#22 [Strategy/evaluator/trading mode] add regulated markets high freq…

…uency trading

Evaluator/RealTime/InstantRegulatedMarketEvaluator.json

@@ -0,0 +1,4 @@
+{
+  "regulated_market_price": 1,
+  "regulated_market_range": 0.03
+}

Evaluator/RealTime/instant_fluctuations_evaluator.py

@@ -6,7 +6,8 @@
     "type": "Evaluator",
     "subtype": "RealTime",
     "version": "1.0.0",
-    "requirements": []
+    "requirements": [],
+    "config_files": ["InstantRegulatedMarketEvaluator.json"]
 }
 """
 import math
@@ -209,3 +210,36 @@ def set_default_config(self):
 
     def _should_eval(self):
         return self.should_eval
+
+
+class InstantRegulatedMarketEvaluator(RealTimeTAEvaluator):
+    def __init__(self, exchange, symbol):
+        super().__init__(exchange, symbol)
+        self.last_candle_data = None
+        self.last_eval_note = START_PENDING_EVAL_NOTE
+        self.should_eval = True
+        self.regulated_market_config = None
+
+    def _refresh_data(self):
+        new_data = self._get_data_from_exchange(self.specific_config[CONFIG_TIME_FRAME],
+                                                limit=20, return_list=False)
+        self.should_eval = not self._compare_data(new_data, self.last_candle_data)
+        self.last_candle_data = new_data
+
+    def eval_impl(self):
+        self.eval_note = 0
+        close_values = self.last_candle_data[PriceIndexes.IND_PRICE_CLOSE.value]
+
+        last_price = close_values[-1]
+
+        self.eval_note = 0
+
+        self.notify_evaluator_thread_managers(self.__class__.__name__)
+
+    def set_default_config(self):
+        super().set_default_config()
+        self.specific_config[CONFIG_REFRESH_RATE] = 0.3
+        self.regulated_market_config = super().get_evaluator_config()
+
+    def _should_eval(self):
+        return self.should_eval

Trading/Mode/simple_trading_mode.py

@@ -0,0 +1,156 @@
+"""
+OctoBot Tentacle
+
+$tentacle_description: {
+    "name": "simple_trading_mode",
+    "type": "Trading",
+    "subtype": "Mode",
+    "version": "1.0.0",
+    "requirements": ["mixed_strategies_evaluator"],
+    "config_files": ["SimpleTradingMode.json"],
+    "tests":[]
+}
+"""
+
+from tools.logging.logging_util import get_logger
+
+from config.cst import EvaluatorStates, INIT_EVAL_NOTE, TraderOrderType
+from tools.evaluators_util import check_valid_eval_note
+from trading.trader.modes.abstract_mode_creator import AbstractTradingModeCreator
+from trading.trader.modes.abstract_mode_decider import AbstractTradingModeDecider
+from trading.trader.modes.abstract_trading_mode import AbstractTradingMode
+
+
+class SimpleTradingMode(AbstractTradingMode):
+    DESCRIPTION = "SimpleTradingMode is basic trading mode, it can buy and sell with market orders."
+
+    def __init__(self, config, exchange):
+        super().__init__(config, exchange)
+
+    def create_deciders(self, symbol, symbol_evaluator):
+        self.add_decider(symbol, SimpleTradingModeDecider(self, symbol_evaluator, self.exchange))
+
+    def create_creators(self, symbol, symbol_evaluator):
+        self.add_creator(symbol, SimpleTradingModeCreator(self))
+
+
+class SimpleTradingModeCreator(AbstractTradingModeCreator):
+    def __init__(self, trading_mode):
+        super().__init__(trading_mode)
+
+    # creates a new order
+    def create_new_order(self, eval_note, symbol, exchange, trader, portfolio, state):
+        try:
+            current_symbol_holding, current_market_quantity, market_quantity, price, symbol_market = \
+                self.get_pre_order_data(exchange, symbol, portfolio)
+
+            created_orders = []
+
+            if state in [EvaluatorStates.SHORT, EvaluatorStates.VERY_SHORT]:
+                # buy quantity from risk
+                quantity = current_symbol_holding * trader.get_risk()
+
+                quantity += self.get_additional_dusts_to_quantity_if_necessary(quantity, price,
+                                                                               symbol_market, current_symbol_holding)
+                for order_quantity, order_price in self.check_and_adapt_order_details_if_necessary(quantity, price,
+                                                                                                   symbol_market):
+                    market = trader.create_order_instance(order_type=TraderOrderType.SELL_MARKET,
+                                                          symbol=symbol,
+                                                          current_price=order_price,
+                                                          quantity=order_quantity,
+                                                          price=order_price)
+                    trader.create_order(market, portfolio)
+                    created_orders.append(market)
+                return created_orders
+
+            elif state in [EvaluatorStates.LONG, EvaluatorStates.VERY_LONG]:
+                # buy quantity from risk
+                quantity = current_market_quantity * trader.get_risk()
+
+                for order_quantity, order_price in self.check_and_adapt_order_details_if_necessary(quantity, price,
+                                                                                                   symbol_market):
+                    market = trader.create_order_instance(order_type=TraderOrderType.BUY_MARKET,
+                                                          symbol=symbol,
+                                                          current_price=order_price,
+                                                          quantity=order_quantity,
+                                                          price=order_price)
+                    trader.create_order(market, portfolio)
+                    created_orders.append(market)
+                return created_orders
+
+            # if nothing go returned, return None
+            return None
+
+        except Exception as e:
+            get_logger(self.__class__.__name__).error("Failed to create order : {0}".format(e))
+            return None
+
+
+class SimpleTradingModeDecider(AbstractTradingModeDecider):
+    def __init__(self, trading_mode, symbol_evaluator, exchange):
+        super().__init__(trading_mode, symbol_evaluator, exchange)
+
+        # If final_eval not is < X_THRESHOLD --> state = X
+        self.VERY_LONG_THRESHOLD = -0.85
+        self.LONG_THRESHOLD = -0.25
+        self.NEUTRAL_THRESHOLD = 0.25
+        self.SHORT_THRESHOLD = 0.85
+
+    def set_final_eval(self):
+        strategies_counter = 0
+        # Strategies analysis
+        for evaluated_strategies in self.symbol_evaluator.get_strategies_eval_list(self.exchange):
+            strategy_eval = evaluated_strategies.get_eval_note()
+            if check_valid_eval_note(strategy_eval):
+                self.final_eval += strategy_eval
+                strategies_counter += 1
+
+        if strategies_counter > 0:
+            self.final_eval /= strategies_counter
+        else:
+            self.final_eval = INIT_EVAL_NOTE
+
+    def create_state(self):
+        if self.final_eval < self.VERY_LONG_THRESHOLD:
+            self._set_state(EvaluatorStates.VERY_LONG)
+
+        elif self.final_eval < self.LONG_THRESHOLD:
+            self._set_state(EvaluatorStates.LONG)
+
+        elif self.final_eval < self.NEUTRAL_THRESHOLD:
+            self._set_state(EvaluatorStates.NEUTRAL)
+
+        elif self.final_eval < self.SHORT_THRESHOLD:
+            self._set_state(EvaluatorStates.SHORT)
+
+        else:
+            self._set_state(EvaluatorStates.VERY_SHORT)
+
+    @classmethod
+    def get_should_cancel_loaded_orders(cls):
+        return True
+
+    def _set_state(self, new_state):
+        if new_state != self.state:
+            # previous_state = self.state
+            self.state = new_state
+            self.logger.info("{0} ** NEW FINAL STATE ** : {1}".format(self.symbol, self.state))
+
+            # if new state is not neutral --> cancel orders and create new else keep orders
+            if new_state is not EvaluatorStates.NEUTRAL:
+
+                # cancel open orders
+                self.cancel_symbol_open_orders()
+
+                # create notification
+                if self.symbol_evaluator.matrices:
+                    self.notifier.notify_alert(
+                        self.final_eval,
+                        self.symbol_evaluator.get_crypto_currency_evaluator(),
+                        self.symbol_evaluator.get_symbol(),
+                        self.symbol_evaluator.get_trader(self.exchange),
+                        self.state,
+                        self.symbol_evaluator.get_matrix(self.exchange).get_matrix())
+
+                # call orders creation method
+                self.create_final_state_orders(self.notifier, self.trading_mode.get_only_creator_key(self.symbol))

tentacles_list.json

@@ -1 +1 @@
-{"instant_fluctuations_evaluator": {"name": "instant_fluctuations_evaluator", "type": "Evaluator", "subtype": "RealTime", "version": "1.0.0", "requirements": []}, "orderbook_evaluator": {"name": "orderbook_evaluator", "type": "Evaluator", "subtype": "RealTime", "version": "1.0.0", "requirements": []}, "forum_evaluator": {"name": "forum_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["RedditForumEvaluator.json"]}, "news_evaluator": {"name": "news_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["TwitterNewsEvaluator.json"]}, "stats_evaluator": {"name": "stats_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["GoogleTrendStatsEvaluator.json"]}, "high_frequency_strategy_evaluator": {"name": "high_frequency_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator"], "config_files": ["HighFrequencyStrategiesEvaluator.json"]}, "market_stability_strategy_evaluator": {"name": "market_stability_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator"], "config_files": ["MarketStabilityStrategiesEvaluator.json"]}, "mixed_strategies_evaluator": {"name": "mixed_strategies_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator", "news_evaluator"], "config_files": ["FullMixedStrategiesEvaluator.json", "InstantSocialReactionMixedStrategiesEvaluator.json", "SimpleMixedStrategiesEvaluator.json"], "tests": ["test_full_mixed_strategies_evaluator"]}, "move_signals_strategy_evaluator": {"name": "move_signals_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["momentum_evaluator", "trend_evaluator", "instant_fluctuations_evaluator"], "config_files": ["MoveSignalsStrategyEvaluator.json"], "tests": ["test_move_signals_strategy_evaluator"]}, "momentum_evaluator": {"name": "momentum_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": [], "tests": ["test_adx_TA_evaluator", "test_bollinger_bands_momentum_TA_evaluator", "test_macd_TA_evaluator", "test_rsi_TA_evaluator", "test_klinger_TA_evaluator"]}, "trend_evaluator": {"name": "trend_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": [], "tests": ["test_double_moving_averages_TA_evaluator"]}, "volatility_evaluator": {"name": "volatility_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": []}, "overall_state_analysis": {"name": "overall_state_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "pattern_analysis": {"name": "pattern_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "statistics_analysis": {"name": "statistics_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "text_analysis": {"name": "text_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "trend_analysis": {"name": "trend_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "daily_trading_mode": {"name": "daily_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["mixed_strategies_evaluator"], "config_files": ["DailyTradingMode.json"], "tests": ["test_daily_trading_mode_creator", "test_daily_trading_mode_decider"]}, "high_frequency_mode": {"name": "high_frequency_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["high_frequency_strategy_evaluator"], "config_files": ["HighFrequencyMode.json"], "developing": true}, "hybrid_trading_mode": {"name": "hybrid_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["daily_trading_mode", "high_frequency_mode", "market_stability_strategy_evaluator"], "config_files": ["HybridTradingMode.json"], "developing": true}, "investor_mode": {"name": "investor_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["InvestorMode.json"], "developing": true}, "objective_mode": {"name": "objective_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["ObjectiveMode.json"], "developing": true}, "opportunity_mode": {"name": "opportunity_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["OpportunityMode.json"], "developing": true}, "safe_profit_mode": {"name": "safe_profit_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["SafeProfitMode.json"], "developing": true}, "signal_trading_mode": {"name": "signal_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["move_signals_strategy_evaluator", "daily_trading_mode"], "config_files": ["SignalTradingMode.json"]}}
+{"instant_fluctuations_evaluator": {"name": "instant_fluctuations_evaluator", "type": "Evaluator", "subtype": "RealTime", "version": "1.0.0", "requirements": [], "config_files": ["InstantRegulatedMarketEvaluator.json"]}, "orderbook_evaluator": {"name": "orderbook_evaluator", "type": "Evaluator", "subtype": "RealTime", "version": "1.0.0", "requirements": []}, "forum_evaluator": {"name": "forum_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["RedditForumEvaluator.json"]}, "news_evaluator": {"name": "news_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["TwitterNewsEvaluator.json"]}, "stats_evaluator": {"name": "stats_evaluator", "type": "Evaluator", "subtype": "Social", "version": "1.0.0", "requirements": [], "config_files": ["GoogleTrendStatsEvaluator.json"]}, "high_frequency_strategy_evaluator": {"name": "high_frequency_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator"], "config_files": ["HighFrequencyStrategiesEvaluator.json"]}, "market_stability_strategy_evaluator": {"name": "market_stability_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator"], "config_files": ["MarketStabilityStrategiesEvaluator.json"]}, "mixed_strategies_evaluator": {"name": "mixed_strategies_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["instant_fluctuations_evaluator", "news_evaluator"], "config_files": ["FullMixedStrategiesEvaluator.json", "InstantSocialReactionMixedStrategiesEvaluator.json", "SimpleMixedStrategiesEvaluator.json"], "tests": ["test_full_mixed_strategies_evaluator"]}, "move_signals_strategy_evaluator": {"name": "move_signals_strategy_evaluator", "type": "Evaluator", "subtype": "Strategies", "version": "1.0.0", "requirements": ["momentum_evaluator", "trend_evaluator", "instant_fluctuations_evaluator"], "config_files": ["MoveSignalsStrategyEvaluator.json"], "tests": ["test_move_signals_strategy_evaluator"]}, "momentum_evaluator": {"name": "momentum_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": [], "tests": ["test_adx_TA_evaluator", "test_bollinger_bands_momentum_TA_evaluator", "test_macd_TA_evaluator", "test_rsi_TA_evaluator", "test_klinger_TA_evaluator"]}, "trend_evaluator": {"name": "trend_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": [], "tests": ["test_double_moving_averages_TA_evaluator"]}, "volatility_evaluator": {"name": "volatility_evaluator", "type": "Evaluator", "subtype": "TA", "version": "1.0.0", "requirements": []}, "overall_state_analysis": {"name": "overall_state_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "pattern_analysis": {"name": "pattern_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "statistics_analysis": {"name": "statistics_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "text_analysis": {"name": "text_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "trend_analysis": {"name": "trend_analysis", "type": "Evaluator", "subtype": "Util", "version": "1.0.0", "requirements": []}, "daily_trading_mode": {"name": "daily_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["mixed_strategies_evaluator"], "config_files": ["DailyTradingMode.json"], "tests": ["test_daily_trading_mode_creator", "test_daily_trading_mode_decider"]}, "high_frequency_mode": {"name": "high_frequency_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["high_frequency_strategy_evaluator"], "config_files": ["HighFrequencyMode.json"], "developing": true}, "hybrid_trading_mode": {"name": "hybrid_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["daily_trading_mode", "high_frequency_mode", "market_stability_strategy_evaluator"], "config_files": ["HybridTradingMode.json"], "developing": true}, "investor_mode": {"name": "investor_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["InvestorMode.json"], "developing": true}, "objective_mode": {"name": "objective_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["ObjectiveMode.json"], "developing": true}, "opportunity_mode": {"name": "opportunity_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["OpportunityMode.json"], "developing": true}, "safe_profit_mode": {"name": "safe_profit_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": [], "config_files": ["SafeProfitMode.json"], "developing": true}, "signal_trading_mode": {"name": "signal_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["move_signals_strategy_evaluator", "daily_trading_mode"], "config_files": ["SignalTradingMode.json"]}, "simple_trading_mode": {"name": "simple_trading_mode", "type": "Trading", "subtype": "Mode", "version": "1.0.0", "requirements": ["mixed_strategies_evaluator"], "config_files": ["SimpleTradingMode.json"], "tests": []}}