Proper Implementation of Windowed % Increase Checking

[Davidobot]

The current code for checking for X% increase (or Z% decrease) over a Y amount of time doesn't make too much sense as it only checks at the bounds, ie it can miss increases that happen during this time period.

I'll implement this when I have the time, but basically:

keep a circular queue Q of length Y * M (eg Y in minutes, M is how many times a minute to sample the prices)
M times a minute: 
    add the current price to Q, pushing the oldest price if necessary

    lowest_price, cor_low_index = min(Q) # lowest price in Y minute window with corresponding index
    highest_price, cor_high_index = max(Q) # highest price in Y minute window with corresponding index

    # index check makes sure price is going up not down
    if ((highest_price - lowest_price) / lowest_price) * 100 >= X and cor_high_index > cor_low_index:
        # BUY coin; hit increase condition
    elif ((highest_price - lowest_price) / lowest_price) * 100 >= Z and cor_high_index < cor_low_index:
        # SELL coin as SL hit

and similarly for TP and whatnot.

This ensures that if the price goes up, say, 5% in 3 minutes rather than in 5 minutes then the bot will still jump on board. This also makes sure that you sell as soon as your SL is hit and not (in the worst case) 5 minutes afterwards when it had the chance to drop even more.

The windowed idea is great for detecting "spikes" but it just needs a bit more algorithmic massaging to get it to be correctly implemented. This more frequent checking is absolutely essential for SL though. I would set M=60 checks/min ie 1 a second. Y = 5 minutes works well.

This is a better approach than what is suggested in #65 (ie to decrease check time to seconds)

[ShogunMan]

Agree that this is the correct approach. My change from minutes to seconds was to allow for more granularity in specifying timeframes.

[ShogunMan]

I think my change to more frequent checks with the RECHECK_INTERVAL actually does this.

[Davidobot]

I think my change to more frequent checks with the RECHECK_INTERVAL actually does this.

I think so, but only for SL/TP, not for initially buying into the coin.

[ShogunMan]

Thats true, a rolling window for initial buying should be implemented.

[Davidobot]

There we go :)