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Commit 332b7b0

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feat: improve recipe with a sample strategy
1 parent 3d63b84 commit 332b7b0

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5 files changed

+237
-46
lines changed

5 files changed

+237
-46
lines changed

‎.editorconfig

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root = true
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[*]
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charset = utf-8
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end_of_line = lf
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insert_final_newline = true
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trim_trailing_whitespace = true
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[*.php]
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indent_style = space
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indent_size = 4
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[*.yml]
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indent_style = space
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indent_size = 4
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[*.yaml]
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indent_style = space
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indent_size = 4
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[*.md]
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trim_trailing_whitespace = false
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[.github/workflows/*.yaml]
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indent_style = space
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indent_size = 2
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[cook.yaml]
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indent_style = space
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indent_size = 2

‎composer.json

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"symfony/doctrine-messenger": "^7.3",
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"symfony/orm-pack": "^2.4",
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"symfony/cache": "^7.3",
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"williarin/cook": "^1.3"
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"williarin/cook": "^2.0"
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},
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"require-dev": {
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"roave/security-advisories": "dev-latest",

‎composer.lock

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Some generated files are not rendered by default. Learn more about customizing how changed files appear on GitHub.

‎cook.yaml

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files:
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Makefile: recipe/Makefile
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Makefile:
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if_exists: ignore
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source: recipe/Makefile
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.env:
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content: |-
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DATABASE_URL="sqlite:///%kernel.project_dir%/data/queue_%kernel.environment%.db"
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.env:
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type: env
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if_exists: comment
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content: |-
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DATABASE_URL="sqlite:///%kernel.project_dir%/data/queue_%kernel.environment%.db"
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directories:
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'%ROOT_DIR%/data/': recipe/data/
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'%CONFIG_DIR%/': recipe/config/
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'%ROOT_DIR%/data/': recipe/data/
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'%CONFIG_DIR%/': recipe/config/
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'%SRC_DIR%/': recipe/src/
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post_install_output: |
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<bg=blue;fg=white> </>
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<bg=blue;fg=white> What's next? </>
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<bg=blue;fg=white> </>
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<bg=blue;fg=white> </>
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<bg=blue;fg=white> What's next? </>
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<bg=blue;fg=white> </>
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* <fg=blue>Read</> the full documentation at <comment>https://phpquant.github.io/stochastix-docs</>
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* <fg=blue>Read</> the full documentation at <comment>https://phpquant.github.io/stochastix-docs</>

‎recipe/src/Strategy/SampleStrategy.php

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<?php
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namespace App\Strategy;
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use Psr\Log\LoggerInterface;
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use Stochastix\Domain\Common\Enum\DirectionEnum;
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use Stochastix\Domain\Common\Enum\TALibFunctionEnum;
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use Stochastix\Domain\Common\Model\OhlcvSeries;
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use Stochastix\Domain\Indicator\Model\TALibIndicator;
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use Stochastix\Domain\Order\Enum\OrderTypeEnum;
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use Stochastix\Domain\Plot\Series\Line;
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use Stochastix\Domain\Strategy\AbstractStrategy;
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use Stochastix\Domain\Strategy\Attribute\AsStrategy;
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use Stochastix\Domain\Strategy\Attribute\Input;
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#[AsStrategy(alias: 'sample_strategy', name: 'EMA Crossover')]
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final class SampleStrategy extends AbstractStrategy
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{
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#[Input(description: 'Period for the fast EMA', min: 1)]
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private int $emaFastPeriod = 12;
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#[Input(description: 'Period for the slow EMA', min: 1)]
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private int $emaSlowPeriod = 26;
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#[Input(description: 'Stop-loss percentage', min: 0.001, max: 0.5)]
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private float $stopLossPercentage = 0.02;
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#[Input(description: 'Stake amount as a percentage of capital', min: 0.001, max: 1.0)]
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private float $stakeAmount = 0.02;
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public function __construct(private readonly LoggerInterface $logger)
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{
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}
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protected function defineIndicators(): void
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{
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$this
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->addIndicator(
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'ema_fast',
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new TALibIndicator(TALibFunctionEnum::Ema, ['timePeriod' => $this->emaFastPeriod])
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)
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->addIndicator(
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'ema_slow',
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new TALibIndicator(TALibFunctionEnum::Ema, ['timePeriod' => $this->emaSlowPeriod])
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)
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// ->addIndicator(
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// 'macd',
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// new TALibIndicator(TALibFunctionEnum::Macd, [
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// 'fastPeriod' => 12,
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// 'slowPeriod' => 26,
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// 'signalPeriod' => 9
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// ])
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// )
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->definePlot(
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indicatorKey: 'ema_fast',
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name: "EMA ($this->emaFastPeriod)",
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overlay: true,
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plots: [
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new Line(color: '#4e79a7'),
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]
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)
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->definePlot(
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indicatorKey: 'ema_slow',
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name: "EMA ($this->emaSlowPeriod)",
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overlay: true,
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plots: [
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new Line(color: '#f28e2b'),
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]
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)
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// ->definePlot(
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// indicatorKey: 'macd',
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// name: 'MACD (12, 26, 9)',
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// overlay: false,
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// plots: [
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// new Line(key: 'macd', color: '#2962FF'),
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// new Line(key: 'signal', color: '#FF6D00'),
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// new Histogram(key: 'hist', color: 'rgba(178, 181, 190, 0.5)'),
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// ],
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// annotations: [
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// new HorizontalLine(value: 0, color: '#787b86', style: HorizontalLineStyleEnum::Dashed)
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// ]
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// )
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;
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}
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public function onBar(OhlcvSeries $bars): void
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{
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$currentSymbol = $this->context->getCurrentSymbol();
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$currentClose = $bars->close[0];
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if ($currentClose === null) {
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return;
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}
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$fastEma = $this->getIndicatorSeries('ema_fast');
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$slowEma = $this->getIndicatorSeries('ema_slow');
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if ($fastEma[0] === null || $slowEma[0] === null) {
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return;
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}
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$isUpwardCross = $fastEma->crossesOver($slowEma);
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$isDownwardCross = $fastEma->crossesUnder($slowEma);
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$currentCloseStr = (string) $currentClose;
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if (!$this->isInPosition()) {
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$availableCash = $this->orderManager->getPortfolioManager()->getAvailableCash();
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$stakeInCash = bcmul($availableCash, (string) $this->stakeAmount);
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if (bccomp($currentCloseStr, '0') <= 0) {
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$this->logger->warning('Current close price is zero or negative, cannot calculate quantity.');
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return;
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}
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$tradeQuantity = bcdiv($stakeInCash, $currentCloseStr);
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if (bccomp($tradeQuantity, '0.00000001') < 0) {
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$this->logger->info('Calculated trade quantity ({qty}) too small with cash {cash}, skipping trade.', [
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'qty' => $tradeQuantity,
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'cash' => $availableCash,
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]);
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return;
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}
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if ($isUpwardCross) {
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$slFactor = bcsub('1', (string) $this->stopLossPercentage);
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$stopLossPrice = bcmul($currentCloseStr, $slFactor);
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$this->entry(
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direction: DirectionEnum::Long,
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orderType: OrderTypeEnum::Market,
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quantity: $tradeQuantity,
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stopLossPrice: $stopLossPrice,
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);
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} elseif ($isDownwardCross) {
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$slFactor = bcadd('1', (string) $this->stopLossPercentage);
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$stopLossPrice = bcmul($currentCloseStr, $slFactor);
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$this->entry(
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direction: DirectionEnum::Short,
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orderType: OrderTypeEnum::Market,
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quantity: $tradeQuantity,
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stopLossPrice: $stopLossPrice,
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);
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}
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} else {
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$openPosition = $this->orderManager->getPortfolioManager()->getOpenPosition($currentSymbol);
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if ($openPosition) {
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if ($openPosition->direction === DirectionEnum::Long && $isDownwardCross) {
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$this->exit($openPosition->quantity);
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} elseif ($openPosition->direction === DirectionEnum::Short && $isUpwardCross) {
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$this->exit($openPosition->quantity);
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}
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}
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}
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}
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}

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