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(feat) update v2 with controller

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cardosofede
2024-10-17 16:38:11 -03:00
parent ae8f2c95a9
commit 87917da497
1 changed files with 4 additions and 3 deletions
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7
bots/scripts/v2_with_controllers.py
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@@ -25,7 +25,7 @@ class GenericV2StrategyWithCashOutConfig(StrategyV2ConfigBase):
max_controller_drawdown: Optional[float] = None max_controller_drawdown: Optional[float] = None
performance_report_interval: int = 1 performance_report_interval: int = 1
rebalance_interval: Optional[int] = None rebalance_interval: Optional[int] = None
extra_inventory: Optional[float] = 0.01 extra_inventory: Optional[float] = 0.02
min_amount_to_rebalance_usd: Decimal = Decimal("10") min_amount_to_rebalance_usd: Decimal = Decimal("10")
asset_to_rebalance: str = "USDT" asset_to_rebalance: str = "USDT"
@@ -117,14 +117,14 @@ class GenericV2StrategyWithCashOut(StrategyV2Base):
filter_func=lambda x: x.is_active and x.trading_pair == trading_pair and x.connector_name == connector_name filter_func=lambda x: x.is_active and x.trading_pair == trading_pair and x.connector_name == connector_name
) )
unmatched_amount = sum([executor.filled_amount_quote for executor in active_executors_for_pair if executor.side == TradeType.SELL]) - sum([executor.filled_amount_quote for executor in active_executors_for_pair if executor.side == TradeType.BUY]) unmatched_amount = sum([executor.filled_amount_quote for executor in active_executors_for_pair if executor.side == TradeType.SELL]) - sum([executor.filled_amount_quote for executor in active_executors_for_pair if executor.side == TradeType.BUY])
balance += unmatched_amount balance += unmatched_amount / mid_price
base_balance_diff = balance - amount_with_safe_margin base_balance_diff = balance - amount_with_safe_margin
abs_balance_diff = abs(base_balance_diff) abs_balance_diff = abs(base_balance_diff)
trading_rules_condition = abs_balance_diff > trading_rule.min_order_size and abs_balance_diff * mid_price > trading_rule.min_notional_size and abs_balance_diff * mid_price > self.config.min_amount_to_rebalance_usd trading_rules_condition = abs_balance_diff > trading_rule.min_order_size and abs_balance_diff * mid_price > trading_rule.min_notional_size and abs_balance_diff * mid_price > self.config.min_amount_to_rebalance_usd
order_type = OrderType.MARKET order_type = OrderType.MARKET
if base_balance_diff > 0: if base_balance_diff > 0:
if trading_rules_condition: if trading_rules_condition:
self.logger().info(f"Rebalance: Selling {amount_with_safe_margin} {token} to {self.config.asset_to_rebalance}. Balance: {balance} | Executors unmatched balance {unmatched_amount}") self.logger().info(f"Rebalance: Selling {amount_with_safe_margin} {token} to {self.config.asset_to_rebalance}. Balance: {balance} | Executors unmatched balance {unmatched_amount / mid_price}")
connector.sell( connector.sell(
trading_pair=trading_pair, trading_pair=trading_pair,
amount=abs_balance_diff, amount=abs_balance_diff,
@@ -179,6 +179,7 @@ class GenericV2StrategyWithCashOut(StrategyV2Base):
else: else:
current_global_drawdown = self.max_global_pnl - current_global_pnl current_global_drawdown = self.max_global_pnl - current_global_pnl
if current_global_drawdown > self.config.max_global_drawdown: if current_global_drawdown > self.config.max_global_drawdown:
self.drawdown_exited_controllers.extend(list(self.controllers.keys()))
self.logger().info("Global drawdown reached. Stopping the strategy.") self.logger().info("Global drawdown reached. Stopping the strategy.")
HummingbotApplication.main_application().stop() HummingbotApplication.main_application().stop()