Changes in slippage detection

changelog.txt

@@ -1,3 +1,6 @@
+2024.10.29:
+. New functions to get top ask and top bid prices.
+
 2024.10.28:
 . Docstrings and comments improvements.
 . New endpoint: /edit_cooldown_multiplier.

exchange_wrapper.py

@@ -337,6 +337,50 @@ class broker:
         return self.last_price
 
 
+    def get_top_ask_price(self,symbol):
+        '''
+        Returns the top ask price for the given symbol
+        
+        Parameters:
+        symbol: the symbol to get the top ask price for
+        
+        Returns:
+        the top ask price for the given symbol
+        '''
+        
+        orderbook = self.get_order_book(symbol)
+        if orderbook=={}:
+            self.logger.log_this("Can't fetch orderbook (from get_top_ask_price)",1,symbol)
+            return self.get_ticker_price(symbol)
+        try:
+            return orderbook["asks"][0][0]
+        except Exception as e:
+            self.logger.log_this(f"Exception getting top ask price: {e}",1,symbol)
+        return self.get_ticker_price(symbol)
+    
+
+    def get_top_bid_price(self,symbol):
+        '''
+        Returns the top bid price for the given symbol
+        
+        Parameters:
+        symbol: the symbol to get the top bid price for
+        
+        Returns:
+        the top bid price for the given symbol
+        '''
+        
+        orderbook = self.get_order_book(symbol)
+        if orderbook=={}:
+            self.logger.log_this("Can't fetch orderbook (from get_top_bid_price)",1,symbol)
+            return self.get_ticker_price(symbol)
+        try:
+            return orderbook["bids"][0][0]
+        except Exception as e:
+            self.logger.log_this(f"Exception getting top mid price: {e}",1,symbol)
+        return self.get_ticker_price(symbol)
+
+
     def get_mid_price(self,symbol):
         '''
         Retrieves the orderbook and returns the average price [(top bid + top ask)/2]

main.py

@@ -22,7 +22,7 @@ In case the permissions of the certificate changes, reset them this way:
 # ll /etc/letsencrypt/
 '''
 
-version = "2024.10.28"
+version = "2024.10.29"
 
 '''
 Color definitions. If you want to change them, check the reference at https://en.wikipedia.org/wiki/ANSI_escape_code#Colors

trader.py

@@ -890,7 +890,7 @@ class trader:
             self.stop_when_profit = True
         
         self.status_dict["pause_reason"] = "take_profit_routine - if stop_when_profit"
-        if self.stop_when_profit:           #Signal to stop when profit
+        if self.stop_when_profit:           #Signal to stop when trade is closed
             self.broker.logger.log_this("Pair shutting down. So long and thanks for all the fish",0,self.pair)
             self.quit = True
             return 1
@@ -906,23 +906,16 @@ class trader:
         #self.safety_order_index = 0
         self.config_dict = self.reload_config_dict()
         
-        self.status_dict["pause_reason"] = "take_profit_routine - Cooldown"
+        self.broker.logger.log_this("Checking slippage...",2,self.pair)
-        self.broker.logger.log_this(f"Cooldown period...",2,self.pair)
+        price_to_compare = self.broker.get_top_bid_price(self.pair) if self.is_short else self.broker.get_top_ask_price(self.pair)
-        time.sleep(self.broker.get_wait_time()*self.broker.get_cooldown_multiplier())
+        if abs(filled_order["price"]-price_to_compare)/filled_order["price"]>self.broker.get_slippage_default_threshold():
-            
+            self.broker.logger.log_this(f"Slippage threshold exceeded, waiting for cooldown and restarting pair",1,self.pair)
-        try:
+            time.sleep(self.broker.get_wait_time()*self.broker.get_cooldown_multiplier())
-            percentage_difference = abs(filled_order['price']-self.broker.get_mid_price(self.pair))/filled_order["price"]
+            #The trader is restarted by the instance instead of by itself to allow a couple of more seconds for the price to return to normal.
-            if percentage_difference>self.broker.get_slippage_default_threshold():
+            #This could also be the default behavior.
-                #self.broker.logger.log_this(f"Slippage threshold exceeded, {self.broker.get_wait_time()*self.broker.get_cooldown_multiplier()}s cooldown.",1,self.pair)
+            self.pause = False
-                self.broker.logger.log_this(f"Slippage threshold exceeded, waiting for cooldown and restarting pair",1,self.pair)
+            self.restart = True        
-                time.sleep(self.broker.get_wait_time()*self.broker.get_cooldown_multiplier())
+            return 1
-                self.pause = False
-                self.restart = True
-                #self.write_status_file(True)                
-                return 1
-        except Exception as e:
-            self.broker.logger.log_this(f"Exception while calculating percentage difference: {e}",1,self.pair)
-        self.broker.logger.log_this(f"Resuming...",2,self.pair)
         
         #Restarting the trader
         self.status_dict["pause_reason"] = "take_profit_routine - restart_bot call"
@@ -1083,7 +1076,7 @@ class trader:
         return 0
     
     
-    def check_slippage(self, threshold: float, order_size: float) -> bool:
+    def check_slippage(self, threshold: float, order_size: float, old_price: float = 0) -> bool:
         '''
         Checks that the slippage is between range. Returns True if threshold is exceeded, False otherwise.
         '''
@@ -1093,9 +1086,9 @@ class trader:
             return False
         suma = 0
         try:
-            mid_price = (order_book["asks"][0][0]+order_book["bids"][0][0])/2
+            mid_price = old_price if old_price!=0 else (order_book["asks"][0][0]+order_book["bids"][0][0])/2
             amount = (order_size/mid_price)*2   #Extra margin to avoid surprises.
-            first_price = order_book["asks"][0][0]
+            first_price = order_book["asks"][0][0] #This could be first_price = old_price if old_price!=0 else order_book["asks"][0][0]
             for x in order_book["asks"]:
                 suma += x[1]
                 if suma>=amount: