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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 +8 -11
1 changed files with 8 additions and 11 deletions
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strategy.py
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@ -4,7 +4,7 @@ import sympy.abc
from bfxapi import Position
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
@ -42,12 +42,6 @@ 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 +56,7 @@ class TrailingStopStrategy(Strategy):
pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE)
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:
state = PositionState.PROFIT
@ -75,8 +69,11 @@ class TrailingStopStrategy(Strategy):
else:
state = PositionState.CRITICAL
if not prev or prev.state == state:
return state, events
pw = PositionWrapper(position, state=state, net_profit_loss=position.profit_loss,
net_profit_loss_percentage=pl_perc)
if not prev or prev.state() == state:
return pw, events
if state == PositionState.PROFIT:
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.CLOSE_POSITION, ss.current_tick, event_metadata))
return state, events
return pw, events