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(feat) update v2_with_controllers.py

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cardosofede
2024-09-23 22:57:00 +08:00
parent 9f53d68247
commit ae8f2c95a9
1 changed files with 69 additions and 1 deletions
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70
bots/scripts/v2_with_controllers.py
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@@ -8,6 +8,7 @@ from pydantic import Field
from hummingbot.client.hummingbot_application import HummingbotApplication
from hummingbot.connector.connector_base import ConnectorBase
from hummingbot.core.clock import Clock
from hummingbot.core.data_type.common import OrderType, TradeType
from hummingbot.data_feed.candles_feed.data_types import CandlesConfig
from hummingbot.remote_iface.mqtt import ETopicPublisher
from hummingbot.strategy.strategy_v2_base import StrategyV2Base, StrategyV2ConfigBase
@@ -22,6 +23,11 @@ class GenericV2StrategyWithCashOutConfig(StrategyV2ConfigBase):
time_to_cash_out: Optional[int] = None
max_global_drawdown: Optional[float] = None
max_controller_drawdown: Optional[float] = None
performance_report_interval: int = 1
rebalance_interval: Optional[int] = None
extra_inventory: Optional[float] = 0.01
min_amount_to_rebalance_usd: Decimal = Decimal("10")
asset_to_rebalance: str = "USDT"
class GenericV2StrategyWithCashOut(StrategyV2Base):
@@ -44,8 +50,10 @@ class GenericV2StrategyWithCashOut(StrategyV2Base):
self.max_global_pnl = Decimal("0")
self.drawdown_exited_controllers = []
self.closed_executors_buffer: int = 30
self.performance_report_interval: int = 1
self.performance_report_interval: int = self.config.performance_report_interval
self.rebalance_interval: int = self.config.rebalance_interval
self._last_performance_report_timestamp = 0
self._last_rebalance_check_timestamp = 0
hb_app = HummingbotApplication.main_application()
self.mqtt_enabled = hb_app._mqtt is not None
self._pub: Optional[ETopicPublisher] = None
@@ -74,10 +82,70 @@ class GenericV2StrategyWithCashOut(StrategyV2Base):
def on_tick(self):
super().on_tick()
self.performance_reports = {controller_id: self.executor_orchestrator.generate_performance_report(controller_id=controller_id).dict() for controller_id in self.controllers.keys()}
self.control_rebalance()
self.control_cash_out()
self.control_max_drawdown()
self.send_performance_report()
def control_rebalance(self):
if self.rebalance_interval and self._last_rebalance_check_timestamp + self.rebalance_interval <= self.current_timestamp:
balance_required = {}
for controller_id, controller in self.controllers.items():
connector_name = controller.config.dict().get("connector_name")
if connector_name and "perpetual" in connector_name:
continue
if connector_name not in balance_required:
balance_required[connector_name] = {}
tokens_required = controller.get_balance_requirements()
for token, amount in tokens_required:
if token not in balance_required[connector_name]:
balance_required[connector_name][token] = amount
else:
balance_required[connector_name][token] += amount
for connector_name, balance_requirements in balance_required.items():
connector = self.connectors[connector_name]
for token, amount in balance_requirements.items():
if token == self.config.asset_to_rebalance:
continue
balance = connector.get_balance(token)
trading_pair = f"{token}-{self.config.asset_to_rebalance}"
mid_price = connector.get_mid_price(trading_pair)
trading_rule = connector.trading_rules[trading_pair]
amount_with_safe_margin = amount * (1 + Decimal(self.config.extra_inventory))
active_executors_for_pair = self.filter_executors(
executors=self.get_all_executors(),
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])
balance += unmatched_amount
base_balance_diff = balance - amount_with_safe_margin
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
order_type = OrderType.MARKET
if base_balance_diff > 0:
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}")
connector.sell(
trading_pair=trading_pair,
amount=abs_balance_diff,
order_type=order_type,
price=mid_price)
else:
self.logger().info("Skipping rebalance due a low amount to sell that may cause future imbalance")
else:
if not trading_rules_condition:
amount = max([self.config.min_amount_to_rebalance_usd / mid_price, trading_rule.min_order_size, trading_rule.min_notional_size / mid_price])
self.logger().info(f"Rebalance: Buying for a higher value to avoid future imbalance {amount} {token} to {self.config.asset_to_rebalance}. Balance: {balance} | Executors unmatched balance {unmatched_amount}")
else:
amount = abs_balance_diff
self.logger().info(f"Rebalance: Buying {amount} {token} to {self.config.asset_to_rebalance}. Balance: {balance} | Executors unmatched balance {unmatched_amount}")
connector.buy(
trading_pair=trading_pair,
amount=amount,
order_type=order_type,
price=mid_price)
self._last_rebalance_check_timestamp = self.current_timestamp
def control_max_drawdown(self):
if self.config.max_controller_drawdown:
self.check_max_controller_drawdown()