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handling trailing stop

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Giulio De Pasquale 2020-12-17 09:30:48 +00:00
parent 5f29d8875c
commit d7c5d81f80
1 changed files with 21 additions and 12 deletions
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33
strategy.py
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@ -1,4 +1,4 @@
from typing import List from typing import List, Dict
import sympy.abc import sympy.abc
from bfxapi import Position from bfxapi import Position
@ -47,12 +47,13 @@ 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
GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 2.5 GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 2.5
MAX_LOSS_PERC = -4.5 MAX_LOSS_PERC = -4.0
TRAILING_STOP = SquaredTrailingStop(Point(MIN_PROFIT_PERC, MIN_PROFIT_PERC / 3 * 2), Point(GOOD_PROFIT_PERC, 0.1)) TRAILING_STOP = SquaredTrailingStop(Point(MIN_PROFIT_PERC, MIN_PROFIT_PERC / 3 * 2), Point(GOOD_PROFIT_PERC, 0.1))
def __init__(self): def __init__(self):
self.stop_percentage: float = None # position_id : stop percentage
self.stop_percentage: Dict[int, float] = {}
def position_on_new_tick(self, current_position: Position, ss: SymbolStatus) -> (PositionState, List[Event]): def position_on_new_tick(self, current_position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
events = [] events = []
@ -79,8 +80,6 @@ class TrailingStopStrategy(Strategy):
if not prev or prev.state() == state: if not prev or prev.state() == state:
return pw, events return pw, events
print(f"{prev.state()} vs {state}")
if state == PositionState.PROFIT: if state == PositionState.PROFIT:
events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick, event_metadata)) events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick, event_metadata))
elif state == PositionState.MINIMUM_PROFIT: elif state == PositionState.MINIMUM_PROFIT:
@ -97,18 +96,28 @@ class TrailingStopStrategy(Strategy):
async def update_stop_percentage(self, pw: PositionWrapper, ss: SymbolStatus): async def update_stop_percentage(self, pw: PositionWrapper, ss: SymbolStatus):
current_pl_perc = pw.net_profit_loss_percentage() current_pl_perc = pw.net_profit_loss_percentage()
pid = pw.position.id
event_metadata = EventMetadata(position_id=pw.position.id)
# set stop percentage for first time # if trailing stop not set for this position and state is not profit (we should not set it)
if not self.stop_percentage: if pid not in self.stop_percentage and pw.state() not in [PositionState.MINIMUM_PROFIT,
await ss.add_event(Event(EventKind.TRAILING_STOP_SET, ss.current_tick)) PositionState.PROFIT]:
return
self.stop_percentage = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc) # 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 return
# moving trailing stop # moving trailing stop
if current_pl_perc - self.TRAILING_STOP.y(pw.net_profit_loss_percentage()) > self.stop_percentage: 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)) await ss.add_event(Event(EventKind.TRAILING_STOP_MOVED, ss.current_tick, event_metadata))
self.stop_percentage = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc) 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 return