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101 lines
4.4 KiB
Python
101 lines
4.4 KiB
Python
from typing import List
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import pandas_ta as ta # noqa: F401
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from pydantic import Field, field_validator
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from pydantic_core.core_schema import ValidationInfo
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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 MACDBBV1ControllerConfig(DirectionalTradingControllerConfigBase):
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controller_name: str = "macd_bb_v1"
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candles_config: List[CandlesConfig] = []
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candles_connector: str = Field(
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default=None,
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json_schema_extra={
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"prompt": "Enter the connector for the candles data, leave empty to use the same exchange as the connector: ",
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"prompt_on_new": True})
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candles_trading_pair: str = Field(
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default=None,
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json_schema_extra={
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"prompt": "Enter the trading pair for the candles data, leave empty to use the same trading pair as the connector: ",
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"prompt_on_new": True})
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interval: str = Field(
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default="3m",
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json_schema_extra={
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"prompt": "Enter the candle interval (e.g., 1m, 5m, 1h, 1d): ",
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"prompt_on_new": True})
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bb_length: int = Field(
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default=100,
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json_schema_extra={"prompt": "Enter the Bollinger Bands length: ", "prompt_on_new": True})
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bb_std: float = Field(default=2.0)
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bb_long_threshold: float = Field(default=0.0)
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bb_short_threshold: float = Field(default=1.0)
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macd_fast: int = Field(
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default=21,
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json_schema_extra={"prompt": "Enter the MACD fast period: ", "prompt_on_new": True})
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macd_slow: int = Field(
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default=42,
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json_schema_extra={"prompt": "Enter the MACD slow period: ", "prompt_on_new": True})
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macd_signal: int = Field(
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default=9,
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json_schema_extra={"prompt": "Enter the MACD signal period: ", "prompt_on_new": True})
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@field_validator("candles_connector", mode="before")
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@classmethod
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def set_candles_connector(cls, v, validation_info: ValidationInfo):
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if v is None or v == "":
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return validation_info.data.get("connector_name")
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return v
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@field_validator("candles_trading_pair", mode="before")
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@classmethod
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def set_candles_trading_pair(cls, v, validation_info: ValidationInfo):
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if v is None or v == "":
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return validation_info.data.get("trading_pair")
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return v
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class MACDBBV1Controller(DirectionalTradingControllerBase):
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def __init__(self, config: MACDBBV1ControllerConfig, *args, **kwargs):
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self.config = config
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self.max_records = max(config.macd_slow, config.macd_fast, config.macd_signal, config.bb_length) + 20
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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.bbands(length=self.config.bb_length, std=self.config.bb_std, append=True)
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df.ta.macd(fast=self.config.macd_fast, slow=self.config.macd_slow, signal=self.config.macd_signal, append=True)
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bbp = df[f"BBP_{self.config.bb_length}_{self.config.bb_std}"]
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macdh = df[f"MACDh_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"]
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macd = df[f"MACD_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"]
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# Generate signal
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long_condition = (bbp < self.config.bb_long_threshold) & (macdh > 0) & (macd < 0)
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short_condition = (bbp > self.config.bb_short_threshold) & (macdh < 0) & (macd > 0)
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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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