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[IndexTrading] support historical config and fix chain rebalance #1389

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merged 3 commits into from
Nov 25, 2024
Merged

[IndexTrading] support historical config and fix chain rebalance #1389

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6b8b0b0
[IndexTrading] support historical config and fix chain rebalance
GuillaumeDSM Nov 23, 2024
25ba1ef
[IndexTrading] implement get_tentacle_config_traded_symbols
GuillaumeDSM Nov 24, 2024
35426f9
[DCA] update _wait_for_bot_init call
GuillaumeDSM Nov 25, 2024
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65 changes: 54 additions & 11 deletions Trading/Mode/index_trading_mode/index_trading.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -89,10 +89,43 @@ async def _rebalance_portfolio(self, details: dict):
return orders

async def _sell_indexed_coins_for_reference_market(self, details: dict) -> list:
removed_coins_to_sell_orders = []
if removed_coins_to_sell := list(details[RebalanceDetails.REMOVE.value]):
removed_coins_to_sell_orders = await trading_modes.convert_assets_to_target_asset(
self.trading_mode, removed_coins_to_sell,
self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market, {}
)
if (
details[RebalanceDetails.REMOVE.value] and
not (
details[RebalanceDetails.BUY_MORE.value]
or details[RebalanceDetails.ADD.value]
or details[RebalanceDetails.SWAP.value]
)
):
# if rebalance is triggered by removed assets, make sure that the asset can actually be sold
# otherwise the whole rebalance is useless
sold_coins = [
symbol_util.parse_symbol(order.symbol).base
if order.side is trading_enums.TradeOrderSide.SELL
else symbol_util.parse_symbol(order.symbol).quote
for order in removed_coins_to_sell_orders
]
if not any(
asset in sold_coins
for asset in details[RebalanceDetails.REMOVE.value]
):
self.logger.info(
f"Cancelling rebalance: not enough {list(details[RebalanceDetails.REMOVE.value])} funds to sell"
)
raise trading_errors.MissingMinimalExchangeTradeVolume(
f"not enough {list(details[RebalanceDetails.REMOVE.value])} funds to sell"
)
order_coins_to_sell = self._get_coins_to_sell(details)
orders = await trading_modes.convert_assets_to_target_asset(
self.trading_mode, self._get_coins_to_sell(details),
self.trading_mode, order_coins_to_sell,
self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market, {}
)
) + removed_coins_to_sell_orders
if orders:
# ensure orders are filled
await asyncio.gather(
Expand All @@ -106,7 +139,7 @@ async def _sell_indexed_coins_for_reference_market(self, details: dict) -> list:

def _get_coins_to_sell(self, details: dict) -> list:
return list(details[RebalanceDetails.SWAP.value]) or (
self.trading_mode.indexed_coins + list(details[RebalanceDetails.REMOVE.value])
self.trading_mode.indexed_coins
)

async def _ensure_enough_funds_to_buy_after_selling(self):
Expand Down Expand Up @@ -268,6 +301,7 @@ async def _check_index_if_necessary(self):
if (
current_time - self._last_trigger_time
) >= self.trading_mode.refresh_interval_days * commons_constants.DAYS_TO_SECONDS:
self.trading_mode.update_config_and_user_inputs_if_necessary()
if len(self.trading_mode.indexed_coins) < self.MIN_INDEXED_COINS:
self.logger.error(
f"At least {self.MIN_INDEXED_COINS} coin is required to maintain an index. Please "
Expand Down Expand Up @@ -334,7 +368,7 @@ async def _send_alert_notification(self):
self.logger.exception(e, True, f"Impossible to send notification: {e}")

def _notify_if_missing_too_many_coins(self):
if ideal_distribution := self.trading_mode.get_ideal_distribution():
if ideal_distribution := self.trading_mode.get_ideal_distribution(self.trading_mode.trading_config):
if len(self.trading_mode.indexed_coins) < len(ideal_distribution) / 2:
self.logger.error(
f"Less than half of configured coins can be traded on {self.exchange_manager.exchange_name}. "
Expand Down Expand Up @@ -489,6 +523,7 @@ def init_user_inputs(self, inputs: dict) -> None:
Called right before starting the tentacle, should define all the tentacle's user inputs unless
those are defined somewhere else.
"""
trading_config = self.trading_config
self.refresh_interval_days = float(self.UI.user_input(
IndexTradingModeProducer.REFRESH_INTERVAL, commons_enums.UserInputTypes.FLOAT,
self.refresh_interval_days, inputs,
Expand All @@ -503,14 +538,14 @@ def init_user_inputs(self, inputs: dict) -> None:
title="Rebalance cap: maximum allowed percent holding of a coin beyond initial ratios before "
"triggering a rebalance.",
))) / trading_constants.ONE_HUNDRED
self.sell_unindexed_traded_coins = self.trading_config.get(
self.sell_unindexed_traded_coins = trading_config.get(
IndexTradingModeProducer.SELL_UNINDEXED_TRADED_COINS,
self.sell_unindexed_traded_coins
)
if (not self.exchange_manager or not self.exchange_manager.is_backtesting) and \
authentication.Authenticator.instance().has_open_source_package():
self.UI.user_input(IndexTradingModeProducer.INDEX_CONTENT, commons_enums.UserInputTypes.OBJECT_ARRAY,
self.trading_config.get(IndexTradingModeProducer.INDEX_CONTENT, None), inputs,
trading_config.get(IndexTradingModeProducer.INDEX_CONTENT, None), inputs,
item_title="Coin",
other_schema_values={"minItems": 0, "uniqueItems": True},
title="Custom distribution: when used, only coins listed in this distribution and "
Expand All @@ -528,6 +563,13 @@ def init_user_inputs(self, inputs: dict) -> None:
title="Weight of the coin within this distribution.")
self._update_coins_distribution()

@classmethod
def get_tentacle_config_traded_symbols(cls, config: dict, reference_market: str) -> list:
return [
symbol_util.merge_currencies(asset[index_distribution.DISTRIBUTION_NAME], reference_market)
for asset in (cls.get_ideal_distribution(config) or [])
]

def is_updating_at_each_price_change(self):
return self.refresh_interval_days == 0

Expand Down Expand Up @@ -561,11 +603,12 @@ def _get_filtered_traded_coins(self):
def get_coins_to_consider_for_ratio(self) -> list:
return self.indexed_coins + [self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market]

def get_ideal_distribution(self):
return self.trading_config.get(IndexTradingModeProducer.INDEX_CONTENT, None)
@classmethod
def get_ideal_distribution(cls, config: dict):
return config.get(IndexTradingModeProducer.INDEX_CONTENT, None)

def _get_supported_distribution(self) -> list:
if full_distribution := self.get_ideal_distribution():
if full_distribution := self.get_ideal_distribution(self.trading_config):
traded_bases = set(
symbol.base
for symbol in self.exchange_manager.exchange_config.traded_symbols
Expand Down Expand Up @@ -595,7 +638,7 @@ def _get_supported_distribution(self) -> list:

def get_removed_coins_from_config(self, available_traded_bases) -> list:
removed_coins = []
if self.get_ideal_distribution() and self.sell_unindexed_traded_coins:
if self.get_ideal_distribution(self.trading_config) and self.sell_unindexed_traded_coins:
# only remove non indexed coins if an ideal distribution is set
removed_coins = [
coin
Expand All @@ -607,7 +650,7 @@ def get_removed_coins_from_config(self, available_traded_bases) -> list:
return removed_coins
current_coins = [
asset[index_distribution.DISTRIBUTION_NAME]
for asset in self.get_ideal_distribution()
for asset in (self.get_ideal_distribution(self.trading_config) or [])
]
return list(set(removed_coins + [
asset[index_distribution.DISTRIBUTION_NAME]
Expand Down
64 changes: 57 additions & 7 deletions Trading/Mode/index_trading_mode/tests/test_index_trading_mode.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -351,7 +351,7 @@ async def test_ohlcv_callback(tools):
await producer.ohlcv_callback("binance", "123", "BTC", "BTC/USDT", None, None)
ensure_index_mock.assert_not_called()
_notify_if_missing_too_many_coins_mock.assert_not_called()
get_exchange_current_time_mock.assert_called_once()
assert get_exchange_current_time_mock.call_count == 2
get_exchange_current_time_mock.reset_mock()
assert producer._last_trigger_time == current_time

Expand All @@ -361,7 +361,7 @@ async def test_ohlcv_callback(tools):
await producer.ohlcv_callback("binance", "123", "BTC", "BTC/USDT", None, None)
ensure_index_mock.assert_not_called()
_notify_if_missing_too_many_coins_mock.assert_not_called()
get_exchange_current_time_mock.assert_called_once()
assert get_exchange_current_time_mock.call_count == 1

assert producer._last_trigger_time == current_time
with mock.patch.object(
Expand All @@ -371,7 +371,7 @@ async def test_ohlcv_callback(tools):
await producer.ohlcv_callback("binance", "123", "BTC", "BTC/USDT", None, None)
ensure_index_mock.assert_called_once()
_notify_if_missing_too_many_coins_mock.assert_called_once()
get_exchange_current_time_mock.assert_called_once()
assert get_exchange_current_time_mock.call_count == 2
assert producer._last_trigger_time == current_time * 2


Expand Down Expand Up @@ -801,20 +801,70 @@ async def test_ensure_enough_funds_to_buy_after_selling(tools):
async def test_sell_indexed_coins_for_reference_market(tools):
update = {}
mode, producer, consumer, trader = await _init_mode(tools, _get_config(tools, update))
orders = [
mock.Mock(
symbol="BTC/USDT",
side=trading_enums.TradeOrderSide.SELL
),
mock.Mock(
symbol="ETH/USDT",
side=trading_enums.TradeOrderSide.SELL
)
]
with mock.patch.object(
octobot_trading.modes, "convert_assets_to_target_asset", mock.AsyncMock(return_value=["1", "2"])
octobot_trading.modes, "convert_assets_to_target_asset", mock.AsyncMock(return_value=orders)
) as convert_assets_to_target_asset_mock, mock.patch.object(
trading_personal_data, "wait_for_order_fill", mock.AsyncMock()
) as wait_for_order_fill_mock, mock.patch.object(
consumer, "_get_coins_to_sell", mock.Mock(return_value=[1, 2, 3])
) as _get_coins_to_sell_mock:
assert await consumer._sell_indexed_coins_for_reference_market("details") == ["1", "2"]
details = {
index_trading.RebalanceDetails.REMOVE.value: {}
}
assert await consumer._sell_indexed_coins_for_reference_market(details) == orders
convert_assets_to_target_asset_mock.assert_called_once_with(
mode, [1, 2, 3],
consumer.exchange_manager.exchange_personal_data.portfolio_manager.reference_market, {}
)
assert wait_for_order_fill_mock.call_count == 2
_get_coins_to_sell_mock.assert_called_once_with("details")
_get_coins_to_sell_mock.assert_called_once_with(details)
convert_assets_to_target_asset_mock.reset_mock()
wait_for_order_fill_mock.reset_mock()
_get_coins_to_sell_mock.reset_mock()

# with valid remove coins
details = {
index_trading.RebalanceDetails.REMOVE.value: {"BTC": 0.01},
index_trading.RebalanceDetails.BUY_MORE.value: {},
index_trading.RebalanceDetails.ADD.value: {},
index_trading.RebalanceDetails.SWAP.value: {},
}
assert await consumer._sell_indexed_coins_for_reference_market(details) == orders + orders
assert convert_assets_to_target_asset_mock.call_count == 2
assert wait_for_order_fill_mock.call_count == 4
_get_coins_to_sell_mock.assert_called_once_with(details)
convert_assets_to_target_asset_mock.reset_mock()
wait_for_order_fill_mock.reset_mock()
_get_coins_to_sell_mock.reset_mock()

with mock.patch.object(
octobot_trading.modes, "convert_assets_to_target_asset", mock.AsyncMock(return_value=[])
) as convert_assets_to_target_asset_mock_2:
# with remove coins that can't be sold
details = {
index_trading.RebalanceDetails.REMOVE.value: {"BTC": 0.01},
index_trading.RebalanceDetails.BUY_MORE.value: {},
index_trading.RebalanceDetails.ADD.value: {},
index_trading.RebalanceDetails.SWAP.value: {},
}
with pytest.raises(trading_errors.MissingMinimalExchangeTradeVolume):
assert await consumer._sell_indexed_coins_for_reference_market(details) == orders + orders
convert_assets_to_target_asset_mock_2.assert_called_once_with(
mode, ["BTC"],
consumer.exchange_manager.exchange_personal_data.portfolio_manager.reference_market, {}
)
wait_for_order_fill_mock.assert_not_called()
_get_coins_to_sell_mock.assert_not_called()


async def test_get_coins_to_sell(tools):
Expand Down Expand Up @@ -864,7 +914,7 @@ async def test_get_coins_to_sell(tools):
},
index_trading.RebalanceDetails.ADD.value: {},
index_trading.RebalanceDetails.SWAP.value: {},
}) == ["BTC", "ETH", "DOGE", "SHIB", "XRP"]
}) == ["BTC", "ETH", "DOGE", "SHIB"]


async def test_resolve_swaps(tools):
Expand Down