core/strategy.py

from typing import List, Dict

import sympy.abc
from bfxapi import Position
from sympy import Point, solve

from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind, EventMetadata, PositionWrapper, \
    TAKER_FEE
from bfxbot.utils import net_pl_percentage


class SquaredTrailingStop:
    def __init__(self, p_min: Point, p_max: Point):
        a = sympy.abc.a
        b = sympy.abc.b
        c = sympy.abc.c

        self.p_min = p_min
        self.p_max = p_max

        e1 = 2 * a * (p_max.x + b)
        e2 = a * (p_min.x + b) ** 2 + c - p_min.y
        e3 = a * (p_max.x + b) ** 2 + c - p_max.y

        s = solve([e1, e2, e3])[0]

        self.a, self.b, self.c = s[a], s[b], s[c]

    def y(self, x):
        def inter_y(x):
            return self.a * (x + self.b) ** 2 + self.c

        if x < self.p_min.x:
            return self.p_min.y
        elif x > self.p_max.x:
            return self.p_max.y
        else:
            return inter_y(x)

    def profit(self, x):
        if x < self.p_min.x:
            return 0
        return x - self.y(x)


class TrailingStopStrategy(Strategy):
    BREAK_EVEN_PERC = TAKER_FEE
    MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3
    GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 2.5
    MAX_LOSS_PERC = -4.0

    TRAILING_STOP = SquaredTrailingStop(Point(MIN_PROFIT_PERC, MIN_PROFIT_PERC / 3 * 2), Point(GOOD_PROFIT_PERC, 0.1))

    def __init__(self):
        # position_id : stop percentage
        self.stop_percentage: Dict[int, float] = {}

    def position_on_new_tick(self, current_position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
        events = []

        pl_perc = net_pl_percentage(current_position.profit_loss_percentage, TAKER_FEE)
        prev = ss.previous_pw(current_position.id)
        event_metadata = EventMetadata(position_id=current_position.id)

        if pl_perc > self.GOOD_PROFIT_PERC:
            state = PositionState.PROFIT
        elif self.MIN_PROFIT_PERC <= pl_perc < self.GOOD_PROFIT_PERC:
            state = PositionState.MINIMUM_PROFIT
        elif 0.0 <= pl_perc < self.MIN_PROFIT_PERC:
            state = PositionState.BREAK_EVEN
        elif self.MAX_LOSS_PERC < pl_perc < 0.0:
            state = PositionState.LOSS
        else:
            events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
            state = PositionState.CRITICAL

        pw = PositionWrapper(current_position, state=state, net_profit_loss=current_position.profit_loss,
                             net_profit_loss_percentage=pl_perc)

        if not prev or prev.state() == state:
            return pw, events

        if state == PositionState.PROFIT:
            events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick, event_metadata))
        elif state == PositionState.MINIMUM_PROFIT:
            events.append(Event(EventKind.REACHED_MIN_PROFIT, ss.current_tick, event_metadata))
        elif state == PositionState.BREAK_EVEN:
            events.append(Event(EventKind.REACHED_BREAK_EVEN, ss.current_tick, event_metadata))
        elif state == PositionState.LOSS:
            events.append(Event(EventKind.REACHED_LOSS, ss.current_tick, event_metadata))
        else:
            events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
            events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))

        return pw, events

    async def update_stop_percentage(self, pw: PositionWrapper, ss: SymbolStatus):
        current_pl_perc = pw.net_profit_loss_percentage()
        pid = pw.position.id
        event_metadata = EventMetadata(position_id=pw.position.id)

        # if trailing stop not set for this position and state is not profit (we should not set it)
        if pid not in self.stop_percentage and pw.state() not in [PositionState.MINIMUM_PROFIT,
                                                                  PositionState.PROFIT]:
            return

        # set stop percentage for first time only if in profit
        if pid not in self.stop_percentage:
            await ss.add_event(Event(EventKind.TRAILING_STOP_SET, ss.current_tick, event_metadata))

            self.stop_percentage[pid] = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)
            return

        # moving trailing stop
        if current_pl_perc - self.TRAILING_STOP.y(current_pl_perc) > self.stop_percentage[pid]:
            await ss.add_event(Event(EventKind.TRAILING_STOP_MOVED, ss.current_tick, event_metadata))
            self.stop_percentage[pid] = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)

        # close position if current P/L below stop percentage
        if current_pl_perc < self.stop_percentage[pid]:
            await ss.add_event(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))

        return