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grid plugin: gridByCandle option #12

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e71d784
average lifespan
fukktalent Jun 27, 2023
cf01519
Merge branch 'stats-average-lifespan'
fukktalent Jun 27, 2023
b19b0f6
gridByCandle option in grid plugin
fukktalent Jun 29, 2023
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173 changes: 92 additions & 81 deletions packages/grid/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -33,6 +33,7 @@ export type GridPluginOptions = {
timePause?: number; // pause between grid openings ONLY FOR PORUCTION! Not for Backtesting.
trend?: boolean; // working on trend or not
reduceTakeOnTime?: number; // reduce teak on each candle
gridByCandle?: boolean; // working on candle or on tick
};

export function gridPlugin(opts: GridPluginOptions): GridPluginInterface {
Expand All @@ -54,6 +55,90 @@ export function gridPlugin(opts: GridPluginOptions): GridPluginInterface {
opts.levelsCount = 6;
}

async function processLogic(tick: Candle) {
if (trailingSetted) {
return;
}

const ordersLen = ctx.debut.ordersCount;

if (ordersLen) {
// TODO: Create streaming profit watcher with nextValue
const closingComission = orders.getCurrencyBatchComissions(ctx.debut.orders, tick.c, fee);
const profit = orders.getCurrencyBatchProfit(ctx.debut.orders, tick.c) - closingComission;
const percentProfit = (profit / amount) * 100;

if (percentProfit <= -opts.stopLoss!) {
await ctx.debut.closeAll(!opts.trend && opts.collapse && ctx.debut.ordersCount > 1);
return;
}

if (percentProfit >= takeProfit) {
if (opts.reduceEquity) {
if (!ctx.debut.opts.equityLevel) {
ctx.debut.opts.equityLevel = 1;
}

ctx.debut.opts.equityLevel *= 0.97;

if (ctx.debut.opts.equityLevel < 0.002) {
console.log(ctx.debut.getName(), 'Grid Disposed', new Date().toLocaleDateString());
ctx.debut.dispose();
}
}

if (opts.trailing && ctx.debut.ordersCount > 1) {
// Close all orders exclude last order
const lastOrder = ctx.debut.orders[ctx.debut.orders.length - 1];

await ctx.debut.closeAll(!opts.trend, (order: PendingOrder | ExecutedOrder) => {
return order !== lastOrder;
});

const rev = lastOrder.type === OrderType.BUY ? 1 : -1;
const take = tick.c * (1 + (opts.trailingDistance! / 100) * rev);
const stop = tick.c * (1 - (opts.trailingDistance! / 100) * rev);

takesPlugin.api.setTrailingForOrder(lastOrder.cid, take, stop);

if (opts.trailingAndReduce) {
await ctx.debut.reduceOrder(lastOrder, 0.5);
}

trailingSetted = true;
} else {
await ctx.debut.closeAll(!opts.trend && opts.collapse);
}

return;
}
}

const canTrade = ctx.debut.learning || !opts.timePause || Date.now() - lastOpeningTime > opts.timePause;

if (grid && canTrade) {
// Dont active when grid getted direaction to short side
const useLow = !grid.nextUpIdx || opts.trend;

if (useLow && tick.c <= grid.getNextLow()?.price) {
grid.activateLow();
const lotsMulti = opts.martingale ** grid.nextLowIdx;
ctx.debut.opts.lotsMultiplier = lotsMulti;
await ctx.debut.createOrder(opts.trend ? OrderType.SELL : OrderType.BUY);
}

// Dont active when grid getted direaction to long side
const useUp = !grid?.nextLowIdx || opts.trend;

if (useUp && tick.c >= grid.getNextUp()?.price) {
grid.activateUp();
const lotsMulti = opts.martingale ** grid.nextUpIdx;
ctx.debut.opts.lotsMultiplier = lotsMulti;
await ctx.debut.createOrder(opts.trend ? OrderType.BUY : OrderType.SELL);
}
}
}

return {
name: 'grid',

Expand Down Expand Up @@ -124,93 +209,19 @@ export function gridPlugin(opts: GridPluginOptions): GridPluginInterface {
}
},

async onCandle() {
async onCandle(candle: Candle) {
if (opts.gridByCandle) {
await processLogic(candle);
}

if (grid && opts.reduceTakeOnTime) {
takeProfit -= opts.reduceTakeOnTime;
}
},

async onTick(tick: Candle) {
if (trailingSetted) {
return;
}

const ordersLen = this.debut.ordersCount;

if (ordersLen) {
// TODO: Create streaming profit watcher with nextValue
const closingComission = orders.getCurrencyBatchComissions(this.debut.orders, tick.c, fee);
const profit = orders.getCurrencyBatchProfit(this.debut.orders, tick.c) - closingComission;
const percentProfit = (profit / amount) * 100;

if (percentProfit <= -opts.stopLoss!) {
await this.debut.closeAll(!opts.trend && opts.collapse && this.debut.ordersCount > 1);
return;
}

if (percentProfit >= takeProfit) {
if (opts.reduceEquity) {
if (!this.debut.opts.equityLevel) {
this.debut.opts.equityLevel = 1;
}

this.debut.opts.equityLevel *= 0.97;

if (this.debut.opts.equityLevel < 0.002) {
console.log(this.debut.getName(), 'Grid Disposed', new Date().toLocaleDateString());
this.debut.dispose();
}
}

if (opts.trailing && this.debut.ordersCount > 1) {
// Close all orders exclude last order
const lastOrder = this.debut.orders[this.debut.orders.length - 1];

await this.debut.closeAll(!opts.trend, (order: PendingOrder | ExecutedOrder) => {
return order !== lastOrder;
});

const rev = lastOrder.type === OrderType.BUY ? 1 : -1;
const take = tick.c * (1 + (opts.trailingDistance! / 100) * rev);
const stop = tick.c * (1 - (opts.trailingDistance! / 100) * rev);

takesPlugin.api.setTrailingForOrder(lastOrder.cid, take, stop);

if (opts.trailingAndReduce) {
await this.debut.reduceOrder(lastOrder, 0.5);
}

trailingSetted = true;
} else {
await this.debut.closeAll(!opts.trend && opts.collapse);
}

return;
}
}

const canTrade = ctx.debut.learning || !opts.timePause || Date.now() - lastOpeningTime > opts.timePause;

if (grid && canTrade) {
// Dont active when grid getted direaction to short side
const useLow = !grid.nextUpIdx || opts.trend;

if (useLow && tick.c <= grid.getNextLow()?.price) {
grid.activateLow();
const lotsMulti = opts.martingale ** grid.nextLowIdx;
this.debut.opts.lotsMultiplier = lotsMulti;
await this.debut.createOrder(opts.trend ? OrderType.SELL : OrderType.BUY);
}

// Dont active when grid getted direaction to long side
const useUp = !grid?.nextLowIdx || opts.trend;

if (useUp && tick.c >= grid.getNextUp()?.price) {
grid.activateUp();
const lotsMulti = opts.martingale ** grid.nextUpIdx;
this.debut.opts.lotsMultiplier = lotsMulti;
await this.debut.createOrder(opts.trend ? OrderType.BUY : OrderType.SELL);
}
if (!opts.gridByCandle) {
await processLogic(tick);
}
},
};
Expand Down
17 changes: 15 additions & 2 deletions packages/stats/index.ts
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Original file line number Diff line number Diff line change
@@ -1,8 +1,9 @@
import { PluginInterface, ExecutedOrder, OrderType } from '@debut/types';
import { math, orders } from '@debut/plugin-utils';
import { PluginInterface, ExecutedOrder, OrderType, TimeFrame } from '@debut/types/dist';
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@BusinessDuck BusinessDuck Sep 8, 2023

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didn't use /dist prefix

import { math, orders, date } from '@debut/plugin-utils';

export type StatsOptions = {
amount: number;
interval: TimeFrame;
};

export interface StatsState {
Expand Down Expand Up @@ -32,6 +33,8 @@ export interface StatsState {
avgRightLine: number;
ticksHandled: number;
candlesHandled: number;
avgProfitLifespan: number; // candles
avgLooseLifespan: number;
}
export interface StatsPluginAPI {
stats: Methods;
Expand Down Expand Up @@ -77,6 +80,8 @@ export function statsPlugin(opts: StatsOptions): StatsInterface {
avgRightLine: 0,
ticksHandled: 0,
candlesHandled: 0,
avgProfitLifespan: 0,
avgLooseLifespan: 0,
};
}

Expand All @@ -91,6 +96,8 @@ export function statsPlugin(opts: StatsOptions): StatsInterface {
winSum: 0,
looseStreak: 0,
winStreak: 0,
winLifespan: 0,
looseLifespan: 0,
};

function addOrderCounter(order: ExecutedOrder) {
Expand Down Expand Up @@ -124,6 +131,8 @@ export function statsPlugin(opts: StatsOptions): StatsInterface {
res.profitProb = profitCount / ordersCount || 0;
res.looseProb = looseCount / ordersCount || 0;
res.expectation = res.profitProb * res.avgProfit - res.looseProb * res.avgLoose;
res.avgProfitLifespan = temp.winLifespan / date.intervalToMs(opts.interval) / profitCount || 0;
res.avgLooseLifespan = temp.looseLifespan / date.intervalToMs(opts.interval) / looseCount || 0;

// FIXME: Types should be right
Object.keys(res).forEach((key) => {
Expand Down Expand Up @@ -236,6 +245,8 @@ export function statsPlugin(opts: StatsOptions): StatsInterface {
} else {
state.longRight++;
}

temp.winLifespan += order.time - closing.time;
} else {
temp.looseSum += profit;
temp.sumWinStreak += temp.winStreak;
Expand All @@ -250,6 +261,8 @@ export function statsPlugin(opts: StatsOptions): StatsInterface {
}

temp.looseStreak++;

temp.looseLifespan += order.time - closing.time;
}

if (state.failLine < temp.looseStreak) {
Expand Down