feat: Modify close CFD quotation and trade strategy

Author: RexBearIU

src/strategies/strategies.service.spec.ts

@@ -56,10 +56,12 @@ describe('StrategiesService', () => {
       3210.38, 3221.28, 3220.03, 3219.03, 3220.01, 3224.01, 3228.11, 3212.89,
       3211.79, 3224.31, 3216.85, 3207.8, 3224.44, 3220.49, 3212.7, 3219.26,
     ];
-    const spreadFee = 0.05;
+    const spreadFee = 5;
     const ETHSuggestion = await strategiesService.getSuggestion('autoArima', {
+      currentPrice: 3219.26,
       priceArray: ETHPriceArray,
       spreadFee: spreadFee,
+      holdingStatus: 'WAIT',
     });
     expect(ETHSuggestion).toBe('BUY');
   });
@@ -93,7 +95,7 @@ describe('StrategiesService', () => {
   });
 
   it('should backtest use csv', async () => {
-    console.log = () => {};
+    // console.log = () => {};
     // Read the file
     const csvContent = fs.readFileSync('src/strategies/ETH-USD.csv', 'utf8');
     // Split the content into rows (assuming newline-separated rows)
@@ -114,7 +116,7 @@ describe('StrategiesService', () => {
     // Info: (20240320 - Jacky) this is aim to sum the profit of all trades
     const profitArray = tradeArray.map((trade) => trade.profit);
     const sum = profitArray.reduce((total, profit) => total + profit, 0);
-    expect(sum).toBe(-67.06188301500049);
+    expect(sum).toBe(-1069.9531315100012);
   });
 
   it('should backtest use api', async () => {
@@ -166,6 +168,6 @@ describe('StrategiesService', () => {
     // Info: (20240320 - Jacky) this is aim to sum the profit of all trades
     const profitArray = tradeArray.map((trade) => trade.profit);
     const sum = profitArray.reduce((total, profit) => total + profit, 0);
-    expect(sum).toBe(-214.9824);
+    expect(sum).toBe(-673.9419000000021);
   });
 });

src/strategies/strategies.service.ts

@@ -22,7 +22,6 @@ export class StrategiesService {
   async backTesting(suggestion, stopLoss, takeProfit, priceData) {
     let holdingStatus = 'WAIT';
     let openPrice;
-    let openSpreadFee;
     const priceArray: number[] = priceData;
     const tradeArray = [];
     for (let index = 30; index < priceArray.length; index++) {
@@ -39,13 +38,13 @@ export class StrategiesService {
       if (holdingStatus !== 'WAIT') {
         stopLossResult = await this.getStopLoss(stopLoss, {
           openPrice: openPrice,
-          currentPrice: currentPrice + spreadFee,
+          currentPrice: currentPrice,
           spreadFee: spreadFee,
           holdingStatus: holdingStatus,
         });
         takeProfitResult = await this.getTakeProfit(takeProfit, {
           openPrice: openPrice,
-          currentPrice: currentPrice + spreadFee,
+          currentPrice: currentPrice,
           spreadFee: spreadFee,
           holdingStatus: holdingStatus,
         });
@@ -56,44 +55,41 @@ export class StrategiesService {
         takeProfitResult === 'CLOSE'
       ) {
         if (holdingStatus === 'BUY') {
-          const profit = currentPrice - openPrice - openSpreadFee;
+          const profit = currentPrice - spreadFee - openPrice;
           tradeArray.push({
             openPrice: openPrice,
             price: currentPrice,
-            openSpreadFee: openSpreadFee,
             profit: profit,
             holdingStatus: holdingStatus,
             tradeStrategy: 'CLOSE-BUY',
           });
         }
         if (holdingStatus === 'SELL') {
-          const profit = openPrice - currentPrice - openSpreadFee;
+          const profit = openPrice - (currentPrice + spreadFee);
           tradeArray.push({
             openPrice: openPrice,
             price: currentPrice,
             profit: profit,
-            openSpreadFee: openSpreadFee,
             holdingStatus: holdingStatus,
             tradeStrategy: 'CLOSE-SELL',
           });
         }
         holdingStatus = 'WAIT';
         openPrice = null;
-        openSpreadFee = null;
+        continue;
       }
       if (suggestionResult !== 'WAIT' && holdingStatus === 'WAIT') {
-        openSpreadFee = spreadFee;
         holdingStatus = suggestionResult;
         openPrice = JSON.parse(JSON.stringify(currentPrice));
         tradeArray.push({
           openPrice: openPrice,
           price: currentPrice,
           profit: 0,
-          openSpreadFee: openSpreadFee,
           holdingStatus: holdingStatus,
           suggestionResult: suggestionResult,
         });
       }
+      continue;
     }
     return { tradeArray };
   }

src/strategies/strategy/autoArima.ts

@@ -9,17 +9,15 @@ export function suggestion(data: {
   let suggestion = 'WAIT';
   const arima = new ARIMA('auto');
   arima.train(data.priceArray);
-  const AbsspreadFee = Math.abs(data.spreadFee);
-  const arimaPredict = arima.predict(36);
+  // const AbsspreadFee = Math.abs(data.spreadFee);
+  const arimaPredict = arima.predict(15);
   const predict: number[] = arimaPredict[0];
-  const predictMax = Math.max(...predict);
-  const predictMin = Math.min(...predict);
-  const predictProfit = AbsspreadFee * 2.2;
+  // const predictProfit = AbsspreadFee * 2.8;
   const currentPrice = data.currentPrice;
-  if (predictMax - currentPrice > predictProfit) {
+  if (predict[predict.length - 1] > currentPrice) {
     suggestion = 'BUY';
   }
-  if (currentPrice - predictMin > predictProfit) {
+  if (predict[predict.length - 1] < currentPrice) {
     suggestion = 'SELL';
   }
   if (suggestion === 'WAIT') {
@@ -40,18 +38,20 @@ export function takeProfit(data: {
   spreadFee: number;
   holdingStatus: string;
 }) {
-  const AbsOpenSpreadFee = Math.abs(data.spreadFee);
+  const AbsSpreadFee = Math.abs(data.spreadFee);
   const openPrice = data.openPrice;
   const currentPrice = data.currentPrice;
-  const takeProfit = AbsOpenSpreadFee * 1.8;
+  const takeProfit = AbsSpreadFee * 1.5;
   const holdingStatus = data.holdingStatus;
   if (holdingStatus === 'BUY') {
-    if (currentPrice - openPrice > takeProfit) {
+    // Info: (20240328 - Jacky) Current Sell price is higher than the open Buy price
+    if (currentPrice - AbsSpreadFee - openPrice > takeProfit) {
       return 'CLOSE';
     }
   }
   if (holdingStatus === 'SELL') {
-    if (openPrice - currentPrice < takeProfit) {
+    // Info: (20240328 - Jacky) Current Buy price is lower than the open Sell price
+    if (openPrice - (currentPrice + AbsSpreadFee) > takeProfit) {
       return 'CLOSE';
     }
   }
@@ -63,18 +63,20 @@ export function stopLoss(data: {
   spreadFee: number;
   holdingStatus: string;
 }) {
-  const AbsOpenSpreadFee = Math.abs(data.spreadFee);
+  const AbsSpreadFee = Math.abs(data.spreadFee);
   const openPrice = data.openPrice;
   const currentPrice = data.currentPrice;
-  const stopLoss = AbsOpenSpreadFee * 0.6;
+  const stopLoss = AbsSpreadFee * 0.7;
   const holdingStatus = data.holdingStatus;
   if (holdingStatus === 'BUY') {
-    if (openPrice - currentPrice > stopLoss) {
+    // Info: (20240328 - Jacky) Current Buy price is lower than the open Buy price
+    if (openPrice - (currentPrice + AbsSpreadFee) > stopLoss) {
       return 'CLOSE';
     }
   }
   if (holdingStatus === 'SELL') {
-    if (currentPrice - openPrice > stopLoss) {
+    // Info: (20240328 - Jacky) Current Sell price is higher than the open Sell price
+    if (currentPrice - AbsSpreadFee - openPrice > stopLoss) {
       return 'CLOSE';
     }
   }

src/tradebot/entities/tradebot.entity.ts

@@ -36,7 +36,6 @@ export class Tradebot {
   holdingInstId: string;
   positionId: string;
   openPrice: number;
-  absSpreadFee: number;
   endAsset: myAsset;
   isRunning: boolean;
   timer?: NodeJS.Timeout;

src/tradebot/tradebot.service.ts

@@ -5,7 +5,6 @@ import { DewtService } from '../dewt/dewt.service';
 import { PriceTickerService } from '../price_ticker/price_ticker.service';
 import { StrategiesService } from '../strategies/strategies.service';
 import { TransactionService } from '../transaction/transaction.service';
-import { QuotationDto } from '../price_ticker/dto/quotation.dto';
 
 @Injectable()
 export class TradebotService {
@@ -135,22 +134,13 @@ export class TradebotService {
         ' purchase strategy',
     );
     try {
-      let quotation: QuotationDto;
-      if (tradebot.holdingStatus === 'WAIT') {
-        this.logger.log('Tradebot ' + tradebot.id + ' hasn`t holding position');
-        quotation = await this.priceTickerService.getCFDQuotation(instId);
-      } else {
-        quotation = await this.priceTickerService.getCFDQuotation(
-          tradebot.holdingStatus,
-          tradebot.holdingInstId,
-        );
-      }
+      let quotation = await this.priceTickerService.getCFDQuotation(instId);
       const priceArray = await this.priceTickerService.getCandlesticks(instId);
       const suggestion = await this.strategiesService.getSuggestion(
         tradebot.suggestion,
         {
           priceArray: priceArray,
-          currentPrice: quotation.data.price,
+          currentPrice: quotation.data.spotPrice,
           spreadFee: quotation.data.spreadFee,
           holdingStatus: tradebot.holdingStatus,
         },
@@ -159,17 +149,17 @@ export class TradebotService {
         tradebot.takeProfit,
         {
           openPrice: tradebot.openPrice,
-          currentPrice: quotation.data.price,
-          spreadFee: tradebot.absSpreadFee,
+          currentPrice: quotation.data.spotPrice,
+          spreadFee: quotation.data.spreadFee,
           holdingStatus: tradebot.holdingStatus,
         },
       );
       const stopLoss = await this.strategiesService.getStopLoss(
         tradebot.stopLoss,
         {
           openPrice: tradebot.openPrice,
-          currentPrice: quotation.data.price,
-          spreadFee: tradebot.absSpreadFee,
+          currentPrice: quotation.data.spotPrice,
+          spreadFee: quotation.data.spreadFee,
           holdingStatus: tradebot.holdingStatus,
         },
       );
@@ -191,6 +181,17 @@ export class TradebotService {
             'create dewt for tradebot ' + tradebot.id + ' register failed',
           );
         }
+        if (tradebot.holdingStatus === 'BUY') {
+          quotation = await this.priceTickerService.getCFDQuotation(
+            'SELL',
+            tradebot.holdingInstId,
+          );
+        } else if (tradebot.holdingStatus === 'SELL') {
+          quotation = await this.priceTickerService.getCFDQuotation(
+            'BUY',
+            tradebot.holdingInstId,
+          );
+        }
         const closeCFDOrderDto =
           await this.trancsactionService.closeCFDOrderDTO(
             quotation,
@@ -218,7 +219,6 @@ export class TradebotService {
         tradebot.updated_at = new Date();
         tradebot.positionId = null;
         tradebot.openPrice = null;
-        tradebot.absSpreadFee = null;
         tradebot.currentAsset = await this.userService.getMyAsset(
           tradebot.dewt,
         );
@@ -272,7 +272,6 @@ export class TradebotService {
         tradebot.holdingInstId = instId;
         tradebot.positionId = createCFDOrder.data.orderSnapshot.id;
         tradebot.openPrice = quotation.data.price;
-        tradebot.absSpreadFee = Math.abs(quotation.data.spreadFee);
         tradebot.updated_at = new Date();
         tradebot.currentAsset = await this.userService.getMyAsset(
           tradebot.dewt,