implement losscut in MM algorithm

algo/mm.py

@@ -7,37 +7,76 @@ class MM:
     self._player = player
     self._pair   = pair
 
-    self._lastBuy  = ""
-    self._lastSell = ""
+    self._lastBuy   = ""
+    self._lastSell  = ""
+    self._lastPrice = None
 
-    self._delta = float(config["delta"])
+    self._delta        = float(config["delta"])
+    self._positiveCut  = float(config["+cut"])
+    self._negativeCut  = float(config["-cut"])
 
   async def update(self):
+    sales = self._player.assets[self._pair.names[0]]
+    crncy = self._player.assets[self._pair.names[1]]
+    price = self._pair.ticker.price
+
+    lot = (sales.amount + crncy.amount / price) / 2
+    pos = sales.amount / lot - 1
+
+    # evaluate if cutting should be executed
+    negCut = False
+    posCut = False
+    if self._lastPrice is not None:
+      change  = (price - self._lastPrice) / self._lastPrice
+      negCut  = pos >  0.5 and change < -abs(self._negativeCut)
+      posCut  = pos < -0.5 and change >  abs(self._positiveCut)
+    cutting = negCut or posCut
+
+    # check if the past orders are active
     lastBuyAgreed  = (self._lastBuy is not None and
                       self._lastBuy not in self._player.orders)
     lastSellAgreed = (self._lastSell is not None and
                       self._lastSell not in self._player.orders)
 
-    if not lastBuyAgreed and not lastSellAgreed:
+    if not lastBuyAgreed and not lastSellAgreed and not cutting:
       return
 
+    # cancel active orders
     cancel_orders = []
     if not lastBuyAgreed and self._lastBuy is not None:
+      logging.info(f"cancel buy")
       cancel_orders.append(self._lastBuy)
       self._lastBuy = None
+    elif lastBuyAgreed:
+      logging.info(f"agree buy")
+
     if not lastSellAgreed and self._lastSell is not None:
+      logging.info(f"cancel sell")
       cancel_orders.append(self._lastSell)
       self._lastSell = None
+    elif lastSellAgreed:
+      logging.info(f"agree sell")
+
     if len(cancel_orders) != 0:
       await self._player.cancel(self._pair.names, cancel_orders)
 
-    sales = self._player.assets[self._pair.names[0]]
-    crncy = self._player.assets[self._pair.names[1]]
-    price = self._pair.ticker.price
-
-    lot = (sales.amount + crncy.amount / price) / 4
-    pos = sales.amount / lot - 2
+    # execute cutting
+    if cutting:
+      if negCut:
+        logging.info(f"-cut (change: {change}, pos: {pos} -> 0)")
+      if posCut:
+        logging.info(f"+cut (change: {change}, pos: {pos} -> 0)")
+      self._lastPrice = None
+      self._lastBuy   = None
+      self._lastSell  = None
+      sell_amount = pos * lot
+      if sell_amount > 0:
+        await self._player.orderMarketSell(self._pair.names, amount=sell_amount)
+      else:
+        await self._player.orderMarketBuy(self._pair.names, amount=-buy_amount)
+      return
 
+    # execute new cycle
     buy_amount  = _quad( pos) * lot
     sell_amount = _quad(-pos) * lot
 
@@ -46,6 +85,8 @@ class MM:
 
     order_unit = pow(10, -sales.precision)
 
+    logging.info(f"new cycle (pos: {pos}, price: {price}, buy: {buy_amount}, sell: {sell_amount})")
+
     async def buy():
       return (None if order_unit > buy_amount else
           await self._player.orderLimitBuy(
@@ -57,8 +98,9 @@ class MM:
               self._pair.names, amount = sell_amount, price = sell_price))
 
     orders = await asyncio.gather(buy(), sell())
-    self._lastBuy  = orders[0]
-    self._lastSell = orders[1]
+    self._lastBuy   = orders[0]
+    self._lastSell  = orders[1]
+    self._lastPrice = price
 
 # https://kijitora-2018.hatenablog.com/entry/2018/12/23/102913
 def _quad(x):

main.py

@@ -14,6 +14,8 @@ with open("config.json", "r") as file:
   config = json.load(file)
   
 async def main():
+  logging.info("#### TMM ####")
+
   alive = True
   logging.basicConfig(level=logging.DEBUG)
 

util/player.py

@@ -14,6 +14,24 @@ class Player:
     })
     self._check(res)
 
+  async def orderMarketSell(self, pair, amount):
+    res = await self._post("user/spot/order", data={
+      "pair": f"{pair[0]}_{pair[1]}",
+      "amount": str(amount),
+      "side": "sell",
+      "type": "market",
+    })
+    return self._check(res)["data"]["order_id"]
+
+  async def orderMarketBuy(self, pair, amount):
+    res = await self._post("user/spot/order", data={
+      "pair": f"{pair[0]}_{pair[1]}",
+      "amount": str(amount),
+      "side": "buy",
+      "type": "market",
+    })
+    return self._check(res)["data"]["order_id"]
+
   async def orderLimitSell(self, pair, amount, price):
     res = await self._post("user/spot/order", data={
       "pair": f"{pair[0]}_{pair[1]}",