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tailwind #9

Manually merged
peperunas merged 157 commits from tailwind into master 2020-12-28 18:38:52 +00:00
Conversation 0 Commits 157 Files Changed 34 +16 -16
1 changed files with 16 additions and 16 deletions
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strategy.py
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@ -1,20 +1,13 @@
from typing import List
import sympy.abc
from bfxapi import Position
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
class Position(object):
def __init__(self):
self.id = None
self.profit_loss_percentage = None
pass
class SquaredTrailingStop:
def __init__(self, p_min: Point, p_max: Point):
a = sympy.abc.a
@ -49,6 +42,12 @@ class SquaredTrailingStop:
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):
BREAK_EVEN_PERC = TAKER_FEE
MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3
@ -62,7 +61,8 @@ class TrailingStopStrategy(Strategy):
events = []
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:
state = PositionState.PROFIT
@ -79,15 +79,15 @@ class TrailingStopStrategy(Strategy):
return state, events
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:
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:
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:
events.append(Event(EventKind.REACHED_LOSS, ss.current_tick))
events.append(Event(EventKind.REACHED_LOSS, ss.current_tick, event_metadata))
else:
events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick))
events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick))
events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
return state, events