossEMA) OnCandle(df *model.Dataframe, broker exchange.Broker) {
 	closePrice := df.Close.Last(0)
 	log.Info("New Candle = ", df.Pair, df.LastUpdate, closePrice)
 

examples/strategies/ocosell.go

@@ -0,0 +1,72 @@
+package strategies
+
+import (
+	"github.com/rodrigo-brito/ninjabot/pkg/exchange"
+	"github.com/rodrigo-brito/ninjabot/pkg/model"
+
+	"github.com/markcheno/go-talib"
+	log "github.com/sirupsen/logrus"
+)
+
+type OCOSell struct{}
+
+func (e OCOSell) Init(settings model.Settings) {}
+
+func (e OCOSell) Timeframe() string {
+	return "1d"
+}
+
+func (e OCOSell) WarmupPeriod() int {
+	return 9
+}
+
+func (e OCOSell) Indicators(df *model.Dataframe) {
+	df.Metadata["stoch"], df.Metadata["stoch_signal"] = talib.Stoch(
+		df.High,
+		df.Low,
+		df.Close,
+		8,
+		3,
+		talib.SMA,
+		3,
+		talib.SMA,
+	)
+}
+
+func (e *OCOSell) OnCandle(df *model.Dataframe, broker exchange.Broker) {
+	closePrice := df.Close.Last(0)
+	log.Info("New Candle = ", df.Pair, df.LastUpdate, closePrice)
+
+	assetPosition, quotePosition, err := broker.Position(df.Pair)
+	if err != nil {
+		log.Error(err)
+	}
+
+	buyAmount := 4000.0
+	if quotePosition > buyAmount && df.Metadata["stoch"].Crossover(df.Metadata["stoch_signal"]) {
+		size := buyAmount / closePrice
+		_, err := broker.OrderMarket(model.SideTypeBuy, df.Pair, size)
+		if err != nil {
+			log.WithFields(map[string]interface{}{
+				"pair":  df.Pair,
+				"side":  model.SideTypeBuy,
+				"close": closePrice,
+				"asset": assetPosition,
+				"quote": quotePosition,
+				"size":  size,
+			}).Error(err)
+		}
+
+		_, err = broker.OrderOCO(model.SideTypeSell, df.Pair, size, closePrice*1.05, closePrice*0.95, closePrice*0.95)
+		if err != nil {
+			log.WithFields(map[string]interface{}{
+				"pair":  df.Pair,
+				"side":  model.SideTypeBuy,
+				"close": closePrice,
+				"asset": assetPosition,
+				"quote": quotePosition,
+				"size":  size,
+			}).Error(err)
+		}
+	}
+}

ninjabot.go

@@ -182,6 +182,7 @@ func (n *NinjaBot) Run(ctx context.Context) error {
 
 	n.orderFeed.Start()
 	n.orderController.Start()
+	defer n.orderController.Stop()
 	n.dataFeed.Start()
 	return nil
 }