Slippage detection optimization

changelog.txt

@@ -1,5 +1,7 @@
 2024.10.29:
 . New functions to get top ask and top bid prices.
+. Improvements when dealing with shallow orderbooks.
+. Removed unnecessary status file writes to disk.
 
 2024.10.28:
 . Docstrings and comments improvements.

main.py

@@ -2024,7 +2024,7 @@ if __name__=="__main__":
             read_config = json.load(f)
     except Exception as e:
         print(e)
-        print("Wrong syntax. Correct syntax is 'python3 dcaruntime.py xxxxx.json', xxxxx.json being the config file.")
+        print("Wrong syntax. Correct syntax is 'python3 main.py xxxxx.json (--first_start)', xxxxx.json being the config file.")
         os._exit(1)
 
     #Check for import or load

todo.txt

@@ -4,6 +4,7 @@ Mandatory:
 1. Stats webpage.
 2. Instead of giving a list of order_ids to each trader, give a list of the open orders and that's it (for easier future development, partial order fills for example)
 3. Deploying script, both for testnet and for mainnet.
+4. Maintain local orderbooks for each trading pair.
 
 
 Would be nice to have:

trader.py

@@ -192,7 +192,7 @@ class trader:
             #check slippage
             self.broker.logger.log_this("Checking slippage...",2,self.pair)
             self.status_dict["pause_reason"] = "start_bot - checking slippage"
-            if self.check_slippage(self.broker.get_slippage_default_threshold(),self.config_dict["order_size"]):
+            if self.check_orderbook_depth(self.broker.get_slippage_default_threshold(),self.config_dict["order_size"]):
                 #Slippage threshold exceeded
                 self.broker.logger.log_this("Slippage threshold exceeded",1,self.pair)
                 return 3
@@ -916,6 +916,12 @@ class trader:
             self.pause = False
             self.restart = True        
             return 1
+        elif self.check_orderbook_depth(self.broker.get_slippage_default_threshold(),self.config_dict["order_size"],filled_order["price"]):
+            self.broker.logger.log_this(f"Orderbook depth not sufficient, waiting for cooldown and restarting pair",1,self.pair)
+            time.sleep(self.broker.get_wait_time()*self.broker.get_cooldown_multiplier())
+            self.pause = False
+            self.restart = True
+            return 1
         
         #Restarting the trader
         self.status_dict["pause_reason"] = "take_profit_routine - restart_bot call"
@@ -926,25 +932,25 @@ class trader:
             return 0
         elif restart_bot==1:
             self.pause = False
-            self.write_status_file(True)
+            #self.write_status_file(True)
             self.restart = True
             self.broker.logger.log_this("Error in trader, start_bot returned 1. Trader will be restarted",1,self.pair)
             return 1
         elif restart_bot==2:
             self.pause = False
-            self.write_status_file(True)
+            #self.write_status_file(True)
             self.restart = True
             self.broker.logger.log_this("Error in trader, start_bot returned 2 (Initial order never got filled). Trader will be restarted",1,self.pair)
             return 2
         elif restart_bot==3:
             self.pause = False
-            self.write_status_file(True)
+            #self.write_status_file(True)
             self.restart = True
             self.broker.logger.log_this("Error in trader, start_bot returned 3 (Slippage exceeded). Trader will be restarted",1,self.pair)
             return 3
         else:
             self.broker.logger.log_this(f"Error restarting trader, trader will be removed. Error code {restart_bot}",0,self.pair)
-            self.write_status_file(True)
+            #self.write_status_file(True)
             self.quit = True
             return 1
 
@@ -1076,10 +1082,23 @@ class trader:
         return 0
     
     
-    def check_slippage(self, threshold: float, order_size: float, old_price: float = 0) -> bool:
+    def check_orderbook_depth(self, threshold: float, order_size: float, old_price: float = 0, size_in_quote = True) -> bool:
         '''
-        Checks that the slippage is between range. Returns True if threshold is exceeded, False otherwise.
+        Checks if the orderbook depth exceed the slippage threshold. Returns True if threshold is exceeded, False otherwise.
+        
+        Parameters:
+            threshold (float): The threshold for the orderbook depth.
+            order_size (float): The size of the order to check..
+            old_price (float): The old price of the order.
+            size_in_quote (bool): If True, the order size is in quote currency. If False, the order size is in base currency.
+            
+        Returns:
+            bool: True if the orderbook depth exceeds the threshold, False otherwise.
         '''
+        
+        if self.is_short:   #Do not check for slippage in short traders (Pending to be implemented)
+            return False
+        
         order_book = self.broker.get_order_book(self.pair,no_retries=True)
         if order_book=={}:
             self.broker.logger.log_this("Can't fetch orderbook",1,self.pair)
@@ -1087,8 +1106,11 @@ class trader:
         suma = 0
         try:
             mid_price = old_price if old_price!=0 else (order_book["asks"][0][0]+order_book["bids"][0][0])/2
+            if size_in_quote:
                 amount = (order_size/mid_price)*2   #Extra margin to avoid surprises.
-            first_price = order_book["asks"][0][0] #This could be first_price = old_price if old_price!=0 else order_book["asks"][0][0]
+            else:
+                amount = order_size*2
+            first_price = order_book["asks"][0][0]
             for x in order_book["asks"]:
                 suma += x[1]
                 if suma>=amount:
@@ -1099,7 +1121,7 @@ class trader:
                 return True
             return False
         except Exception as e:
-            self.broker.logger.log_this(f"Exception in check_slippage: {e}",1,self.pair)
+            self.broker.logger.log_this(f"Exception in check_orderbook_depth: {e}",1,self.pair)
             return False