Bracket Order Strategy 止盈止损组合订单策略

All successful trading involves 3 key elements:

• Edge
• Size
• Variance

Trading edge relies on either trader’s talent or instinct; size is the amount you wish to invest in a trade; and variance is the market volatility measure. Simplest way (not ideal) of way of taking all three into one bucket is the “bucket order”.

“Bucket order” involves three simultaneous trades: center order, stop-loss (SL), and take-profit (TP), all in one shot. Here is how to realize this on BitMEX XBTUSD via ccxt:

成功的交易通常是有3个要素：

• 机会发现
• 交易规模
• 市场波动

发现交易机会依赖交易员的使用的技术和个人直觉；交易规模是我们可以用来交易的资金；波动则是市场行为。一个最简单的方法，能同时把三个要素都照顾到，就是使用带止盈止损的下单策略。

这个下单策略包含3个订单，同时发出去：中央订单，止损单，和止盈单。有些交易所包括传统金融和数字资产交易所，是提供了这个订单类型。在BitMEX这家交易所没有提供Bucket Order，但是可以自己组合出这个订单类型。代码如下：

...
def _get_prices(p0,islong):
    sl_r = 0.01 # 1% SL
    tp_r = 0.05 # 5% TP
    
    side = 1 if islong else -1
    sl = p0 * (1 - side * sl_r)
    tp = p0 * (1 + side * tp_r)

    sl = _b(sl)
    tp = _b(tp)

    return p0, sl, tp
...
def _bracket(exchange,limitprice, price, stopprice, amount=1, direction='long'):
    """
    @param exchange (object): ccxt stub of bitmex api
    @param limitprice (float): price of the limit order for TP leg
    @param price (float):   price of the center order (limit order)
    @param stopprice (float):  price of the market order for SL leg
    @param amount (int): quantitiy of contracts in $
    """
        
    sym = 'BTC/USD' # don't change this for bitmex perp contract XBTUSD
    kwargs = dict(symbol=sym,type='Limit',side='buy' if direction == 'long' else 'sell',amount=amount,price=price)
    od = exchange.create_order(**kwargs)

    kwargs = dict(symbol=sym,type='Stop',side='sell' if direction == 'long' else 'buy',amount=amount,params=dict(stopPx=stopprice))
    sl = exchange.create_order(**kwargs)

    kwargs = dict(symbol=sym,type='Limit',side='sell' if direction == 'long' else 'buy',amount=amount,price=limitprice)
    tp = exchange.create_order(**kwargs)

    logging.info(f'order: {od}\nSL: {sl}\nTP: {tp}')
    
    return (od, sl, tp)

def _buy_bracket(exchange,limitprice, price, stopprice,amount=1):
    logging.info('  -- creating buy bracket')

    if stopprice > limitprice:
        raise ValueError('SL price should not be greater than TP.')

    _bracket(exchange,limitprice, price, stopprice,amount,'long')


def _sell_bracket(exchange,limitprice, price, stopprice,amount=1):
    logging.info('  -- creating sell bracket')
    if stopprice < limitprice:
        raise ValueError('SL price should not be less than TP.')

    _bracket(exchange,limitprice, price, stopprice,amount,'short')