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71 lines
3.8 KiB
Python
71 lines
3.8 KiB
Python
from typing import List, Optional
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import pandas_ta as ta # noqa: F401
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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.data_feed.candles_feed.data_types import CandlesConfig
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from hummingbot.strategy_v2.controllers.directional_trading_controller_base import (
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DirectionalTradingControllerBase,
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DirectionalTradingControllerConfigBase,
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)
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class SuperTrendConfig(DirectionalTradingControllerConfigBase):
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controller_name: str = "supertrend_v1"
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candles_config: List[CandlesConfig] = []
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candles_connector: Optional[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: ", ))
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candles_trading_pair: Optional[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: ", ))
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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))
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length: int = Field(default=20, client_data=ClientFieldData(prompt=lambda mi: "Enter the supertrend length: ", prompt_on_new=True))
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multiplier: float = Field(default=4.0, client_data=ClientFieldData(prompt=lambda mi: "Enter the supertrend multiplier: ", prompt_on_new=True))
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percentage_threshold: float = Field(default=0.01, client_data=ClientFieldData(prompt=lambda mi: "Enter the percentage threshold: ", prompt_on_new=True))
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@validator("candles_connector", pre=True, always=True)
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def set_candles_connector(cls, v, values):
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if v is None or v == "":
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return values.get("connector_name")
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return v
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@validator("candles_trading_pair", pre=True, always=True)
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def set_candles_trading_pair(cls, v, values):
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if v is None or v == "":
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return values.get("trading_pair")
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return v
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class SuperTrend(DirectionalTradingControllerBase):
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def __init__(self, config: SuperTrendConfig, *args, **kwargs):
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self.config = config
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self.max_records = config.length + 10
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if len(self.config.candles_config) == 0:
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self.config.candles_config = [CandlesConfig(
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connector=config.candles_connector,
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trading_pair=config.candles_trading_pair,
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interval=config.interval,
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max_records=self.max_records
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)]
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super().__init__(config, *args, **kwargs)
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async def update_processed_data(self):
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df = self.market_data_provider.get_candles_df(connector_name=self.config.candles_connector,
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trading_pair=self.config.candles_trading_pair,
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interval=self.config.interval,
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max_records=self.max_records)
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# Add indicators
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df.ta.supertrend(length=self.config.length, multiplier=self.config.multiplier, append=True)
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df["percentage_distance"] = abs(df["close"] - df[f"SUPERT_{self.config.length}_{self.config.multiplier}"]) / df["close"]
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# Generate long and short conditions
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long_condition = (df[f"SUPERTd_{self.config.length}_{self.config.multiplier}"] == 1) & (df["percentage_distance"] < self.config.percentage_threshold)
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short_condition = (df[f"SUPERTd_{self.config.length}_{self.config.multiplier}"] == -1) & (df["percentage_distance"] < self.config.percentage_threshold)
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# Choose side
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df['signal'] = 0
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df.loc[long_condition, 'signal'] = 1
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df.loc[short_condition, 'signal'] = -1
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# Update processed data
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self.processed_data["signal"] = df["signal"].iloc[-1]
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self.processed_data["features"] = df
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