Merge pull request #6785 from hummingbot/fix/more-config-scripts

(fix) fixed directional script bugs and added configurable pmm script

scripts/simple_pmm_example_config.py

@@ -0,0 +1,88 @@
+import logging
+import os
+from decimal import Decimal
+from typing import Dict, List
+
+from pydantic import Field
+
+from hummingbot.client.config.config_data_types import BaseClientModel, ClientFieldData
+from hummingbot.connector.connector_base import ConnectorBase
+from hummingbot.core.data_type.common import OrderType, PriceType, TradeType
+from hummingbot.core.data_type.order_candidate import OrderCandidate
+from hummingbot.core.event.events import OrderFilledEvent
+from hummingbot.strategy.script_strategy_base import ScriptStrategyBase
+
+
+class SimplePMMConfig(BaseClientModel):
+    script_file_name: str = Field(default_factory=lambda: os.path.basename(__file__))
+    exchange: str = Field("kucoin_paper_trade", client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the exchange where the bot will trade:"))
+    trading_pair: str = Field("ETH-USDT", client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the trading pair in which the bot will place orders:"))
+    order_amount: Decimal = Field(0.01, client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the order amount (denominated in base asset):"))
+    bid_spread: Decimal = Field(0.001, client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the bid order spread (in percent):"))
+    ask_spread: Decimal = Field(0.001, client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the ask order spread (in percent):"))
+    order_refresh_time: int = Field(15, client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the order refresh time (in seconds):"))
+    price_type: str = Field("mid", client_data=ClientFieldData(prompt_on_new=True, prompt=lambda mi: "Enter the price type to use (mid or last):"))
+
+
+class SimplePMM(ScriptStrategyBase):
+    """
+    Configurable version of the Simple PMM Example script.
+    """
+
+    create_timestamp = 0
+    price_source = PriceType.MidPrice
+
+    @classmethod
+    def init_markets(cls, config: SimplePMMConfig):
+        cls.markets = {config.exchange: {config.trading_pair}}
+        cls.price_source = PriceType.LastTrade if config.price_type == "last" else PriceType.MidPrice
+
+    def __init__(self, connectors: Dict[str, ConnectorBase], config: SimplePMMConfig):
+        super().__init__(connectors)
+        self.config = config
+
+    def on_tick(self):
+        if self.create_timestamp <= self.current_timestamp:
+            self.cancel_all_orders()
+            proposal: List[OrderCandidate] = self.create_proposal()
+            proposal_adjusted: List[OrderCandidate] = self.adjust_proposal_to_budget(proposal)
+            self.place_orders(proposal_adjusted)
+            self.create_timestamp = self.config.order_refresh_time + self.current_timestamp
+
+    def create_proposal(self) -> List[OrderCandidate]:
+        ref_price = self.connectors[self.config.exchange].get_price_by_type(self.config.trading_pair, self.price_source)
+        buy_price = ref_price * Decimal(1 - self.config.bid_spread)
+        sell_price = ref_price * Decimal(1 + self.config.ask_spread)
+
+        buy_order = OrderCandidate(trading_pair=self.config.trading_pair, is_maker=True, order_type=OrderType.LIMIT,
+                                   order_side=TradeType.BUY, amount=Decimal(self.config.order_amount), price=buy_price)
+
+        sell_order = OrderCandidate(trading_pair=self.config.trading_pair, is_maker=True, order_type=OrderType.LIMIT,
+                                    order_side=TradeType.SELL, amount=Decimal(self.config.order_amount), price=sell_price)
+
+        return [buy_order, sell_order]
+
+    def adjust_proposal_to_budget(self, proposal: List[OrderCandidate]) -> List[OrderCandidate]:
+        proposal_adjusted = self.connectors[self.config.exchange].budget_checker.adjust_candidates(proposal, all_or_none=True)
+        return proposal_adjusted
+
+    def place_orders(self, proposal: List[OrderCandidate]) -> None:
+        for order in proposal:
+            self.place_order(connector_name=self.config.exchange, order=order)
+
+    def place_order(self, connector_name: str, order: OrderCandidate):
+        if order.order_side == TradeType.SELL:
+            self.sell(connector_name=connector_name, trading_pair=order.trading_pair, amount=order.amount,
+                      order_type=order.order_type, price=order.price)
+        elif order.order_side == TradeType.BUY:
+            self.buy(connector_name=connector_name, trading_pair=order.trading_pair, amount=order.amount,
+                     order_type=order.order_type, price=order.price)
+
+    def cancel_all_orders(self):
+        for order in self.get_active_orders(connector_name=self.config.exchange):
+            self.cancel(self.config.exchange, order.trading_pair, order.client_order_id)
+
+    def did_fill_order(self, event: OrderFilledEvent):
+        msg = (f"{event.trade_type.name} {round(event.amount, 2)} {event.trading_pair} {self.config.exchange} at {round(event.price, 2)}")
+        self.log_with_clock(logging.INFO, msg)
+        self.notify_hb_app_with_timestamp(msg)

scripts/v2_directional-trading_bollinger_v1.py → scripts/v2_bollinger_v1_config.py

@@ -85,14 +85,19 @@ def __init__(self, connectors: Dict[str, ConnectorBase], config: DirectionalTrad
 
         for trading_pair in config.trading_pairs.split(","):
             bb_config = BollingerV1Config(
-                exchange="binance_perpetual",
+                exchange=config.exchange,
                 trading_pair=trading_pair,
                 order_levels=order_levels,
                 candles_config=[
-                    CandlesConfig(connector="binance_perpetual", trading_pair=trading_pair, interval="3m", max_records=100),
+                    CandlesConfig(connector=config.candles_exchange, trading_pair=trading_pair,
+                                  interval=config.candles_interval,
+                                  max_records=config.bb_length + 200),
                 ],
                 leverage=config.leverage,
-                bb_length=config.bb_length, bb_std=config.bb_std, bb_long_threshold=config.bb_long_threshold, bb_short_threshold=config.bb_short_threshold,
+                bb_length=config.bb_length,
+                bb_std=config.bb_std,
+                bb_long_threshold=config.bb_long_threshold,
+                bb_short_threshold=config.bb_short_threshold,
             )
             controller = BollingerV1(config=bb_config)
             self.controllers[trading_pair] = controller

scripts/v2_directional-trading_macd_bb_v1.py → scripts/v2_macd_bb_v1_config.py

@@ -89,11 +89,14 @@ def __init__(self, connectors: Dict[str, ConnectorBase], config: DirectionalTrad
 
         for trading_pair in config.trading_pairs.split(","):
             macd_bb_config = MACDBBV1Config(
-                exchange="binance_perpetual",
+                exchange=config.exchange,
                 trading_pair=trading_pair,
                 order_levels=order_levels,
                 candles_config=[
-                    CandlesConfig(connector="binance_perpetual", trading_pair=trading_pair, interval="3m", max_records=100),
+                    CandlesConfig(connector=config.candles_exchange, trading_pair=trading_pair,
+                                  interval=config.candles_interval,
+                                  max_records=config.bb_length + 200),
+                    # we need more candles to calculate the bollinger bands
                 ],
                 leverage=config.leverage,
                 macd_fast=config.macd_fast, macd_slow=config.macd_slow, macd_signal=config.macd_signal,

scripts/v2_directional-trading_trend_follower_v1.py → scripts/v2_trend_follower_v1_config.py

@@ -87,11 +87,14 @@ def __init__(self, connectors: Dict[str, ConnectorBase], config: DirectionalTrad
 
         for trading_pair in config.trading_pairs.split(","):
             trend_follower_config = TrendFollowerV1Config(
-                exchange="binance_perpetual",
+                exchange=config.exchange,
                 trading_pair=trading_pair,
                 order_levels=order_levels,
                 candles_config=[
-                    CandlesConfig(connector="binance_perpetual", trading_pair=trading_pair, interval="3m", max_records=100),
+                    CandlesConfig(connector=config.candles_exchange,
+                                  trading_pair=trading_pair,
+                                  interval=config.candles_interval,
+                                  max_records=config.bb_length + 200),
                 ],
                 leverage=config.leverage,
                 sma_fast=config.sma_fast, sma_slow=config.sma_slow,