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(feat) add grid strike controller

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This commit is contained in:
cardosofede
2024-11-14 19:46:23 -03:00
parent 1bd677b3e6
commit 92d4caece6
1 changed files with 16 additions and 7 deletions
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23
bots/controllers/generic/grid_strike.py
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@@ -1,6 +1,8 @@
from decimal import Decimal
from typing import Dict, List, Optional, Set
from pydantic import BaseModel, Field
from hummingbot.client.config.config_data_types import ClientFieldData
from hummingbot.core.data_type.common import OrderType, PositionMode, PriceType, TradeType
from hummingbot.core.data_type.trade_fee import TokenAmount
@@ -10,7 +12,6 @@ from hummingbot.strategy_v2.executors.position_executor.data_types import Positi
from hummingbot.strategy_v2.models.executor_actions import CreateExecutorAction, ExecutorAction, StopExecutorAction
from hummingbot.strategy_v2.models.executors_info import ExecutorInfo
from hummingbot.strategy_v2.utils.distributions import Distributions
from pydantic import BaseModel, Field
class GridRange(BaseModel):
@@ -35,7 +36,8 @@ class GridStrikeConfig(ControllerConfigBase):
trading_pair: str = "BTC-USDT"
total_amount_quote: Decimal = Field(default=Decimal("1000"), client_data=ClientFieldData(is_updatable=True))
grid_ranges: List[GridRange] = Field(default=[GridRange(id="R0", start_price=Decimal("40000"),
end_price=Decimal("60000"), total_amount_pct=Decimal("0.1"))],
end_price=Decimal("60000"),
total_amount_pct=Decimal("0.1"))],
client_data=ClientFieldData(is_updatable=True))
position_mode: PositionMode = PositionMode.HEDGE
leverage: int = 1
@@ -72,6 +74,7 @@ class GridStrike(ControllerBase):
self.config = config
self._last_grid_levels_update = 0
self.trading_rules = None
self.grid_levels = []
def _calculate_grid_config(self):
self.trading_rules = self.market_data_provider.get_trading_rules(self.config.connector_name,
@@ -92,12 +95,17 @@ class GridStrike(ControllerBase):
orders = int(min(theoretical_orders_by_step, theoretical_orders_by_amount))
prices = Distributions.linear(orders, float(grid_range.start_price), float(grid_range.end_price))
step = (grid_range.end_price - grid_range.start_price) / grid_range.end_price / orders
if orders == 0:
self.logger().warning(f"Grid range {grid_range.id} has no orders, change the parameters "
f"(min order amount, amount pct, min spread between orders or total amount)")
amount_quote = total_amount / orders
for i, price in enumerate(prices):
price_quantized = self.market_data_provider.quantize_order_price(self.config.connector_name,
self.config.trading_pair, price)
amount_quantized = self.market_data_provider.quantize_order_amount(self.config.connector_name,
self.config.trading_pair, amount_quote / self.get_mid_price())
price_quantized = self.market_data_provider.quantize_order_price(
self.config.connector_name,
self.config.trading_pair, price)
amount_quantized = self.market_data_provider.quantize_order_amount(
self.config.connector_name,
self.config.trading_pair, amount_quote / self.get_mid_price())
# amount_quantized = amount_quote / self.get_mid_price()
grid_levels.append(GridLevel(id=f"{grid_range.id}_P{i}",
price=price_quantized,
@@ -211,6 +219,7 @@ class GridStrike(ControllerBase):
short_executors_to_stop = [executor.id for executor in active_executors_order_placed if
executor.side == TradeType.SELL and
executor.config.entry_price >= short_activation_bounds]
executors_id_to_stop = set(active_executor_of_non_active_ranges + long_executors_to_stop + short_executors_to_stop)
executors_id_to_stop = set(
active_executor_of_non_active_ranges + long_executors_to_stop + short_executors_to_stop)
return [StopExecutorAction(controller_id=self.config.id, executor_id=executor) for executor in
list(executors_id_to_stop)]