import time from decimal import Decimal from typing import Dict, List, Set import pandas as pd from pydantic import Field, validator from hummingbot.client.config.config_data_types import ClientFieldData from hummingbot.client.ui.interface_utils import format_df_for_printout from hummingbot.core.data_type.common import PriceType, TradeType from hummingbot.data_feed.candles_feed.data_types import CandlesConfig from hummingbot.strategy_v2.controllers.controller_base import ControllerBase, ControllerConfigBase from hummingbot.strategy_v2.executors.data_types import ConnectorPair from hummingbot.strategy_v2.executors.xemm_executor.data_types import XEMMExecutorConfig from hummingbot.strategy_v2.models.executor_actions import CreateExecutorAction, ExecutorAction class XEMMMultipleLevelsConfig(ControllerConfigBase): controller_name: str = "xemm_multiple_levels" candles_config: List[CandlesConfig] = [] maker_connector: str = Field( default="kucoin", client_data=ClientFieldData( prompt=lambda e: "Enter the maker connector: ", prompt_on_new=True )) maker_trading_pair: str = Field( default="LBR-USDT", client_data=ClientFieldData( prompt=lambda e: "Enter the maker trading pair: ", prompt_on_new=True )) taker_connector: str = Field( default="okx", client_data=ClientFieldData( prompt=lambda e: "Enter the taker connector: ", prompt_on_new=True )) taker_trading_pair: str = Field( default="LBR-USDT", client_data=ClientFieldData( prompt=lambda e: "Enter the taker trading pair: ", prompt_on_new=True )) buy_levels_targets_amount: List[List[Decimal]] = Field( default="0.003,10-0.006,20-0.009,30", client_data=ClientFieldData( prompt=lambda e: "Enter the buy levels targets with the following structure: (target_profitability1,amount1-target_profitability2,amount2): ", prompt_on_new=True )) sell_levels_targets_amount: List[List[Decimal]] = Field( default="0.003,10-0.006,20-0.009,30", client_data=ClientFieldData( prompt=lambda e: "Enter the sell levels targets with the following structure: (target_profitability1,amount1-target_profitability2,amount2): ", prompt_on_new=True )) min_profitability: Decimal = Field( default=0.002, client_data=ClientFieldData( prompt=lambda e: "Enter the minimum profitability: ", prompt_on_new=True )) max_profitability: Decimal = Field( default=0.01, client_data=ClientFieldData( prompt=lambda e: "Enter the maximum profitability: ", prompt_on_new=True )) max_executors_imbalance: int = Field( default=1, client_data=ClientFieldData( prompt=lambda e: "Enter the maximum executors imbalance: ", prompt_on_new=True )) @validator("buy_levels_targets_amount", "sell_levels_targets_amount", pre=True, always=True) def validate_levels_targets_amount(cls, v, values): if isinstance(v, str): v = [list(map(Decimal, x.split(","))) for x in v.split("-")] return v def update_markets(self, markets: Dict[str, Set[str]]) -> Dict[str, Set[str]]: if self.maker_connector not in markets: markets[self.maker_connector] = set() markets[self.maker_connector].add(self.maker_trading_pair) if self.taker_connector not in markets: markets[self.taker_connector] = set() markets[self.taker_connector].add(self.taker_trading_pair) return markets class XEMMMultipleLevels(ControllerBase): def __init__(self, config: XEMMMultipleLevelsConfig, *args, **kwargs): self.config = config self.buy_levels_targets_amount = config.buy_levels_targets_amount self.sell_levels_targets_amount = config.sell_levels_targets_amount super().__init__(config, *args, **kwargs) async def update_processed_data(self): pass def determine_executor_actions(self) -> List[ExecutorAction]: executor_actions = [] mid_price = self.market_data_provider.get_price_by_type(self.config.maker_connector, self.config.maker_trading_pair, PriceType.MidPrice) active_buy_executors = self.filter_executors( executors=self.executors_info, filter_func=lambda e: not e.is_done and e.config.maker_side == TradeType.BUY ) active_sell_executors = self.filter_executors( executors=self.executors_info, filter_func=lambda e: not e.is_done and e.config.maker_side == TradeType.SELL ) stopped_buy_executors = self.filter_executors( executors=self.executors_info, filter_func=lambda e: e.is_done and e.config.maker_side == TradeType.BUY and e.filled_amount_quote != 0 ) stopped_sell_executors = self.filter_executors( executors=self.executors_info, filter_func=lambda e: e.is_done and e.config.maker_side == TradeType.SELL and e.filled_amount_quote != 0 ) imbalance = len(stopped_buy_executors) - len(stopped_sell_executors) for target_profitability, amount in self.buy_levels_targets_amount: active_buy_executors_target = [e.config.target_profitability == target_profitability for e in active_buy_executors] if len(active_buy_executors_target) == 0 and imbalance < self.config.max_executors_imbalance: config = XEMMExecutorConfig( controller_id=self.config.id, timestamp=self.market_data_provider.time(), buying_market=ConnectorPair(connector_name=self.config.maker_connector, trading_pair=self.config.maker_trading_pair), selling_market=ConnectorPair(connector_name=self.config.taker_connector, trading_pair=self.config.taker_trading_pair), maker_side=TradeType.BUY, order_amount=amount / mid_price, min_profitability=self.config.min_profitability, target_profitability=target_profitability, max_profitability=self.config.max_profitability ) executor_actions.append(CreateExecutorAction(executor_config=config, controller_id=self.config.id)) for target_profitability, amount in self.sell_levels_targets_amount: active_sell_executors_target = [e.config.target_profitability == target_profitability for e in active_sell_executors] if len(active_sell_executors_target) == 0 and imbalance > -self.config.max_executors_imbalance: config = XEMMExecutorConfig( controller_id=self.config.id, timestamp=time.time(), buying_market=ConnectorPair(connector_name=self.config.taker_connector, trading_pair=self.config.taker_trading_pair), selling_market=ConnectorPair(connector_name=self.config.maker_connector, trading_pair=self.config.maker_trading_pair), maker_side=TradeType.SELL, order_amount=amount / mid_price, min_profitability=self.config.min_profitability, target_profitability=target_profitability, max_profitability=self.config.max_profitability ) executor_actions.append(CreateExecutorAction(executor_config=config, controller_id=self.config.id)) return executor_actions def to_format_status(self) -> List[str]: all_executors_custom_info = pd.DataFrame(e.custom_info for e in self.executors_info) return [format_df_for_printout(all_executors_custom_info, table_format="psql", )]