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(feat) add generic controllers
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cardosofede
196
bots/controllers/generic/spot_perp_arbitrage.py
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196
bots/controllers/generic/spot_perp_arbitrage.py
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import time
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from decimal import Decimal
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from typing import Dict, List, Set
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import pandas as pd
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from pydantic import Field, validator
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from hummingbot.client.config.config_data_types import ClientFieldData
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from hummingbot.client.ui.interface_utils import format_df_for_printout
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from hummingbot.core.data_type.common import PriceType, TradeType, PositionAction, OrderType
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from hummingbot.data_feed.candles_feed.data_types import CandlesConfig
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from hummingbot.strategy_v2.controllers.controller_base import ControllerBase, ControllerConfigBase
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from hummingbot.strategy_v2.executors.data_types import ConnectorPair
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from hummingbot.strategy_v2.executors.position_executor.data_types import PositionExecutorConfig, \
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TripleBarrierConfig
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from hummingbot.strategy_v2.executors.xemm_executor.data_types import XEMMExecutorConfig
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from hummingbot.strategy_v2.models.executor_actions import CreateExecutorAction, ExecutorAction, StopExecutorAction
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class SpotPerpArbitrageConfig(ControllerConfigBase):
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controller_name: str = "spot_perp_arbitrage"
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candles_config: List[CandlesConfig] = []
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spot_connector: str = Field(
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default="binance",
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the spot connector: ",
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prompt_on_new=True
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))
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spot_trading_pair: str = Field(
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default="DOGE-USDT",
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the spot trading pair: ",
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prompt_on_new=True
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))
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perp_connector: str = Field(
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default="binance_perpetual",
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the perp connector: ",
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prompt_on_new=True
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))
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perp_trading_pair: str = Field(
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default="DOGE-USDT",
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the perp trading pair: ",
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prompt_on_new=True
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))
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profitability: Decimal = Field(
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default=0.002,
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the minimum profitability: ",
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prompt_on_new=True
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))
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position_size_quote: float = Field(
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default=50,
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client_data=ClientFieldData(
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prompt=lambda e: "Enter the position size in quote currency: ",
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prompt_on_new=True
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))
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def update_markets(self, markets: Dict[str, Set[str]]) -> Dict[str, Set[str]]:
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if self.spot_connector not in markets:
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markets[self.spot_connector] = set()
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markets[self.spot_connector].add(self.spot_trading_pair)
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if self.perp_connector not in markets:
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markets[self.perp_connector] = set()
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markets[self.perp_connector].add(self.perp_trading_pair)
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return markets
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class SpotPerpArbitrage(ControllerBase):
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def __init__(self, config: SpotPerpArbitrageConfig, *args, **kwargs):
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self.config = config
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super().__init__(config, *args, **kwargs)
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@property
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def spot_connector(self):
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return self.market_data_provider.connectors[self.config.spot_connector]
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@property
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def perp_connector(self):
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return self.market_data_provider.connectors[self.config.perp_connector]
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def get_current_profitability_after_fees(self):
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"""
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This methods compares the profitability of buying at market in the two exchanges. If the side is TradeType.BUY
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means that the operation is long on connector 1 and short on connector 2.
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"""
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spot_trading_pair = self.config.spot_trading_pair
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perp_trading_pair = self.config.perp_trading_pair
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connector_spot_price = Decimal(self.market_data_provider.get_price_for_quote_volume(
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connector_name=self.config.spot_connector,
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trading_pair=spot_trading_pair,
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quote_volume=self.config.position_size_quote,
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is_buy=True,
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).result_price)
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connector_perp_price = Decimal(self.market_data_provider.get_price_for_quote_volume(
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connector_name=self.config.spot_connector,
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trading_pair=perp_trading_pair,
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quote_volume=self.config.position_size_quote,
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is_buy=False,
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).result_price)
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estimated_fees_spot_connector = self.spot_connector.get_fee(
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base_currency=spot_trading_pair.split("-")[0],
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quote_currency=spot_trading_pair.split("-")[1],
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY,
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amount=self.config.position_size_quote / float(connector_spot_price),
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price=connector_spot_price,
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is_maker=False,
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).percent
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estimated_fees_perp_connector = self.perp_connector.get_fee(
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base_currency=perp_trading_pair.split("-")[0],
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quote_currency=perp_trading_pair.split("-")[1],
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order_type=OrderType.MARKET,
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order_side=TradeType.BUY,
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amount=self.config.position_size_quote / float(connector_perp_price),
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price=connector_perp_price,
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is_maker=False,
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position_action=PositionAction.OPEN
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).percent
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estimated_trade_pnl_pct = (connector_perp_price - connector_spot_price) / connector_spot_price
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return estimated_trade_pnl_pct - estimated_fees_spot_connector - estimated_fees_perp_connector
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def is_active_arbitrage(self):
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executors = self.filter_executors(
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executors=self.executors_info,
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filter_func=lambda e: e.is_active
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)
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return len(executors) > 0
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def current_pnl_pct(self):
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executors = self.filter_executors(
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executors=self.executors_info,
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filter_func=lambda e: e.is_active
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)
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filled_amount = sum(e.filled_amount_quote for e in executors)
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return sum(e.net_pnl_quote for e in executors) / filled_amount if filled_amount > 0 else 0
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async def update_processed_data(self):
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self.processed_data = {
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"profitability": self.get_current_profitability_after_fees(),
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"active_arbitrage": self.is_active_arbitrage(),
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"current_pnl": self.current_pnl_pct()
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}
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def determine_executor_actions(self) -> List[ExecutorAction]:
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executor_actions = []
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executor_actions.extend(self.create_new_arbitrage_actions())
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executor_actions.extend(self.stop_arbitrage_actions())
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return executor_actions
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def create_new_arbitrage_actions(self):
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create_actions = []
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if not self.processed_data["active_arbitrage"] and self.processed_data["profitability"] > self.config.profitability:
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mid_price = self.market_data_provider.get_price_by_type(self.config.spot_connector, self.config.spot_trading_pair, PriceType.MidPrice)
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create_actions.append(CreateExecutorAction(
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controller_id=self.config.id,
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executor_config=PositionExecutorConfig(
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timestamp=self.market_data_provider.time(),
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connector_name=self.config.spot_connector,
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trading_pair=self.config.spot_trading_pair,
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side=TradeType.BUY,
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amount=Decimal(self.config.position_size_quote) / mid_price,
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triple_barrier_config=TripleBarrierConfig(open_order_type=OrderType.MARKET),
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)
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))
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create_actions.append(CreateExecutorAction(
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controller_id=self.config.id,
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executor_config=PositionExecutorConfig(
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timestamp=self.market_data_provider.time(),
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connector_name=self.config.perp_connector,
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trading_pair=self.config.perp_trading_pair,
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side=TradeType.SELL,
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amount=Decimal(self.config.position_size_quote) / mid_price,
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triple_barrier_config=TripleBarrierConfig(open_order_type=OrderType.MARKET),
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))
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)
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return create_actions
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def stop_arbitrage_actions(self):
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stop_actions = []
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if self.processed_data["current_pnl"] > 0.003:
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executors = self.filter_executors(
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executors=self.executors_info,
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filter_func=lambda e: e.is_active
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)
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for executor in executors:
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stop_actions.append(StopExecutorAction(controller_id=self.config.id, executor_id=executor.id))
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def to_format_status(self) -> List[str]:
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return [f"Current profitability: {self.processed_data['profitability']} | Min profitability: {self.config.profitability}",
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f"Active arbitrage: {self.processed_data['active_arbitrage']}",
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f"Current PnL: {self.processed_data['current_pnl']}"]
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