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modified strategy to pack a wrapper

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This commit is contained in:
Giulio De Pasquale 2020-12-15 20:16:39 +00:00
parent 2a55f67c6d
commit e5726627ca
1 changed files with 8 additions and 11 deletions
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19
strategy.py
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@ -4,7 +4,7 @@ import sympy.abc
from bfxapi import Position from bfxapi import Position
from sympy import Point, solve from sympy import Point, solve
from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind, EventMetadata from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind, EventMetadata, PositionWrapper
from bfxbot.utils import TAKER_FEE, net_pl_percentage from bfxbot.utils import TAKER_FEE, net_pl_percentage
@ -42,12 +42,6 @@ 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 +56,7 @@ class TrailingStopStrategy(Strategy):
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_pw(position.id) prev = ss.previous_pw(position.id)
event_metadata = TrailingStopMetadata(position_id=position.id, net_pl_percentage=pl_perc) event_metadata = EventMetadata(position_id=position.id)
if pl_perc > self.GOOD_PROFIT_PERC: if pl_perc > self.GOOD_PROFIT_PERC:
state = PositionState.PROFIT state = PositionState.PROFIT
@ -75,8 +69,11 @@ class TrailingStopStrategy(Strategy):
else: else:
state = PositionState.CRITICAL state = PositionState.CRITICAL
if not prev or prev.state == state: pw = PositionWrapper(position, state=state, net_profit_loss=position.profit_loss,
return state, events net_profit_loss_percentage=pl_perc)
if not prev or prev.state() == state:
return pw, events
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))
@ -90,4 +87,4 @@ class TrailingStopStrategy(Strategy):
events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata)) events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata)) events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
return state, events return pw, events