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implemented trailingstopmetadata

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This commit is contained in:
Giulio De Pasquale 2020-12-15 16:31:20 +00:00
parent 15cad71afc
commit 38d13c724b
1 changed files with 16 additions and 16 deletions
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32
strategy.py
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@ -1,20 +1,13 @@
from typing import List from typing import List
import sympy.abc import sympy.abc
from bfxapi import Position
from sympy import Point, solve from sympy import Point, solve
from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind, EventMetadata
from bfxbot.utils import TAKER_FEE, net_pl_percentage from bfxbot.utils import TAKER_FEE, net_pl_percentage
class Position(object):
def __init__(self):
self.id = None
self.profit_loss_percentage = None
pass
class SquaredTrailingStop: class SquaredTrailingStop:
def __init__(self, p_min: Point, p_max: Point): def __init__(self, p_min: Point, p_max: Point):
a = sympy.abc.a a = sympy.abc.a
@ -49,6 +42,12 @@ class SquaredTrailingStop:
return x - self.y(x) return x - self.y(x)
class TrailingStopMetadata(EventMetadata):
def __init__(self, net_pl_percentage: float, **kwargs):
super(TrailingStopMetadata, self).__init__(**kwargs)
self.net_pl_percentage: float = net_pl_percentage
class TrailingStopStrategy(Strategy): class TrailingStopStrategy(Strategy):
BREAK_EVEN_PERC = TAKER_FEE BREAK_EVEN_PERC = TAKER_FEE
MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3 MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3
@ -62,7 +61,8 @@ class TrailingStopStrategy(Strategy):
events = [] events = []
pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE) pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE)
prev = ss.previous_position_w(position.id) prev = ss.previous_pw(position.id)
event_metadata = TrailingStopMetadata(position_id=position.id, net_pl_percentage=pl_perc)
if pl_perc > self.GOOD_PROFIT_PERC: if pl_perc > self.GOOD_PROFIT_PERC:
state = PositionState.PROFIT state = PositionState.PROFIT
@ -79,15 +79,15 @@ class TrailingStopStrategy(Strategy):
return state, events return state, events
if state == PositionState.PROFIT: if state == PositionState.PROFIT:
events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick)) events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick, event_metadata))
elif state == PositionState.MINIMUM_PROFIT: elif state == PositionState.MINIMUM_PROFIT:
events.append(Event(EventKind.REACHED_MIN_PROFIT, ss.current_tick)) events.append(Event(EventKind.REACHED_MIN_PROFIT, ss.current_tick, event_metadata))
elif state == PositionState.BREAK_EVEN: elif state == PositionState.BREAK_EVEN:
events.append(Event(EventKind.REACHED_BREAK_EVEN, ss.current_tick)) events.append(Event(EventKind.REACHED_BREAK_EVEN, ss.current_tick, event_metadata))
elif state == PositionState.LOSS: elif state == PositionState.LOSS:
events.append(Event(EventKind.REACHED_LOSS, ss.current_tick)) events.append(Event(EventKind.REACHED_LOSS, ss.current_tick, event_metadata))
else: else:
events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick)) events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick)) events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
return state, events return state, events