94 lines
3.2 KiB
Python
94 lines
3.2 KiB
Python
from typing import List
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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
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from bfxbot.utils import TAKER_FEE, 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 TrailingStopMetadata(EventMetadata):
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def __init__(self, net_pl_percentage: float, **kwargs):
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super(TrailingStopMetadata, self).__init__(**kwargs)
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self.net_pl_percentage: float = net_pl_percentage
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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 = -3.75
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OFFER_PERC = 0.005
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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 position_on_new_tick(self, position: Position, ss: SymbolStatus) -> (PositionState, List[Event]):
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events = []
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pl_perc = net_pl_percentage(position.profit_loss_percentage, TAKER_FEE)
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prev = ss.previous_pw(position.id)
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event_metadata = TrailingStopMetadata(position_id=position.id, net_pl_percentage=pl_perc)
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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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state = PositionState.CRITICAL
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if not prev or prev.state == state:
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return state, 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 state, events
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