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Slippage detection optimization

This commit is contained in:
Nicolás Sánchez 2024-10-30 10:39:55 -03:00
parent 452bddbe3e
commit 8981353230
4 changed files with 36 additions and 11 deletions
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2
changelog.txt
View File

@ -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.

2
main.py
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@ -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

1
utils/todo.txt → todo.txt
View File

@ -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:

42
trader.py
View File

@ -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
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]
if size_in_quote:
amount = (order_size/mid_price)*2 #Extra margin to avoid surprises.
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