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quantfreedom.helpers.custom_logger import set_loggers -from quantfreedom.core.enums import FootprintCandlesTuple +from quantfreedom.core.enums import FootprintCandlesTuple, DynamicOrderSettings, CandleBodyType from quantfreedom.backtesters import or_backtest +from quantfreedom.core.strategy import Strategy __all__ = [ - "pretty_qf", - "dl_ex_candles", - "pretty_qf_string", "all_backtest_stats", - "set_loggers", + "CandleBodyType", + "dl_ex_candles", + "DynamicOrderSettings", "FootprintCandlesTuple", "or_backtest", - "symbol_bt_df" + "pretty_qf", + "pretty_qf_string", + "set_loggers", + "Strategy", + "symbol_bt_df", ] load_figure_template("darkly") diff --git a/quantfreedom/backtesters/bt_grid.py b/quantfreedom/backtesters/bt_grid.py index aefbb65c..3451d1b1 100644 --- a/quantfreedom/backtesters/bt_grid.py +++ b/quantfreedom/backtesters/bt_grid.py @@ -13,7 +13,7 @@ or_dt, ) -from quantfreedom.order_handler.grid_order_handler import GridOrderHandler, GridStopLoss, GridLeverage +from quantfreedom.order_handler.grid_order_handler import * logger = getLogger() @@ -63,68 +63,75 @@ def grid_backtest( for bar_index in range(1, closing_prices.size): try: if position_size > 0: # in a long position - current_candle = CurrentFootprintCandleTuple( - open_timestamp=candles.candle_open_timestamps[bar_index], - open_price=candles.candle_open_prices[bar_index], - high_price=candles.candle_high_prices[bar_index], - low_price=candles.candle_low_prices[bar_index], - close_price=candles.candle_close_prices[bar_index], + + current_candle = grid_order_handler.helpers.get_current_candle( + bar_index=bar_index, + candles=candles, ) - grid_order_handler.pnl_calc = grid_order_handler.long_pnl_calc - grid_order_handler.obj_stop_loss.get_sl_hit = GridStopLoss.long_sl_hit_bool - grid_order_handler.check_stop_loss_hit(current_candle=current_candle) + pnl_exec = GridDPExecLong.long_pnl_exec + + grid_order_handler.check_stop_loss_hit( + current_candle=current_candle, + sl_hit_exec=GridSLExecLong.long_sl_hit_exec, + ) - grid_order_handler.obj_leverage.liq_hit_bool = GridLeverage.long_liq_hit_bool - grid_order_handler.check_liq_hit(current_candle=current_candle) + grid_order_handler.check_liq_hit( + current_candle=current_candle, + liq_hit_bool_exec=GridLevExecLong.long_liq_hit_bool_exec, + ) elif position_size < 0: - current_candle = CurrentFootprintCandleTuple( - open_timestamp=candles.candle_open_timestamps[bar_index], - open_price=candles.candle_open_prices[bar_index], - high_price=candles.candle_high_prices[bar_index], - low_price=candles.candle_low_prices[bar_index], - close_price=candles.candle_close_prices[bar_index], + + current_candle = grid_order_handler.helpers.get_current_candle( + bar_index=bar_index, + candles=candles, ) - grid_order_handler.pnl_calc = grid_order_handler.short_pnl_calc - grid_order_handler.obj_stop_loss.get_sl_hit = GridStopLoss.short_sl_hit_bool - grid_order_handler.check_stop_loss_hit(current_candle=current_candle) + pnl_exec = GridDPExecShort.short_pnl_exec - grid_order_handler.obj_leverage.liq_hit_bool = GridLeverage.short_liq_hit_bool - grid_order_handler.check_liq_hit(current_candle=current_candle) + grid_order_handler.check_stop_loss_hit( + current_candle=current_candle, + sl_hit_exec=GridSLExecShort.short_sl_hit_exec, + ) - except DecreasePosition as e: + grid_order_handler.check_liq_hit( + current_candle=current_candle, + liq_hit_bool_exec=GridLevExecShort.short_liq_hit_bool_exec, + ) + + except DecreasePosition as dp: ( equity, fees_paid, realized_pnl, ) = grid_order_handler.calculate_decrease_position( cur_datetime=candles.candle_open_datetimes[bar_index], - exit_fee_pct=e.exit_fee_pct, - exit_price=e.exit_price, - order_status=e.order_status, - market_fee_pct=exchange_settings_tuple.market_fee_pct, + exit_price=dp.exit_price, equity=grid_order_handler.equity, + order_status=dp.order_status, + pnl_exec=pnl_exec, ) - logger.debug(f"Filling or for decrease postiion {OrderStatus._fields[e.order_status]}") - grid_order_handler.fill_or_exit_move( + grid_order_handler.helpers.fill_order_record_exit( bar_index=bar_index, set_idx=0, order_records=order_records[or_filled], - order_status=e.order_status, + order_status=dp.order_status, timestamp=current_candle.open_timestamp, equity=equity, - exit_price=e.exit_price, fees_paid=fees_paid, realized_pnl=realized_pnl, + sl_price=dp.sl_price, + liq_price=dp.liq_price, ) or_filled += 1 - logger.debug(f"Filled decrease postiion order records for {OrderStatus._fields[e.order_status]}") + logger.debug(f"Filled decrease postiion order records for {OrderStatus._fields[dp.order_status]}") - grid_order_handler.set_order_variables(equity=equity) + grid_order_handler.helpers.reset_grid_order_variables( + equity=equity, + ) logger.debug("reset order variables") try: if low_prices[bar_index] <= buy_order: @@ -134,39 +141,30 @@ def grid_backtest( buy_signals[bar_index] = buy_order if position_size >= 0: # adding to long position - grid_order_handler.obj_leverage.get_bankruptcy_price = GridLeverage.long_get_bankruptcy_price - grid_order_handler.obj_leverage.get_liq_price = GridLeverage.long_get_liq_price + get_bankruptcy_price_exec = GridLevExecLong.long_get_bankruptcy_price_exec + get_liq_price_exec = GridLevExecLong.long_get_liq_price_exec - try: - average_entry = (position_size + order_size) / ( - (position_size / average_entry) + (order_size / buy_order) - ) - ae_buy_array[bar_index] = average_entry - except ZeroDivisionError: - average_entry = buy_order - ae_buy_array[bar_index] = average_entry + average_entry = grid_order_handler.calculate_increase_position( + order_size=order_size, + entry_price=buy_order, + ) + ae_buy_array[bar_index] = average_entry elif temp_pos_size >= 0 and position_size <= 0: # switch from short to long - grid_order_handler.obj_leverage.get_bankruptcy_price = GridLeverage.long_get_bankruptcy_price - grid_order_handler.obj_leverage.get_liq_price = GridLeverage.long_get_liq_price - grid_order_handler.pnl_calc = grid_order_handler.short_pnl_calc - - grid_order_handler.calculate_decrease_position( + get_bankruptcy_price_exec = GridLevExecLong.long_get_bankruptcy_price_exec + get_liq_price_exec = GridLevExecLong.long_get_liq_price_exec + + ( + equity, + fees_paid, + realized_pnl, + ) = grid_order_handler.calculate_decrease_position( cur_datetime=candles.candle_open_datetimes[bar_index], exit_price=buy_order, equity=equity, - ) - grid_order_handler.fill_or_exit_move( - bar_index=bar_index, - set_idx=0, - order_records=order_records[or_filled], - order_status=e.order_status, - timestamp=current_candle.open_timestamp, - equity=equity, - exit_price=e.exit_price, - fees_paid=fees_paid, - realized_pnl=realized_pnl, + order_status=OrderStatus.TakeProfitFilled, + pnl_exec=GridDPExecShort.short_pnl_exec, ) average_entry = buy_order @@ -174,26 +172,19 @@ def grid_backtest( elif temp_pos_size < 0: # tp on short - - grid_order_handler.obj_leverage.get_bankruptcy_price = GridLeverage.short_get_bankruptcy_price - grid_order_handler.obj_leverage.get_liq_price = GridLeverage.short_get_liq_price - grid_order_handler.pnl_calc = grid_order_handler.short_pnl_calc - - grid_order_handler.calculate_decrease_position( + get_bankruptcy_price_exec = GridLevExecShort.short_get_bankruptcy_price_exec + get_liq_price_exec = GridLevExecShort.short_get_liq_price_exec + + ( + equity, + fees_paid, + realized_pnl, + ) = grid_order_handler.calculate_decrease_position( cur_datetime=candles.candle_open_datetimes[bar_index], exit_price=buy_order, equity=equity, - ) - grid_order_handler.fill_or_exit_move( - bar_index=bar_index, - set_idx=0, - order_records=order_records[or_filled], - order_status=e.order_status, - timestamp=current_candle.open_timestamp, - equity=equity, - exit_price=e.exit_price, - fees_paid=fees_paid, - realized_pnl=realized_pnl, + order_status=OrderStatus.TakeProfitFilled, + pnl_exec=GridDPExecShort.short_pnl_exec, ) position_size = temp_pos_size @@ -203,7 +194,7 @@ def grid_backtest( cash_borrowed, cash_used, liq_price, - ) = grid_order_handler.obj_leverage.calc_liq_price( + ) = grid_order_handler.leverage_class.calculate_liquidation_price( average_entry=average_entry, leverage=leverage, og_available_balance=avaliable_balance, @@ -212,7 +203,7 @@ def grid_backtest( position_size_asset=average_entry / position_size, position_size_usd=position_size, ) - + grid_order_handler.fill_or_entry( bar_index=bar_index + 1, set_idx=0, diff --git a/quantfreedom/backtesters/bt_multi_bt.py b/quantfreedom/backtesters/bt_multi_bt.py index f2c23064..e85fc81f 100644 --- a/quantfreedom/backtesters/bt_multi_bt.py +++ b/quantfreedom/backtesters/bt_multi_bt.py @@ -36,9 +36,9 @@ def run_df_backtest( # set_loggers(log_folder=strategy.log_folder) starting_equity = strategy.static_os_tuple.starting_equity - + order = OrderHandler( - long_short=strategy.long_short, + long_short=strategy.get_long_or_short(), static_os_tuple=strategy.static_os_tuple, exchange_settings_tuple=strategy.exchange_settings_tuple, ) @@ -135,7 +135,7 @@ def multiprocess_backtest( for set_idx in range(range_start, range_end, step_by): logger.debug(set_idx) - strategy.set_cur_ind_tuple( + strategy.set_cur_ind_set_tuple( set_idx=set_idx, ) @@ -424,7 +424,7 @@ def or_backtest( set_idx = strategy.get_settings_index(set_idx=set_idx) - strategy.set_cur_ind_tuple( + strategy.set_cur_ind_set_tuple( set_idx=set_idx, ) diff --git a/quantfreedom/backtesters/bt_or_bt.py b/quantfreedom/backtesters/bt_or_bt.py index 39254953..d011b92b 100644 --- a/quantfreedom/backtesters/bt_or_bt.py +++ b/quantfreedom/backtesters/bt_or_bt.py @@ -40,15 +40,17 @@ def or_backtest( starting_equity = strategy.static_os_tuple.starting_equity + + order = OrderHandler( exchange_settings_tuple=strategy.exchange_settings_tuple, - long_short=strategy.long_short, + long_short=strategy.get_long_or_short(), static_os_tuple=strategy.static_os_tuple, ) set_idx = strategy.get_settings_index(set_idx=set_idx) - strategy.set_cur_ind_tuple( + strategy.set_cur_ind_set_tuple( set_idx=set_idx, ) diff --git a/quantfreedom/core/enums.py b/quantfreedom/core/enums.py index 0cfc96e7..9f5a9b2f 100644 --- a/quantfreedom/core/enums.py +++ b/quantfreedom/core/enums.py @@ -344,15 +344,19 @@ def __init__( class DecreasePosition(Exception): def __init__( self, - order_status: OrderStatus = None, # type: ignore - exit_price: Optional[float] = None, - exit_fee_pct: Optional[float] = None, - msg: str = None, + exit_fee_pct: Optional[float] = np.nan, + exit_price: Optional[float] = np.nan, + liq_price: Optional[float] = np.nan, + msg: Optional[str] = None, + order_status: Optional[OrderStatus] = None, # type: ignore + sl_price: Optional[float] = np.nan, ): - self.order_status = order_status - self.exit_price = exit_price self.exit_fee_pct = exit_fee_pct + self.exit_price = exit_price + self.liq_price = liq_price self.msg = msg + self.order_status = order_status + self.sl_price = sl_price order_settings_array_dt = np.dtype( diff --git a/quantfreedom/core/strategy.py b/quantfreedom/core/strategy.py index 19479121..006ef4c3 100644 --- a/quantfreedom/core/strategy.py +++ b/quantfreedom/core/strategy.py @@ -20,7 +20,6 @@ class IndicatorSettings(NamedTuple): class Strategy: backtest_settings_tuple: BacktestSettings cur_dos_tuple: DynamicOrderSettings - cur_ind_set_tuple: IndicatorSettings entries: np.ndarray exchange_settings_tuple: ExchangeSettings exit_prices: np.ndarray @@ -31,6 +30,7 @@ class Strategy: total_filtered_settings: int = 0 total_indicator_settings: int = 0 total_order_settings: int = 0 + cur_ind_set_tuple: IndicatorSettings def get_ind_set_dos_cart_product( self, @@ -206,7 +206,7 @@ def get_og_ind_set_tuple( ) -> IndicatorSettings: pass - def set_cur_ind_tuple( + def set_cur_ind_set_tuple( self, set_idx: int, ): @@ -346,3 +346,8 @@ def get_strategy_plot_filename( candles: FootprintCandlesTuple, ): pass + + def get_long_or_short( + self, + ): + pass diff --git a/quantfreedom/order_handler/grid_order_handler/__init__.py b/quantfreedom/order_handler/grid_order_handler/__init__.py index e69de29b..f18265bc 100644 --- a/quantfreedom/order_handler/grid_order_handler/__init__.py +++ b/quantfreedom/order_handler/grid_order_handler/__init__.py @@ -0,0 +1,32 @@ +from quantfreedom.order_handler.grid_order_handler.grid_stop_loss.grid_sl import GridStopLoss +from quantfreedom.order_handler.grid_order_handler.grid_stop_loss.grid_sl_long import GridSLExecLong +from quantfreedom.order_handler.grid_order_handler.grid_stop_loss.grid_sl_short import GridSLExecShort + +from quantfreedom.order_handler.grid_order_handler.grid_decrease_position.grid_dp import GridDecreasePosition +from quantfreedom.order_handler.grid_order_handler.grid_decrease_position.grid_dp_long import GridDPExecLong +from quantfreedom.order_handler.grid_order_handler.grid_decrease_position.grid_dp_short import GridDPExecShort + +from quantfreedom.order_handler.grid_order_handler.grid_leverage.grid_lev import GridLeverage +from quantfreedom.order_handler.grid_order_handler.grid_leverage.grid_lev_long import GridLevExecLong +from quantfreedom.order_handler.grid_order_handler.grid_leverage.grid_lev_short import GridLevExecShort + +from quantfreedom.order_handler.grid_order_handler.grid_increase_position.grid_ip import GridIncreasePosition + +from quantfreedom.order_handler.grid_order_handler.grid_helpers.grid_helper_funcs import GridHelperFuncs + +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler + +__all__ = [ + "GridStopLoss", + "GridSLExecLong", + "GridSLExecShort", + "GridDecreasePosition", + "GridDPExecLong", + "GridDPExecShort", + "GridIncreasePosition", + "GridLeverage", + "GridLevExecLong", + "GridLevExecShort", + "GridHelperFuncs", + "GridOrderHandler", +] diff --git a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp.py b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp.py index 7cb1f3d0..5dc77492 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp.py @@ -1,5 +1,5 @@ from logging import getLogger -from quantfreedom.order_handler.grid_order_handler.grid_order import GridOrderHandler +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler from quantfreedom.core.enums import OrderStatus logger = getLogger() @@ -14,7 +14,7 @@ def grid_decrease_position( equity: float, order_status: OrderStatus, # type: ignore pnl_exec: str, - ): + )-> tuple[float, float, float]: pnl: float exec(pnl_exec) diff --git a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_long.py b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_long.py index af0b7b32..8b1d695f 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_long.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_long.py @@ -2,4 +2,4 @@ class GridDPExecLong(NamedTuple): - pnl_exec: str = "pnl = round((exit_price - self.average_entry) * self.position_size_asset, 2)" + long_pnl_exec: str = "pnl = round((exit_price - self.average_entry) * self.position_size_asset, 2)" diff --git a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_short.py b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_short.py index f2f6913e..c18ea31e 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_short.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_decrease_position/grid_dp_short.py @@ -2,4 +2,4 @@ class GridDPExecShort(NamedTuple): - pnl_exec: str = "pnl = round((self.average_entry - exit_price) * self.position_size_asset, 2)" + short_pnl_exec: str = "pnl = round((self.average_entry - exit_price) * self.position_size_asset, 2)" diff --git a/quantfreedom/order_handler/grid_order_handler/grid_helpers/__init__.py b/quantfreedom/order_handler/grid_order_handler/grid_helpers/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/quantfreedom/order_handler/grid_order_handler/grid_helpers/grid_helper_funcs.py b/quantfreedom/order_handler/grid_order_handler/grid_helpers/grid_helper_funcs.py new file mode 100644 index 00000000..450caad7 --- /dev/null +++ b/quantfreedom/order_handler/grid_order_handler/grid_helpers/grid_helper_funcs.py @@ -0,0 +1,179 @@ +import numpy as np + +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler +from quantfreedom.core.enums import CurrentFootprintCandleTuple, FootprintCandlesTuple, OrderStatus + +from logging import getLogger + +logger = getLogger() + + +class GridHelperFuncs(GridOrderHandler): + def get_current_candle( + self, + bar_index: int, + candles: FootprintCandlesTuple, + ): + current_candle = CurrentFootprintCandleTuple( + open_timestamp=candles.candle_open_timestamps[bar_index], + open_price=candles.candle_open_prices[bar_index], + high_price=candles.candle_high_prices[bar_index], + low_price=candles.candle_low_prices[bar_index], + close_price=candles.candle_close_prices[bar_index], + ) + return current_candle + + def reset_grid_order_variables( + self, + equity: float, + ): + self.available_balance = equity + self.average_entry = 0.0 + self.can_move_sl_to_be = False + self.cash_borrowed = 0.0 + self.cash_used = 0.0 + self.entry_price = 0.0 + self.entry_size_asset = 0.0 + self.entry_size_usd = 0.0 + self.equity = equity + self.exit_price = 0.0 + self.fees_paid = 0.0 + self.leverage = 0.0 + self.liq_price = 0.0 + self.order_status = 0 + self.position_size_asset = 0.0 + self.position_size_usd = 0.0 + self.total_possible_loss = 0.0 + self.realized_pnl = 0.0 + self.sl_pct = 0.0 + self.sl_price = 0.0 + self.total_trades = 0 + self.tp_pct = 0.0 + self.tp_price = 0.0 + + def fill_order_record_exit( + self, + bar_index: int, + order_records: np.ndarray, + order_status: OrderStatus, # type: ignore + timestamp: int, + set_idx: int, + equity: float = np.nan, + exit_price: float = np.nan, + fees_paid: float = np.nan, + liq_price: float = np.nan, + realized_pnl: float = np.nan, + sl_price: float = np.nan, + ): + order_records["set_idx"] = set_idx + order_records["bar_idx"] = bar_index + order_records["timestamp"] = timestamp + + order_records["equity"] = equity + order_records["available_balance"] = equity + order_records["cash_borrowed"] = np.nan + order_records["cash_used"] = np.nan + + order_records["average_entry"] = np.nan + order_records["fees_paid"] = fees_paid + order_records["leverage"] = np.nan + order_records["liq_price"] = liq_price + order_records["order_status"] = order_status + order_records["total_possible_loss"] = 0 + order_records["total_trades"] = 0 + order_records["entry_size_asset"] = np.nan + order_records["entry_size_usd"] = np.nan + order_records["entry_price"] = np.nan + order_records["exit_price"] = exit_price + order_records["position_size_asset"] = np.nan + order_records["position_size_usd"] = np.nan + order_records["realized_pnl"] = realized_pnl + order_records["sl_pct"] = np.nan + order_records["sl_price"] = sl_price + order_records["tp_pct"] = np.nan + order_records["tp_price"] = np.nan + + def fill_order_record_entry( + self, + bar_index: int, + set_idx: int, + order_records: np.ndarray, + timestamp: int, + ): + order_records["set_idx"] = set_idx + order_records["bar_idx"] = bar_index + order_records["timestamp"] = timestamp + + order_records["equity"] = self.equity + order_records["available_balance"] = self.available_balance + order_records["cash_borrowed"] = self.cash_borrowed + order_records["cash_used"] = self.cash_used + + order_records["average_entry"] = self.average_entry + order_records["fees_paid"] = self.fees_paid + order_records["leverage"] = self.leverage + order_records["liq_price"] = self.liq_price + order_records["order_status"] = self.order_status + order_records["total_possible_loss"] = self.total_possible_loss + order_records["total_trades"] = self.total_trades + order_records["entry_size_asset"] = self.entry_size_asset + order_records["entry_size_usd"] = self.entry_size_usd + order_records["entry_price"] = self.entry_price + order_records["exit_price"] = self.exit_price + order_records["position_size_asset"] = self.position_size_asset + order_records["position_size_usd"] = self.position_size_usd + order_records["realized_pnl"] = self.realized_pnl + order_records["sl_pct"] = round(self.sl_pct * 100, 2) + order_records["sl_price"] = self.sl_price + order_records["tp_pct"] = round(self.tp_pct * 100, 2) + order_records["tp_price"] = self.tp_price + + def fill_order_result( + self, + available_balance: float, + average_entry: float, + can_move_sl_to_be: bool, + cash_borrowed: float, + cash_used: float, + entry_price: float, + entry_size_asset: float, + entry_size_usd: float, + equity: float, + exit_price: float, + fees_paid: float, + leverage: float, + liq_price: float, + order_status: float, + position_size_asset: float, + position_size_usd: float, + total_possible_loss: float, + realized_pnl: float, + sl_pct: float, + sl_price: float, + total_trades: int, + tp_pct: float, + tp_price: float, + ): + self.available_balance = available_balance + self.average_entry = average_entry + self.can_move_sl_to_be = can_move_sl_to_be + self.cash_borrowed = cash_borrowed + self.cash_used = cash_used + self.entry_price = entry_price + self.entry_size_asset = entry_size_asset + self.entry_size_usd = entry_size_usd + self.equity = equity + self.exit_price = exit_price + self.fees_paid = fees_paid + self.leverage = leverage + self.liq_price = liq_price + self.order_status = order_status + self.position_size_asset = position_size_asset + self.position_size_usd = position_size_usd + self.total_possible_loss = total_possible_loss + self.realized_pnl = realized_pnl + self.sl_pct = sl_pct + self.sl_price = sl_price + self.total_trades = total_trades + self.tp_pct = tp_pct + self.tp_price = tp_price diff --git a/quantfreedom/order_handler/grid_order_handler/grid_increase_position/grid_ip.py b/quantfreedom/order_handler/grid_order_handler/grid_increase_position/grid_ip.py index a2ca934e..379d072a 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_increase_position/grid_ip.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_increase_position/grid_ip.py @@ -1,5 +1,5 @@ from logging import getLogger -from quantfreedom.order_handler.grid_order_handler.grid_order import GridOrderHandler +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler from quantfreedom.core.enums import OrderStatus logger = getLogger() @@ -8,14 +8,20 @@ class GridIncreasePosition(GridOrderHandler): def grid_increase_position( self, - cur_datetime: str, order_size: float, entry_price: float, - order_status: OrderStatus, # type: ignore - pnl_exec: str, ): try: - average_entry = (self.position_size_usd + order_size) / ((self.position_size_usd / average_entry) + (order_size / entry_price)) - except ZeroDivisionError: + abs_position_size_usd = abs(self.position_size_usd) + total_position_size_usd = abs_position_size_usd + order_size + + position_size_asset = abs_position_size_usd / average_entry + order_size_asset = order_size / entry_price + total_asset_size = position_size_asset + order_size_asset + + average_entry = total_position_size_usd / total_asset_size + + except ZeroDivisionError: average_entry = entry_price + return average_entry \ No newline at end of file diff --git a/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev.py b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev.py index 6e5d7371..2a5ff4b4 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev.py @@ -1,93 +1,18 @@ -import numpy as np from logging import getLogger -from quantfreedom.core.enums import ( - CandleBodyType, - CurrentFootprintCandleTuple, - DecreasePosition, - LeverageStrategyType, - OrderStatus, - RejectedOrder, -) from quantfreedom.helpers.helper_funcs import round_size_by_tick_step +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler +from quantfreedom.core.enums import CurrentFootprintCandleTuple, DecreasePosition, OrderStatus, RejectedOrder logger = getLogger() -class GridLeverage: - def __init__( - self, - leverage_strategy_type: LeverageStrategyType, # type: ignore - leverage_tick_step: float, - long_short: str, - market_fee_pct: float, - max_leverage: float, - min_leverage: float, - mmr_pct: float, - price_tick_step: float, - static_leverage: float, - ): - self.min_leverage = min_leverage - self.price_tick_step = price_tick_step - self.leverage_tick_step = leverage_tick_step - self.max_leverage = max_leverage - self.mmr_pct = mmr_pct - self.market_fee_pct = market_fee_pct - self.static_leverage = static_leverage - - if long_short.lower() == "long": - self.calc_dynamic_lev = self.long_calc_dynamic_lev - self.get_liq_price = self.long_get_liq_price - self.get_bankruptcy_price = self.long_get_bankruptcy_price - self.liq_hit_bool = self.long_liq_hit_bool - elif long_short.lower() == "short": - self.calc_dynamic_lev = self.short_calc_dynamic_lev - self.get_liq_price = self.short_get_liq_price - self.get_bankruptcy_price = self.short_get_bankruptcy_price - self.liq_hit_bool = self.short_liq_hit_bool - else: - raise Exception("long or short are the only options for long_short") - - self.checker_liq_hit = self.check_liq_hit - if leverage_strategy_type == LeverageStrategyType.Dynamic: - self.lev_calculator = self.dynamic_lev - - def long_get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - # https://www.bybithelp.com/en-US/s/article/Order-Cost-USDT-Contract - return average_entry * (leverage - 1) / leverage - - def short_get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - # https://www.bybithelp.com/en-US/s/article/Order-Cost-USDT-Contract - return average_entry * (leverage + 1) / leverage - - def long_get_liq_price( - self, - average_entry: float, - leverage: float, - ): - # liq formula - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - return average_entry * (1 - (1 / leverage) + self.mmr_pct) - - def short_get_liq_price( - self, - average_entry: float, - leverage: float, - ): - # liq formula - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - return average_entry * (1 + (1 / leverage) - self.mmr_pct) +class GridLeverage(GridOrderHandler): def calc_liq_price( self, average_entry: float, + get_bankruptcy_price_exec: str, + get_liq_price_exec: str, leverage: float, og_available_balance: float, og_cash_borrowed: float, @@ -98,12 +23,14 @@ def calc_liq_price( # Getting Order Cost # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001064&language=en_US + bankruptcy_price: float + liq_price: float + initial_margin = (position_size_asset * average_entry) / leverage fee_to_open = position_size_asset * average_entry * self.market_fee_pct # math checked - bankruptcy_price = self.get_bankruptcy_price( - average_entry=average_entry, - leverage=leverage, - ) + + exec(get_bankruptcy_price_exec) # gets bankruptcy price + fee_to_close = position_size_asset * bankruptcy_price * self.market_fee_pct cash_used = initial_margin + fee_to_open + fee_to_close # math checked @@ -127,11 +54,9 @@ def calc_liq_price( cash_used = round(og_cash_used + cash_used, 2) cash_borrowed = round(og_cash_borrowed + position_size_usd - cash_used, 2) - liq_price = self.get_liq_price( - average_entry=average_entry, - leverage=leverage, - ) # math checked - liq_price = round_size_by_tick_step( + exec(get_liq_price_exec) # gets liq price + + rounded_liq_price = round_size_by_tick_step( user_num=liq_price, exchange_num=self.price_tick_step, ) @@ -140,190 +65,25 @@ def calc_liq_price( available_balance, cash_borrowed, cash_used, - liq_price, - ) - - def static_lev( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - ( - available_balance, - can_move_sl_to_be, - cash_borrowed, - cash_used, - liq_price, - ) = self.calc_liq_price( - leverage=self.static_leverage, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - average_entry=average_entry, - og_cash_used=cash_used, - og_available_balance=available_balance, - og_cash_borrowed=cash_borrowed, - ) - logger.debug(f"Lev set to static lev= {self.static_leverage}") - return ( - available_balance, - can_move_sl_to_be, - cash_borrowed, - cash_used, - self.static_leverage, - liq_price, - ) - - def long_calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - # https://www.symbolab.com/solver/simplify-calculator/solve%20for%20l%2C%20e%5Ccdot%5Cleft(1-%5Cfrac%7B1%7D%7Bl%7D%2Bm%5Cright)%3Ds-s%5Ccdot%20p?or=input - # the .001 is to add .001 buffer - return average_entry / (-sl_price + sl_price * 0.001 + average_entry + average_entry * self.mmr_pct) - - def short_calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - # https://www.symbolab.com/solver/simplify-calculator/solve%20for%20l%2C%20e%5Ccdot%5Cleft(1%2B%5Cfrac%7B1%7D%7Bl%7D-m%5Cright)%3Ds%2Bs%5Ccdot%20p?or=input - # the .001 is to add .001 buffer - return average_entry / (sl_price + sl_price * 0.001 - average_entry + average_entry * self.mmr_pct) - - def dynamic_lev( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - leverage = self.calc_dynamic_lev(average_entry=average_entry, sl_price=sl_price) - leverage = round_size_by_tick_step( - user_num=leverage, - exchange_num=self.leverage_tick_step, - ) - if leverage > self.max_leverage: - logger.warning(f"Lev too high Lev= {leverage} Max Lev= {self.max_leverage}") - leverage = self.max_leverage - elif leverage < self.min_leverage: - logger.warning(f"Lev too low Lev= {leverage} Min Lev= {self.min_leverage}") - leverage = 1 - else: - logger.debug(f"Leverage= {leverage}") - - ( - available_balance, - cash_borrowed, - cash_used, - liq_price, - ) = self.calc_liq_price( - leverage=leverage, - average_entry=average_entry, - og_cash_used=cash_used, - og_available_balance=available_balance, - og_cash_borrowed=cash_borrowed, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - ) - return ( - available_balance, - cash_borrowed, - cash_used, - leverage, - liq_price, + rounded_liq_price, ) - def long_liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - candle_low = current_candle[CandleBodyType.Low] - logger.debug(f"candle_low= {candle_low}") - return liq_price > candle_low - - def short_liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - candle_high = current_candle[CandleBodyType.High] - logger.debug(f"candle_high= {candle_high}") - return liq_price < candle_high - def check_liq_hit( self, current_candle: CurrentFootprintCandleTuple, liq_price: float, + liq_hit_bool_exec: str, ): - if self.liq_hit_bool( - current_candle=current_candle, - liq_price=liq_price, - ): + liq_hit_bool: bool + exec(liq_hit_bool_exec) # checks if liq was hit + + if liq_hit_bool: logger.debug("Liq Hit") raise DecreasePosition( exit_fee_pct=self.market_fee_pct, - exit_price=liq_price, + liq_price=liq_price, order_status=OrderStatus.LiquidationFilled, ) else: logger.debug("No hit on liq price") pass - - def get_liq_price( - self, - average_entry: float, - leverage: float, - ): - pass - - def get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - pass - - def calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - pass - - def liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - pass - - def lev_calculator( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - pass - - def checker_liq_hit( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - pass diff --git a/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_long.py b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_long.py index 6e5d7371..28b10823 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_long.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_long.py @@ -1,329 +1,11 @@ -import numpy as np -from logging import getLogger -from quantfreedom.core.enums import ( - CandleBodyType, - CurrentFootprintCandleTuple, - DecreasePosition, - LeverageStrategyType, - OrderStatus, - RejectedOrder, -) -from quantfreedom.helpers.helper_funcs import round_size_by_tick_step +from typing import NamedTuple -logger = getLogger() - -class GridLeverage: - def __init__( - self, - leverage_strategy_type: LeverageStrategyType, # type: ignore - leverage_tick_step: float, - long_short: str, - market_fee_pct: float, - max_leverage: float, - min_leverage: float, - mmr_pct: float, - price_tick_step: float, - static_leverage: float, - ): - self.min_leverage = min_leverage - self.price_tick_step = price_tick_step - self.leverage_tick_step = leverage_tick_step - self.max_leverage = max_leverage - self.mmr_pct = mmr_pct - self.market_fee_pct = market_fee_pct - self.static_leverage = static_leverage - - if long_short.lower() == "long": - self.calc_dynamic_lev = self.long_calc_dynamic_lev - self.get_liq_price = self.long_get_liq_price - self.get_bankruptcy_price = self.long_get_bankruptcy_price - self.liq_hit_bool = self.long_liq_hit_bool - elif long_short.lower() == "short": - self.calc_dynamic_lev = self.short_calc_dynamic_lev - self.get_liq_price = self.short_get_liq_price - self.get_bankruptcy_price = self.short_get_bankruptcy_price - self.liq_hit_bool = self.short_liq_hit_bool - else: - raise Exception("long or short are the only options for long_short") - - self.checker_liq_hit = self.check_liq_hit - if leverage_strategy_type == LeverageStrategyType.Dynamic: - self.lev_calculator = self.dynamic_lev - - def long_get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - # https://www.bybithelp.com/en-US/s/article/Order-Cost-USDT-Contract - return average_entry * (leverage - 1) / leverage - - def short_get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - # https://www.bybithelp.com/en-US/s/article/Order-Cost-USDT-Contract - return average_entry * (leverage + 1) / leverage - - def long_get_liq_price( - self, - average_entry: float, - leverage: float, - ): - # liq formula - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - return average_entry * (1 - (1 / leverage) + self.mmr_pct) - - def short_get_liq_price( - self, - average_entry: float, - leverage: float, - ): - # liq formula - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - return average_entry * (1 + (1 / leverage) - self.mmr_pct) - - def calc_liq_price( - self, - average_entry: float, - leverage: float, - og_available_balance: float, - og_cash_borrowed: float, - og_cash_used: float, - position_size_asset: float, - position_size_usd: float, - ): - # Getting Order Cost - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001064&language=en_US - - initial_margin = (position_size_asset * average_entry) / leverage - fee_to_open = position_size_asset * average_entry * self.market_fee_pct # math checked - bankruptcy_price = self.get_bankruptcy_price( - average_entry=average_entry, - leverage=leverage, - ) - fee_to_close = position_size_asset * bankruptcy_price * self.market_fee_pct - - cash_used = initial_margin + fee_to_open + fee_to_close # math checked - - logger.debug( - f""" -initial_margin= {round(initial_margin, 2)} -fee_to_open= {round(fee_to_open, 2)} -bankruptcy_price= {round(bankruptcy_price, 2)} -fee to close= {round(fee_to_close, 2)} -cash_used= {round(cash_used, 2)} -og_available_balance= {og_available_balance}""" - ) - - if cash_used > og_available_balance: - msg = "Cash used bigger than available balance AKA position size too big" - logger.warning(msg) - raise RejectedOrder - else: - available_balance = round(og_available_balance - cash_used, 2) - cash_used = round(og_cash_used + cash_used, 2) - cash_borrowed = round(og_cash_borrowed + position_size_usd - cash_used, 2) - - liq_price = self.get_liq_price( - average_entry=average_entry, - leverage=leverage, - ) # math checked - liq_price = round_size_by_tick_step( - user_num=liq_price, - exchange_num=self.price_tick_step, - ) - - return ( - available_balance, - cash_borrowed, - cash_used, - liq_price, - ) - - def static_lev( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - ( - available_balance, - can_move_sl_to_be, - cash_borrowed, - cash_used, - liq_price, - ) = self.calc_liq_price( - leverage=self.static_leverage, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - average_entry=average_entry, - og_cash_used=cash_used, - og_available_balance=available_balance, - og_cash_borrowed=cash_borrowed, - ) - logger.debug(f"Lev set to static lev= {self.static_leverage}") - return ( - available_balance, - can_move_sl_to_be, - cash_borrowed, - cash_used, - self.static_leverage, - liq_price, - ) - - def long_calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - # https://www.symbolab.com/solver/simplify-calculator/solve%20for%20l%2C%20e%5Ccdot%5Cleft(1-%5Cfrac%7B1%7D%7Bl%7D%2Bm%5Cright)%3Ds-s%5Ccdot%20p?or=input - # the .001 is to add .001 buffer - return average_entry / (-sl_price + sl_price * 0.001 + average_entry + average_entry * self.mmr_pct) - - def short_calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - # https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?id=000001067&language=en_US - # https://www.symbolab.com/solver/simplify-calculator/solve%20for%20l%2C%20e%5Ccdot%5Cleft(1%2B%5Cfrac%7B1%7D%7Bl%7D-m%5Cright)%3Ds%2Bs%5Ccdot%20p?or=input - # the .001 is to add .001 buffer - return average_entry / (sl_price + sl_price * 0.001 - average_entry + average_entry * self.mmr_pct) - - def dynamic_lev( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - leverage = self.calc_dynamic_lev(average_entry=average_entry, sl_price=sl_price) - leverage = round_size_by_tick_step( - user_num=leverage, - exchange_num=self.leverage_tick_step, - ) - if leverage > self.max_leverage: - logger.warning(f"Lev too high Lev= {leverage} Max Lev= {self.max_leverage}") - leverage = self.max_leverage - elif leverage < self.min_leverage: - logger.warning(f"Lev too low Lev= {leverage} Min Lev= {self.min_leverage}") - leverage = 1 - else: - logger.debug(f"Leverage= {leverage}") - - ( - available_balance, - cash_borrowed, - cash_used, - liq_price, - ) = self.calc_liq_price( - leverage=leverage, - average_entry=average_entry, - og_cash_used=cash_used, - og_available_balance=available_balance, - og_cash_borrowed=cash_borrowed, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - ) - return ( - available_balance, - cash_borrowed, - cash_used, - leverage, - liq_price, - ) - - def long_liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - candle_low = current_candle[CandleBodyType.Low] - logger.debug(f"candle_low= {candle_low}") - return liq_price > candle_low - - def short_liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - candle_high = current_candle[CandleBodyType.High] - logger.debug(f"candle_high= {candle_high}") - return liq_price < candle_high - - def check_liq_hit( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - if self.liq_hit_bool( - current_candle=current_candle, - liq_price=liq_price, - ): - logger.debug("Liq Hit") - raise DecreasePosition( - exit_fee_pct=self.market_fee_pct, - exit_price=liq_price, - order_status=OrderStatus.LiquidationFilled, - ) - else: - logger.debug("No hit on liq price") - pass - - def get_liq_price( - self, - average_entry: float, - leverage: float, - ): - pass - - def get_bankruptcy_price( - self, - average_entry: float, - leverage: float, - ): - pass - - def calc_dynamic_lev( - self, - average_entry: float, - sl_price: float, - ): - pass - - def liq_hit_bool( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - pass - - def lev_calculator( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - pass - - def checker_liq_hit( - self, - current_candle: CurrentFootprintCandleTuple, - liq_price: float, - ): - pass +class GridLevExecLong(NamedTuple): + long_get_bankruptcy_price_exec: str = "bankruptcy_price = average_entry * (leverage - 1) / leverage" + long_get_liq_price_exec: str = "liq_price = average_entry * (1 - (1 / leverage) + self.mmr_pct)" + long_liq_hit_bool_exec: str = """ + candle_low = current_candle[CandleBodyType.Low] + logger.debug(f"candle_low= {candle_low}") + liq_hit_bool = liq_price > candle_low + """ diff --git a/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_short.py b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_short.py new file mode 100644 index 00000000..f3611e52 --- /dev/null +++ b/quantfreedom/order_handler/grid_order_handler/grid_leverage/grid_lev_short.py @@ -0,0 +1,11 @@ +from typing import NamedTuple + + +class GridLevExecShort(NamedTuple): + short_get_bankruptcy_price_exec: str = "bankruptcy_price = average_entry * (leverage + 1) / leverage" + short_get_liq_price_exec: str = "liq_price = average_entry * (1 + (1 / leverage) - self.mmr_pct)" + short_liq_hit_bool_exec: str = """ + candle_high = current_candle[CandleBodyType.High] + logger.debug(f"candle_high= {candle_high}") + liq_hit_bool = liq_price < candle_high + """ diff --git a/quantfreedom/order_handler/grid_order_handler/grid_order.py b/quantfreedom/order_handler/grid_order_handler/grid_order.py deleted file mode 100644 index 4f9bb0cb..00000000 --- a/quantfreedom/order_handler/grid_order_handler/grid_order.py +++ /dev/null @@ -1,440 +0,0 @@ -import numpy as np - -from logging import getLogger - -from quantfreedom.core.enums import ( - CurrentFootprintCandleTuple, - FootprintCandlesTuple, - OrderStatus, - DynamicOrderSettings, - ExchangeSettings, - StaticOrderSettings, -) -from quantfreedom.order_handler.grid_order_handler import ( - GridStopLoss, - GridIncreasePosition, - GridLeverage, - GridTakeProfit, -) - -logger = getLogger() - - -class GridOrderHandler: - available_balance = 0.0 - average_entry = 0.0 - can_move_sl_to_be = False - cash_borrowed = 0.0 - cash_used = 0.0 - entry_price = 0.0 - entry_size_asset = 0.0 - entry_size_usd = 0.0 - equity = 0.0 - exit_price = 0.0 - fees_paid = 0.0 - leverage = 0.0 - liq_price = 0.0 - order_status = 0 - position_size_asset = 0.0 - position_size_usd = 0.0 - total_possible_loss = 0.0 - realized_pnl = 0.0 - sl_pct = 0.0 - sl_price = 0.0 - total_trades = 0 - tp_pct = 0.0 - tp_price = 0.0 - limit_fee_pct = 0.0005 - market_fee_pct = 0.0009 - - def __init__( - self, - ) -> None: - pass - - def check_liq_hit( - self, - current_candle: CurrentFootprintCandleTuple, - ): - self.obj_leverage.checker_liq_hit( - current_candle=current_candle, - liq_price=self.liq_price, - ) - - def check_take_profit_hit( - self, - current_candle: CurrentFootprintCandleTuple, - exit_price: float, - ): - self.obj_take_profit.checker_tp_hit( - exit_price=exit_price, - current_candle=current_candle, - tp_price=self.tp_price, - ) - - def check_stop_loss_hit( - self, - current_candle: CurrentFootprintCandleTuple, - ): - self.obj_stop_loss.checker_sl_hit( - current_candle=current_candle, - sl_price=self.sl_price, - ) - - def update_class_dos( - self, - dynamic_order_settings: DynamicOrderSettings, - ): - # take profit - self.obj_take_profit.risk_reward = dynamic_order_settings.risk_reward - - # increase position - self.obj_inc_pos.max_trades = dynamic_order_settings.max_trades - self.obj_inc_pos.account_pct_risk_per_trade = dynamic_order_settings.account_pct_risk_per_trade - - # stop loss updates - self.obj_stop_loss.sl_based_on_add_pct = dynamic_order_settings.sl_based_on_add_pct - self.obj_stop_loss.sl_based_on_lookback = dynamic_order_settings.sl_based_on_lookback - self.obj_stop_loss.sl_bcb_type = dynamic_order_settings.sl_bcb_type - self.obj_stop_loss.sl_to_be_cb_type = dynamic_order_settings.sl_to_be_cb_type - self.obj_stop_loss.sl_to_be_when_pct = dynamic_order_settings.sl_to_be_when_pct - self.obj_stop_loss.trail_sl_bcb_type = dynamic_order_settings.trail_sl_bcb_type - self.obj_stop_loss.trail_sl_by_pct = dynamic_order_settings.trail_sl_by_pct - self.obj_stop_loss.trail_sl_when_pct = dynamic_order_settings.trail_sl_when_pct - - def calculate_stop_loss( - self, - bar_index: int, - candles: FootprintCandlesTuple, - ): - sl_price = self.obj_stop_loss.sl_calculator( - bar_index=bar_index, - candles=candles, - ) - logger.info(f"sl price= {sl_price}") - return sl_price - - def calculate_increase_position( - self, - equity: float, - average_entry: float, - entry_price: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - total_trades: int, - ): - ( - average_entry, - entry_price, - entry_size_asset, - entry_size_usd, - position_size_asset, - position_size_usd, - total_possible_loss, - total_trades, - sl_pct, - ) = self.obj_inc_pos.inc_pos_calculator( - equity=equity, - average_entry=average_entry, - entry_price=entry_price, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - sl_price=sl_price, - total_trades=total_trades, - ) - logger.info( - f""" -average_entry= {average_entry} -entry_price= {entry_price} -entry_size_asset= {entry_size_asset} -entry_size_usd= {entry_size_usd} -position_size_asset= {position_size_asset} -position_size_usd= {position_size_usd} -sl_pct= {round(sl_pct*100, 2)} -""" - ) - return ( - average_entry, - entry_price, - entry_size_asset, - entry_size_usd, - position_size_asset, - position_size_usd, - total_possible_loss, - total_trades, - sl_pct, - ) - - def calculate_leverage( - self, - available_balance: float, - average_entry: float, - cash_borrowed: float, - cash_used: float, - position_size_asset: float, - position_size_usd: float, - sl_price: float, - ): - ( - available_balance, - cash_borrowed, - cash_used, - leverage, - liq_price, - ) = self.obj_leverage.lev_calculator( - available_balance=available_balance, - average_entry=average_entry, - cash_borrowed=cash_borrowed, - cash_used=cash_used, - position_size_asset=position_size_asset, - position_size_usd=position_size_usd, - sl_price=sl_price, - ) - logger.info( - f""" -available_balance= {available_balance} -cash_borrowed= {cash_borrowed} -cash_used= {cash_used} -leverage= {leverage} -liq_price= {liq_price} -""" - ) - return ( - available_balance, - cash_borrowed, - cash_used, - leverage, - liq_price, - ) - - def calculate_take_profit( - self, - average_entry: float, - position_size_usd: float, - total_possible_loss: float, - ): - ( - can_move_sl_to_be, - tp_price, - tp_pct, - ) = self.obj_take_profit.tp_calculator( - average_entry=average_entry, - position_size_usd=position_size_usd, - total_possible_loss=total_possible_loss, - ) - logger.info( - f""" -tp_price= {tp_price} -tp_pct= {round(tp_pct * 100, 2)} -""" - ) - return ( - can_move_sl_to_be, - tp_price, - tp_pct, - ) - - def long_pnl_calc(self, exit_price: float): - return round((exit_price - self.average_entry) * self.position_size_asset, 2) # math checked - - def short_pnl_calc(self, exit_price: float): - return round((self.average_entry - exit_price) * self.position_size_asset, 2) # math checked - - def calculate_decrease_position( - self, - cur_datetime: str, - exit_price: float, - equity: float, - order_status: OrderStatus, # type: ignore - ): - pnl = self.pnl_calc(exit_price=exit_price) # math checked - logger.debug(f"pnl= {pnl}") - - fee_open = round(self.position_size_asset * self.average_entry * self.limit_fee_pct, 2) # math checked - logger.debug(f"fee_open= {fee_open}") - - fee_close = round(self.position_size_asset * exit_price * self.limit_fee_pct, 2) # math checked - logger.debug(f"fee_close= {fee_close}") - - fees_paid = round(fee_open + fee_close, 2) # math checked - logger.debug(f"fees_paid= {fees_paid}") - - realized_pnl = round(pnl - fees_paid, 2) # math checked - logger.debug(f"realized_pnl= {realized_pnl}") - - equity = round(realized_pnl + equity, 2) - logger.debug(f"equity= {equity}") - - logger.info( - f""" -datetime= {cur_datetime} -equity= {equity} -fees_paid= {fees_paid} -order_status= {OrderStatus._fields[order_status]} -realized_pnl= {realized_pnl} -""" - ) - return ( - equity, - fees_paid, - realized_pnl, - ) - - def set_order_variables(self, equity: float): - self.available_balance = equity - self.average_entry = 0.0 - self.can_move_sl_to_be = False - self.cash_borrowed = 0.0 - self.cash_used = 0.0 - self.entry_price = 0.0 - self.entry_size_asset = 0.0 - self.entry_size_usd = 0.0 - self.equity = equity - self.exit_price = 0.0 - self.fees_paid = 0.0 - self.leverage = 0.0 - self.liq_price = 0.0 - self.order_status = 0 - self.position_size_asset = 0.0 - self.position_size_usd = 0.0 - self.total_possible_loss = 0.0 - self.realized_pnl = 0.0 - self.sl_pct = 0.0 - self.sl_price = 0.0 - self.total_trades = 0 - self.tp_pct = 0.0 - self.tp_price = 0.0 - - def fill_or_exit_move( - self, - bar_index: int, - order_records: np.ndarray, - order_status: OrderStatus, # type: ignore - timestamp: int, - set_idx: int, - equity: float = np.nan, - exit_price: float = np.nan, - fees_paid: float = np.nan, - realized_pnl: float = np.nan, - sl_pct: float = np.nan, - sl_price: float = np.nan, - ): - order_records["set_idx"] = set_idx - order_records["bar_idx"] = bar_index - order_records["timestamp"] = timestamp - - order_records["equity"] = equity - order_records["available_balance"] = equity - order_records["cash_borrowed"] = np.nan - order_records["cash_used"] = np.nan - - order_records["average_entry"] = np.nan - order_records["fees_paid"] = fees_paid - order_records["leverage"] = np.nan - order_records["liq_price"] = np.nan - order_records["order_status"] = order_status - order_records["total_possible_loss"] = 0 - order_records["total_trades"] = 0 - order_records["entry_size_asset"] = np.nan - order_records["entry_size_usd"] = np.nan - order_records["entry_price"] = np.nan - order_records["exit_price"] = exit_price - order_records["position_size_asset"] = np.nan - order_records["position_size_usd"] = np.nan - order_records["realized_pnl"] = realized_pnl - order_records["sl_pct"] = sl_pct - order_records["sl_price"] = sl_price - order_records["tp_pct"] = np.nan - order_records["tp_price"] = np.nan - - def fill_or_entry( - self, - bar_index: int, - set_idx: int, - order_records: np.ndarray, - timestamp: int, - ): - order_records["set_idx"] = set_idx - order_records["bar_idx"] = bar_index - order_records["timestamp"] = timestamp - - order_records["equity"] = self.equity - order_records["available_balance"] = self.available_balance - order_records["cash_borrowed"] = self.cash_borrowed - order_records["cash_used"] = self.cash_used - - order_records["average_entry"] = self.average_entry - order_records["fees_paid"] = self.fees_paid - order_records["leverage"] = self.leverage - order_records["liq_price"] = self.liq_price - order_records["order_status"] = self.order_status - order_records["total_possible_loss"] = self.total_possible_loss - order_records["total_trades"] = self.total_trades - order_records["entry_size_asset"] = self.entry_size_asset - order_records["entry_size_usd"] = self.entry_size_usd - order_records["entry_price"] = self.entry_price - order_records["exit_price"] = self.exit_price - order_records["position_size_asset"] = self.position_size_asset - order_records["position_size_usd"] = self.position_size_usd - order_records["realized_pnl"] = self.realized_pnl - order_records["sl_pct"] = round(self.sl_pct * 100, 2) - order_records["sl_price"] = self.sl_price - order_records["tp_pct"] = round(self.tp_pct * 100, 2) - order_records["tp_price"] = self.tp_price - - def fill_order_result( - self, - available_balance: float, - average_entry: float, - can_move_sl_to_be: bool, - cash_borrowed: float, - cash_used: float, - entry_price: float, - entry_size_asset: float, - entry_size_usd: float, - equity: float, - exit_price: float, - fees_paid: float, - leverage: float, - liq_price: float, - order_status: float, - position_size_asset: float, - position_size_usd: float, - total_possible_loss: float, - realized_pnl: float, - sl_pct: float, - sl_price: float, - total_trades: int, - tp_pct: float, - tp_price: float, - ): - self.available_balance = available_balance - self.average_entry = average_entry - self.can_move_sl_to_be = can_move_sl_to_be - self.cash_borrowed = cash_borrowed - self.cash_used = cash_used - self.entry_price = entry_price - self.entry_size_asset = entry_size_asset - self.entry_size_usd = entry_size_usd - self.equity = equity - self.exit_price = exit_price - self.fees_paid = fees_paid - self.leverage = leverage - self.liq_price = liq_price - self.order_status = order_status - self.position_size_asset = position_size_asset - self.position_size_usd = position_size_usd - self.total_possible_loss = total_possible_loss - self.realized_pnl = realized_pnl - self.sl_pct = sl_pct - self.sl_price = sl_price - self.total_trades = total_trades - self.tp_pct = tp_pct - self.tp_price = tp_price - - def pnl_calc( - self, - exit_price: float, - ): - pass diff --git a/quantfreedom/order_handler/grid_order_handler/grid_order_class/__init__.py b/quantfreedom/order_handler/grid_order_handler/grid_order_class/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/quantfreedom/order_handler/grid_order_handler/grid_order_class/grid_order.py b/quantfreedom/order_handler/grid_order_handler/grid_order_class/grid_order.py new file mode 100644 index 00000000..1279eea5 --- /dev/null +++ b/quantfreedom/order_handler/grid_order_handler/grid_order_class/grid_order.py @@ -0,0 +1,124 @@ +import numpy as np + +from logging import getLogger + +from quantfreedom.core.enums import CurrentFootprintCandleTuple, OrderStatus +from quantfreedom.order_handler.grid_order_handler import * + +logger = getLogger() + + +class GridOrderHandler: + liq_price: float + sl_price: float + market_fee_pct: float + equity: float + price_tick_step: float + position_size_asset: float + position_size_usd: float + available_balance: float + + def __init__( + self, + ) -> None: + pass + + self.helpers = GridHelperFuncs() + self.leverage_class = GridLeverage() + self.stop_loss_class = GridStopLoss() + self.increase_position_class = GridIncreasePosition() + self.decrease_position_class = GridDecreasePosition() + + def check_stop_loss_hit( + self, + current_candle: CurrentFootprintCandleTuple, + sl_hit_exec: str, + ): + self.stop_loss_class.grid_check_sl_hit( + current_candle=current_candle, + sl_hit_exec=sl_hit_exec, + sl_price=self.sl_price, + ) + + def check_liq_hit( + self, + current_candle: CurrentFootprintCandleTuple, + liq_hit_bool_exec: str, + ): + self.leverage_class.check_liq_hit( + current_candle=current_candle, + liq_price=self.liq_price, + liq_hit_bool_exec=liq_hit_bool_exec, + ) + + def calculate_liquidation_price( + self, + average_entry: float, + leverage: float, + og_available_balance: float, + og_cash_borrowed: float, + og_cash_used: float, + position_size_asset: float, + position_size_usd: float, + get_bankruptcy_price_exec: str, + get_liq_price_exec: str, + ): + ( + available_balance, + cash_borrowed, + cash_used, + rounded_liq_price, + ) = self.leverage_class.calc_liq_price( + average_entry=average_entry, + leverage=leverage, + og_available_balance=og_available_balance, + og_cash_borrowed=og_cash_borrowed, + og_cash_used=og_cash_used, + position_size_asset=position_size_asset, + position_size_usd=position_size_usd, + get_bankruptcy_price_exec=get_bankruptcy_price_exec, + get_liq_price_exec=get_liq_price_exec, + ) + return ( + available_balance, + cash_borrowed, + cash_used, + rounded_liq_price, + ) + + def calculate_decrease_position( + self, + cur_datetime: str, + exit_price: float, + equity: float, + order_status: OrderStatus, # type: ignore + pnl_exec: str, + ): + ( + equity, + fees_paid, + realized_pnl, + ) = self.decrease_position_class.grid_decrease_position( + cur_datetime=cur_datetime, + exit_price=exit_price, + equity=equity, + order_status=order_status, + pnl_exec=pnl_exec, + ) + + return ( + equity, + fees_paid, + realized_pnl, + ) + + def calculate_increase_position( + self, + order_size: float, + entry_price: float, + ): + average_entry = self.increase_position_class.grid_increase_position( + order_size=order_size, + entry_price=entry_price, + ) + return average_entry \ No newline at end of file diff --git a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl.py b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl.py index 97a06589..76ae817b 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl.py @@ -1,5 +1,5 @@ from logging import getLogger -from quantfreedom.order_handler.grid_order_handler.grid_order import GridOrderHandler +from quantfreedom.order_handler.grid_order_handler.grid_order_class.grid_order import GridOrderHandler from quantfreedom.core.enums import ( CurrentFootprintCandleTuple, DecreasePosition, diff --git a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_long.py b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_long.py index 93246dca..91a83708 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_long.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_long.py @@ -2,7 +2,7 @@ class GridSLExecLong(NamedTuple): - sl_hit_exec: str = """ + long_sl_hit_exec: str = """ candle_low = current_candle.low_price logger.debug(f"candle_low= {candle_low}") sl_hit_bool = sl_price > candle_low diff --git a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_short.py b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_short.py index 0e474da2..92289fc0 100644 --- a/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_short.py +++ b/quantfreedom/order_handler/grid_order_handler/grid_stop_loss/grid_sl_short.py @@ -2,7 +2,7 @@ class GridSLExecShort(NamedTuple): - sl_hit_exec: str = """ + short_sl_hit_exec: str = """ candle_high = current_candle.high_price logger.debug(f"candle_high= {candle_high}") sl_hit_bool = sl_price < candle_high diff --git a/tests/exchanges/mufex_test.ipynb b/tests/exchanges/mufex_test.ipynb index 5da02fd2..121b089b 100644 --- a/tests/exchanges/mufex_test.ipynb +++ b/tests/exchanges/mufex_test.ipynb @@ -53,6 +53,87 @@ ")" ] }, + { + "cell_type": "code", + "execution_count": 3, + "metadata": {}, + "outputs": [ + { + "data": { + "text/plain": [ + "['adjust_order',\n", + " 'cancel_all_open_orders_per_symbol',\n", + " 'cancel_open_order',\n", + " 'check_if_order_canceled',\n", + " 'check_if_order_filled',\n", + " 'check_if_order_open',\n", + " 'check_long_hedge_mode_if_in_position',\n", + " 'close_hedge_positions_and_orders',\n", + " 'create_long_hedge_mode_entry_market_order',\n", + " 'create_long_hedge_mode_entry_market_order_with_stoploss',\n", + " 'create_long_hedge_mode_sl_order',\n", + " 'create_long_hedge_mode_tp_limit_order',\n", + " 'create_order',\n", + " 'get_all_symbols_info',\n", + " 'get_balance',\n", + " 'get_candles',\n", + " 'get_closed_pnl',\n", + " 'get_current_pd_datetime',\n", + " 'get_current_time_ms',\n", + " 'get_current_time_sec',\n", + " 'get_exchange_timeframe',\n", + " 'get_fee_pcts',\n", + " 'get_filled_order_by_order_id',\n", + " 'get_filled_orders',\n", + " 'get_latest_pnl_result',\n", + " 'get_long_hedge_mode_position_info',\n", + " 'get_ms_time_to_pd_datetime',\n", + " 'get_no_fees_balance_of_asset_market_in_only',\n", + " 'get_open_order_by_order_id',\n", + " 'get_open_orders',\n", + " 'get_order_history',\n", + " 'get_order_history_by_order_id',\n", + " 'get_params_as_dict_string',\n", + " 'get_params_as_path',\n", + " 'get_position_info',\n", + " 'get_risk_limit_info',\n", + " 'get_since_until_timestamp',\n", + " 'get_sleep_time_to_next_bar',\n", + " 'get_symbol_trading_fee_rates',\n", + " 'get_symbols_list',\n", + " 'get_timeframe_in_ms',\n", + " 'get_timeframe_in_s',\n", + " 'get_trading_fee_rates',\n", + " 'get_wallet_info',\n", + " 'int_value_of_step_size',\n", + " 'last_fetched_time_to_pd_datetime',\n", + " 'list_of_functions',\n", + " 'move_limit_order',\n", + " 'move_open_order',\n", + " 'move_stop_order',\n", + " 'remove_none_from_dict',\n", + " 'set_and_get_exchange_settings_tuple',\n", + " 'set_init_last_fetched_time',\n", + " 'set_leverage',\n", + " 'set_leverage_mode',\n", + " 'set_leverage_mode_cross',\n", + " 'set_leverage_mode_isolated',\n", + " 'set_position_mode',\n", + " 'set_position_mode_as_hedge_mode',\n", + " 'set_position_mode_as_one_way_mode',\n", + " 'sort_dict',\n", + " 'sort_list_of_dicts']" + ] + }, + "execution_count": 3, + "metadata": {}, + "output_type": "execute_result" + } + ], + "source": [ + "mufex_test_neo.list_of_functions()" + ] + }, { "cell_type": "code", "execution_count": 3, @@ -604,7 +685,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "undefined.undefined.undefined" + "version": "3.12.4" }, "orig_nbformat": 4 },