hummingbot/scripts/v2_market-making_dman_v2_multiple_pairs.py

from decimal import Decimal
from typing import Dict

from hummingbot.connector.connector_base import ConnectorBase
from hummingbot.core.data_type.common import OrderType, PositionAction, PositionSide
from hummingbot.data_feed.candles_feed.candles_factory import CandlesConfig
from hummingbot.smart_components.controllers.dman_v2 import DManV2, DManV2Config
from hummingbot.smart_components.strategy_frameworks.data_types import ExecutorHandlerStatus, TripleBarrierConf
from hummingbot.smart_components.strategy_frameworks.market_making.market_making_executor_handler import (
    MarketMakingExecutorHandler,
)
from hummingbot.smart_components.utils.distributions import Distributions
from hummingbot.smart_components.utils.order_level_builder import OrderLevelBuilder
from hummingbot.strategy.script_strategy_base import ScriptStrategyBase


class DManV2MultiplePairs(ScriptStrategyBase):
    # Account configuration
    exchange = "binance_perpetual"
    trading_pairs = ["ETH-USDT"]
    leverage = 20

    # Candles configuration
    candles_exchange = "binance_perpetual"
    candles_interval = "3m"
    candles_max_records = 300

    # Orders configuration
    order_amount = Decimal("25")
    n_levels = 5
    start_spread = 0.0006
    step_between_orders = 0.009
    order_refresh_time = 60 * 15  # 15 minutes
    cooldown_time = 5

    # Triple barrier configuration
    stop_loss = Decimal("0.2")
    take_profit = Decimal("0.06")
    time_limit = 60 * 60 * 12
    trailing_stop_activation_price_delta = Decimal(str(step_between_orders / 2))
    trailing_stop_trailing_delta = Decimal(str(step_between_orders / 3))

    # Advanced configurations
    macd_fast = 12
    macd_slow = 26
    macd_signal = 9
    natr_length = 100

    # Applying the configuration
    order_level_builder = OrderLevelBuilder(n_levels=n_levels)
    order_levels = order_level_builder.build_order_levels(
        amounts=order_amount,
        spreads=Distributions.arithmetic(n_levels=n_levels, start=start_spread, step=step_between_orders),
        triple_barrier_confs=TripleBarrierConf(
            stop_loss=stop_loss, take_profit=take_profit, time_limit=time_limit,
            trailing_stop_activation_price_delta=trailing_stop_activation_price_delta,
            trailing_stop_trailing_delta=trailing_stop_trailing_delta),
        order_refresh_time=order_refresh_time,
        cooldown_time=cooldown_time,
    )
    controllers = {}
    markets = {}
    executor_handlers = {}

    for trading_pair in trading_pairs:
        config = DManV2Config(
            exchange=exchange,
            trading_pair=trading_pair,
            order_levels=order_levels,
            candles_config=[
                CandlesConfig(connector=candles_exchange, trading_pair=trading_pair,
                              interval=candles_interval, max_records=candles_max_records),
            ],
            leverage=leverage,
            macd_fast=macd_fast,
            macd_slow=macd_slow,
            macd_signal=macd_signal,
            natr_length=natr_length,
        )
        controller = DManV2(config=config)
        markets = controller.update_strategy_markets_dict(markets)
        controllers[trading_pair] = controller

    def __init__(self, connectors: Dict[str, ConnectorBase]):
        super().__init__(connectors)
        for trading_pair, controller in self.controllers.items():
            self.executor_handlers[trading_pair] = MarketMakingExecutorHandler(strategy=self, controller=controller)

    @property
    def is_perpetual(self):
        """
        Checks if the exchange is a perpetual market.
        """
        return "perpetual" in self.exchange

    def on_stop(self):
        if self.is_perpetual:
            self.close_open_positions()
        for executor_handler in self.executor_handlers.values():
            executor_handler.stop()

    def close_open_positions(self):
        # we are going to close all the open positions when the bot stops
        for connector_name, connector in self.connectors.items():
            for trading_pair, position in connector.account_positions.items():
                if trading_pair in self.markets[connector_name]:
                    if position.position_side == PositionSide.LONG:
                        self.sell(connector_name=connector_name,
                                  trading_pair=position.trading_pair,
                                  amount=abs(position.amount),
                                  order_type=OrderType.MARKET,
                                  price=connector.get_mid_price(position.trading_pair),
                                  position_action=PositionAction.CLOSE)
                    elif position.position_side == PositionSide.SHORT:
                        self.buy(connector_name=connector_name,
                                 trading_pair=position.trading_pair,
                                 amount=abs(position.amount),
                                 order_type=OrderType.MARKET,
                                 price=connector.get_mid_price(position.trading_pair),
                                 position_action=PositionAction.CLOSE)

    def on_tick(self):
        """
        This shows you how you can start meta controllers. You can run more than one at the same time and based on the
        market conditions, you can orchestrate from this script when to stop or start them.
        """
        for executor_handler in self.executor_handlers.values():
            if executor_handler.status == ExecutorHandlerStatus.NOT_STARTED:
                executor_handler.start()

    def format_status(self) -> str:
        if not self.ready_to_trade:
            return "Market connectors are not ready."
        lines = []
        for trading_pair, executor_handler in self.executor_handlers.items():
            lines.extend(
                [f"Strategy: {executor_handler.controller.config.strategy_name} | Trading Pair: {trading_pair}",
                 executor_handler.to_format_status()])
        return "\n".join(lines)