cryptofeed fixes and improvements

strategies/cryptofeed_strategy/cryptofeed_service.py

@@ -65,7 +65,7 @@ async def open_interest_cb(data, receipt):
  OPEN_INTEREST]):
  configured.append(exchange_string)
  print(f"Configuring {exchange_string}...", end='')
- symbols = [sym for sym in exchange_class.symbols() if 'PINDEX' not in sym]
+ symbols = [sym for sym in exchange_class.symbols() if 'PINDEX' not in sym and 'LUNA' not in sym]
 
  try:
  f.add_feed(exchange_class(subscription={LIQUIDATIONS: symbols, OPEN_INTEREST: symbols},

strategies/cryptofeed_strategy/cryptofeed_strategy.py

@@ -3,6 +3,8 @@
 import time
 from typing import List
 
+import pandas as pd
+
 from core.enums.order_type_enum import OrderTypeEnum
 from core.enums.position_state_enum import PositionStateEnum
 from core.enums.side_enum import SideEnum
@@ -21,7 +23,7 @@
 from strategies.cryptofeed_strategy.stock_utils import StockUtils
 
 PAIRS_TO_TRACK = [
- "SOL", "LUNA", "WAVES", "GMT", "AXS", "AVAX", "ZIL", "RUNE", "NEAR", "AAVE", "APE", "ETC", "FIL", "ATOM", "LOOKS",
+ "SOL", "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",
@@ -42,6 +44,10 @@
 EXCHANGES = ["FTX", "BINANCE_FUTURES"]
 TRIGGER_LIQUIDATION_VALUE = 10000
 LIQUIDATIONS_OI_RATIO_THRESHOLD = 500
+MAX_SIMULTANEOUSLY_OPENED_POSITIONS = 0
+STOP_LOSS_ATR = 1
+RISK_PER_TRADE = 0.05
+TAKE_PROFIT_ATR = 3
 
 
 class CryptofeedStrategy(Strategy):
@@ -158,42 +164,58 @@ def perform_data_analysis(self, timeframe: int):
  elif sell_liquidation_sum * LIQUIDATIONS_OI_RATIO_THRESHOLD > oi_sum_usd:
  self.open_position(pair, SideEnum.BUY)
 
+ @staticmethod
+ def compute_quantity(current_price: float, atr_14: pd.DataFrame, available_balance_without_borrow: float,
+ side: SideEnum) -> float:
+ stop = current_price - (atr_14.iloc[-1] * STOP_LOSS_ATR if side == SideEnum.BUY else
+ atr_14.iloc[-1] * TAKE_PROFIT_ATR)
+ trade_risk = available_balance_without_borrow * RISK_PER_TRADE
+ entry_stop = current_price - stop
+ qty = trade_risk / entry_stop
+ return qty
+
  def open_position(self, pair: str, side: SideEnum) -> None:
  # Don't reopen a position if there is a position driver already opened
  if pair in self.position_drivers and self.position_drivers[pair].position_state == PositionStateEnum.OPENED:
  return
 
+ opened_position_number = sum(1 if self.position_drivers[key] and
+ self.position_drivers[key].position_state == PositionStateEnum.OPENED
+ else 0 for key in self.position_drivers)
+
+ if opened_position_number >= MAX_SIMULTANEOUSLY_OPENED_POSITIONS:
+ return
+
  atr_14 = StockUtils.get_atr_14(self.ftx_rest_api, pair)
  logging.info(f"{pair} - atr_14: {atr_14.iloc[-1]}")
 
  # Getting current price of pair
  current_price = StockUtils.get_market_price(self.ftx_rest_api, pair + '-PERP')
 
  available_balance_without_borrow = StockUtils.get_available_balance_without_borrow(self.ftx_rest_api,)
- percent_balance_per_trade = (available_balance_without_borrow * 20) * 0.001
  logging.info(f'available without borrow: ${available_balance_without_borrow}')
- position_size = percent_balance_per_trade / current_price
+ quantity = CryptofeedStrategy.compute_quantity(current_price, atr_14, available_balance_without_borrow, side)
 
  openings: List[OpeningConfigDict] = [{
  "price": None,
- "size": position_size,
+ "size": quantity,
  "type": OrderTypeEnum.MARKET
  }]
  sl: TriggerOrderConfigDict = {
- "size": position_size,
+ "size": quantity,
  "type": TriggerOrderTypeEnum.STOP,
  "reduce_only": True,
- "trigger_price": current_price - atr_14.iloc[-1] if
- side == SideEnum.BUY else current_price + atr_14.iloc[-1],
+ "trigger_price": current_price - (atr_14.iloc[-1] * STOP_LOSS_ATR) if side == SideEnum.BUY
+ else current_price + atr_14.iloc[-1],
  "order_price": None,
  "trail_value": None
  }
  tp1: TriggerOrderConfigDict = {
- "size": position_size,
+ "size": quantity,
  "type": TriggerOrderTypeEnum.TAKE_PROFIT,
  "reduce_only": True,
- "trigger_price": current_price + current_price * TAKE_PROFIT_PERCENTAGE_1 / 100 if
- side == SideEnum.BUY else current_price - current_price * TAKE_PROFIT_PERCENTAGE_1 / 100,
+ "trigger_price": current_price + (atr_14.iloc[-1] * TAKE_PROFIT_ATR) if side == SideEnum.BUY
+ else current_price - (atr_14.iloc[-1] * TAKE_PROFIT_ATR),
  "order_price": None,
  "trail_value": None
  }