124 lines
4.7 KiB
Python
124 lines
4.7 KiB
Python
from typing import List, Dict
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import sympy.abc
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from bfxapi import Position
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from sympy import Point, solve
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from bfxbot.models import Strategy, PositionState, SymbolStatus, Event, EventKind, EventMetadata, PositionWrapper, \
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TAKER_FEE
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from bfxbot.utils import net_pl_percentage
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class SquaredTrailingStop:
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def __init__(self, p_min: Point, p_max: Point):
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a = sympy.abc.a
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b = sympy.abc.b
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c = sympy.abc.c
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self.p_min = p_min
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self.p_max = p_max
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e1 = 2 * a * (p_max.x + b)
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e2 = a * (p_min.x + b) ** 2 + c - p_min.y
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e3 = a * (p_max.x + b) ** 2 + c - p_max.y
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s = solve([e1, e2, e3])[0]
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self.a, self.b, self.c = s[a], s[b], s[c]
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def y(self, x):
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def inter_y(x):
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return self.a * (x + self.b) ** 2 + self.c
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if x < self.p_min.x:
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return self.p_min.y
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elif x > self.p_max.x:
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return self.p_max.y
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else:
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return inter_y(x)
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def profit(self, x):
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if x < self.p_min.x:
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return 0
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return x - self.y(x)
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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 = -4.0
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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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# 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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pl_perc = net_pl_percentage(current_position.profit_loss_percentage, TAKER_FEE)
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prev = ss.previous_pw(current_position.id)
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event_metadata = EventMetadata(position_id=current_position.id)
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if pl_perc > self.GOOD_PROFIT_PERC:
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state = PositionState.PROFIT
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elif self.MIN_PROFIT_PERC <= pl_perc < self.GOOD_PROFIT_PERC:
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state = PositionState.MINIMUM_PROFIT
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elif 0.0 <= pl_perc < self.MIN_PROFIT_PERC:
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state = PositionState.BREAK_EVEN
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elif self.MAX_LOSS_PERC < pl_perc < 0.0:
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state = PositionState.LOSS
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else:
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events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
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state = PositionState.CRITICAL
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pw = PositionWrapper(current_position, state=state, net_profit_loss=current_position.profit_loss,
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net_profit_loss_percentage=pl_perc)
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if not prev or prev.state() == state:
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return pw, events
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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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events.append(Event(EventKind.REACHED_MIN_PROFIT, ss.current_tick, event_metadata))
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elif state == PositionState.BREAK_EVEN:
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events.append(Event(EventKind.REACHED_BREAK_EVEN, ss.current_tick, event_metadata))
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elif state == PositionState.LOSS:
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events.append(Event(EventKind.REACHED_LOSS, ss.current_tick, event_metadata))
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else:
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events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
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events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
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return pw, events
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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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# 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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# 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(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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