def send_order(self, order: Order):
# check if order is val
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
[posId,
order_type] = TradingBot.position_id_and_type_from_order_id(order.id)
if order_type == OrderType.ENTRY:
[unused, direction] = TradingBot.split_pos_Id(posId)
if direction == PositionDirection.LONG and order.amount < 0:
self.logger.error("sending long entry with negative amount")
if direction == PositionDirection.SHORT and order.amount > 0:
self.logger.error("sending short entry with positive amount")
self.logger.debug("added order %s" % (order.print_info()))
order.tstamp = self.current_bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
def __open_position(self, direction, bars, swing, open_positions):
directionFactor = 1
oppDirection = PositionDirection.SHORT
extreme = bars[1].low
capFunc = min
if direction == PositionDirection.SHORT:
directionFactor = -1
oppDirection = PositionDirection.LONG
extreme = bars[1].high
capFunc = max
oppDirectionFactor = directionFactor * -1
expectedEntrySplipagePerc = 0.0015
expectedExitSlipagePerc = 0.0015
data: Data = self.channel.get_data(bars[1])
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and \
TradingBot.split_pos_Id(pos.id)[1] == oppDirection:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
pos.id, OrderType.SL),
amount=-pos.amount,
stop=None,
limit=None))
if self.init_stop_type == 1:
stop = extreme
elif self.init_stop_type == 2:
stop = extreme + (extreme - bars[1].close) * 0.5
else:
stop = capFunc(swing, (extreme + bars[1].close) / 2)
stop = stop + oppDirectionFactor # buffer
entry = bars[0].open
signalId = self.get_signal_id(bars)
#case long: entry * (1 + oppDirectionFactor*self.min_stop_diff_perc / 100) >= stop
if 0 <= directionFactor*(entry * (1 + oppDirectionFactor*self.min_stop_diff_perc / 100) - stop) \
or not self.ignore_on_tight_stop:
stop = capFunc(
stop,
entry *
(1 + oppDirectionFactor * self.min_stop_diff_perc / 100))
amount = self.calc_pos_size(
risk=self.risk_factor,
exitPrice=stop *
(1 + oppDirectionFactor * expectedExitSlipagePerc),
entry=entry *
(1 + directionFactor * expectedEntrySplipagePerc),
atr=data.atr)
posId = TradingBot.full_pos_id(signalId, direction)
pos = Position(id=posId,
entry=entry,
amount=amount,
stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId] = pos
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.ENTRY),
amount=amount,
stop=None,
limit=None))
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.SL),
amount=-amount,
stop=stop,
limit=None))
if self.tp_fac > 0:
ref = entry - stop
if self.tp_use_atr:
ref = math.copysign(data.atr, entry - stop)
tp = entry + ref * self.tp_fac
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(
posId, OrderType.TP),
amount=-amount,
stop=None,
limit=tp))
pos.status = PositionStatus.OPEN
def open_orders(self, is_new_bar, directionFilter, bars, account, open_positions):
if (not is_new_bar) or len(bars) < 5:
return # only open orders on beginning of bar
if not self.entries_allowed(bars):
self.logger.info(" no entries allowed")
return
atr = clean_range(bars, offset=0, length=self.channel.max_look_back * 2)
risk = self.risk_factor
# test for SFP:
# High > HH der letzten X
# Close < HH der vorigen X
# ? min Wick size?
# initial SL
data: Data = self.channel.get_data(bars[1])
maxLength = min(len(bars), self.range_length)
minRejLength = min(len(bars),self.min_rej_length)
highSupreme = 0
hhBack = 0
hh = bars[2].high
swingHigh = 0
gotHighSwing = False
for idx in range(2, maxLength):
if bars[idx].high < bars[1].high:
highSupreme = idx - 1
if hh < bars[idx].high:
hh = bars[idx].high
hhBack = idx
elif self.min_swing_length < hhBack <= idx - self.min_swing_length:
gotHighSwing = True
swingHigh = hh # confirmed
else:
break
lowSupreme = 0
llBack = 0
ll = bars[2].low
swingLow = 0
gotLowSwing = False
for idx in range(2, maxLength):
if bars[idx].low > bars[1].low:
lowSupreme = idx - 1
if ll > bars[idx].low:
ll = bars[idx].low
llBack = idx
elif self.min_swing_length < llBack <= idx - self.min_swing_length:
gotLowSwing = True
swingLow = ll # confirmed
else:
break
rangeMedian = (bars[maxLength - 1].high + bars[maxLength - 1].low) / 2
alpha = 2 / (maxLength + 1)
for idx in range(maxLength - 2, 0, -1):
rangeMedian = rangeMedian * alpha + (bars[idx].high + bars[idx].low) / 2 * (1 - alpha)
expectedEntrySplipagePerc = 0.0015
expectedExitSlipagePerc = 0.0015
signalId = "sfp+" + str(bars[0].tstamp)
# SHORT
longSFP = self.entries != 1 and gotHighSwing and bars[1].close + data.buffer < swingHigh
longRej = self.entries != 2 and bars[1].high > hh > bars[1].close + data.buffer and \
highSupreme > minRejLength and bars[1].high - bars[1].close > (bars[1].high - bars[1].low) / 2
# LONG
shortSFP = self.entries != 1 and gotLowSwing and bars[1].close - data.buffer > swingLow
shortRej = self.entries != 2 and bars[1].low < ll < bars[1].close - data.buffer and lowSupreme > minRejLength \
and bars[1].close - bars[1].low > (bars[1].high - bars[1].low) / 2
self.logger.info("---- analyzing: %s: %.1f %.1f %.0f | %s %.0f %i or %i %.0f %.0f | %s %.0f %i or %i %.0f %.0f " %
(str(datetime.fromtimestamp(bars[0].tstamp)), data.buffer, atr, rangeMedian,
gotHighSwing, swingHigh, hhBack, highSupreme, hh ,bars[1].high - bars[1].close,
gotLowSwing, swingLow, llBack, lowSupreme, ll ,bars[1].close - bars[1].low ))
if (longSFP or longRej) and (bars[1].high - bars[1].close) > atr * self.min_wick_fac \
and directionFilter <= 0 and bars[1].high > rangeMedian + atr * self.range_filter_fac:
# close existing short pos
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and TradingBot.split_pos_Id(pos.id)[1] == PositionDirection.LONG:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(pos.id, OrderType.SL),
amount=-pos.amount, stop=None, limit=None))
if self.init_stop_type == 1:
stop = bars[1].high
elif self.init_stop_type == 2:
stop = bars[1].high + (bars[0].high - bars[0].close) * 0.5
else:
stop = max(swingHigh, (bars[1].high + bars[1].close) / 2)
stop = stop + 1 # buffer
entry = bars[0].open
amount = self.calc_pos_size(risk=risk, exitPrice=stop * (1 + expectedExitSlipagePerc),
entry=entry * (1 - expectedEntrySplipagePerc), data=data)
posId = TradingBot.full_pos_id(signalId, PositionDirection.SHORT)
pos = Position(id=posId, entry=entry, amount=amount, stop=stop,
tstamp=bars[0].tstamp)
open_positions[posId]= pos
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.ENTRY),
amount=amount, stop=None, limit=None))
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.SL),
amount=-amount, stop=stop, limit=None))
if self.tp_fac > 0:
tp = entry - (stop - entry) * self.tp_fac
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.TP),
amount=-amount, stop=None, limit=tp))
pos.status= PositionStatus.OPEN
if (shortSFP or shortRej) and (bars[1].close - bars[1].low) > atr * self.min_wick_fac \
and directionFilter >= 0 and bars[1].low < rangeMedian - self.range_filter_fac:
# close existing short pos
if self.close_on_opposite:
for pos in open_positions.values():
if pos.status == PositionStatus.OPEN and TradingBot.split_pos_Id(pos.id)[1] == PositionDirection.SHORT:
# execution will trigger close and cancel of other orders
self.order_interface.send_order(
Order(orderId=TradingBot.generate_order_id(pos.id, OrderType.SL),
amount=-pos.amount, stop=None, limit=None))
if self.init_stop_type == 1:
stop = bars[1].low
elif self.init_stop_type == 2:
stop = bars[1].low + (bars[0].low - bars[0].close) * 0.5
else:
stop = min(swingLow, (bars[1].low + bars[1].close) / 2)
stop = stop - 1 # buffer
entry = bars[0].open
amount = self.calc_pos_size(risk=risk, exitPrice=stop * (1 - expectedExitSlipagePerc),
entry=entry * (1 + expectedEntrySplipagePerc), data=data)
posId = TradingBot.full_pos_id(signalId, PositionDirection.LONG)
pos = Position(id=posId, entry=entry, amount=amount, stop=stop,
tstamp=bars[0].tstamp)
pos.status= PositionStatus.TRIGGERED
open_positions[posId]= pos
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.ENTRY),
amount=amount, stop=None, limit=None))
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.SL),
amount=-amount, stop=stop, limit=None))
if self.tp_fac > 0:
tp = entry + (entry - stop) * self.tp_fac
self.order_interface.send_order(Order(orderId=TradingBot.generate_order_id(posId, OrderType.TP),
amount=-amount, stop=None, limit=tp))
