From ea7c8394a3eec773b18014c6fe49e845dd8c75e8 Mon Sep 17 00:00:00 2001
From: Giulio De Pasquale <depasquale@giugl.io>
Date: Mon, 4 Jan 2021 19:29:01 +0000
Subject: [PATCH] a lot of stuff

---
 rustybot/src/events.rs   |   9 +++
 rustybot/src/pairs.rs    |  13 ++++-
 rustybot/src/strategy.rs | 119 +++++++++++++++++++++++++++++++++++++--
 3 files changed, 136 insertions(+), 5 deletions(-)

diff --git a/rustybot/src/events.rs b/rustybot/src/events.rs
index ad7f0ee..e3c9ff2 100644
--- a/rustybot/src/events.rs
+++ b/rustybot/src/events.rs
@@ -21,6 +21,15 @@ pub struct EventMetadata {
     order_id: Option<u64>,
 }
 
+impl EventMetadata {
+    pub fn new(position_id: Option<u64>, order_id: Option<u64>) -> Self {
+        EventMetadata {
+            position_id,
+            order_id,
+        }
+    }
+}
+
 #[derive(Copy, Clone, PartialEq, Eq, Hash)]
 pub enum EventKind {
     NewMinimum,
diff --git a/rustybot/src/pairs.rs b/rustybot/src/pairs.rs
index fd507d3..e24e1a3 100644
--- a/rustybot/src/pairs.rs
+++ b/rustybot/src/pairs.rs
@@ -32,12 +32,13 @@ impl PairStatus {
     }
 
     pub fn add_position(&mut self, position: Position) {
-        let (pw, events) = {
+        let (pw, events, signals) = {
             match &self.strategy {
                 Some(strategy) => strategy.position_on_new_tick(&position, &self),
                 None => (
                     PositionWrapper::new(position.clone(), position.pl(), position.pl_perc(), None),
                     vec![],
+                    vec![],
                 ),
             }
         };
@@ -61,4 +62,14 @@ impl PairStatus {
 
         self.dispatcher.call_event_handlers(&event, &self);
     }
+
+    pub fn current_tick(&self) -> u64 {
+        self.current_tick
+    }
+
+    pub fn previous_pw(&self, id: u64) -> Option<&PositionWrapper> {
+        self.positions
+            .get(&(self.current_tick - 1))
+            .and_then(|x| x.iter().find(|x| x.position().position_id() == id))
+    }
 }
diff --git a/rustybot/src/strategy.rs b/rustybot/src/strategy.rs
index 8a5b482..5b70ccd 100644
--- a/rustybot/src/strategy.rs
+++ b/rustybot/src/strategy.rs
@@ -1,9 +1,120 @@
+use std::collections::HashMap;
+
 use bitfinex::positions::Position;
 
-use crate::events::Event;
-use crate::positions::PositionWrapper;
+use crate::events::{Event, EventKind, EventMetadata, SignalKind};
 use crate::pairs::PairStatus;
+use crate::positions::{PositionState, PositionWrapper};
 
 pub trait Strategy {
-    fn position_on_new_tick(&self, position: &Position, status: &PairStatus) -> (PositionWrapper, Vec<Event>);
-}
\ No newline at end of file
+    fn position_on_new_tick(
+        &self,
+        position: &Position,
+        status: &PairStatus,
+    ) -> (PositionWrapper, Vec<Event>, Vec<SignalKind>);
+}
+
+struct TrailingStop {
+    stop_percentages: HashMap<u64, f64>,
+}
+
+impl TrailingStop {
+    const BREAK_EVEN_PERC: f64 = 0.2;
+    const MIN_PROFIT_PERC: f64 = TrailingStop::BREAK_EVEN_PERC + 0.3;
+    const GOOD_PROFIT_PERC: f64 = TrailingStop::MIN_PROFIT_PERC * 2.5;
+    const MAX_LOSS_PERC: f64 = -1.7;
+
+    const TAKER_FEE: f64 = 0.2;
+
+    pub fn new() -> Self {
+        TrailingStop {
+            stop_percentages: HashMap::new(),
+        }
+    }
+
+    fn net_pl_percentage(pl: f64, fee: f64) -> f64 {
+        pl - fee
+    }
+}
+
+impl Strategy for TrailingStop {
+    fn position_on_new_tick(
+        &self,
+        position: &Position,
+        status: &PairStatus,
+    ) -> (PositionWrapper, Vec<Event>, Vec<SignalKind>) {
+        let mut signals = vec![];
+        let pl_perc = TrailingStop::net_pl_percentage(position.pl_perc(), TrailingStop::TAKER_FEE);
+        let events = vec![];
+
+        let state = {
+            if pl_perc > TrailingStop::GOOD_PROFIT_PERC {
+                PositionState::Profit
+            } else if TrailingStop::MIN_PROFIT_PERC <= pl_perc
+                && pl_perc < TrailingStop::GOOD_PROFIT_PERC
+            {
+                PositionState::MinimumProfit
+            } else if 0.0 <= pl_perc && pl_perc < TrailingStop::MIN_PROFIT_PERC {
+                PositionState::BreakEven
+            } else if TrailingStop::MAX_LOSS_PERC < pl_perc && pl_perc < 0.0 {
+                PositionState::Loss
+            } else {
+                signals.push(SignalKind::ClosePosition);
+                PositionState::Critical
+            }
+        };
+
+        let opt_pre_pw = status.previous_pw(position.position_id());
+        let event_metadata = EventMetadata::new(Some(position.position_id()), None);
+        let pw = PositionWrapper::new(position.clone(), position.pl(), pl_perc, Some(state));
+
+        match opt_pre_pw {
+            Some(prev) => {
+                if prev.state() == Some(state) {
+                    return (pw, events, signals);
+                }
+            }
+            None => return (pw, events, signals),
+        };
+
+        let events = {
+            let mut events = vec![];
+
+            if state == PositionState::Profit {
+                events.push(Event::new(
+                    EventKind::ReachedGoodProfit,
+                    status.current_tick(),
+                    Some(event_metadata),
+                ));
+            } else if state == PositionState::MinimumProfit {
+                events.push(Event::new(
+                    EventKind::ReachedMinProfit,
+                    status.current_tick(),
+                    Some(event_metadata),
+                ));
+            } else if state == PositionState::BreakEven {
+                events.push(Event::new(
+                    EventKind::ReachedBreakEven,
+                    status.current_tick(),
+                    Some(event_metadata),
+                ));
+            } else if state == PositionState::Loss {
+                events.push(Event::new(
+                    EventKind::ReachedLoss,
+                    status.current_tick(),
+                    Some(event_metadata),
+                ));
+            } else {
+                events.push(Event::new(
+                    EventKind::ReachedMaxLoss,
+                    status.current_tick(),
+                    Some(event_metadata),
+                ));
+            }
+
+            events
+        };
+
+        return (pw, events, signals);
+    }
+}