fix error side side comparison on get_liquidations / change symbol co…

…mparison with startwith instead of value match

strategies/cryptofeed_strategy/cryptofeed_strategy.py

@@ -8,12 +8,29 @@
 from strategies.cryptofeed_strategy.cryptofeed_service import CryptofeedService
 from strategies.cryptofeed_strategy.enums.cryptofeed_data_type_enum import CryptofeedDataTypeEnum
 from strategies.cryptofeed_strategy.enums.cryptofeed_side_enum import CryptofeedSideEnum
-from tools.utils import flatten
 from cryptofeed.types import Liquidation
 
 SLEEP_TIME_BETWEEN_LOOPS = 10
 LIQUIDATION_HISTORY_RETENTION_TIME = 60 * 60 # 1 hour retention
 
+PAIRS_TO_TRACK = [
+ "SOL", "LUNA", "WAVES", "GMT", "AXS", "AVAX", "ZIL", "RUNE", "NEAR", "AAVE", "APE", "ETC", "FIL", "ATOM", "LOOKS",
+ "FTM", "ADA", "XRP", "CHZ", "LRC", "DOT", "VET", "GALA", "SUSHI", "FTT", "LINK", "MATIC", "SRM", "SAND", "COMP",
+ "EOS", "KNC", "LTC", "ALGO", "SKL", "BCH", "THETA", "SLP", "MANA", "DYDX", "GRT", "FLOW", "ONE", "NEO", "ZEC",
+ "PEOPLE", "SNX", "CVC", "ICP", "1INCH", "HBAR", "IMX", "CRO", "AR", "YFI", "RON", "OMG", "REN", "SHIB", "XTZ",
+ "ROSE", "CELO", "ANC", "QTUM", "CAKE", "ALPHA", "ICX", "BSV", "TRX", "EGLD", "CHR", "SXP", "RSR", "ENJ", "AUDIO",
+ "ENS", "MKR", "XLM", "RAY", "ZRX", "AGLD", "HNT", "ALICE", "PERP", "BAT", "XMR", "KSM", "STMX", "XEM", "MINA",
+ "KAVA", "HOT", "DASH", "OKB", "TLM", "STX", "SPELL", "STORJ", "GLMR", "TRU", "DENT", "ATLAS", "DODO", "SCRT", "BAL",
+ "ONT", "RNDR", "CVX", "BADGER", "SC", "C98", "IOTA", "MTL", "CLV", "BAND", "TOMO", "ALCX", "PUNDIX", "CREAM",
+ "LINA", "MAPS", "TONCOIN", "POLIS", "REEF", "FXS", "STEP", "FIDA", "HUM", "HT", "FLM", "BNT", "AMPL", "PROM",
+ "KSOS", "BIT", "BOBA", "DAWN", "RAMP", "YFII", "OXY", "SOS", "LEO", "ORBS", "MTA", "TRYB", "MCB", "EDEN", "MNGO",
+ "CONV", "BAO", "SECO", "CEL", "HOLY", "ROOK", "MER", "TULIP", "ASD", "KIN", "MOB", "SRN", "BTT", "MEDIA", "IOST",
+ "JASMY", "BTC", "ETH", "DOGE"
+]
+
+TIMEFRAMES = [60, 60 * 5] # 1 min and 5 min
+EXCHANGES = ["FTX", "BINANCE_FUTURES"]
+
 
 class CryptofeedStrategy(Strategy):
  """The test strategy"""
@@ -37,6 +54,14 @@ def __init__(self):
  # Use CryptofeedService EXCHANGES global to configure the list of exchange to retrieve data on
  self.open_interest = {}
 
+ self.computed_liquidations = {}
+
+ # Init computed_liquidations object
+ for exchange in EXCHANGES:
+ self.computed_liquidations[exchange] = {}
+ for timeframe in TIMEFRAMES:
+ self.computed_liquidations[exchange][timeframe] = {}
+
  self._t: threading.Thread = threading.Thread(target=self.strategy_runner)
 
  def before_loop(self) -> None:
@@ -49,24 +74,22 @@ def loop(self) -> None:
  self.perform_new_liquidations()
  self.perform_new_open_interest()
 
- ftx_last_1_min_liquidations = self.get_liquidations(exchanges=["FTX"], max_age=60)
- ftx_last_5_min_liquidations = self.get_liquidations(exchanges=["FTX"], max_age=60 * 5)
- binance_last_1_min_liquidations = self.get_liquidations(exchanges=["BINANCE_FUTURES"], max_age=60)
- binance_last_5_min_liquidations = self.get_liquidations(exchanges=["BINANCE_FUTURES"], max_age=60 * 5)
-
- ftx_last_1_min_liquidations_value = sum([round(data.quantity * data.price, 2)
- for data in ftx_last_1_min_liquidations])
- ftx_last_5_min_liquidations_value = sum([round(data.quantity * data.price, 2)
- for data in ftx_last_5_min_liquidations])
- binance_last_1_min_liquidations_value = sum([round(data.quantity * data.price, 2)
- for data in binance_last_1_min_liquidations])
- binance_last_5_min_liquidations_value = sum([round(data.quantity * data.price, 2)
- for data in binance_last_5_min_liquidations])
-
- logging.info(f'[FTX] Liquidations in the last 1 minute: ${ftx_last_1_min_liquidations_value}')
- logging.info(f'[FTX] Liquidations in the last 5 minutes: ${ftx_last_5_min_liquidations_value}')
- logging.info(f'[BINANCE] Liquidations in the last 1 minute: ${binance_last_1_min_liquidations_value}')
- logging.info(f'[BINANCE] Liquidations in the last 5 minutes: ${binance_last_5_min_liquidations_value}')
+ for exchange in EXCHANGES:
+ for timeframe in TIMEFRAMES:
+ for pair in PAIRS_TO_TRACK:
+ buys = self.get_liquidations(exchanges=[exchange],
+ symbols=[pair],
+ side=CryptofeedSideEnum.BUY,
+ max_age=timeframe)
+ sells = self.get_liquidations(exchanges=[exchange],
+ symbols=[pair],
+ side=CryptofeedSideEnum.SELL,
+ max_age=timeframe)
+
+ self.computed_liquidations[exchange][timeframe][pair] = {
+ "buy": sum([round(data.quantity * data.price, 2) for data in buys]),
+ "sell": sum([round(data.quantity * data.price, 2) for data in sells])
+ }
 
  # Put your custom logic here
  # ...
@@ -101,10 +124,12 @@ def get_liquidations(self, exchanges: List[str] = None, symbols: List[str] = Non
  liquidations = list(filter(lambda data: data.exchange in exchanges, liquidations))
 
  if symbols is not None:
- liquidations = list(filter(lambda data: data.symbol in symbols, liquidations))
+ liquidations = list(filter(lambda data: any(data.symbol.startswith(sym + "-") for sym in symbols),
+ liquidations))
 
  if side is not None:
- liquidations = list(filter(lambda data: data.side == side, liquidations))
+ liquidations = list(filter(lambda data: data.side == "sell" if side is CryptofeedSideEnum.SELL else "buy",
+ liquidations))
 
  if max_age > -1:
  liquidations = list(filter(lambda data: data.timestamp > time.time() - max_age, liquidations))