Merge pull request #79 from Pasta-fantasia/77-noisetrader-v0

77 noisetrader v0

CHANGELOG.md

@@ -1,5 +1,9 @@
 # Changelog
 
+## 2.4.0
+- feat: NoiseTrader v0 #77
+- small fixes
+
 ## 2.3.3
 - fix: Amount to close is insufficient for trade #75
 - test: tests and test data

elena/domain/ports/metrics_manager.py

@@ -8,6 +8,8 @@
 ORDER_STOP_LOSS_CLOSED = "OrderStopLossClosed"
 ORDER_BUY_MARKET = "OrderBuyMarket"
 ORDER_SELL_MARKET = "OrderSellMarket"
+ESTIMATED_LAST_CLOSE = "EstimatedLastClose"
+ESTIMATED_SALE_PRICE = "EstimatedSalePrice"
 
 
 @runtime_checkable

elena/domain/services/bot_status_logic.py

@@ -63,7 +63,7 @@ def _close_individual_trade_on_new_order(
             rtn = rtn + individual_rtn
             bot_status.closed_trades.append(trade)
             self._notifications_manager.medium(
-                f"Closed trade for {trade.size} on {order.pair} with beneift of {individual_rtn}. Entry price at: {trade.entry_price}, exit price at: {trade.exit_price}. Entry cost at: {trade.entry_cost}, exit cost at: {trade.exit_cost}"
+                f"Closed trade for {trade.size} on {order.pair} with benefit of {individual_rtn}. Entry price at: {trade.entry_price}, exit price at: {trade.exit_price}. Entry cost at: {trade.entry_cost}, exit cost at: {trade.exit_cost}"
             )
             self._metrics_manager.gauge("benefit", bot_status.bot_id, individual_rtn, tags=["trades", f"exchange:{order.exchange_id.value}"])
             return round(amount_to_close - trade.size, self.precision_amount), rtn
@@ -93,7 +93,7 @@ def _close_trades_on_new_updated_order(self, bot_status: BotStatus, order: Order
                     amount_to_close, rtn = self._close_individual_trade_on_new_order(bot_status, trade, order, amount_to_close, rtn)
 
         if amount_to_close > 0:  # TODO: how to pass min_amount?
-            self._logger.error("The order size is bigger than any trade. {amount_to_close} left to close of {order.amount}.")
+            self._logger.error(f"The order size is bigger than any trade. {amount_to_close} left to close of {order.amount}.")
             pass
 
         return rtn

elena/domain/services/generic_bot.py

@@ -1,5 +1,5 @@
 import time
-from typing import Dict, Optional
+from typing import Dict, Optional, List
 
 import pandas as pd
 
@@ -16,7 +16,7 @@
 from elena.domain.ports.bot import Bot
 from elena.domain.ports.exchange_manager import ExchangeManager
 from elena.domain.ports.logger import Logger
-from elena.domain.ports.metrics_manager import MetricsManager, ORDER_CANCELLED, ORDER_STOP_LOSS, ORDER_BUY_MARKET, ORDER_SELL_MARKET, ORDER_STOP_LOSS_CLOSED
+from elena.domain.ports.metrics_manager import MetricsManager, ORDER_CANCELLED, ORDER_STOP_LOSS, ORDER_BUY_MARKET, ORDER_SELL_MARKET, ORDER_STOP_LOSS_CLOSED, ESTIMATED_LAST_CLOSE, ESTIMATED_SALE_PRICE
 from elena.domain.ports.notifications_manager import NotificationsManager
 from elena.domain.ports.strategy_manager import StrategyManager
 from elena.domain.services.bot_status_logic import BotStatusLogic
@@ -38,6 +38,7 @@ class GenericBot(Bot):
     _metrics_manager: MetricsManager
     _notifications_manager: NotificationsManager
     _bot_status_logic: BotStatusLogic
+    _order_book_cache: OrderBook
 
     def init(
         self,
@@ -74,6 +75,8 @@ def init(
         self._bot_status_logic = BotStatusLogic(logger, metrics_manager, notifications_manager, precision_amount, precision_price)
         self.status.budget.precision_price = precision_price
 
+        self._order_book_cache = None
+
         self._update_orders_status()
 
     def new_trade_manual(self, size: float, entry_price: float, exit_order_id, exit_price: float) -> str:
@@ -201,12 +204,17 @@ def price_to_precision(self, price: float) -> Optional[float]:
             self._logger.error("Error getting price to precision: %s", err, exc_info=1)
             return None
 
-    def get_order_book(self) -> Optional[OrderBook]:
+    def get_order_book(self, use_cache: bool = False) -> Optional[OrderBook]:
+        if use_cache and self._order_book_cache:
+            return self._order_book_cache
+
         try:
-            return self.exchange_manager.read_order_book(
+            order_book = self.exchange_manager.read_order_book(
                 self.exchange,
                 pair=self.pair,
             )
+            self._order_book_cache = order_book
+            return order_book
         except Exception as err:
             print(f"Error getting order book: {err}")
             self._logger.error("Error getting order book: %s", err, exc_info=1)
@@ -276,7 +284,7 @@ def create_limit_buy_order(self, amount, price) -> Optional[Order]:
     def create_limit_sell_order(self, amount, price) -> Optional[Order]:
         raise NotImplementedError
 
-    def create_market_buy_order(self, amount) -> Optional[Order]:
+    def create_market_buy_order(self, amount: float) -> Optional[Order]:
         try:
             params = {"type": "spot"}
 
@@ -300,7 +308,7 @@ def create_market_buy_order(self, amount) -> Optional[Order]:
             self._logger.error("Error creating market buy order: %s", err, exc_info=1)
             return None
 
-    def create_market_sell_order(self, amount) -> Optional[Order]:
+    def create_market_sell_order(self, amount: float, trades_to_close: List[Trade] = []) -> Optional[Order]:
         try:
             params = {"type": "spot"}
 
@@ -315,7 +323,12 @@ def create_market_sell_order(self, amount) -> Optional[Order]:
             )
             self._logger.info("Placed market sell: %s", order)
             self._metrics_manager.counter(ORDER_SELL_MARKET, self.id, 1, [f"exchange:{self.bot_config.exchange_id.value}"])
-            self._notifications_manager.low(f"Placed market sell: {order.id} for  {order.amount} {order.pair.base} at {order.average} {order.pair.quote} , getting: {order.cost}{order.pair.quote}")
+            self._notifications_manager.low(f"Placed market sell: {order.id} for {order.amount} {order.pair.base} at {order.average} {order.pair.quote}, getting: {order.cost}{order.pair.quote}")
+
+            for trade in trades_to_close:
+                trade.exit_order_id = order.id
+                trade.exit_time = order.timestamp
+                trade.exit_price = order.average
 
             self.status = self._bot_status_logic.register_new_order_on_trades(self.status, order)
             return order
@@ -336,6 +349,8 @@ def fetch_order(self, order_id: str) -> Optional[Order]:
             self._logger.error("Error fetching order: %s", err, exc_info=1)
             return None
 
+
+
     def get_estimated_last_close(self) -> Optional[float]:
         # https://docs.ccxt.com/#/?id=ticker-structure
         # Although some exchanges do mix-in order book's top bid/ask prices into their tickers
@@ -345,21 +360,27 @@ def get_estimated_last_close(self) -> Optional[float]:
         # imposing stricter rate limits on these queries. If you need a unified way to access bids and asks you
         # should use fetchL[123]OrderBook family instead.
         # The idea was to use fetch_ticker[close]
-        try:
-            order_book = self.exchange_manager.read_order_book(
-                self.exchange,
-                pair=self.pair,
-            )
-        except Exception as err:
-            print(f"Error getting estimated last close: {err}")
-            self._logger.error("Error getting estimated last close  %s", exc_info=1)
-            raise err
 
+        order_book = self.get_order_book()
         try:
             # TODO order_book.bids and asks could be empty
             last_bid = order_book.bids[0].price
             last_ask = order_book.asks[0].price
             estimated_last_close = (last_bid + last_ask) / 2
+            self._metrics_manager.gauge(ESTIMATED_LAST_CLOSE, self.id, estimated_last_close, ["indicator"])
             return estimated_last_close
         except Exception as err:  # noqa: F841
             return None
+
+    def get_estimated_sell_price_from_cache(self) -> Optional[float]:
+        # https://docs.ccxt.com/#/?id=ticker-structure
+        order_book = self.get_order_book(use_cache=True)
+
+        try:
+            # TODO order_book.bids and asks could be empty
+            estimated_sell_price = (order_book.bids[0].price + order_book.bids[1].price + order_book.bids[2].price) / 3
+            self._metrics_manager.gauge(ESTIMATED_SALE_PRICE, self.id, estimated_sell_price, ["indicator"])
+
+            return estimated_sell_price
+        except Exception as err:  # noqa: F841
+            return None

requirements.txt

@@ -3,4 +3,5 @@ schedule~=1.1.0
 pydantic~=1.10.2
 ccxt~=4.0.32
 pandas~=2.0.3
-cron-converter~=1.0.2
+cron-converter~=1.0.2
+numpy~=1.26.2

setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = elena
-version = 2.3.3
+version = 2.4.0
 author = "L Software Foundation"
 author_email = "fransimo@gmail.com, pjover@gmail.com"
 description = Hexagonal multi exchange crypto currency strategy executor