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185 lines
9.3 KiB
185 lines
9.3 KiB
12 months ago
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import logging
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import math
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from decimal import Decimal
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from typing import Dict
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from hummingbot.connector.utils import split_hb_trading_pair
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from hummingbot.core.data_type.order_candidate import OrderCandidate
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from hummingbot.core.event.events import OrderFilledEvent, OrderType, TradeType
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from hummingbot.core.rate_oracle.rate_oracle import RateOracle
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from hummingbot.strategy.script_strategy_base import ScriptStrategyBase
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class VWAPExample(ScriptStrategyBase):
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"""
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BotCamp Cohort: Sept 2022
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Design Template: https://hummingbot-foundation.notion.site/Simple-VWAP-Example-d43a929cc5bd45c6b1a72f63e6635618
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Video: -
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Description:
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This example lets you create one VWAP in a market using a percentage of the sum volume of the order book
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until a spread from the mid price.
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This example demonstrates:
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- How to get the account balance
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- How to get the bids and asks of a market
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- How to code a "utility" strategy
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"""
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last_ordered_ts = 0
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vwap: Dict = {"connector_name": "binance_paper_trade", "trading_pair": "ETH-USDT", "is_buy": True,
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"total_volume_usd": 100000, "price_spread": 0.001, "volume_perc": 0.001, "order_delay_time": 10}
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markets = {vwap["connector_name"]: {vwap["trading_pair"]}}
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def on_tick(self):
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"""
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Every order delay time the strategy will buy or sell the base asset. It will compute the cumulative order book
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volume until the spread and buy a percentage of that.
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The input of the strategy is in USD, but we will use the rate oracle to get a target base that will be static.
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- Use the Rate Oracle to get a conversion rate
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- Create proposal (a list of order candidates)
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- Check the account balance and adjust the proposal accordingly (lower order amount if needed)
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- Lastly, execute the proposal on the exchange
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"""
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if self.last_ordered_ts < (self.current_timestamp - self.vwap["order_delay_time"]):
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if self.vwap.get("status") is None:
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self.init_vwap_stats()
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elif self.vwap.get("status") == "ACTIVE":
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vwap_order: OrderCandidate = self.create_order()
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vwap_order_adjusted = self.vwap["connector"].budget_checker.adjust_candidate(vwap_order,
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all_or_none=False)
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if math.isclose(vwap_order_adjusted.amount, Decimal("0"), rel_tol=1E-5):
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self.logger().info(f"Order adjusted: {vwap_order_adjusted.amount}, too low to place an order")
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else:
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self.place_order(
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connector_name=self.vwap["connector_name"],
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trading_pair=self.vwap["trading_pair"],
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is_buy=self.vwap["is_buy"],
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amount=vwap_order_adjusted.amount,
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order_type=vwap_order_adjusted.order_type)
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self.last_ordered_ts = self.current_timestamp
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def init_vwap_stats(self):
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# General parameters
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vwap = self.vwap.copy()
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vwap["connector"] = self.connectors[vwap["connector_name"]]
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vwap["delta"] = 0
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vwap["trades"] = []
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vwap["status"] = "ACTIVE"
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vwap["trade_type"] = TradeType.BUY if self.vwap["is_buy"] else TradeType.SELL
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base_asset, quote_asset = split_hb_trading_pair(vwap["trading_pair"])
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# USD conversion to quote and base asset
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conversion_base_asset = f"{base_asset}-USD"
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conversion_quote_asset = f"{quote_asset}-USD"
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base_conversion_rate = RateOracle.get_instance().get_pair_rate(conversion_base_asset)
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quote_conversion_rate = RateOracle.get_instance().get_pair_rate(conversion_quote_asset)
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vwap["start_price"] = vwap["connector"].get_price(vwap["trading_pair"], vwap["is_buy"])
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vwap["target_base_volume"] = vwap["total_volume_usd"] / base_conversion_rate
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vwap["ideal_quote_volume"] = vwap["total_volume_usd"] / quote_conversion_rate
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# Compute market order scenario
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orderbook_query = vwap["connector"].get_quote_volume_for_base_amount(vwap["trading_pair"], vwap["is_buy"],
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vwap["target_base_volume"])
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vwap["market_order_base_volume"] = orderbook_query.query_volume
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vwap["market_order_quote_volume"] = orderbook_query.result_volume
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vwap["volume_remaining"] = vwap["target_base_volume"]
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vwap["real_quote_volume"] = Decimal(0)
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self.vwap = vwap
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def create_order(self) -> OrderCandidate:
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"""
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Retrieves the cumulative volume of the order book until the price spread is reached, then takes a percentage
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of that to use as order amount.
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"""
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# Compute the new price using the max spread allowed
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mid_price = float(self.vwap["connector"].get_mid_price(self.vwap["trading_pair"]))
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price_multiplier = 1 + self.vwap["price_spread"] if self.vwap["is_buy"] else 1 - self.vwap["price_spread"]
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price_affected_by_spread = mid_price * price_multiplier
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# Query the cumulative volume until the price affected by spread
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orderbook_query = self.vwap["connector"].get_volume_for_price(
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trading_pair=self.vwap["trading_pair"],
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is_buy=self.vwap["is_buy"],
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price=price_affected_by_spread)
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volume_for_price = orderbook_query.result_volume
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# Check if the volume available is higher than the remaining
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amount = min(volume_for_price * Decimal(self.vwap["volume_perc"]), Decimal(self.vwap["volume_remaining"]))
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# Quantize the order amount and price
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amount = self.vwap["connector"].quantize_order_amount(self.vwap["trading_pair"], amount)
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price = self.vwap["connector"].quantize_order_price(self.vwap["trading_pair"],
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Decimal(price_affected_by_spread))
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# Create the Order Candidate
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vwap_order = OrderCandidate(
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trading_pair=self.vwap["trading_pair"],
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is_maker=False,
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order_type=OrderType.MARKET,
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order_side=self.vwap["trade_type"],
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amount=amount,
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price=price)
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return vwap_order
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def place_order(self,
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connector_name: str,
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trading_pair: str,
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is_buy: bool,
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amount: Decimal,
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order_type: OrderType,
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price=Decimal("NaN"),
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):
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if is_buy:
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self.buy(connector_name, trading_pair, amount, order_type, price)
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else:
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self.sell(connector_name, trading_pair, amount, order_type, price)
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def did_fill_order(self, event: OrderFilledEvent):
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"""
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Listens to fill order event to log it and notify the Hummingbot application.
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If you set up Telegram bot, you will get notification there as well.
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"""
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if event.trading_pair == self.vwap["trading_pair"] and event.trade_type == self.vwap["trade_type"]:
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self.vwap["volume_remaining"] -= event.amount
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self.vwap["delta"] = (self.vwap["target_base_volume"] - self.vwap["volume_remaining"]) / self.vwap[
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"target_base_volume"]
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self.vwap["real_quote_volume"] += event.price * event.amount
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self.vwap["trades"].append(event)
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if math.isclose(self.vwap["delta"], 1, rel_tol=1e-5):
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self.vwap["status"] = "COMPLETE"
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msg = (f"({event.trading_pair}) {event.trade_type.name} order (price: {round(event.price, 2)}) of "
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f"{round(event.amount, 2)} "
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f"{split_hb_trading_pair(event.trading_pair)[0]} is filled.")
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self.log_with_clock(logging.INFO, msg)
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self.notify_hb_app_with_timestamp(msg)
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def format_status(self) -> str:
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"""
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Returns status of the current strategy on user balances and current active orders. This function is called
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when status command is issued. Override this function to create custom status display output.
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"""
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if not self.ready_to_trade:
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return "Market connectors are not ready."
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lines = []
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warning_lines = []
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warning_lines.extend(self.network_warning(self.get_market_trading_pair_tuples()))
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balance_df = self.get_balance_df()
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lines.extend(["", " Balances:"] + [" " + line for line in balance_df.to_string(index=False).split("\n")])
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try:
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df = self.active_orders_df()
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lines.extend(["", " Orders:"] + [" " + line for line in df.to_string(index=False).split("\n")])
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except ValueError:
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lines.extend(["", " No active maker orders."])
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lines.extend(["", "VWAP Info:"] + [" " + key + ": " + value
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for key, value in self.vwap.items()
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if isinstance(value, str)])
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lines.extend(["", "VWAP Stats:"] + [" " + key + ": " + str(round(value, 4))
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for key, value in self.vwap.items()
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if type(value) in [int, float, Decimal]])
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warning_lines.extend(self.balance_warning(self.get_market_trading_pair_tuples()))
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if len(warning_lines) > 0:
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lines.extend(["", "*** WARNINGS ***"] + warning_lines)
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return "\n".join(lines)
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