91 lines
3.1 KiB
Python
91 lines
3.1 KiB
Python
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, EventMetadata, PositionWrapper
|
|
from bfxbot.utils import TAKER_FEE, net_pl_percentage
|
|
|
|
|
|
class SquaredTrailingStop:
|
|
def __init__(self, p_min: Point, p_max: Point):
|
|
a = sympy.abc.a
|
|
b = sympy.abc.b
|
|
c = sympy.abc.c
|
|
|
|
self.p_min = p_min
|
|
self.p_max = p_max
|
|
|
|
e1 = 2 * a * (p_max.x + b)
|
|
e2 = a * (p_min.x + b) ** 2 + c - p_min.y
|
|
e3 = a * (p_max.x + b) ** 2 + c - p_max.y
|
|
|
|
s = solve([e1, e2, e3])[0]
|
|
|
|
self.a, self.b, self.c = s[a], s[b], s[c]
|
|
|
|
def y(self, x):
|
|
def inter_y(x):
|
|
return self.a * (x + self.b) ** 2 + self.c
|
|
|
|
if x < self.p_min.x:
|
|
return self.p_min.y
|
|
elif x > self.p_max.x:
|
|
return self.p_max.y
|
|
else:
|
|
return inter_y(x)
|
|
|
|
def profit(self, x):
|
|
if x < self.p_min.x:
|
|
return 0
|
|
return x - self.y(x)
|
|
|
|
|
|
class TrailingStopStrategy(Strategy):
|
|
BREAK_EVEN_PERC = TAKER_FEE
|
|
MIN_PROFIT_PERC = BREAK_EVEN_PERC + 0.3
|
|
GOOD_PROFIT_PERC = MIN_PROFIT_PERC * 2.5
|
|
MAX_LOSS_PERC = -3.75
|
|
OFFER_PERC = 0.005
|
|
|
|
TRAILING_STOP = SquaredTrailingStop(Point(MIN_PROFIT_PERC, MIN_PROFIT_PERC / 3 * 2), Point(GOOD_PROFIT_PERC, 0.1))
|
|
|
|
def position_on_new_tick(self, position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
|
|
events = []
|
|
|
|
pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE)
|
|
prev = ss.previous_pw(position.id)
|
|
event_metadata = EventMetadata(position_id=position.id)
|
|
|
|
if pl_perc > self.GOOD_PROFIT_PERC:
|
|
state = PositionState.PROFIT
|
|
elif self.MIN_PROFIT_PERC <= pl_perc < self.GOOD_PROFIT_PERC:
|
|
state = PositionState.MINIMUM_PROFIT
|
|
elif 0.0 <= pl_perc < self.MIN_PROFIT_PERC:
|
|
state = PositionState.BREAK_EVEN
|
|
elif self.MAX_LOSS_PERC < pl_perc < 0.0:
|
|
state = PositionState.LOSS
|
|
else:
|
|
state = PositionState.CRITICAL
|
|
|
|
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))
|
|
elif state == PositionState.MINIMUM_PROFIT:
|
|
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, event_metadata))
|
|
elif state == PositionState.LOSS:
|
|
events.append(Event(EventKind.REACHED_LOSS, ss.current_tick, event_metadata))
|
|
else:
|
|
events.append(Event(EventKind.REACHED_MAX_LOSS, ss.current_tick, event_metadata))
|
|
events.append(Event(EventKind.CLOSE_POSITION, ss.current_tick, event_metadata))
|
|
|
|
return pw, events
|