Convert some Trality examples to Cryptrality #6
Description
Here is for example macd_cross.py
import talib
SYMBOL = "BTCUSDT"
def initialize(state):
state.number_offset_trades = 0
@schedule(interval="1h", symbols=SYMBOL)
def handler(state, dataMap):
data = dataMap[SYMBOL]
"""
1) Compute indicators from data
"""
_macd, _macdsignal, _macdhist = talib.MACD(
data["close"], fastperiod=12, slowperiod=26, signalperiod=9
)
signal = _macdsignal[-1]
macd = _macd[-1]
current_price = data["close"][-1]
"""
2) Fetch portfolio
> check liquidity (in quoted currency)
> resolve buy value
"""
# ToFix #portfolio = query_portfolio()
# ToFix #balance_quoted = portfolio.excess_liquidity_quoted
# we invest only 80% of available liquidity
# buy_value = float(balance_quoted) * 0.80
buy_value = 1000.0 * 0.80
"""
3) Fetch position for symbol
> has open position
> check exposure (in base currency)
"""
position = get_open_position(SYMBOL, side="LONG")
has_position = position is not None
"""
4) Resolve buy or sell signals
> create orders using the order api
> print position information
"""
if macd > signal and not has_position:
logger.info("-------")
logger.info(f"Buy Signal: creating market order for {SYMBOL}")
logger.info(f"Buy value: {buy_value} at current market price: {current_price}")
order_market_value(symbol=SYMBOL, value=buy_value) # creating market order
elif macd < signal and has_position:
logger.info("-------")
logger.info(
f"Sell Signal: closing {SYMBOL} position with exposure {0} at current market price {current_price}"
)
# ToFix: position.exposure
close_position(SYMBOL) # closing position
"""
5) Check strategy profitability
> print information profitability on every offsetting trade
"""
"""ToDo
if state.number_offset_trades < portfolio.number_of_offsetting_trades:
pnl = query_portfolio_pnl()
print("-------")
print("Accumulated Pnl of Strategy: {}".format(pnl))
offset_trades = portfolio.number_of_offsetting_trades
number_winners = portfolio.number_of_winning_trades
print("Number of winning trades {}/{}.".format(number_winners, offset_trades))
print("Best trade Return : {:.2%}".format(portfolio.best_trade_return))
print("Worst trade Return : {:.2%}".format(portfolio.worst_trade_return))
print(
"Average Profit per Winning Trade : {:.2f}".format(
portfolio.average_profit_per_winning_trade
)
)
print(
"Average Loss per Losing Trade : {:.2f}".format(
portfolio.average_loss_per_losing_trade
)
)
# reset number offset trades
state.number_offset_trades = portfolio.number_of_offsetting_trades
"""More examples can be found at https://gist.github.com/c0indev3l/855381f07865dfca079e8252e736ae35