Merge pull request #46 from hummingbot/feat/add_grid_strike

(feat) update grid strike

bots/controllers/generic/grid_strike.py

@@ -30,11 +30,13 @@ class GridStrikeConfig(ControllerConfigBase):
     """
     controller_name: str = "grid_strike"
     candles_config: List[CandlesConfig] = []
+    controller_type = "generic"
     connector_name: str = "binance"
     trading_pair: str = "BTC-USDT"
     total_amount_quote: Decimal = Field(default=Decimal("1000"), client_data=ClientFieldData(is_updatable=True))
     grid_ranges: List[GridRange] = Field(default=[GridRange(id="R0", start_price=Decimal("40000"),
-                                                            end_price=Decimal("60000"), total_amount_pct=Decimal("0.1"))],
+                                                            end_price=Decimal("60000"),
+                                                            total_amount_pct=Decimal("0.1"))],
                                          client_data=ClientFieldData(is_updatable=True))
     position_mode: PositionMode = PositionMode.HEDGE
     leverage: int = 1
@@ -69,11 +71,13 @@ class GridStrike(ControllerBase):
     def __init__(self, config: GridStrikeConfig, *args, **kwargs):
         super().__init__(config, *args, **kwargs)
         self.config = config
-        self.trading_rules = self.market_data_provider.get_trading_rules(self.config.connector_name,
-                                                                         self.config.trading_pair)
         self._last_grid_levels_update = 0
+        self.trading_rules = None
+        self.grid_levels = []
 
     def _calculate_grid_config(self):
+        self.trading_rules = self.market_data_provider.get_trading_rules(self.config.connector_name,
+                                                                         self.config.trading_pair)
         grid_levels = []
         if self.config.min_spread_between_orders:
             spread_between_orders = self.config.min_spread_between_orders * self.get_mid_price()
@@ -90,13 +94,18 @@ def _calculate_grid_config(self):
                 orders = int(min(theoretical_orders_by_step, theoretical_orders_by_amount))
                 prices = Distributions.linear(orders, float(grid_range.start_price), float(grid_range.end_price))
                 step = (grid_range.end_price - grid_range.start_price) / grid_range.end_price / orders
+                if orders == 0:
+                    self.logger().warning(f"Grid range {grid_range.id} has no orders, change the parameters "
+                                          f"(min order amount, amount pct, min spread between orders or total amount)")
                 amount_quote = total_amount / orders
                 for i, price in enumerate(prices):
-                    price_quantized = self.market_data_provider.quantize_order_price(self.config.connector_name,
-                                                                                     self.config.trading_pair, price)
-                    # amount_quantized = self.market_data_provider.quantize_order_amount(self.config.connector_name,
-                    # self.config.trading_pair, amount_quote / self.get_mid_price())
-                    amount_quantized = amount_quote / self.get_mid_price()
+                    price_quantized = self.market_data_provider.quantize_order_price(
+                        self.config.connector_name,
+                        self.config.trading_pair, price)
+                    amount_quantized = self.market_data_provider.quantize_order_amount(
+                        self.config.connector_name,
+                        self.config.trading_pair, amount_quote / self.get_mid_price())
+                    # amount_quantized = amount_quote / self.get_mid_price()
                     grid_levels.append(GridLevel(id=f"{grid_range.id}_P{i}",
                                                  price=price_quantized,
                                                  amount=amount_quantized,
@@ -209,6 +218,7 @@ def determine_stop_executor_actions(self) -> List[ExecutorAction]:
         short_executors_to_stop = [executor.id for executor in active_executors_order_placed if
                                    executor.side == TradeType.SELL and
                                    executor.config.entry_price >= short_activation_bounds]
-        executors_id_to_stop = set(active_executor_of_non_active_ranges + long_executors_to_stop + short_executors_to_stop)
+        executors_id_to_stop = set(
+            active_executor_of_non_active_ranges + long_executors_to_stop + short_executors_to_stop)
         return [StopExecutorAction(controller_id=self.config.id, executor_id=executor) for executor in
                 list(executors_id_to_stop)]

bots/scripts/v2_with_controllers.py

@@ -1,10 +1,12 @@
 import os
 import time
+from decimal import Decimal
 from typing import Dict, List, Optional, Set
 
 from hummingbot.client.hummingbot_application import HummingbotApplication
 from hummingbot.connector.connector_base import ConnectorBase
 from hummingbot.core.clock import Clock
+from hummingbot.core.data_type.common import OrderType, TradeType
 from hummingbot.data_feed.candles_feed.data_types import CandlesConfig
 from hummingbot.remote_iface.mqtt import ETopicPublisher
 from hummingbot.strategy.strategy_v2_base import StrategyV2Base, StrategyV2ConfigBase
@@ -18,6 +20,13 @@ class GenericV2StrategyWithCashOutConfig(StrategyV2ConfigBase):
     candles_config: List[CandlesConfig] = []
     markets: Dict[str, Set[str]] = {}
     time_to_cash_out: Optional[int] = None
+    max_global_drawdown: Optional[float] = None
+    max_controller_drawdown: Optional[float] = None
+    performance_report_interval: int = 1
+    rebalance_interval: Optional[int] = None
+    extra_inventory: Optional[float] = 0.02
+    min_amount_to_rebalance_usd: Decimal = Decimal("8")
+    asset_to_rebalance: str = "USDT"
 
 
 class GenericV2StrategyWithCashOut(StrategyV2Base):
@@ -36,9 +45,15 @@ def __init__(self, connectors: Dict[str, ConnectorBase], config: GenericV2Strate
         super().__init__(connectors, config)
         self.config = config
         self.cashing_out = False
+        self.max_pnl_by_controller = {}
+        self.performance_reports = {}
+        self.max_global_pnl = Decimal("0")
+        self.drawdown_exited_controllers = []
         self.closed_executors_buffer: int = 30
-        self.performance_report_interval: int = 1
+        self.performance_report_interval: int = self.config.performance_report_interval
+        self.rebalance_interval: int = self.config.rebalance_interval
         self._last_performance_report_timestamp = 0
+        self._last_rebalance_check_timestamp = 0
         hb_app = HummingbotApplication.main_application()
         self.mqtt_enabled = hb_app._mqtt is not None
         self._pub: Optional[ETopicPublisher] = None
@@ -58,22 +73,139 @@ def start(self, clock: Clock, timestamp: float) -> None:
         if self.mqtt_enabled:
             self._pub = ETopicPublisher("performance", use_bot_prefix=True)
 
-    def on_stop(self):
+    async def on_stop(self):
+        await super().on_stop()
         if self.mqtt_enabled:
             self._pub({controller_id: {} for controller_id in self.controllers.keys()})
             self._pub = None
 
     def on_tick(self):
         super().on_tick()
+        self.performance_reports = {controller_id: self.executor_orchestrator.generate_performance_report(
+            controller_id=controller_id).dict() for controller_id in self.controllers.keys()}
+        self.control_rebalance()
         self.control_cash_out()
+        self.control_max_drawdown()
         self.send_performance_report()
 
+    def control_rebalance(self):
+        if self.rebalance_interval and self._last_rebalance_check_timestamp + self.rebalance_interval <= self.current_timestamp:
+            balance_required = {}
+            for controller_id, controller in self.controllers.items():
+                connector_name = controller.config.dict().get("connector_name")
+                if connector_name and "perpetual" in connector_name:
+                    continue
+                if connector_name not in balance_required:
+                    balance_required[connector_name] = {}
+                tokens_required = controller.get_balance_requirements()
+                for token, amount in tokens_required:
+                    if token not in balance_required[connector_name]:
+                        balance_required[connector_name][token] = amount
+                    else:
+                        balance_required[connector_name][token] += amount
+            for connector_name, balance_requirements in balance_required.items():
+                connector = self.connectors[connector_name]
+                for token, amount in balance_requirements.items():
+                    if token == self.config.asset_to_rebalance:
+                        continue
+                    balance = connector.get_balance(token)
+                    trading_pair = f"{token}-{self.config.asset_to_rebalance}"
+                    mid_price = connector.get_mid_price(trading_pair)
+                    trading_rule = connector.trading_rules[trading_pair]
+                    amount_with_safe_margin = amount * (1 + Decimal(self.config.extra_inventory))
+                    active_executors_for_pair = self.filter_executors(
+                        executors=self.get_all_executors(),
+                        filter_func=lambda x: x.is_active and x.trading_pair == trading_pair and
+                        x.connector_name == connector_name
+                    )
+                    unmatched_amount = sum([executor.filled_amount_quote for executor in active_executors_for_pair if
+                                            executor.side == TradeType.SELL]) - sum(
+                        [executor.filled_amount_quote for executor in active_executors_for_pair if
+                         executor.side == TradeType.BUY])
+                    balance += unmatched_amount / mid_price
+                    base_balance_diff = balance - amount_with_safe_margin
+                    abs_balance_diff = abs(base_balance_diff)
+                    trading_rules_condition = abs_balance_diff > trading_rule.min_order_size and \
+                        abs_balance_diff * mid_price > trading_rule.min_notional_size and \
+                        abs_balance_diff * mid_price > self.config.min_amount_to_rebalance_usd
+                    order_type = OrderType.MARKET
+                    if base_balance_diff > 0:
+                        if trading_rules_condition:
+                            self.logger().info(
+                                f"Rebalance: Selling {amount_with_safe_margin} {token} to "
+                                f"{self.config.asset_to_rebalance}. Balance: {balance} | "
+                                f"Executors unmatched balance {unmatched_amount / mid_price}")
+                            connector.sell(
+                                trading_pair=trading_pair,
+                                amount=abs_balance_diff,
+                                order_type=order_type,
+                                price=mid_price)
+                        else:
+                            self.logger().info(
+                                "Skipping rebalance due a low amount to sell that may cause future imbalance")
+                    else:
+                        if not trading_rules_condition:
+                            amount = max(
+                                [self.config.min_amount_to_rebalance_usd / mid_price, trading_rule.min_order_size,
+                                 trading_rule.min_notional_size / mid_price])
+                            self.logger().info(
+                                f"Rebalance: Buying for a higher value to avoid future imbalance {amount} {token} to "
+                                f"{self.config.asset_to_rebalance}. Balance: {balance} | "
+                                f"Executors unmatched balance {unmatched_amount}")
+                        else:
+                            amount = abs_balance_diff
+                            self.logger().info(
+                                f"Rebalance: Buying {amount} {token} to {self.config.asset_to_rebalance}. "
+                                f"Balance: {balance} | Executors unmatched balance {unmatched_amount}")
+                        connector.buy(
+                            trading_pair=trading_pair,
+                            amount=amount,
+                            order_type=order_type,
+                            price=mid_price)
+            self._last_rebalance_check_timestamp = self.current_timestamp
+
+    def control_max_drawdown(self):
+        if self.config.max_controller_drawdown:
+            self.check_max_controller_drawdown()
+        if self.config.max_global_drawdown:
+            self.check_max_global_drawdown()
+
+    def check_max_controller_drawdown(self):
+        for controller_id, controller in self.controllers.items():
+            controller_pnl = self.performance_reports[controller_id]["global_pnl_quote"]
+            last_max_pnl = self.max_pnl_by_controller[controller_id]
+            if controller_pnl > last_max_pnl:
+                self.max_pnl_by_controller[controller_id] = controller_pnl
+            else:
+                current_drawdown = last_max_pnl - controller_pnl
+                if current_drawdown > self.config.max_controller_drawdown:
+                    self.logger().info(f"Controller {controller_id} reached max drawdown. Stopping the controller.")
+                    controller.stop()
+                    executors_order_placed = self.filter_executors(
+                        executors=self.executors_info[controller_id],
+                        filter_func=lambda x: x.is_active and not x.is_trading,
+                    )
+                    self.executor_orchestrator.execute_actions(
+                        actions=[StopExecutorAction(controller_id=controller_id, executor_id=executor.id) for executor
+                                 in executors_order_placed]
+                    )
+                    self.drawdown_exited_controllers.append(controller_id)
+
+    def check_max_global_drawdown(self):
+        current_global_pnl = sum([report["global_pnl_quote"] for report in self.performance_reports.values()])
+        if current_global_pnl > self.max_global_pnl:
+            self.max_global_pnl = current_global_pnl
+        else:
+            current_global_drawdown = self.max_global_pnl - current_global_pnl
+            if current_global_drawdown > self.config.max_global_drawdown:
+                self.drawdown_exited_controllers.extend(list(self.controllers.keys()))
+                self.logger().info("Global drawdown reached. Stopping the strategy.")
+                HummingbotApplication.main_application().stop()
+
     def send_performance_report(self):
-        if self.current_timestamp - self._last_performance_report_timestamp >= self.performance_report_interval \
-                and self.mqtt_enabled:
-            performance_reports = {controller_id: self.executor_orchestrator.generate_performance_report(
-                controller_id=controller_id).dict() for controller_id in self.controllers.keys()}
-            self._pub(performance_reports)
+        if self.current_timestamp - self._last_performance_report_timestamp >= self.performance_report_interval and \
+                self.mqtt_enabled:
+            self._pub(self.performance_reports)
             self._last_performance_report_timestamp = self.current_timestamp
 
     def control_cash_out(self):
@@ -102,6 +234,8 @@ def check_manual_cash_out(self):
                     [StopExecutorAction(executor_id=executor.id,
                                         controller_id=executor.controller_id) for executor in executors_to_stop])
             if not controller.config.manual_kill_switch and controller.status == RunnableStatus.TERMINATED:
+                if controller_id in self.drawdown_exited_controllers:
+                    continue
                 self.logger().info(f"Restarting controller {controller_id}.")
                 controller.start()
 
@@ -131,6 +265,7 @@ def stop_actions_proposal(self) -> List[StopExecutorAction]:
     def apply_initial_setting(self):
         connectors_position_mode = {}
         for controller_id, controller in self.controllers.items():
+            self.max_pnl_by_controller[controller_id] = Decimal("0")
             config_dict = controller.config.dict()
             if "connector_name" in config_dict:
                 if self.is_perpetual(config_dict["connector_name"]):

routers/manage_files.py

@@ -159,3 +159,32 @@ async def delete_controller_config(config_name: str):
         return {"message": f"Controller configuration {config_name} deleted successfully."}
     except FileNotFoundError as e:
         raise HTTPException(status_code=404, detail=str(e))
+
+
+@router.post("/delete-script-config", status_code=status.HTTP_200_OK)
+async def delete_script_config(config_name: str):
+    try:
+        file_system.delete_file('conf/scripts', config_name)
+        return {"message": f"Script configuration {config_name} deleted successfully."}
+    except FileNotFoundError as e:
+        raise HTTPException(status_code=404, detail=str(e))
+
+
+@router.post("/delete-all-controller-configs", status_code=status.HTTP_200_OK)
+async def delete_all_controller_configs():
+    try:
+        for file in file_system.list_files('conf/controllers'):
+            file_system.delete_file('conf/controllers', file)
+        return {"message": "All controller configurations deleted successfully."}
+    except FileNotFoundError as e:
+        raise HTTPException(status_code=404, detail=str(e))
+
+
+@router.post("/delete-all-script-configs", status_code=status.HTTP_200_OK)
+async def delete_all_script_configs():
+    try:
+        for file in file_system.list_files('conf/scripts'):
+            file_system.delete_file('conf/scripts', file)
+        return {"message": "All script configurations deleted successfully."}
+    except FileNotFoundError as e:
+        raise HTTPException(status_code=404, detail=str(e))

services/bots_orchestrator.py

@@ -154,11 +154,11 @@ def get_all_bots_status(self):
     def get_bot_status(self, bot_name):
         if bot_name in self.active_bots:
             try:
-                broker_listner = self.active_bots[bot_name]["broker_listener"]
-                controllers_performance = broker_listner.get_bot_performance()
+                broker_listener = self.active_bots[bot_name]["broker_listener"]
+                controllers_performance = broker_listener.get_bot_performance()
                 performance = self.determine_controller_performance(controllers_performance)
-                error_logs = broker_listner.get_bot_error_logs()
-                general_logs = broker_listner.get_bot_general_logs()
+                error_logs = broker_listener.get_bot_error_logs()
+                general_logs = broker_listener.get_bot_general_logs()
                 status = "running" if len(performance) > 0 else "stopped"
                 return {
                     "status": status,