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