Feat/xemm executor

[cardosofede]

Before submitting this PR, please make sure:

• Your code builds clean without any errors or warnings
• You are using approved title ("feat/", "fix/", "docs/", "refactor/")

A description of the changes proposed in the pull request:

Tests performed by the developer:

Tips for QA testing:

[rapcmia]

PR update on commit 5f18eec4353e485113197316ad2e338b4c6bdd3b

• 12 hours running bot on okx/binance (maker/taker)
• Maker limit orders are created on each order level
  • There was disconnection from okx connector resulting the active order failed for fetching updates

    # Created market limit order 93027a12dac34fBCSGSUT8b497d41571
    2024-04-18 19:53:26,029 - 1301374 - hummingbot.strategy.script_strategy_base - INFO - Creating GAS-USDT sell order: price: 5.309086050052325229565909866 amount: 2.285496619369583849157223122.
    2024-04-18 19:53:26,030 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - INFO - Created maker order 93027a12dac34fBCSGSUT8b497d41571 at price 5.309086050052325229565909866.
    2024-04-18 19:53:26,464 - 1301374 - hummingbot.connector.client_order_tracker - INFO - Created LIMIT SELL order 93027a12dac34fBCSGSUT8b497d41571 for 2.285496 GAS-USDT.
    2024-04-18 19:53:26,464 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - INFO - Maker order 93027a12dac34fBCSGSUT8b497d41571 created.
    2024-04-18 19:53:26,476 - 1301374 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713470006.0, "type": "OrderType.LIMIT", "trading_pair": "GAS-USDT", "amount": "2.285496", "price": "5.309", "order_id": "93027a12dac34fBCSGSUT8b497d41571", "creation_timestamp": 1713470006.0, "exchange_order_id": "701279265618657285", "leverage": 1, "position": "NIL", "event_name": "SellOrderCreatedEvent", "event_source": "okx"}
    
    # Connector got disconnected 
    2024-04-18 19:54:09,278 - 1301374 - hummingbot.connector.exchange.okx.okx_exchange.OkxExchange - INFO - Network status has changed to NetworkStatus.NOT_CONNECTED. Stopping networking...
    2024-04-18 19:55:04,303 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - INFO - Trade profitability 0.01001308961321099329175980914 is above target profitability. Cancelling order.
    2024-04-18 19:55:04,304 - 1301374 - hummingbot.strategy.script_strategy_base - INFO - (GAS-USDT) Canceling the limit order 93027a12dac34fBCSGSUT8b497d41571. [clock=2024-04-18 19:55:04+00:00]
    2024-04-18 19:55:04,677 - 1301374 - hummingbot.connector.exchange.okx.okx_exchange.OkxExchange - ERROR - Failed to cancel order 93027a12dac34fBCSGSUT8b497d41571
    Traceback (most recent call last):
      File "/home/ralph/github/hummingbot/6946/hummingbot/connector/exchange_py_base.py", line 520, in _execute_order_cancel
        cancelled = await self._execute_order_cancel_and_process_update(order=order)
      File "/home/ralph/github/hummingbot/6946/hummingbot/connector/exchange_py_base.py", line 540, in _execute_order_cancel_and_process_update
        cancelled = await self._place_cancel(order.client_order_id, order)
      File "/home/ralph/github/hummingbot/6946/hummingbot/connector/exchange/okx/okx_exchange.py", line 219, in _place_cancel
        cancel_result = await self._api_post(
      File "/home/ralph/github/hummingbot/6946/hummingbot/connector/exchange_py_base.py", line 867, in _api_post
        return await self._api_request(*args, **kwargs)
      File "/home/ralph/github/hummingbot/6946/hummingbot/connector/exchange_py_base.py", line 906, in _api_request
        request_result = await rest_assistant.execute_request(
      File "/home/ralph/github/hummingbot/6946/hummingbot/core/web_assistant/rest_assistant.py", line 47, in execute_request
        response = await self.execute_request_and_get_response(
      File "/home/ralph/github/hummingbot/6946/hummingbot/core/web_assistant/rest_assistant.py", line 100, in execute_request_and_get_response
        raise IOError(f"Error executing request {method.name} {url}. HTTP status is {response.status}. "
    OSError: Error executing request POST https://www.okx.com/api/v5/trade/cancel-order. HTTP status is 403. Error: N/A
    # trimmed timestamp
    
    # market limit order has been filled 
    2024-04-18 21:14:00,028 - 1301374 - hummingbot.connector.client_order_tracker - INFO - The SELL order 93027a12dac34fBCSGSUT8b497d41571 amounting to 2.28549/2.285496 GAS has been filled.
    2024-04-18 21:14:00,102 - 1301374 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713474840.0, "order_id": "93027a12dac34fBCSGSUT8b497d41571", "trading_pair": "GAS-USDT", "trade_type": "TradeType.SELL", "order_type": "OrderType.LIMIT", "price": "5.309", "amount": "2.28549", "trade_fee": {"percent": "0", "percent_token": "USDT", "flat_fees": [{"token": "USDT", "amount": "-0.009706933128"}]}, "exchange_trade_id": "16632644", "exchange_order_id": "701279265618657285", "leverage": 1, "position": "NIL", "event_name": "OrderFilledEvent", "event_source": "okx"}
    2024-04-18 21:14:00,112 - 1301374 - hummingbot.connector.client_order_tracker - INFO - The SELL order 93027a12dac34fBCSGSUT8b497d41571 amounting to 2.285496/2.285496 GAS has been filled.
    2024-04-18 21:14:00,139 - 1301374 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713474840.0, "order_id": "93027a12dac34fBCSGSUT8b497d41571", "trading_pair": "GAS-USDT", "trade_type": "TradeType.SELL", "order_type": "OrderType.LIMIT", "price": "5.309", "amount": "0.000006", "trade_fee": {"percent": "0", "percent_token": "USDT", "flat_fees": [{"token": "USDT", "amount": "-2.54832E-8"}]}, "exchange_trade_id": "16632645", "exchange_order_id": "701279265618657285", "leverage": 1, "position": "NIL", "event_name": "OrderFilledEvent", "event_source": "okx"}
    2024-04-18 21:14:00,563 - 1301374 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713474840.0, "order_id": "93027a12dac34fBCSGSUT8b497d41571", "base_asset": "GAS", "quote_asset": "USDT", "base_asset_amount": "2.285496", "quote_asset_amount": "12.133698264", "order_type": "OrderType.LIMIT", "exchange_order_id": "701279265618657285", "event_name": "SellOrderCompletedEvent", "event_source": "okx"}
    2024-04-18 21:14:00,563 - 1301374 - hummingbot.connector.client_order_tracker - INFO - SELL order 93027a12dac34fBCSGSUT8b497d41571 completely filled.
    

    • The executor does not seem to recognize the market order filled therefore no taker order event happened
  • Taker market orders completed on each order level
  • Executors are completed with no errors found
  • There are instance of partial fills and worked ok
  • Script returns failed to submit order on maker when insufficient balance
  • When taker exchange assets has been rebalance,
    • When either base or quote asset is insufficient for order creation script would return on logs Not enough budget to open position.

    2024-04-19 02:31:12,592 - 1301374 - hummingbot.strategy.script_strategy_base - INFO - Creating GAS-USDT sell order: price: 5.242989802747732885003081739 amount: 2.140563681769532643596146985.
    2024-04-19 02:31:12,592 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - INFO - Created maker order 93027a12dac34fBCSGSUT3276be44bd8 at price 5.242989802747732885003081739.
    2024-04-19 02:31:12,709 - 1301374 - hummingbot.connector.client_order_tracker - INFO - Created LIMIT SELL order 93027a12dac34fBCSGSUT3276be44bd8 for 2.140563 GAS-USDT.
    2024-04-19 02:31:12,709 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - INFO - Maker order 93027a12dac34fBCSGSUT3276be44bd8 created.
    2024-04-19 02:31:12,722 - 1301374 - hummingbot.core.event.event_reporter - EVENT_LOG - {"timestamp": 1713493872.0, "type": "OrderType.LIMIT", "trading_pair": "GAS-USDT", "amount": "2.140563", "price": "5.242", "order_id": "93027a12dac34fBCSGSUT3276be44bd8", "creation_timestamp": 1713493872.0, "exchange_order_id": "701379369264480257", "leverage": 1, "position": "NIL", "event_name": "SellOrderCreatedEvent", "event_source": "okx"}
    2024-04-19 02:31:13,466 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:13,467 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:14,473 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:14,474 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:15,471 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:15,472 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:16,474 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:16,475 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:17,476 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:17,477 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:18,480 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:18,481 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:19,481 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:19,482 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:20,485 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:20,485 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    2024-04-19 02:31:21,487 - 1301374 - hummingbot.smart_components.executors.xemm_executor.xemm_executor - ERROR - Not enough budget to open position.
    

    • Part of the logs above, observed that it did not created a buy order when maker has enough to balance
    • Taker exchange had insufficient base assets that cause this behavior

04192024.zip

[rapcmia]

• Setup controller config generic.xemm_multiple_levels.py
• Ran tests on Kucoin, Okx and Binance spot connectors
• Maker connector create limit order, taker connector create market order
• When Maker and Taker orders are completed, executor terminated
• When target profitability is below min_profitability, order is canceled
• When target profitability is above max_profitability, order is canceled
• When target profitability is between min and max, order stays active ✅
• Ran long term bots and observe behavior
  • User must always check inventory, when not enough balance script would return "Not enough budget to open position"
  • When the target profitability rate is tight, connector tends to create and cancel order after 5-10s resulting large log files
  • Trade data between CSV, history and exchange trade history match
  • Multiple order levels are supported
  • Observe partial fills on tests and works ok on script
• Build docker image ok

[rapcmia]

Failing tests in test_get_custom_info (test.hummingbot.smart_components.executors.dca_executor.test_dca_executor.TestDCAExecutor)

[rapcmia]

Merged to development and part of release version 1.27.0