tailwind #9
33
strategy.py
33
strategy.py
@ -1,4 +1,4 @@
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from typing import List
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from typing import List, Dict
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import sympy.abc
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from bfxapi import Position
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@ -47,12 +47,13 @@ class TrailingStopStrategy(Strategy):
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BREAK_EVEN_PERC = TAKER_FEE
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MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3
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GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 2.5
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MAX_LOSS_PERC = -4.5
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MAX_LOSS_PERC = -4.0
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TRAILING_STOP = SquaredTrailingStop(Point(MIN_PROFIT_PERC, MIN_PROFIT_PERC / 3 * 2), Point(GOOD_PROFIT_PERC, 0.1))
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def __init__(self):
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self.stop_percentage: float = None
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# position_id : stop percentage
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self.stop_percentage: Dict[int, float] = {}
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def position_on_new_tick(self, current_position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
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events = []
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@ -79,8 +80,6 @@ class TrailingStopStrategy(Strategy):
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if not prev or prev.state() == state:
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return pw, events
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print(f"{prev.state()} vs {state}")
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if state == PositionState.PROFIT:
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events.append(Event(EventKind.REACHED_GOOD_PROFIT, ss.current_tick, event_metadata))
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elif state == PositionState.MINIMUM_PROFIT:
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@ -97,18 +96,28 @@ class TrailingStopStrategy(Strategy):
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async def update_stop_percentage(self, pw: PositionWrapper, ss: SymbolStatus):
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current_pl_perc = pw.net_profit_loss_percentage()
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pid = pw.position.id
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event_metadata = EventMetadata(position_id=pw.position.id)
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# set stop percentage for first time
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if not self.stop_percentage:
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await ss.add_event(Event(EventKind.TRAILING_STOP_SET, ss.current_tick))
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# if trailing stop not set for this position and state is not profit (we should not set it)
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if pid not in self.stop_percentage and pw.state() not in [PositionState.MINIMUM_PROFIT,
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PositionState.PROFIT]:
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return
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self.stop_percentage = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)
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# set stop percentage for first time only if in profit
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if pid not in self.stop_percentage:
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await ss.add_event(Event(EventKind.TRAILING_STOP_SET, ss.current_tick, event_metadata))
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self.stop_percentage[pid] = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)
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return
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# moving trailing stop
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if current_pl_perc - self.TRAILING_STOP.y(pw.net_profit_loss_percentage()) > self.stop_percentage:
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await ss.add_event(Event(EventKind.TRAILING_STOP_MOVED, ss.current_tick))
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self.stop_percentage = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)
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if current_pl_perc - self.TRAILING_STOP.y(current_pl_perc) > self.stop_percentage[pid]:
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await ss.add_event(Event(EventKind.TRAILING_STOP_MOVED, ss.current_tick, event_metadata))
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self.stop_percentage[pid] = current_pl_perc - self.TRAILING_STOP.y(current_pl_perc)
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# close position if current P/L below stop percentage
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if current_pl_perc < self.stop_percentage[pid]:
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await ss.add_event(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
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return
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