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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,146 @@ | ||
| 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.candles_factory import CandlesConfig | ||
| from hummingbot.smart_components.controllers.controller_base import ControllerBase, ControllerConfigBase | ||
| from hummingbot.smart_components.executors.data_types import ConnectorPair | ||
| from hummingbot.smart_components.executors.xemm_executor.data_types import XEMMExecutorConfig | ||
| from hummingbot.smart_components.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 | ||
| )) | ||
|
|
||
| @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 | ||
| ) | ||
| 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: | ||
| config = XEMMExecutorConfig( | ||
| controller_id=self.config.id, | ||
| timestamp=time.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: | ||
| 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", )] |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,138 @@ | ||
| import time | ||
| from decimal import Decimal | ||
| from typing import List, Optional | ||
|
|
||
| import pandas_ta as ta # noqa: F401 | ||
| from pydantic import Field, validator | ||
|
|
||
| from hummingbot.client.config.config_data_types import ClientFieldData | ||
| from hummingbot.core.data_type.common import TradeType | ||
| from hummingbot.data_feed.candles_feed.candles_factory import CandlesConfig | ||
| from hummingbot.smart_components.controllers.market_making_controller_base import ( | ||
| MarketMakingControllerBase, | ||
| MarketMakingControllerConfigBase, | ||
| ) | ||
| from hummingbot.smart_components.executors.dca_executor.data_types import DCAExecutorConfig, DCAMode | ||
| from hummingbot.smart_components.models.executor_actions import ExecutorAction, StopExecutorAction | ||
|
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||
|
|
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| class DManMakerV2Config(MarketMakingControllerConfigBase): | ||
| """ | ||
| Configuration required to run the D-Man Maker V2 strategy. | ||
| """ | ||
| controller_name: str = "dman_maker_v2" | ||
| candles_config: List[CandlesConfig] = [] | ||
|
|
||
| # DCA configuration | ||
| dca_spreads: List[Decimal] = Field( | ||
| default="0.01,0.02,0.04,0.08", | ||
| client_data=ClientFieldData( | ||
| prompt_on_new=True, | ||
| prompt=lambda mi: "Enter a comma-separated list of spreads for each DCA level: ")) | ||
| dca_amounts: List[Decimal] = Field( | ||
| default="0.1,0.2,0.4,0.8", | ||
| client_data=ClientFieldData( | ||
| prompt_on_new=True, | ||
| prompt=lambda mi: "Enter a comma-separated list of amounts for each DCA level: ")) | ||
| time_limit: int = Field( | ||
| default=60 * 60 * 24 * 7, gt=0, | ||
| client_data=ClientFieldData( | ||
| prompt=lambda mi: "Enter the time limit for each DCA level: ", | ||
| prompt_on_new=False)) | ||
| stop_loss: Decimal = Field( | ||
| default=Decimal("0.03"), gt=0, | ||
| client_data=ClientFieldData( | ||
| prompt=lambda mi: "Enter the stop loss (as a decimal, e.g., 0.03 for 3%): ", | ||
| prompt_on_new=True)) | ||
| top_executor_refresh_time: Optional[float] = Field( | ||
| default=None, | ||
| client_data=ClientFieldData( | ||
| is_updatable=True, | ||
| prompt_on_new=False)) | ||
| executor_activation_bounds: Optional[List[Decimal]] = Field( | ||
| default=None, | ||
| client_data=ClientFieldData( | ||
| is_updatable=True, | ||
| prompt=lambda mi: "Enter the activation bounds for the orders " | ||
| "(e.g., 0.01 activates the next order when the price is closer than 1%): ", | ||
| prompt_on_new=False)) | ||
|
|
||
| @validator("executor_activation_bounds", pre=True, always=True) | ||
| def parse_activation_bounds(cls, v): | ||
| if isinstance(v, list): | ||
| return [Decimal(val) for val in v] | ||
| elif isinstance(v, str): | ||
| if v == "": | ||
| return None | ||
| return [Decimal(val) for val in v.split(",")] | ||
| return v | ||
|
|
||
| @validator('dca_spreads', pre=True, always=True) | ||
| def parse_spreads(cls, v): | ||
| if v is None: | ||
| return [] | ||
| if isinstance(v, str): | ||
| if v == "": | ||
| return [] | ||
| return [float(x.strip()) for x in v.split(',')] | ||
| return v | ||
|
|
||
| @validator('dca_amounts', pre=True, always=True) | ||
| def parse_and_validate_amounts(cls, v, values, field): | ||
| if v is None or v == "": | ||
| return [1 for _ in values[values['dca_spreads']]] | ||
| if isinstance(v, str): | ||
| return [float(x.strip()) for x in v.split(',')] | ||
| elif isinstance(v, list) and len(v) != len(values['dca_spreads']): | ||
| raise ValueError( | ||
| f"The number of {field.name} must match the number of {values['dca_spreads']}.") | ||
| return v | ||
|
|
||
|
|
||
| class DManMakerV2(MarketMakingControllerBase): | ||
| def __init__(self, config: DManMakerV2Config, *args, **kwargs): | ||
| super().__init__(config, *args, **kwargs) | ||
| self.config = config | ||
| self.dca_amounts_pct = [Decimal(amount) / sum(self.config.dca_amounts) for amount in self.config.dca_amounts] | ||
| self.spreads = self.config.dca_spreads | ||
|
|
||
| def first_level_refresh_condition(self, executor): | ||
| if self.config.top_executor_refresh_time is not None: | ||
| if self.get_level_from_level_id(executor.custom_info["level_id"]) == 0: | ||
| return time.time() - executor.timestamp > self.config.top_executor_refresh_time | ||
| return False | ||
|
|
||
| def order_level_refresh_condition(self, executor): | ||
| return time.time() - executor.timestamp > self.config.executor_refresh_time | ||
|
|
||
| def executors_to_refresh(self) -> List[ExecutorAction]: | ||
| executors_to_refresh = self.filter_executors( | ||
| executors=self.executors_info, | ||
| filter_func=lambda x: not x.is_trading and x.is_active and (self.order_level_refresh_condition(x) or self.first_level_refresh_condition(x))) | ||
| return [StopExecutorAction( | ||
| controller_id=self.config.id, | ||
| executor_id=executor.id) for executor in executors_to_refresh] | ||
|
|
||
| def get_executor_config(self, level_id: str, price: Decimal, amount: Decimal): | ||
| trade_type = self.get_trade_type_from_level_id(level_id) | ||
| if trade_type == TradeType.BUY: | ||
| prices = [price * (1 - spread) for spread in self.spreads] | ||
| else: | ||
| prices = [price * (1 + spread) for spread in self.spreads] | ||
| amounts = [amount * pct for pct in self.dca_amounts_pct] | ||
| amounts_quote = [amount * price for amount, price in zip(amounts, prices)] | ||
| return DCAExecutorConfig( | ||
| timestamp=time.time(), | ||
| connector_name=self.config.connector_name, | ||
| trading_pair=self.config.trading_pair, | ||
| mode=DCAMode.MAKER, | ||
| side=trade_type, | ||
| prices=prices, | ||
| amounts_quote=amounts_quote, | ||
| level_id=level_id, | ||
| time_limit=self.config.time_limit, | ||
| stop_loss=self.config.stop_loss, | ||
| trailing_stop=self.config.trailing_stop, | ||
| activation_bounds=self.config.executor_activation_bounds, | ||
| leverage=self.config.leverage, | ||
| ) |
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