def add_pbrs_to_pos(self, position_: dict):
position = position_.copy()
position['long']['pbr'] = (qty_to_cost(position['long']['size'], position['long']['price'],
self.xk['inverse'], self.xk['c_mult']) /
position['wallet_balance']) if position['wallet_balance'] else 0.0
position['shrt']['pbr'] = (qty_to_cost(position['shrt']['size'], position['shrt']['price'],
self.xk['inverse'], self.xk['c_mult']) /
position['wallet_balance']) if position['wallet_balance'] else 0.0
return position
def add_wallet_exposures_to_pos(self, position_: dict):
position = position_.copy()
position["long"]["wallet_exposure"] = ((qty_to_cost(
position["long"]["size"],
position["long"]["price"],
self.xk["inverse"],
self.xk["c_mult"],
) / position["wallet_balance"]) if position["wallet_balance"] else 0.0)
position["short"]["wallet_exposure"] = ((qty_to_cost(
position["short"]["size"],
position["short"]["price"],
self.xk["inverse"],
self.xk["c_mult"],
) / position["wallet_balance"]) if position["wallet_balance"] else 0.0)
return position
def calc_orders(self):
default_orders = super().calc_orders()
orders = []
remaining_cost = self.balance[self.quot]["onhand"]
for order in sorted(default_orders,
key=lambda x: calc_diff(x["price"], self.price)):
if order["price"] > min(
self.max_price,
round_dn(self.price * self.price_multiplier_up,
self.price_step),
):
print(f'price {order["price"]} too high')
continue
if order["price"] < max(
self.min_price,
round_up(self.price * self.price_multiplier_dn,
self.price_step),
):
print(f'price {order["price"]} too low')
continue
if order["side"] == "buy":
cost = qty_to_cost(order["qty"], order["price"], self.inverse,
self.c_mult)
if cost > remaining_cost:
adjusted_qty = round_dn(remaining_cost / order["price"],
self.qty_step)
min_entry_qty = calc_min_entry_qty(
order["price"],
self.inverse,
self.qty_step,
self.min_qty,
self.min_cost,
)
if adjusted_qty >= min_entry_qty:
orders.append({**order, **{"qty": adjusted_qty}})
remaining_cost = 0.0
else:
orders.append(order)
remaining_cost -= cost
else:
orders.append(order)
return orders
def analyze_fills(fills_long: list, fills_short: list, stats: list,
config: dict) -> (pd.DataFrame, pd.DataFrame, dict):
sdf = pd.DataFrame(
stats,
columns=[
"timestamp",
"bkr_price_long",
"bkr_price_short",
"psize_long",
"pprice_long",
"psize_short",
"pprice_short",
"price",
"closest_bkr_long",
"closest_bkr_short",
"balance_long",
"balance_short",
"equity_long",
"equity_short",
],
)
longs = pd.DataFrame(
fills_long,
columns=[
"trade_id",
"timestamp",
"pnl",
"fee_paid",
"balance",
"equity",
"qty",
"price",
"psize",
"pprice",
"type",
],
)
longs.index = longs.timestamp
shorts = pd.DataFrame(
fills_short,
columns=[
"trade_id",
"timestamp",
"pnl",
"fee_paid",
"balance",
"equity",
"qty",
"price",
"psize",
"pprice",
"type",
],
)
shorts.index = shorts.timestamp
longs.loc[:, "wallet_exposure"] = [
qty_to_cost(x.psize, x.pprice, config["inverse"], config["c_mult"]) /
x.balance if x.balance > 0.0 else 0.0 for x in longs.itertuples()
]
shorts.loc[:, "wallet_exposure"] = [
qty_to_cost(x.psize, x.pprice, config["inverse"], config["c_mult"]) /
x.balance if x.balance > 0.0 else 0.0 for x in shorts.itertuples()
]
sdf.loc[:, "wallet_exposure_long"] = [
qty_to_cost(x.psize_long, x.pprice_long, config["inverse"],
config["c_mult"]) /
x.balance_long if x.balance_long > 0.0 else 0.0
for x in sdf.itertuples()
]
sdf.loc[:, "wallet_exposure_short"] = [
qty_to_cost(x.psize_short, x.pprice_short, config["inverse"],
config["c_mult"]) /
x.balance_short if x.balance_short > 0.0 else 0.0
for x in sdf.itertuples()
]
n_days = (sdf.timestamp.iloc[-1] - sdf.timestamp.iloc[0]) / (1000 * 60 *
60 * 24)
pos_changes_long = sdf[sdf.psize_long != sdf.psize_long.shift()]
pos_changes_long_ms_diff = np.diff(
list(pos_changes_long.timestamp) + [sdf.timestamp.iloc[-1]])
hrs_stuck_max_long = pos_changes_long_ms_diff.max() / (1000 * 60 * 60)
hrs_stuck_avg_long = pos_changes_long_ms_diff.mean() / (1000 * 60 * 60)
pos_changes_short = sdf[sdf.psize_short != sdf.psize_short.shift()]
pos_changes_short_ms_diff = np.diff(
list(pos_changes_short.timestamp) + [sdf.timestamp.iloc[-1]])
hrs_stuck_max_short = pos_changes_short_ms_diff.max() / (1000 * 60 * 60)
hrs_stuck_avg_short = pos_changes_short_ms_diff.mean() / (1000 * 60 * 60)
lpprices = sdf[sdf.psize_long != 0.0]
spprices = sdf[sdf.psize_short != 0.0]
pa_distance_long = (((lpprices.pprice_long - lpprices.price).abs() /
lpprices.price)
if len(lpprices) > 0 else pd.Series([100.0]))
pa_distance_short = (((spprices.pprice_short - spprices.price).abs() /
spprices.price)
if len(spprices) > 0 else pd.Series([100.0]))
gain_long = longs.pnl.sum() / sdf.balance_long.iloc[0]
gain_short = shorts.pnl.sum() / sdf.balance_short.iloc[0]
ms2d = 1000 * 60 * 60 * 24
if len(longs) > 0:
daily_equity_long = sdf.groupby(sdf.timestamp //
ms2d).equity_long.last()
daily_gains_long = daily_equity_long / daily_equity_long.shift(1) - 1
adg_long = daily_gains_long.mean()
DGstd_long = daily_gains_long.std()
adg_DGstd_ratio_long = adg_long / DGstd_long if len(
daily_gains_long) > 0 else 0.0
if any("bankruptcy" in e for e in longs.type.unique()):
adg_long = 0.01**(
1 / n_days) - 1 # reward bankrupt runs lasting longer
else:
adg_long = adg_DGstd_ratio_long = 0.0
DGstd_long = 100.0
if len(shorts) > 0:
daily_equity_short = sdf.groupby(sdf.timestamp //
ms2d).equity_short.last()
daily_gains_short = daily_equity_short / daily_equity_short.shift(
1) - 1
adg_short = daily_gains_short.mean()
DGstd_short = daily_gains_short.std()
adg_DGstd_ratio_short = adg_short / DGstd_short if len(
daily_gains_short) > 0 else 0.0
if any("bankruptcy" in e for e in shorts.type.unique()):
adg_short = 0.01**(
1 / n_days) - 1 # reward bankrupt runs lasting longer
else:
adg_short = adg_DGstd_ratio_short = 0.0
DGstd_short = 100.0
pos_costs_long = longs.apply(
lambda x: qty_to_cost(x["psize"], x["pprice"], config["inverse"],
config["c_mult"]),
axis=1,
)
pos_costs_short = shorts.apply(
lambda x: qty_to_cost(x["psize"], x["pprice"], config["inverse"],
config["c_mult"]),
axis=1,
)
biggest_pos_cost_long = pos_costs_long.max() if len(longs) > 0 else 0.0
biggest_pos_cost_short = pos_costs_short.max() if len(shorts) > 0 else 0.0
volume_quote_long = (longs.apply(
lambda x: qty_to_cost(x["qty"], x["price"], config["inverse"], config[
"c_mult"]),
axis=1,
).sum() if len(longs) > 0 else 0.0)
volume_quote_short = (shorts.apply(
lambda x: qty_to_cost(x["qty"], x["price"], config["inverse"], config[
"c_mult"]),
axis=1,
).sum() if len(shorts) > 0 else 0.0)
analysis = {
"exchange":
config["exchange"] if "exchange" in config else "unknown",
"symbol":
config["symbol"] if "symbol" in config else "unknown",
"starting_balance":
sdf.balance_long.iloc[0],
"pa_distance_mean_long":
pa_distance_long.mean(),
"pa_distance_max_long":
pa_distance_long.max(),
"pa_distance_std_long":
pa_distance_long.std(),
"pa_distance_mean_short":
pa_distance_short.mean(),
"pa_distance_max_short":
pa_distance_short.max(),
"pa_distance_std_short":
pa_distance_short.std(),
"gain_long":
gain_long,
"adg_long":
adg_long if adg_long == adg_long else -1.0,
"adg_per_exposure_long":
adg_long /
config["long"]["wallet_exposure_limit"] if config["long"]["enabled"]
and config["long"]["wallet_exposure_limit"] > 0.0 else 0.0,
"gain_short":
gain_short,
"adg_short":
adg_short if adg_short == adg_short else -1.0,
"adg_per_exposure_short":
adg_short /
config["short"]["wallet_exposure_limit"] if config["short"]["enabled"]
and config["short"]["wallet_exposure_limit"] > 0.0 else 0.0,
"adg_DGstd_ratio_long":
adg_DGstd_ratio_long,
"adg_DGstd_ratio_short":
adg_DGstd_ratio_short,
"DGstd_long":
DGstd_long,
"DGstd_short":
DGstd_short,
"n_days":
n_days,
"n_fills_long":
len(fills_long),
"n_fills_short":
len(fills_short),
"n_closes_long":
len(longs[longs.type.str.contains("close")]),
"n_closes_short":
len(shorts[shorts.type.str.contains("close")]),
"n_normal_closes_long":
len(longs[longs.type.str.contains("nclose")]),
"n_normal_closes_short":
len(shorts[shorts.type.str.contains("nclose")]),
"n_entries_long":
len(longs[longs.type.str.contains("entry")]),
"n_entries_short":
len(shorts[shorts.type.str.contains("entry")]),
"n_ientries_long":
len(longs[longs.type.str.contains("ientry")]),
"n_ientries_short":
len(shorts[shorts.type.str.contains("ientry")]),
"n_rentries_long":
len(longs[longs.type.str.contains("rentry")]),
"n_rentries_short":
len(shorts[shorts.type.str.contains("rentry")]),
"n_unstuck_closes_long":
len(longs[longs.type.str.contains("unstuck_close")]),
"n_unstuck_closes_short":
len(shorts[shorts.type.str.contains("unstuck_close")]),
"n_unstuck_entries_long":
len(longs[longs.type.str.contains("unstuck_entry")]),
"n_unstuck_entries_short":
len(shorts[shorts.type.str.contains("unstuck_entry")]),
"avg_fills_per_day_long":
len(longs) / n_days,
"avg_fills_per_day_short":
len(shorts) / n_days,
"hrs_stuck_max_long":
hrs_stuck_max_long,
"hrs_stuck_avg_long":
hrs_stuck_avg_long,
"hrs_stuck_max_short":
hrs_stuck_max_short,
"hrs_stuck_avg_short":
hrs_stuck_avg_short,
"hrs_stuck_max":
max(hrs_stuck_max_long, hrs_stuck_max_short),
"hrs_stuck_avg":
max(hrs_stuck_avg_long, hrs_stuck_avg_short),
"loss_sum_long":
longs[longs.pnl < 0.0].pnl.sum(),
"loss_sum_short":
shorts[shorts.pnl < 0.0].pnl.sum(),
"profit_sum_long":
longs[longs.pnl > 0.0].pnl.sum(),
"profit_sum_short":
shorts[shorts.pnl > 0.0].pnl.sum(),
"pnl_sum_long": (pnl_sum_long := longs.pnl.sum()),
"pnl_sum_short": (pnl_sum_short := shorts.pnl.sum()),
"fee_sum_long": (fee_sum_long := longs.fee_paid.sum()),
"fee_sum_short": (fee_sum_short := shorts.fee_paid.sum()),
"net_pnl_plus_fees_long":
pnl_sum_long + fee_sum_long,
"net_pnl_plus_fees_short":
pnl_sum_short + fee_sum_short,
"final_equity_long":
sdf.equity_long.iloc[-1],
"final_balance_long":
sdf.balance_long.iloc[-1],
"final_equity_short":
sdf.equity_short.iloc[-1],
"final_balance_short":
sdf.balance_short.iloc[-1],
"closest_bkr_long":
sdf.closest_bkr_long.min(),
"closest_bkr_short":
sdf.closest_bkr_short.min(),
"eqbal_ratio_min_long": (eqbal_ratios_long :=
sdf.equity_long / sdf.balance_long).min(),
"eqbal_ratio_mean_long":
eqbal_ratios_long.mean(),
"eqbal_ratio_min_short": (eqbal_ratios_short :=
sdf.equity_short / sdf.balance_short).min(),
"eqbal_ratio_mean_short":
eqbal_ratios_short.mean(),
"biggest_psize_long":
longs.psize.abs().max(),
"biggest_psize_short":
shorts.psize.abs().max(),
"biggest_psize_quote_long":
biggest_pos_cost_long,
"biggest_psize_quote_short":
biggest_pos_cost_short,
"volume_quote_long":
volume_quote_long,
"volume_quote_short":
volume_quote_short,
}
def analyze_fills(fills: list, stats: list, config: dict) -> (pd.DataFrame, pd.DataFrame, dict):
sdf = pd.DataFrame(stats, columns=['timestamp', 'balance', 'equity', 'bkr_price', 'long_psize',
'long_pprice', 'shrt_psize', 'shrt_pprice', 'price', 'closest_bkr'])
fdf = pd.DataFrame(fills, columns=['trade_id', 'timestamp', 'pnl', 'fee_paid', 'balance',
'equity', 'qty', 'price', 'psize', 'pprice', 'type'])
fdf.loc[:, 'pbr'] = [qty_to_cost(x.psize, x.pprice, config['inverse'], config['c_mult']) / x.balance
if x.balance > 0.0 else 0.0 for x in fdf.itertuples()]
sdf.loc[:, 'long_pbr'] = [qty_to_cost(x.long_psize, x.long_pprice, config['inverse'], config['c_mult']) / x.balance
if x.balance > 0.0 else 0.0 for x in sdf.itertuples()]
sdf.loc[:, 'shrt_pbr'] = [qty_to_cost(x.shrt_psize, x.shrt_pprice, config['inverse'], config['c_mult']) / x.balance
if x.balance > 0.0 else 0.0 for x in sdf.itertuples()]
gain = sdf.balance.iloc[-1] / sdf.balance.iloc[0]
n_days = (sdf.timestamp.iloc[-1] - sdf.timestamp.iloc[0]) / (1000 * 60 * 60 * 24)
adg = gain ** (1 / n_days) - 1
gain -= 1
fills_per_day = len(fills) / n_days
long_pos_changes = sdf[sdf.long_psize != sdf.long_psize.shift()]
long_pos_changes_ms_diff = np.diff([sdf.timestamp.iloc[0]] + list(long_pos_changes.timestamp) + [sdf.timestamp.iloc[-1]])
hrs_stuck_max_long = long_pos_changes_ms_diff.max() / (1000 * 60 * 60)
hrs_stuck_avg_long = long_pos_changes_ms_diff.mean() / (1000 * 60 * 60)
shrt_pos_changes = sdf[sdf.shrt_psize != sdf.shrt_psize.shift()]
shrt_pos_changes_ms_diff = np.diff([sdf.timestamp.iloc[0]] + list(shrt_pos_changes.timestamp) + [sdf.timestamp.iloc[-1]])
hrs_stuck_max_shrt = shrt_pos_changes_ms_diff.max() / (1000 * 60 * 60)
hrs_stuck_avg_shrt = shrt_pos_changes_ms_diff.mean() / (1000 * 60 * 60)
lpprices = sdf[sdf.long_pprice != 0.0]
spprices = sdf[sdf.shrt_pprice != 0.0]
pa_closeness_long = ((lpprices.long_pprice - lpprices.price).abs() / lpprices.price) if len(lpprices) > 0 else pd.Series([100.0])
pa_closeness_shrt = ((spprices.shrt_pprice - spprices.price).abs() / spprices.price) if len(spprices) > 0 else pd.Series([100.0])
analysis = {
'exchange': config['exchange'] if 'exchange' in config else 'unknown',
'symbol': config['symbol'] if 'symbol' in config else 'unknown',
'starting_balance': sdf.balance.iloc[0],
'pa_closeness_mean_long': pa_closeness_long.mean(),
'pa_closeness_median_long': pa_closeness_long.median(),
'pa_closeness_max_long': pa_closeness_long.max(),
'pa_closeness_mean_shrt': pa_closeness_shrt.mean(),
'pa_closeness_median_shrt': pa_closeness_shrt.median(),
'pa_closeness_max_shrt': pa_closeness_shrt.max(),
'average_daily_gain': adg,
'adjusted_daily_gain': np.tanh(20 * adg) / 20,
'gain': gain,
'n_days': n_days,
'n_fills': len(fills),
'n_entries': len(fdf[fdf.type.str.contains('entry')]),
'n_closes': len(fdf[fdf.type.str.contains('close')]),
'n_ientries': len(fdf[fdf.type.str.contains('ientry')]),
'n_rentries': len(fdf[fdf.type.str.contains('rentry')]),
'avg_fills_per_day': fills_per_day,
'hrs_stuck_max_long': hrs_stuck_max_long,
'hrs_stuck_avg_long': hrs_stuck_avg_long,
'hrs_stuck_max': hrs_stuck_max_long,
'hrs_stuck_avg': hrs_stuck_avg_long,
'hrs_stuck_max_shrt': hrs_stuck_max_shrt,
'hrs_stuck_avg_shrt': hrs_stuck_avg_shrt,
'hrs_stuck_max': hrs_stuck_max_shrt,
'hrs_stuck_avg': hrs_stuck_avg_shrt,
'loss_sum': fdf[fdf.pnl < 0.0].pnl.sum(),
'profit_sum': fdf[fdf.pnl > 0.0].pnl.sum(),
'pnl_sum': (pnl_sum := fdf.pnl.sum()),
'fee_sum': (fee_sum := fdf.fee_paid.sum()),
'net_pnl_plus_fees': pnl_sum + fee_sum,
'final_equity': sdf.equity.iloc[-1],
'final_balance': sdf.balance.iloc[-1],
'closest_bkr': sdf.closest_bkr.min(),
'eqbal_ratio_min': (eqbal_ratios := sdf.equity / sdf.balance).min(),
'eqbal_ratio_mean': eqbal_ratios.mean(),
'eqbal_ratio_median': eqbal_ratios.median(),
'biggest_psize': fdf.psize.abs().max(),
}
def calc_recursive_entry_long(
balance,
psize,
pprice,
highest_bid,
ema_band_lower,
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct,
initial_eprice_ema_dist,
ddown_factor,
rentry_pprice_dist,
rentry_pprice_dist_wallet_exposure_weighting,
wallet_exposure_limit,
auto_unstuck_ema_dist,
auto_unstuck_wallet_exposure_threshold,
):
ientry_price = max(
price_step,
min(
highest_bid,
round_dn(ema_band_lower * (1 - initial_eprice_ema_dist),
price_step)),
)
min_entry_qty = calc_min_entry_qty(ientry_price, inverse, qty_step,
min_qty, min_cost)
ientry_qty = max(
min_entry_qty,
round_(
cost_to_qty(balance, ientry_price, inverse, c_mult) *
wallet_exposure_limit * initial_qty_pct,
qty_step,
),
)
if psize == 0.0:
# normal ientry
return ientry_qty, ientry_price, "long_ientry_normal"
elif psize < ientry_qty * 0.8:
# partial ientry
entry_qty = max(min_entry_qty, round_(ientry_qty - psize, qty_step))
return entry_qty, ientry_price, "long_ientry_partial"
else:
wallet_exposure = qty_to_cost(psize, pprice, inverse, c_mult) / balance
if wallet_exposure >= wallet_exposure_limit * 1.001:
# no entry if wallet_exposure within 0.1% of limit
return 0.0, 0.0, ""
threshold = wallet_exposure_limit * (
1 - auto_unstuck_wallet_exposure_threshold)
if auto_unstuck_wallet_exposure_threshold != 0.0 and wallet_exposure > threshold * 0.99:
# auto unstuck mode
entry_price = round_dn(
min([
highest_bid, pprice,
ema_band_lower * (1 - auto_unstuck_ema_dist)
]), price_step)
entry_qty = find_entry_qty_bringing_wallet_exposure_to_target(
balance, psize, pprice, wallet_exposure_limit, entry_price,
inverse, qty_step, c_mult)
min_entry_qty = calc_min_entry_qty(entry_price, inverse, qty_step,
min_qty, min_cost)
return (max(entry_qty,
min_entry_qty), entry_price, "long_unstuck_entry")
else:
# normal reentry
ratio = wallet_exposure / wallet_exposure_limit
entry_price = round_dn(
pprice *
(1 - rentry_pprice_dist *
(1 + ratio * rentry_pprice_dist_wallet_exposure_weighting)),
price_step,
)
entry_price = min(highest_bid, entry_price)
min_entry_qty = calc_min_entry_qty(entry_price, inverse, qty_step,
min_qty, min_cost)
entry_qty = max(min_entry_qty,
round_(psize * ddown_factor, qty_step))
wallet_exposure_if_filled = calc_wallet_exposure_if_filled(
balance, psize, pprice, entry_qty, entry_price, inverse,
c_mult, qty_step)
if wallet_exposure_if_filled > wallet_exposure_limit * 1.01:
entry_qty = find_entry_qty_bringing_wallet_exposure_to_target(
balance,
psize,
pprice,
wallet_exposure_limit,
entry_price,
inverse,
qty_step,
c_mult,
)
entry_qty = max(entry_qty, min_entry_qty)
return entry_qty, entry_price, "long_rentry"
def backtest_recursive_grid(
ticks,
starting_balance,
latency_simulation_ms,
maker_fee,
inverse,
do_long,
do_short,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
ema_span_0,
ema_span_1,
initial_qty_pct,
initial_eprice_ema_dist,
wallet_exposure_limit,
ddown_factor,
rentry_pprice_dist,
rentry_pprice_dist_wallet_exposure_weighting,
min_markup,
markup_range,
n_close_orders,
auto_unstuck_wallet_exposure_threshold,
auto_unstuck_ema_dist,
):
if len(ticks[0]) == 3:
timestamps = ticks[:, 0]
closes = ticks[:, 2]
lows = closes
highs = closes
else:
timestamps = ticks[:, 0]
highs = ticks[:, 1]
lows = ticks[:, 2]
closes = ticks[:, 3]
balance_long = balance_short = equity_long = equity_short = starting_balance
psize_long, pprice_long, psize_short, pprice_short = 0.0, 0.0, 0.0, 0.0
fills_long, fills_short, stats = [], [], []
entry_long, entry_short = (0.0, 0.0, ""), (0.0, 0.0, "")
closes_long, closes_short = [(0.0, 0.0, "")], [(0.0, 0.0, "")]
bkr_price_long = bkr_price_short = 0.0
next_entry_update_ts_long = 0
next_entry_update_ts_short = 0
next_close_grid_update_ts_long = 0
next_close_grid_update_ts_short = 0
next_stats_update = 0
closest_bkr_long = closest_bkr_short = 1.0
spans_multiplier = 60 / ((timestamps[1] - timestamps[0]) / 1000)
spans_long = [
ema_span_0[0], (ema_span_0[0] * ema_span_1[0])**0.5, ema_span_1[0]
]
spans_long = np.array(
sorted(spans_long)) * spans_multiplier if do_long else np.ones(3)
spans_short = [
ema_span_0[1], (ema_span_0[1] * ema_span_1[1])**0.5, ema_span_1[1]
]
spans_short = np.array(
sorted(spans_short)) * spans_multiplier if do_short else np.ones(3)
assert max(spans_long) < len(
ticks), "ema_span_1 long larger than len(prices)"
assert max(spans_short) < len(
ticks), "ema_span_1 short larger than len(prices)"
spans_long = np.where(spans_long < 1.0, 1.0, spans_long)
spans_short = np.where(spans_short < 1.0, 1.0, spans_short)
max_span_long = int(round(max(spans_long)))
max_span_short = int(round(max(spans_short)))
emas_long, emas_short = np.repeat(closes[0], 3), np.repeat(closes[0], 3)
alphas_long = 2.0 / (spans_long + 1.0)
alphas__long = 1.0 - alphas_long
alphas_short = 2.0 / (spans_short + 1.0)
alphas__short = 1.0 - alphas_short
long_wallet_exposure = 0.0
short_wallet_exposure = 0.0
long_wallet_exposure_auto_unstuck_threshold = (
(wallet_exposure_limit[0] *
(1 - auto_unstuck_wallet_exposure_threshold[0]))
if auto_unstuck_wallet_exposure_threshold[0] != 0.0 else
wallet_exposure_limit[0] * 10)
short_wallet_exposure_auto_unstuck_threshold = (
(wallet_exposure_limit[1] *
(1 - auto_unstuck_wallet_exposure_threshold[1]))
if auto_unstuck_wallet_exposure_threshold[1] != 0.0 else
wallet_exposure_limit[1] * 10)
for k in range(0, len(ticks)):
if do_long:
emas_long = calc_ema(alphas_long, alphas__long, emas_long,
closes[k])
if k >= max_span_long:
# check bankruptcy
bkr_diff_long = calc_diff(bkr_price_long, closes[k])
closest_bkr_long = min(closest_bkr_long, bkr_diff_long)
if closest_bkr_long < 0.06:
# consider bankruptcy within 6% as liquidation
if psize_long != 0.0:
fee_paid = -qty_to_cost(psize_long, pprice_long,
inverse, c_mult) * maker_fee
pnl = calc_pnl_long(pprice_long, closes[k],
-psize_long, inverse, c_mult)
balance_long = 0.0
equity_long = 0.0
psize_long, pprice_long = 0.0, 0.0
fills_long.append((
k,
timestamps[k],
pnl,
fee_paid,
balance_long,
equity_long,
-psize_long,
closes[k],
0.0,
0.0,
"long_bankruptcy",
))
do_long = False
if not do_short:
return fills_long, fills_short, stats
# check if long entry order should be updated
if timestamps[k] >= next_entry_update_ts_long:
entry_long = calc_recursive_entry_long(
balance_long,
psize_long,
pprice_long,
closes[k - 1],
min(emas_long),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct[0],
initial_eprice_ema_dist[0],
ddown_factor[0],
rentry_pprice_dist[0],
rentry_pprice_dist_wallet_exposure_weighting[0],
wallet_exposure_limit[0],
auto_unstuck_ema_dist[0],
auto_unstuck_wallet_exposure_threshold[0],
)
next_entry_update_ts_long = timestamps[
k] + 1000 * 60 * 5 # five mins delay
# check if close grid should be updated
if timestamps[k] >= next_close_grid_update_ts_long:
closes_long = calc_close_grid_long(
balance_long,
psize_long,
pprice_long,
closes[k - 1],
max(emas_long),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
wallet_exposure_limit[0],
min_markup[0],
markup_range[0],
n_close_orders[0],
auto_unstuck_wallet_exposure_threshold[0],
auto_unstuck_ema_dist[0],
)
next_close_grid_update_ts_long = timestamps[
k] + 1000 * 60 * 5 # five mins delay
# check if long entry filled
while entry_long[0] != 0.0 and lows[k] < entry_long[1]:
next_entry_update_ts_long = min(
next_entry_update_ts_long,
timestamps[k] + latency_simulation_ms)
next_close_grid_update_ts_long = min(
next_close_grid_update_ts_long,
timestamps[k] + latency_simulation_ms)
psize_long, pprice_long = calc_new_psize_pprice(
psize_long,
pprice_long,
entry_long[0],
entry_long[1],
qty_step,
)
fee_paid = -qty_to_cost(entry_long[0], entry_long[1],
inverse, c_mult) * maker_fee
balance_long += fee_paid
equity_long = balance_long + calc_pnl_long(
pprice_long, closes[k], psize_long, inverse, c_mult)
fills_long.append((
k,
timestamps[k],
0.0,
fee_paid,
balance_long,
equity_long,
entry_long[0],
entry_long[1],
psize_long,
pprice_long,
entry_long[2],
))
bkr_price_long = calc_bankruptcy_price(
balance_long,
psize_long,
pprice_long,
0.0,
0.0,
inverse,
c_mult,
)
long_wallet_exposure = (
qty_to_cost(psize_long, pprice_long, inverse, c_mult) /
balance_long)
entry_long = calc_recursive_entry_long(
balance_long,
psize_long,
pprice_long,
closes[k - 1],
min(emas_long),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct[0],
initial_eprice_ema_dist[0],
ddown_factor[0],
rentry_pprice_dist[0],
rentry_pprice_dist_wallet_exposure_weighting[0],
wallet_exposure_limit[0],
auto_unstuck_ema_dist[0],
auto_unstuck_wallet_exposure_threshold[0],
)
# check if long closes filled
while (psize_long > 0.0 and closes_long
and closes_long[0][0] < 0.0
and highs[k] > closes_long[0][1]):
next_entry_update_ts_long = min(
next_entry_update_ts_long,
timestamps[k] + latency_simulation_ms)
next_close_grid_update_ts_long = min(
next_close_grid_update_ts_long,
timestamps[k] + latency_simulation_ms)
close_qty_long = closes_long[0][0]
new_psize_long = round_(psize_long + close_qty_long,
qty_step)
if new_psize_long < 0.0:
print(
"warning: long close qty greater than long psize")
print("psize_long", psize_long)
print("pprice_long", pprice_long)
print("closes_long[0]", closes_long[0])
close_qty_long = -psize_long
new_psize_long, pprice_long = 0.0, 0.0
psize_long = new_psize_long
fee_paid = (-qty_to_cost(close_qty_long, closes_long[0][1],
inverse, c_mult) * maker_fee)
pnl = calc_pnl_long(pprice_long, closes_long[0][1],
close_qty_long, inverse, c_mult)
balance_long += fee_paid + pnl
equity_long = balance_long + calc_pnl_long(
pprice_long, closes[k], psize_long, inverse, c_mult)
fills_long.append((
k,
timestamps[k],
pnl,
fee_paid,
balance_long,
equity_long,
close_qty_long,
closes_long[0][1],
psize_long,
pprice_long,
closes_long[0][2],
))
closes_long = closes_long[1:]
bkr_price_long = calc_bankruptcy_price(
balance_long,
psize_long,
pprice_long,
0.0,
0.0,
inverse,
c_mult,
)
long_wallet_exposure = (
qty_to_cost(psize_long, pprice_long, inverse, c_mult) /
balance_long)
if psize_long == 0.0:
# update entry order
next_entry_update_ts_long = min(
next_entry_update_ts_long,
timestamps[k] + latency_simulation_ms,
)
else:
if closes[k] > pprice_long:
# update closes after 2.5 secs
next_close_grid_update_ts_long = min(
next_close_grid_update_ts_long,
timestamps[k] + latency_simulation_ms + 2500,
)
elif long_wallet_exposure >= long_wallet_exposure_auto_unstuck_threshold:
# update both entry and closes after 15 secs
next_close_grid_update_ts_long = min(
next_close_grid_update_ts_long,
timestamps[k] + latency_simulation_ms + 15000,
)
next_entry_update_ts_long = min(
next_entry_update_ts_long,
timestamps[k] + latency_simulation_ms + 15000,
)
if do_short:
emas_short = calc_ema(alphas_short, alphas__short, emas_short,
closes[k])
if k >= max_span_short:
# check bankruptcy
bkr_diff_short = calc_diff(bkr_price_short, closes[k])
closest_bkr_short = min(closest_bkr_short, bkr_diff_short)
if closest_bkr_short < 0.06:
# consider bankruptcy within 6% as liquidation
if psize_short != 0.0:
fee_paid = (-qty_to_cost(psize_short, pprice_short,
inverse, c_mult) * maker_fee)
pnl = calc_pnl_short(pprice_short, closes[k],
-psize_short, inverse, c_mult)
balance_short = 0.0
equity_short = 0.0
psize_short, pprice_short = 0.0, 0.0
fills_short.append((
k,
timestamps[k],
pnl,
fee_paid,
balance_short,
equity_short,
-psize_short,
closes[k],
0.0,
0.0,
"short_bankruptcy",
))
do_short = False
if not do_long:
return fills_long, fills_short, stats
# check if entry order should be updated
if timestamps[k] >= next_entry_update_ts_short:
entry_short = calc_recursive_entry_short(
balance_short,
psize_short,
pprice_short,
closes[k - 1],
max(emas_short),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct[1],
initial_eprice_ema_dist[1],
ddown_factor[1],
rentry_pprice_dist[1],
rentry_pprice_dist_wallet_exposure_weighting[1],
wallet_exposure_limit[1],
auto_unstuck_ema_dist[1],
auto_unstuck_wallet_exposure_threshold[1],
)
next_entry_update_ts_short = timestamps[
k] + 1000 * 60 * 5 # five mins delay
# check if close grid should be updated
if timestamps[k] >= next_close_grid_update_ts_short:
closes_short = calc_close_grid_short(
balance_short,
psize_short,
pprice_short,
closes[k - 1],
min(emas_short),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
wallet_exposure_limit[1],
min_markup[1],
markup_range[1],
n_close_orders[1],
auto_unstuck_wallet_exposure_threshold[1],
auto_unstuck_ema_dist[1],
)
next_close_grid_update_ts_short = timestamps[
k] + 1000 * 60 * 5 # five mins delay
# check if short entry filled
while entry_short[0] != 0.0 and highs[k] > entry_short[1]:
next_entry_update_ts_short = min(
next_entry_update_ts_short,
timestamps[k] + latency_simulation_ms)
next_close_grid_update_ts_short = min(
next_close_grid_update_ts_short,
timestamps[k] + latency_simulation_ms)
psize_short, pprice_short = calc_new_psize_pprice(
psize_short,
pprice_short,
entry_short[0],
entry_short[1],
qty_step,
)
fee_paid = (-qty_to_cost(entry_short[0], entry_short[1],
inverse, c_mult) * maker_fee)
balance_short += fee_paid
equity_short = balance_short + calc_pnl_short(
pprice_short, closes[k], psize_short, inverse, c_mult)
fills_short.append((
k,
timestamps[k],
0.0,
fee_paid,
balance_short,
equity_short,
entry_short[0],
entry_short[1],
psize_short,
pprice_short,
entry_short[2],
))
bkr_price_short = calc_bankruptcy_price(
balance_short,
0.0,
0.0,
psize_short,
pprice_short,
inverse,
c_mult,
)
short_wallet_exposure = (qty_to_cost(
psize_short, pprice_short, inverse, c_mult) /
balance_short)
entry_short = calc_recursive_entry_short(
balance_short,
psize_short,
pprice_short,
closes[k - 1],
max(emas_short),
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct[1],
initial_eprice_ema_dist[1],
ddown_factor[1],
rentry_pprice_dist[1],
rentry_pprice_dist_wallet_exposure_weighting[1],
wallet_exposure_limit[1],
auto_unstuck_ema_dist[1],
auto_unstuck_wallet_exposure_threshold[1],
)
# check if short closes filled
while (psize_short < 0.0 and closes_short
and closes_short[0][0] > 0.0
and lows[k] < closes_short[0][1]):
next_entry_update_ts_short = min(
next_entry_update_ts_short,
timestamps[k] + latency_simulation_ms)
next_close_grid_update_ts_short = min(
next_close_grid_update_ts_short,
timestamps[k] + latency_simulation_ms)
close_qty_short = closes_short[0][0]
new_psize_short = round_(psize_short + close_qty_short,
qty_step)
if new_psize_short > 0.0:
print(
"warning: short close qty greater than short psize"
)
print("psize_short", psize_short)
print("pprice_short", pprice_short)
print("closes_short[0]", closes_short[0])
close_qty_short = abs(psize_short)
new_psize_short, pprice_short = 0.0, 0.0
psize_short = new_psize_short
fee_paid = (-qty_to_cost(
close_qty_short, closes_short[0][1], inverse, c_mult) *
maker_fee)
pnl = calc_pnl_short(pprice_short, closes_short[0][1],
close_qty_short, inverse, c_mult)
balance_short += fee_paid + pnl
equity_short = balance_short + calc_pnl_short(
pprice_short, closes[k], psize_short, inverse, c_mult)
fills_short.append((
k,
timestamps[k],
pnl,
fee_paid,
balance_short,
equity_short,
close_qty_short,
closes_short[0][1],
psize_short,
pprice_short,
closes_short[0][2],
))
closes_short = closes_short[1:]
bkr_price_short = calc_bankruptcy_price(
balance_short,
0.0,
0.0,
psize_short,
pprice_short,
inverse,
c_mult,
)
short_wallet_exposure = (qty_to_cost(
psize_short, pprice_short, inverse, c_mult) /
balance_short)
if psize_short == 0.0:
# update entry order now
next_entry_update_ts_short = min(
next_entry_update_ts_short,
timestamps[k] + latency_simulation_ms,
)
else:
if closes[k] > pprice_short:
# update closes after 2.5 secs
next_close_grid_update_ts_short = min(
next_close_grid_update_ts_short,
timestamps[k] + latency_simulation_ms + 2500,
)
elif short_wallet_exposure >= short_wallet_exposure_auto_unstuck_threshold:
# update both entry and closes after 15 secs
next_close_grid_update_ts_short = min(
next_close_grid_update_ts_short,
timestamps[k] + latency_simulation_ms + 15000,
)
next_entry_update_ts_short = min(
next_entry_update_ts_short,
timestamps[k] + latency_simulation_ms + 15000,
)
# process stats
if timestamps[k] >= next_stats_update:
equity_long = balance_long + calc_pnl_long(
pprice_long, closes[k], psize_long, inverse, c_mult)
equity_short = balance_short + calc_pnl_short(
pprice_short, closes[k], psize_short, inverse, c_mult)
stats.append((
timestamps[k],
bkr_price_long,
bkr_price_short,
psize_long,
pprice_long,
psize_short,
pprice_short,
closes[k],
closest_bkr_long,
closest_bkr_short,
balance_long,
balance_short,
equity_long,
equity_short,
))
next_stats_update = timestamps[k] + 60 * 1000
return fills_long, fills_short, stats
def calc_recursive_entries_short(
balance,
psize,
pprice,
lowest_ask,
ema_band_upper,
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct,
initial_eprice_ema_dist,
ddown_factor,
rentry_pprice_dist,
rentry_pprice_dist_wallet_exposure_weighting,
wallet_exposure_limit,
auto_unstuck_ema_dist,
auto_unstuck_wallet_exposure_threshold,
whole_grid=False,
):
entries = []
psize_ = psize
pprice_ = pprice
lowest_ask_ = lowest_ask
i = 0
infinite_loop_break = 30
while True:
i += 1
if i > infinite_loop_break:
break
entry_qty, entry_price, entry_type = calc_recursive_entry_short(
balance,
psize_,
pprice_,
lowest_ask_,
ema_band_upper,
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct,
initial_eprice_ema_dist,
ddown_factor,
rentry_pprice_dist,
rentry_pprice_dist_wallet_exposure_weighting,
wallet_exposure_limit,
auto_unstuck_ema_dist,
auto_unstuck_wallet_exposure_threshold,
)
if entry_qty == 0.0:
break
if entries and entry_price == entries[-1][1]:
break
psize_, pprice_ = calc_new_psize_pprice(psize_, pprice_, entry_qty,
entry_price, qty_step)
lowest_ask_ = max(lowest_ask, entry_price)
wallet_exposure = qty_to_cost(psize_, pprice_, inverse,
c_mult) / balance
if "unstuck" in entry_type:
if len(entries) == 0:
# return unstucking entry only if it's the only one
return [(entry_qty, entry_price, entry_type, psize_, pprice_,
wallet_exposure)]
else:
entries.append((entry_qty, entry_price, entry_type, psize_,
pprice_, wallet_exposure))
if not whole_grid and psize == 0.0:
break
return entries
def calc_recursive_entry_short(
balance,
psize,
pprice,
lowest_ask,
ema_band_upper,
inverse,
qty_step,
price_step,
min_qty,
min_cost,
c_mult,
initial_qty_pct,
initial_eprice_ema_dist,
ddown_factor,
rentry_pprice_dist,
rentry_pprice_dist_wallet_exposure_weighting,
wallet_exposure_limit,
auto_unstuck_ema_dist,
auto_unstuck_wallet_exposure_threshold,
):
abs_psize = abs(psize)
ientry_price = max(
lowest_ask,
round_up(ema_band_upper * (1 + initial_eprice_ema_dist), price_step))
min_entry_qty = calc_min_entry_qty(ientry_price, inverse, qty_step,
min_qty, min_cost)
ientry_qty = max(
min_entry_qty,
round_(
cost_to_qty(balance, ientry_price, inverse, c_mult) *
wallet_exposure_limit * initial_qty_pct,
qty_step,
),
)
if abs_psize == 0.0:
# normal ientry
return -ientry_qty, ientry_price, "short_ientry_normal"
elif abs_psize < ientry_qty * 0.8:
# partial ientry
entry_qty = max(min_entry_qty, round_(ientry_qty - abs_psize,
qty_step))
return -entry_qty, ientry_price, "short_ientry_partial"
else:
wallet_exposure = qty_to_cost(abs_psize, pprice, inverse,
c_mult) / balance
if wallet_exposure >= wallet_exposure_limit * 1.001:
# no entry if wallet_exposure within 0.1% of limit
return 0.0, 0.0, ""
threshold = wallet_exposure_limit * (
1 - auto_unstuck_wallet_exposure_threshold)
if auto_unstuck_wallet_exposure_threshold != 0.0 and wallet_exposure > threshold * 0.99:
# auto unstuck mode
entry_price = round_up(
max([
lowest_ask, pprice,
ema_band_upper * (1 + auto_unstuck_ema_dist)
]), price_step)
entry_qty = find_entry_qty_bringing_wallet_exposure_to_target(
balance,
abs_psize,
pprice,
wallet_exposure_limit,
entry_price,
inverse,
qty_step,
c_mult,
)
min_entry_qty = calc_min_entry_qty(entry_price, inverse, qty_step,
min_qty, min_cost)
return (-max(entry_qty, min_entry_qty), entry_price,
"short_unstuck_entry")
else:
# normal reentry
ratio = wallet_exposure / wallet_exposure_limit
entry_price = round_up(
pprice *
(1 + rentry_pprice_dist *
(1 + ratio * rentry_pprice_dist_wallet_exposure_weighting)),
price_step,
)
entry_price = max(entry_price, lowest_ask)
min_entry_qty = calc_min_entry_qty(entry_price, inverse, qty_step,
min_qty, min_cost)
entry_qty = max(min_entry_qty,
round_(abs_psize * ddown_factor, qty_step))
wallet_exposure_if_filled = calc_wallet_exposure_if_filled(
balance, abs_psize, pprice, entry_qty, entry_price, inverse,
c_mult, qty_step)
if wallet_exposure_if_filled > wallet_exposure_limit * 1.01:
# crop qty
entry_qty = find_entry_qty_bringing_wallet_exposure_to_target(
balance,
abs_psize,
pprice,
wallet_exposure_limit,
entry_price,
inverse,
qty_step,
c_mult,
)
entry_qty = max(entry_qty, min_entry_qty)
return -entry_qty, entry_price, "short_rentry"