Botcamp Challenge: Customizing a Controller

dman_v2.py

import time
from decimal import Decimal

import pandas_ta as ta  # noqa: F401

from hummingbot.core.data_type.common import TradeType
from hummingbot.smart_components.executors.position_executor.data_types import PositionConfig, TrailingStop
from hummingbot.smart_components.executors.position_executor.position_executor import PositionExecutor
from hummingbot.smart_components.strategy_frameworks.data_types import OrderLevel
from hummingbot.smart_components.strategy_frameworks.market_making.market_making_controller_base import (
    MarketMakingControllerBase,
    MarketMakingControllerConfigBase,
)


class DManV2Config(MarketMakingControllerConfigBase):
    strategy_name: str = "dman_v2"
    macd_fast: int = 12
    macd_slow: int = 26
    macd_signal: int = 9
    natr_length: int = 14


class DManV2(MarketMakingControllerBase):
    """
    Directional Market Making Strategy making use of NATR indicator to make spreads dynamic and shift the mid price.
    """

    def __init__(self, config: DManV2Config):
        super().__init__(config)
        self.config = config

    def refresh_order_condition(self, executor: PositionExecutor, order_level: OrderLevel) -> bool:
        """
        Checks if the order needs to be refreshed.
        You can reimplement this method to add more conditions.
        """
        if executor.position_config.timestamp + order_level.order_refresh_time > time.time():
            return False
        return True

    def early_stop_condition(self, executor: PositionExecutor, order_level: OrderLevel) -> bool:
        """
        If an executor has an active position, should we close it based on a condition.
        """
        return False

    def cooldown_condition(self, executor: PositionExecutor, order_level: OrderLevel) -> bool:
        """
        After finishing an order, the executor will be in cooldown for a certain amount of time.
        This prevents the executor from creating a new order immediately after finishing one and execute a lot
        of orders in a short period of time from the same side.
        """
        if executor.close_timestamp and executor.close_timestamp + order_level.cooldown_time > time.time():
            return True
        return False

    def get_processed_data(self):
        """
        Gets the price and spread multiplier from the last candlestick.
        """
        candles_df = self.candles[0].candles_df
        natr = ta.natr(candles_df["high"], candles_df["low"], candles_df["close"], length=self.config.natr_length) / 100

        macd_output = ta.macd(candles_df["close"], fast=self.config.macd_fast, slow=self.config.macd_slow, signal=self.config.macd_signal)
        macd = macd_output[f"MACD_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"]
        macdh = macd_output[f"MACDh_{self.config.macd_fast}_{self.config.macd_slow}_{self.config.macd_signal}"]
        macd_signal = - (macd - macd.mean()) / macd.std()
        macdh_signal = macdh.apply(lambda x: 1 if x > 0 else -1)
        max_price_shift = natr / 2

        price_multiplier = (0.5 * macd_signal + 0.5 * macdh_signal) * max_price_shift

        candles_df["spread_multiplier"] = natr
        candles_df["price_multiplier"] = price_multiplier
        return candles_df

    def get_position_config(self, order_level: OrderLevel) -> PositionConfig:
        """
        Creates a PositionConfig object from an OrderLevel object.
        Here you can use technical indicators to determine the parameters of the position config.
        """
        close_price = self.get_close_price(self.config.exchange, self.config.trading_pair)
        price_multiplier, spread_multiplier = self.get_price_and_spread_multiplier()

        price_adjusted = close_price * (1 + price_multiplier)
        side_multiplier = -1 if order_level.side == TradeType.BUY else 1
        order_price = price_adjusted * (1 + order_level.spread_factor * spread_multiplier * side_multiplier)
        amount = order_level.order_amount_usd / order_price
        if order_level.triple_barrier_conf.trailing_stop_trailing_delta and order_level.triple_barrier_conf.trailing_stop_trailing_delta:
            trailing_stop = TrailingStop(
                activation_price_delta=order_level.triple_barrier_conf.trailing_stop_activation_price_delta,
                trailing_delta=order_level.triple_barrier_conf.trailing_stop_trailing_delta,
            )
        else:
            trailing_stop = None
        position_config = PositionConfig(
            timestamp=time.time(),
            trading_pair=self.config.trading_pair,
            exchange=self.config.exchange,
            side=order_level.side,
            amount=amount,
            take_profit=order_level.triple_barrier_conf.take_profit,
            stop_loss=order_level.triple_barrier_conf.stop_loss,
            time_limit=order_level.triple_barrier_conf.time_limit,
            entry_price=Decimal(order_price),
            open_order_type=order_level.triple_barrier_conf.open_order_type,
            take_profit_order_type=order_level.triple_barrier_conf.take_profit_order_type,
            trailing_stop=trailing_stop,
            leverage=self.config.leverage
        )
        return position_config

v2_market-making_dman_v2.py

from decimal import Decimal
from typing import Dict

from hummingbot.connector.connector_base import ConnectorBase, TradeType
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,
    OrderLevel,
    TripleBarrierConf,
)
from hummingbot.smart_components.strategy_frameworks.market_making.market_making_executor_handler import (
    MarketMakingExecutorHandler,
)
from hummingbot.strategy.script_strategy_base import ScriptStrategyBase


class MarketMakingDmanV2(ScriptStrategyBase):
    trading_pair = "HBAR-USDT"
    triple_barrier_conf = TripleBarrierConf(
        stop_loss=Decimal("0.03"), take_profit=Decimal("0.02"),
        time_limit=60 * 60 * 24,
        trailing_stop_activation_price_delta=Decimal("0.002"),
        trailing_stop_trailing_delta=Decimal("0.0005")
    )
    config_v2 = DManV2Config(
        exchange="binance_perpetual",
        trading_pair=trading_pair,
        order_levels=[
            OrderLevel(level=0, side=TradeType.BUY, order_amount_usd=Decimal("15"),
                       spread_factor=Decimal(0.5), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
            OrderLevel(level=1, side=TradeType.BUY, order_amount_usd=Decimal("30"),
                       spread_factor=Decimal(1.0), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
            OrderLevel(level=2, side=TradeType.BUY, order_amount_usd=Decimal("50"),
                       spread_factor=Decimal(2.0), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
            OrderLevel(level=0, side=TradeType.SELL, order_amount_usd=Decimal("15"),
                       spread_factor=Decimal(0.5), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
            OrderLevel(level=1, side=TradeType.SELL, order_amount_usd=Decimal("30"),
                       spread_factor=Decimal(1.0), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
            OrderLevel(level=2, side=TradeType.SELL, order_amount_usd=Decimal("50"),
                       spread_factor=Decimal(2.0), order_refresh_time=60 * 5,
                       cooldown_time=15, triple_barrier_conf=triple_barrier_conf),
        ],
        candles_config=[
            CandlesConfig(connector="binance_perpetual", trading_pair=trading_pair, interval="3m", max_records=1000),
        ],
        leverage=10,
        natr_length=21, macd_fast=12, macd_slow=26, macd_signal=9
    )
    dman_v2 = DManV2(config=config_v2)

    empty_markets = {}
    markets = dman_v2.update_strategy_markets_dict(empty_markets)

    def __init__(self, connectors: Dict[str, ConnectorBase]):
        super().__init__(connectors)
        self.dman_v2_executor = MarketMakingExecutorHandler(strategy=self, controller=self.dman_v2)

    def on_stop(self):
        self.close_open_positions()

    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.
        """
        if self.dman_v2_executor.status == ExecutorHandlerStatus.NOT_STARTED:
            self.dman_v2_executor.start()

    def format_status(self) -> str:
        if not self.ready_to_trade:
            return "Market connectors are not ready."
        lines = []
        lines.extend(["DMAN V2", self.dman_v2_executor.to_format_status()])
        lines.extend(["\n-----------------------------------------\n"])
        return "\n".join(lines)

    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)