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OBOnlyWSv2bband.py
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import numpy as np
import talib.abstract as ta
from datetime import datetime, timedelta
import random
import time
from typing import Any, Dict, List, Optional, Tuple
from datetime import datetime,timedelta
import math
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
from talipp.indicators import EMA, SMA ,BB
from user_data.strategies.BinanceStream import BaseIndicator, OrderBook,BinanceStream
class OBOnlyWSv2bband(BinanceStream):
INTERFACE_VERSION = 2
stoploss = -0.11
timeframe = '1m'
use_sell_signal = True
sell_profit_only = False
# Run "populate_indicators()" only for new candle.
process_only_new_candles = True
strat_data={
"ratio_buy1":False,
"ratio_buy2":False,
"ratio_buy3":0,
"ratio_wall":0,
"price":0,
"ratio_ema":0,
"price_ub":math.nan,
"price_lb":math.nan,
"ratio_gain":0,
}
def init_pair_info(self,pi):
pi.buy_signal=0
pi.bi=BaseIndicator(pi.pair, currency="USDT")
pi.ob_bb=BB(200,2.0)
pi.bb5=BB(20,2.0,input_indicator=pi.bi.c)
pi.ob_ema=EMA(7)
pi.sell_signal=0
pi.ob=OrderBook(pi.pair,currency="USDT")
def ob_cut(self, bids, asks,delta_bid,delta_ask=None,bid_weight=0.5):
if delta_ask is None:
delta_ask=delta_bid
mid_price=(bid_weight*bids[0][0]+(1-bid_weight)*asks[0][0])
bid_cut = mid_price - mid_price*delta_bid
ask_cut = mid_price + mid_price*delta_ask
bid_side=bids[bids[:,0]>bid_cut]
ask_side=asks[asks[:,0]<ask_cut]
return bid_side,ask_side
def check_ob(self,pi , bids, asks,delta_bid,delta_ask=None,wall=0.0,ratio=1.0,bid_weight=0.5,reciprocal=False):
if delta_ask is None:
delta_ask=delta_bid
mid_price=(bid_weight*bids[0][0]+(1-bid_weight)*asks[0][0])
bid_cut = mid_price - mid_price*delta_bid
ask_cut = mid_price + mid_price*delta_ask
bid_side=bids[bids[:,0]>bid_cut]
ask_side=asks[asks[:,0]<ask_cut]
wall_side=bid_side
asum=ask_side[:,1].sum()
bsum=bid_side[:,1].sum()
if wall<0:
wall_side=ask_side
wall=-wall
wsum=wall_side[:,1].sum()
r=bsum/asum
r_test=(r >ratio)
if reciprocal:
r_test= ((1/r) >ratio)
if r_test and min(np.size(ask_side[:,1]),np.size(bid_side[:,1])) > 10:
wlist=wall_side[wall_side[:,1]>(wall*wsum)]
if len (wlist) >0 :
return True,r
return False,r
def rescale(self,r):
if math.isnan(r) or math.isinf(r) or r==0:
return 1
if r>1:
return r-1
return -(1/r-1)
def process_ob(self,pi, bids, asks):
bb=pi.ob_bb
ema=pi.ob_ema
self.strat_data["price"]=mid_price=(1*bids[0][0]+1*asks[0][0])/2
_, r2=self.check_ob(pi,bids, asks,delta_bid=0.002,delta_ask=0.002,wall=0.4,ratio=1.7)
bid_side,ask_side=self.ob_cut( bids, asks,delta_bid=0.002)
mid_price=(1*bids[0][0]+1*asks[0][0])/2
no_wallb=bid_side[bid_side[:,1]<0.4*np.sum(bid_side[:,1])]
no_walla=ask_side[ask_side[:,1]<0.4*np.sum(ask_side[:,1])]
r2=np.sum(bid_side)/np.sum(ask_side)
r2=self.rescale(r2)
r2nw=np.sum(no_wallb)/np.sum(no_walla)
r2nw=self.rescale(r2nw)
if len(bb)>0:
iv=r2nw
#print(f"will added {iv} {bb[-1].lb}")
bb.add_input_value(iv)
#print(f" added {iv} {bb[-1].lb}")
bb.purge_oldest(1)
#print(f" pop {iv} {bb[-1].lb}")
else:
bb.add_input_value(r2nw)
if len(ema)>0:
self.strat_data["ratio_ema"]=ema[-1]
ema.add_input_value(r2)
ema.purge_oldest(1)
else:
ema.add_input_value(r2)
def new_ob(self, pi, depth_cache):
bids = np.array(depth_cache.get_bids())
asks = np.array(depth_cache.get_asks())
self.process_ob(pi,bids,asks)
self.check_sell(pi,bids,asks)
self.check_buy(pi,bids,asks)
def check_buy(self,pi,bids, asks ):
prev_buy_signal=pi.buy_signal
pi.buy_signal=0
pair=pi.pair
open_trades= pi.open_trades()
#### NO RETURN BEFORE HERE
# if len (open_trades) >= 1 or self.no_trade_until > datetime.now():
# return
mid_price=(1*bids[0][0]+1*asks[0][0])/2
buy_price=(0.2*bids[0][0]+0.8*asks[0][0])
if len(pi.bi.c) == 0 or pi.bi.c[-1][-1] > bids[0][0]:
return
bb5=pi.bb5
if len(bb5)>0:
bbb=bb5[-1]
cond1=mid_price<(bbb.cb)
cond2 = (bbb.cb-bbb.lb)> mid_price * 0.004
self.strat_data["ratio_buy1"]=cond1
self.strat_data["ratio_buy2"]=cond2
if not (cond1 and cond2):
return
else:
return
buy3=False
bb=pi.ob_bb
ema=pi.ob_ema
if len(bb)>0 and len(ema)>0:
if ema[-1] > 1.2*bb[-1].ub:
buy3=True
self.strat_data["ratio_buy3"]= 1 if buy3 else 0
if buy3 :
pi.buy(buy_price)
def check_sell(self, pi, bids, asks):
sell_price=(0.1*bids[0][0]+0.9*asks[0][0])
ob_price=(0.2*bids[0][0]+0.8*asks[0][0])
mid_price=(0.5*bids[0][0]+0.5*asks[0][0])
pair=pi.pair
found_trade= pi.open_trades(pair=pair)
prev_sell_signal=pi.sell_signal
pi.sell_signal=0
if(found_trade == None):
return
found_trade= pi.open_trades(force=True,pair=pair)
if(found_trade == None):
return
print("found trade")
if len(pi.bi.c) == 0 or pi.bi.c[-1][-1] < asks[0][0]:
return
print("check1")
gain = (mid_price-found_trade.open_rate)/found_trade.open_rate
self.strat_data["ratio_gain"]= gain*100
sell_1=False
bb=pi.ob_bb
ema=pi.ob_ema
sell2,r2=self.check_ob(pair,bids=bids, asks=asks,delta_bid=0.002,delta_ask=0.002,ratio=1.,bid_weight=0.2,wall=-0,reciprocal=True)
sell2=False
if r2 <1.0:
sell2=True
elapsed=datetime.now()-found_trade.open_date
elapsed_min=elapsed.total_seconds()//60
elapsed_min2=max(0,elapsed_min-20)
factor=max(0.8,1-elapsed_min2*0.005)
if len(bb)>0 and len(ema)>0:
if ema[-1] < 1*factor*bb[-1].lb:
sell_1=True
sell=False
if sell_1 and sell2:
pi.sell_signal=prev_sell_signal+1
if gain > 0 or elapsed > timedelta(hours=24):
pi.sell(asks[0][0])
if gain >0.003 or sell:
pi.sell(sell_price)