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Implemented stop and limit orders

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This commit is contained in:
Luke I. Wilson
2023-05-19 13:17:08 -05:00
parent 56740b5a00
commit d851061d1f
5 changed files with 218 additions and 82 deletions
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118
backtesting.go
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@@ -371,6 +371,28 @@ func (b *TestBroker) Advance() {
func (b *TestBroker) Tick() {
// Check if the current candle's high and lows contain any take profits or stop losses.
high, low := b.Data.High(b.CandleIndex()), b.Data.Low(b.CandleIndex())
// Update orders.
for _, any_o := range b.orders {
if any_o.Fulfilled() {
continue
}
o := any_o.(*TestOrder)
if o.orderType == Limit {
if o.price >= low && o.price <= high {
o.fulfill(o.price)
}
} else if o.orderType == Stop {
if o.price <= high && o.price >= low {
o.fulfill(o.price)
}
} else {
panic("the order type is either unknown or otherwise should not be market because those are fulfilled immediately")
}
}
// Update positions.
for _, any_p := range b.positions {
if any_p.Closed() {
continue
@@ -385,15 +407,18 @@ func (b *TestBroker) Tick() {
// Check if the position should be closed.
if p.takeProfit > 0 {
if (p.units > 0 && p.takeProfit <= high) || (p.units < 0 && p.takeProfit >= low) {
p.close(p.takeProfit, closeTypeTakeProfit)
p.close(p.takeProfit, CloseTakeProfit)
continue
}
} else if p.stopLoss > 0 {
}
// stopLoss won't be set if trailingSL is set, and vice versa.
if p.stopLoss > 0 {
if (p.units > 0 && p.stopLoss >= low) || (p.units < 0 && p.stopLoss <= high) {
p.close(p.stopLoss, closeTypeStopLoss)
p.close(p.stopLoss, CloseStopLoss)
}
} else if p.trailingSL > 0 {
if (p.units > 0 && p.trailingSL >= low) || (p.units < 0 && p.trailingSL <= high) {
p.close(p.trailingSL, closeTypeTrailingStop)
p.close(p.trailingSL, CloseTrailingStop)
}
}
}
@@ -438,7 +463,7 @@ func (b *TestBroker) Candles(symbol string, frequency string, count int) (*DataF
return b.Data.Copy(start, adjCount).(*DataFrame), nil
}
func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takeProfit float64) (Order, error) {
func (b *TestBroker) Order(orderType OrderType, symbol string, units, price, stopLoss, takeProfit float64) (Order, error) {
if units == 0 {
return nil, ErrZeroUnits
}
@@ -452,17 +477,18 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
}
}
price := b.Price("", units > 0)
slippage := rand.Float64() * b.Slippage * price
price += slippage - slippage/2 // Get a slippage as +/- 50% of the slippage.
var trailingSL float64
if stopLoss < 0 {
trailingSL = -stopLoss
}
marketPrice := b.Price("", units > 0)
if orderType == Market {
price = marketPrice
}
order := &TestOrder{
broker: b,
id: strconv.Itoa(rand.Int()),
leverage: b.Leverage,
position: nil,
@@ -470,7 +496,7 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
symbol: symbol,
takeProfit: takeProfit,
time: time.Now(),
orderType: MarketOrder,
orderType: orderType,
units: units,
}
if trailingSL > 0 {
@@ -479,27 +505,18 @@ func (b *TestBroker) MarketOrder(symbol string, units float64, stopLoss, takePro
order.stopLoss = stopLoss
}
// Instantly fulfill the order.
order.position = &TestPosition{
broker: b,
closed: false,
entryPrice: price,
id: strconv.Itoa(rand.Int()),
leverage: b.Leverage,
symbol: symbol,
takeProfit: takeProfit,
time: time.Now(),
units: units,
// TODO: only instantly fulfill market orders or sometimes limit orders when requirements are met.
if orderType == Market {
order.fulfill(price)
} else if orderType == Limit {
if units > 0 && marketPrice <= order.price {
order.fulfill(price)
} else if units < 0 && marketPrice >= order.price {
order.fulfill(price)
}
}
if trailingSL > 0 {
order.position.trailingSLDist = trailingSL
} else {
order.position.stopLoss = stopLoss
}
b.Cash -= order.position.EntryValue()
b.orders = append(b.orders, order)
b.positions = append(b.positions, order.position)
b.SignalEmit("OrderPlaced", order)
return order, nil
@@ -556,8 +573,8 @@ type TestPosition struct {
broker *TestBroker
closed bool
entryPrice float64
closePrice float64 // If zero, then position has not been closed.
closeType string // SL, TS, TP
closePrice float64 // If zero, then position has not been closed.
closeType OrderCloseType // SL, TS, TP
id string
leverage float64
symbol string
@@ -570,18 +587,11 @@ type TestPosition struct {
}
func (p *TestPosition) Close() error {
p.close(p.broker.Price("", p.units < 0), closeTypeMarket)
p.close(p.broker.Price("", p.units < 0), CloseMarket)
return nil
}
const (
closeTypeMarket = "M"
closeTypeStopLoss = "SL"
closeTypeTrailingStop = "TS"
closeTypeTakeProfit = "TP"
)
func (p *TestPosition) close(atPrice float64, closeType string) {
func (p *TestPosition) close(atPrice float64, closeType OrderCloseType) {
if p.closed {
return
}
@@ -597,7 +607,7 @@ func (p *TestPosition) Closed() bool {
return p.closed
}
func (p *TestPosition) CloseType() string {
func (p *TestPosition) CloseType() OrderCloseType {
return p.closeType
}
@@ -657,6 +667,7 @@ func (p *TestPosition) Value() float64 {
}
type TestOrder struct {
broker *TestBroker
id string
leverage float64
position *TestPosition
@@ -674,6 +685,31 @@ func (o *TestOrder) Cancel() error {
return ErrCancelFailed
}
func (o *TestOrder) fulfill(atPrice float64) {
slippage := rand.Float64() * o.broker.Slippage * atPrice
atPrice += slippage - slippage/2 // Adjust price as +/- 50% of the slippage.
o.position = &TestPosition{
broker: o.broker,
closed: false,
entryPrice: atPrice,
id: strconv.Itoa(rand.Int()),
leverage: o.leverage,
symbol: o.symbol,
takeProfit: o.takeProfit,
time: time.Now(),
units: o.units,
}
if o.trailingSL > 0 {
o.position.trailingSLDist = o.trailingSL
} else {
o.position.stopLoss = o.stopLoss
}
o.broker.Cash -= o.position.EntryValue()
o.broker.positions = append(o.broker.positions, o.position)
}
func (o *TestOrder) Fulfilled() bool {
return o.position != nil
}