from typing import List import pandas_ta as ta # noqa: F401 from pydantic import Field, validator from hummingbot.client.config.config_data_types import ClientFieldData from hummingbot.data_feed.candles_feed.data_types import CandlesConfig from hummingbot.strategy_v2.controllers.directional_trading_controller_base import ( DirectionalTradingControllerBase, DirectionalTradingControllerConfigBase, ) class MACDBBV1ControllerConfig(DirectionalTradingControllerConfigBase): controller_name = "macd_bb_v1" candles_config: List[CandlesConfig] = [] candles_connector: str = Field( default=None, client_data=ClientFieldData( prompt_on_new=True, prompt=lambda mi: "Enter the connector for the candles data, leave empty to use the same exchange as the connector: ", ) ) candles_trading_pair: str = Field( default=None, client_data=ClientFieldData( prompt_on_new=True, prompt=lambda mi: "Enter the trading pair for the candles data, leave empty to use the same trading pair as the connector: ", ) ) interval: str = Field( default="3m", client_data=ClientFieldData( prompt=lambda mi: "Enter the candle interval (e.g., 1m, 5m, 1h, 1d): ", prompt_on_new=False)) bb_length: int = Field( default=100, client_data=ClientFieldData( prompt=lambda mi: "Enter the Bollinger Bands length: ", prompt_on_new=True)) bb_std: float = Field( default=2.0, client_data=ClientFieldData( prompt=lambda mi: "Enter the Bollinger Bands standard deviation: ", prompt_on_new=False)) bb_long_threshold: float = Field( default=0.0, client_data=ClientFieldData( prompt=lambda mi: "Enter the Bollinger Bands long threshold: ", prompt_on_new=True)) bb_short_threshold: float = Field( default=1.0, client_data=ClientFieldData( prompt=lambda mi: "Enter the Bollinger Bands short threshold: ", prompt_on_new=True)) macd_fast: int = Field( default=21, client_data=ClientFieldData( prompt=lambda mi: "Enter the MACD fast period: ", prompt_on_new=True)) macd_slow: int = Field( default=42, client_data=ClientFieldData( prompt=lambda mi: "Enter the MACD slow period: ", prompt_on_new=True)) macd_signal: int = Field( default=9, client_data=ClientFieldData( prompt=lambda mi: "Enter the MACD signal period: ", prompt_on_new=True)) @validator("candles_connector", pre=True, always=True) def set_candles_connector(cls, v, values): if v is None or v == "": return values.get("connector_name") return v @validator("candles_trading_pair", pre=True, always=True) def set_candles_trading_pair(cls, v, values): if v is None or v == "": return values.get("trading_pair") return v class MACDBBV1Controller(DirectionalTradingControllerBase): def __init__(self, config: MACDBBV1ControllerConfig, *args, **kwargs): self.config = config self.max_records = max(config.macd_slow, config.macd_fast, config.macd_signal, config.bb_length) + 200 if len(self.config.candles_config) == 0: self.config.candles_config = [CandlesConfig( connector=config.candles_connector, trading_pair=config.candles_trading_pair, interval=config.interval, max_records=self.max_records )] super().__init__(config, *args, **kwargs) async def update_processed_data(self): df = self.market_data_provider.get_candles_df(connector_name=self.config.candles_connector, trading_pair=self.config.candles_trading_pair, interval=self.config.interval, max_records=self.max_records) # Add indicators df.ta.bbands(length=self.config.bb_length, std=self.config.bb_std, append=True) df.ta.macd(fast=self.config.macd_fast, slow=self.config.macd_slow, signal=self.config.macd_signal, append=True) bbp = df[f"BBP_{self.config.bb_length}_{self.config.bb_std}"] macdh = df[f"MACDh_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"] macd = df[f"MACD_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"] # Generate signal long_condition = (bbp < self.config.bb_long_threshold) & (macdh > 0) & (macd < 0) short_condition = (bbp > self.config.bb_short_threshold) & (macdh < 0) & (macd > 0) df["signal"] = 0 df.loc[long_condition, "signal"] = 1 df.loc[short_condition, "signal"] = -1 # Update processed data self.processed_data["signal"] = df["signal"].iloc[-1] self.processed_data["features"] = df