[MOD] ORtchimod – Table Mod, Interval Optimization & Backtest working
stableDescription
Moved the slots into tables and added the main code into a go function which is called with optimized for interval and now backtesting works for me
Original Post
HaasScript
-- Modified version of Phsai's amazing Simple Market Maker that intended
-- ONLY FOR BINANCE FUTURES USDT/COIN and BYBIT FUTURES USDT with HEDGE MODE ENABLED
--
-- Consider donating to support our work!
-- Phsai BTC: 3FRx1EkG4T4izrkaS34xeZHJFK4kQefHKf
-- Smokyho BTC: 35KY1GPFtxKoJ6Bzri6sLYQPcmGZhHfRac
-- ORtchi BTC: 1MuMTfRSbVLuBJwz8bhZzhKckoC2iL6dY4
-- ETH: 0x0bafde44120a9512e2e57c9e9b996eab3d8bab31
-- Binance: bnb136ns6lfw4zs5hg4n85vdthaad7hq5m4gtkgf23 MEMO: 105862840
-- --------------------------------------------------------------------------
EnableHighSpeedUpdates(true)
HideOrderSettings()
HideTradeAmountSettings()
local interval = CurrentInterval()
-- Check BYBIT or BINANCE
local getMarket = PriceMarket()
local isBybit = StringContains(getMarket, 'BYBIT')
-- inputs
InputGroupHeader('Slots')
local group = 'Slots'
local stable = InputTable(
InputTableOptions('Slots', 1, 1, group),
InputTableColumn('Slot Count', 1),
InputTableColumn('Minimum Spread %', 0),
InputTableColumn('Cancel Distance %', 0.236),
InputTableColumn('Slot Spread % Mod1', 0.08),
InputTableColumn('Slot Spread % Mod2', 0.42),
InputTableColumn('Slot Spread % Mod3', 0.642),
InputTableColumn('min. % Spread Mod3', 0.2)
)
local slotCount = Parse(stable[1][1], NumberType)
local minSpread = Parse(stable[1][2], NumberType)
local slotCancel = Parse(stable[1][3], NumberType)
local slotSpread_1 = Parse(stable[1][4], NumberType)
local slotSpread_2 = Parse(stable[1][5], NumberType)
local slotSpread_3 = Parse(stable[1][6], NumberType)
local mindist = Parse(stable[1][7], NumberType)
InputGroupHeader('Slots Short')
local okShort = Input('Allow Short', true, 'Allow bot to open Short', group)
local sstable = InputTable(
InputTableOptions('Slots Short', 1, 1, group),
InputTableColumn('Slot Size short Mod1', 5),
InputTableColumn('Max Cont. % Short Mod1', 0.4),
InputTableColumn('Slot Size short Mod2', 1),
InputTableColumn('Max Cont. % Short Mod2', 20),
InputTableColumn('Slot Size short Mod3', 1),
InputTableColumn('Max Cont. % Short Mod3', 30)
)
local slotSize_1 = Parse(sstable[1][1], NumberType)
local maxSizeS_1 = Parse(sstable[1][2], NumberType)
local slotSize_2 = Parse(sstable[1][3], NumberType)
local maxSizeS_2 = Parse(sstable[1][4], NumberType)
local slotSize_3 = Parse(sstable[1][5], NumberType)
local maxSizeS_3 = Parse(sstable[1][6], NumberType)
InputGroupHeader('Slots Long')
local okLong = Input('Allow Long', true, 'Allow bot to open Long', group)
local sltable = InputTable(
InputTableOptions('Slots Long', 1, 1, group),
InputTableColumn('Slot Size Long Mod1', 5),
InputTableColumn('Max Cont. % Long Mod1', 0.4),
InputTableColumn('Slot Size Long Mod2', 1),
InputTableColumn('Max Cont. % Long Mod2', 20),
InputTableColumn('Slot Size Long Mod3', 1),
InputTableColumn('Max Cont. % Long Mod3', 30)
)
local slotSizel_1 = Parse(sltable[1][1], NumberType)
local maxSizeL_1 = Parse(sltable[1][2], NumberType)
local slotSizel_2 = Parse(sltable[1][3], NumberType)
local maxSizeL_2 = Parse(sltable[1][4], NumberType)
local slotSizel_3 = Parse(sltable[1][5], NumberType)
local maxSizeL_3 = Parse(sltable[1][6], NumberType)
local compound = false
local wtfBal = true
local wtfAmount = false
group = 'Budget'
InputGroupHeader(group)
local autoMax = Input('Dynamic Max Open', true, 'Dynamically change max open contracts based on available balance', group)
local autoSlot = Input('Dynamic Slot Size', true, 'DSSize - Dynamically change slot size favoring trending side.', group)
local btable = InputTable(
InputTableOptions('Budget', 1, 1, group),
InputTableColumn('Max. Open '..AmountLabel(), 1000),
InputTableColumn('Leverage', 20),
InputTableColumn('COIN-M Value', 10),
InputTableColumn('Balance Budget', 0.8),
InputTableColumn('Position Budget', 0.5),
InputTableColumn('Slot Size', 1),
InputTableColumn('Max. Open Divider', 200),
InputTableColumn('Max. Open Divider', 1000),
InputTableColumn('Max. Open Divider', 1000)
)
local maxSizeM = Parse(btable[1][1], NumberType)
local leverage = Parse(btable[1][2], NumberType)
local contVal = Parse(btable[1][3], NumberType)
local maxBudget = Parse(btable[1][4], NumberType)
local maxOpen = Parse(btable[1][5], NumberType)
local slotSizeM = Parse(btable[1][6], NumberType)
local slotBudget1 = Parse(btable[1][7], NumberType)
local slotBudget2 = Parse(btable[1][8], NumberType)
local slotBudget3 = Parse(btable[1][9], NumberType)
group = 'Profit'
InputGroupHeader(group)
local tpOrderType = InputOrderType('TP Order Type', MarketOrderType, 'Sellmod Take Profit', group)
local ptable = InputTable(
InputTableOptions('Profit', 1, 1, group),
InputTableColumn('Take-Profit % Short', 0.25),
InputTableColumn('Take-Profit % Long', 0.25),
InputTableColumn('Dynamic Profit', 0.92)
)
local takeProfitS = Parse(ptable[1][1], NumberType)
local takeProfitL = Parse(ptable[1][2], NumberType)
local dynprofit = Parse(ptable[1][3], NumberType)
local contsize = contVal
group = 'Profitmod with the market'
InputGroupHeader(group)
local ProfitMod2 = Input('Profitmod 2 allow', false, 'Deactivates the normal profit mod and activates the alternative profit mod 2', group)
local oksldyn = Input('Dynamic Profit', false, 'Increases size and gain distance', group)
local okchle = Input('Change Leverage', false, 'May the leverage be increased?', group)
local pmtable = InputTable(
InputTableOptions('Profitmod', 1, 1, group),
InputTableColumn('Min ROI Slot Short', 500000),
InputTableColumn('% Buy Price Long', 0.6),
InputTableColumn('SL % PriceLong', 0.3),
InputTableColumn('% Sell long', 0.1),
InputTableColumn('% Buy long Mod', 1.13),
InputTableColumn('Max Cont. Long Mod', 40),
InputTableColumn('Min Cont. Long Mod', 10),
InputTableColumn('Slot Spread % Mod', 0.08),
InputTableColumn('Increase profit margin', 1.03),
InputTableColumn('Increase win size', 1.1),
InputTableColumn('Maximaler Leverage', 100)
)
local minroislotshort = Parse(pmtable[1][1], NumberType)
local maxroislotlong = Parse(pmtable[1][2], NumberType)
local slroislotlong = Parse(pmtable[1][3], NumberType)
local sellslotlong = Parse(pmtable[1][4], NumberType)
local slotSizel_4 = Parse(pmtable[1][5], NumberType)
local maxSizeL_4 = Parse(pmtable[1][6], NumberType)
local minSizeL_4 = Parse(pmtable[1][7], NumberType)
local slotSpread_4 = Parse(pmtable[1][8], NumberType)
local slminrois = Parse(pmtable[1][9], NumberType)
local chsize = Parse(pmtable[1][10], NumberType)
local maxchle = Parse(pmtable[1][11], NumberType)
group = 'Safetymod'
InputGroupHeader(group)
local oksafty = Input('Safetymod allow', false, 'Allow bot to open Safetymod, works only with normal Profitmod', group)
local okbacksafty = Input('Safetysell allow', false, 'Allow bot to sell in the Safetymod', group)
local smtable = InputTable(
InputTableOptions(group, 1, 1, group),
InputTableColumn('Safety Mod1 %', -4),
InputTableColumn('Safetysize Mod1 ', 0.25),
InputTableColumn('Max Cont. Short Safety1', 7),
InputTableColumn('Max Cont. Long Safety1', 7),
InputTableColumn('Safetymod2 %', -5),
InputTableColumn('Safetysize2 ', 1.5),
InputTableColumn('Safetymod3 %', -6),
InputTableColumn('Safetysize3 ', 2),
InputTableColumn('Safetymod4 %', -7),
InputTableColumn('Safetysize4 ', 2.7),
InputTableColumn('Safetymod5 %', -8),
InputTableColumn('Safetysize5 ', 3.5),
InputTableColumn('Safetyprofit2-5 ', 0.01),
InputTableColumn('Dyn Safety Profit2-5', 0.92),
InputTableColumn('Safety back %', 0.7),
InputTableColumn('Safetyprofitsell ', 0.2),
InputTableColumn('Max Cont. Short Safety2-5', 100),
InputTableColumn('Max Cont. Long Safety2-5', 100)
)
local safty0 = Parse(smtable[1][1], NumberType)
local saftysize0 = Parse(smtable[1][2], NumberType)
local maxSizeS_safty0 = Parse(smtable[1][3], NumberType)
local maxSizeL_safty0 = Parse(smtable[1][4], NumberType)
local safty2 = Parse(smtable[1][5], NumberType)
local saftysize2 = Parse(smtable[1][6], NumberType)
local safty3 = Parse(smtable[1][7], NumberType)
local saftysize3 = Parse(smtable[1][8], NumberType)
local safty4 = Parse(smtable[1][9], NumberType)
local saftysize4 = Parse(smtable[1][10], NumberType)
local safty = Parse(smtable[1][11], NumberType)
local saftysize = Parse(smtable[1][12], NumberType)
local saftyprofit = Parse(smtable[1][13], NumberType)
local dynprofitsafty = Parse(smtable[1][14], NumberType)
local backsafty = Parse(smtable[1][15], NumberType)
local saftyprofitsell = Parse(smtable[1][16], NumberType)
local maxSizeS_safty = Parse(smtable[1][17], NumberType)
local maxSizeL_safty = Parse(smtable[1][18], NumberType)
InputGroupHeader('Emergency sale')
local reduceSize = Input('Size Reduction % ', 0, 'CAUTION! When Max Size Mod 3 is reached, percentage Contracte is sold. Should normally have 0!!!')
local reduceOrderType = InputOrderType('Reduction Order Type', MarketOrderType, 'Sellmod')
InputGroupHeader('Manual Entries')
local limit_open_short = Input('Open Lmt Order Short', 0, 'Buy short contracts per limit order, price required')
local limit_preis_short = Input('Price Lmt Order Short', 0, 'Price Limit Order Buy Short Contracte')
local limit_open_long = Input('Open Lmt Order Long', 0, 'Buy long contracts per limit order, price required')
local limit_preis_long = Input('Price Lmt Order Long', 0, 'Price Limit Order Buy Long Contracte')
local limit_open_akt_short = Input('Open Lmt current Price Short', 0, 'Buy short contracts per limit order, current price')
local limit_open_akt_long = Input('Open Lmt current Price Long', 0, 'Buy long contracts per limit order, current price')
InputGroupHeader('Entry Price Change ')
local newentryshort = Input('Entry Short change', -1, 'If the entry price is incorrect, it can be changed; after the change, set it back to -1.')
local newentrylong = Input('Entry Long change', -1, 'If the entry price is incorrect, it can be changed; after the change, set it back to -1.')
CC_VPM()
minSpread = minSpread / 2.0
local slotCancel_1 = slotCancel
local slotCancel_2 = slotCancel
local slotCancel_3 = slotCancel
local slotCancel_4 = slotSpread_4
local slotSpread = slotSpread_3
local slotSize = slotSize_3
local slotSizel = slotSizel_3
local maxSizeL = maxSizeL_3
local maxSizeS = maxSizeS_3
local hedgeMode = true
local hedgeRoi = -11111
local safel = 0
local safes = 0
local safesell = 0
local pamt_l2 = Load('pamt_l2',0)
local pamt_s2 = Load('pamt_s2',0)
--------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------
local leverage_save
local cp
local TMC
local MTA
local profitLabel
local hedge_longPosId
local hedge_shortPosId
local availBal
local longAmount
local shortAmount
local getProfitL
local getProfitS
local getProfit
local usedLong
local usedShort
local walletBal
local botProfit
local wallMount
local xchange
local workBal
local budgetBal
local balRatio
local roundc
-- wallet check
local go = function ()
local leverage_save = Load('leverage_save', leverage)
local cp = CurrentPrice()
local TMC = TradeMarketContainer(getMarket)
local MTA = TMC.minimumTradeAmount
local profitLabel = ProfitLabel()
if profitLabel == nil then
profitLabel = QuoteCurrency()
end
local hedge_longPosId = Load('hedge_longPosId', NewGuid())
local hedge_shortPosId = Load('hedge_shortPosId', NewGuid())
local availBal = WalletAmount(AccountGuid(), profitLabel)
local longAmount = LongAmount()
local shortAmount = ShortAmount()
local getProfitL = GetCurrentProfit(PositionLong)
local getProfitS = GetCurrentProfit(PositionShort)
local getProfit = getProfitL + getProfitS
local usedLong = UsedMargin(AccountGuid(), GetPositionEnterPrice(hedge_longPosId), longAmount, leverage_save)
local usedShort = UsedMargin(AccountGuid(), GetPositionEnterPrice(hedge_shortPosId), shortAmount, leverage_save)
local walletBal = WalletAmount(AccountGuid(), profitLabel)
local botProfit = GetBotProfit()
if isBybit then
wallMount = availBal + usedLong + usedShort - getProfit
xchange = 'BYBIT'
else
wallMount = availBal
xchange = 'BINANCE'
end
-- balance warning
local walletBal = compound and (wallMount + botProfit) or wallMount
local workBal = usedLong + usedShort - getProfit
local budgetBal = maxBudget * walletBal
local balRatio = budgetBal > 0 and workBal / budgetBal or 0
local roundc
if balRatio > 0.5 and balRatio < 0.8 then LogWarning('Working balance is > 50% of Budget!!!') end
if balRatio > 0.8 then LogWarning('Working balance is > 80% of Budget!!!') end
Log('Balance Monitor '..xchange..' -> Budget Balance: '..Round(budgetBal, 5)..' '..profitLabel..' | Working Balance: '..Round(workBal, 5)..' '..profitLabel..' | Ratio: '..Round(balRatio, 3))
if profitLabel == 'USD' or profitLabel == 'USDT' then
maxMax = walletBal * maxBudget * maxOpen / cp.close
roundc = 3
else
maxMax = walletBal * maxBudget * maxOpen * cp.close / contVal
roundc = 0
end
-- hedge it!
-- price and data
local c = ClosePrices()
local rsi = RSI(c, 9) -- RSI is used to determine which side to start off with. this is to eliminate ghost positions.
local signal = rsi > 52 and -1 or rsi < 48 and 1 or 0
-- positions
local hedge_longPosId = Load('hedge_longPosId', NewGuid())
local hedge_shortPosId = Load('hedge_shortPosId', NewGuid())
local dir_l = GetPositionDirection(hedge_longPosId)
local aep_l = GetPositionEnterPrice(hedge_longPosId)
local pamt_l = GetPositionAmount(hedge_longPosId)
local proi_l = GetPositionROI(hedge_longPosId)
local dir_s = GetPositionDirection(hedge_shortPosId)
local aep_s = GetPositionEnterPrice(hedge_shortPosId)
local pamt_s = GetPositionAmount(hedge_shortPosId)
local proi_s = GetPositionROI(hedge_shortPosId)
local profitcurrentlong = GetCurrentProfit(PositionLong)
local profitcurrentshort = GetCurrentProfit(PositionShort)
local enterpricelong1 = Load('enterpricelong1',0)
local enterpriceshort1 = Load('enterpriceshort1',0)
local enterpricedifflong = Load('enterpricedifflong',0)
local enterpricediffshort = Load('enterpricediffshort',0)
local tradeprofitshort = Load('tradeprofitshort',0)
local tradeprofitlong = Load('tradeprofitlong',0)
local pricechangelong = Load('pricechangelong', 0)
local pricechangeshort = Load('pricechangeshort', 0)
local profitcalcshort = 0
local profitcalclong = 0
local enterpricedifflongbuy = 0
local enterpricediffshortbuy = 0
local enterpricedifflongsell = 0
local enterpricediffshortsell = 0
local posprofitlong = GetPositionProfit (hedge_longPosId)
local posprofitshort = GetPositionProfit (hedge_shortPosId)
local enterp2 = AverageEnterPrice(hedge_longPosId)
Log("GetPositionEnterPrice "..aep_l.." AverageEnterPrice "..enterp2)
-- not using spread if we have a position
if pamt_l > 0 or pamt_s > 0 then
minSpread = 0
end
-- manage position ids
if pamt_l == 0 and IsPositionClosed(hedge_longPosId) then
enterpricelong1 = 0
enterpricedifflongbuy = 0
enterpricedifflongsell = 0
profitcalclong = 0
tradeprofitlong = 0
pamt_l2 = 0
if IsAnyOrderOpen(hedge_longPosId) then
CancelAllOrders(hedge_longPosId)
else
hedge_longPosId = NewGuid()
dir_l = GetPositionDirection(hedge_longPosId)
aep_l = GetPositionEnterPrice(hedge_longPosId)
pamt_l = GetPositionAmount(hedge_longPosId)
proi_l = GetPositionROI(hedge_longPosId)
end
end
if pamt_s == 0 and IsPositionClosed(hedge_shortPosId) then
enterpriceshort1 = 0
enterpricediffshortbuy = 0
enterpricediffshortsell = 0
profitcalcshort = 0
tradeprofitshort = 0
pamt_s2 = 0
if IsAnyOrderOpen(hedge_shortPosId) then
CancelAllOrders(hedge_shortPosId)
else
hedge_shortPosId = NewGuid()
dir_s = GetPositionDirection(hedge_shortPosId)
aep_s = GetPositionEnterPrice(hedge_shortPosId)
pamt_s = GetPositionAmount(hedge_shortPosId)
proi_s = GetPositionROI(hedge_shortPosId)
end
end
-- get pos id
local getPositionId = function(isLong)
return isLong and hedge_longPosId or hedge_shortPosId
end
-- Enter price + Profit Calc
-- Preisanpassung
if pricechangeshort == 0 and newentryshort > - 1 then
enterpriceshort1 = newentryshort
pricechangeshort = 1
end
if pricechangeshort == 1 and newentryshort < 0 then
pricechangeshort = 0
end
if pricechangelong == 0 and newentrylong > - 1 then
enterpricelong1 = newentrylong
pricechangelong = 1
end
if pricechangelong == 1 and newentrylong < 0 then
pricechangelong = 0
end
Save('pricechangelong', pricechangelong)
Save('pricechangeshort', pricechangeshort)
if pamt_l > 0 then
enterpricedifflongbuy = (cp.bid * 100 / enterpricelong1 ) - 100
enterpricedifflongsell = (cp.ask * 100 / enterpricelong1 ) - 100
profitcalclong = ( (1 /enterpricelong1) - (1 /cp.ask)) * pamt_l * contsize
end
if pamt_s > 0 then
enterpricediffshortbuy = (enterpriceshort1 * 100 / cp.ask ) - 100
enterpricediffshortsell = (enterpriceshort1 * 100 / cp.bid ) - 100
profitcalcshort = ( (1 / cp.bid) - (1 /enterpriceshort1) ) * pamt_s * contsize
end
local profitpositions = profitcalcshort + profitcalclong
local lastlongp = LastLongPrice()
local lastshortp = LastShortPrice()
local lastexitshortp = LastExitShortPrice()
local lastexitlongp = LastExitLongPrice()
local pamt_l_diff = 0
local pamt_s_diff = 0
if pamt_l2 > pamt_l then
pamt_l_diff = pamt_l2 - pamt_l
local tradeprofitlong1 = pamt_l_diff * contsize * ( (1 / lastexitlongp) -(1 / enterpricelong1) )
tradeprofitlong = tradeprofitlong + tradeprofitlong1
pamt_l2 = pamt_l
end
if pamt_s2 > pamt_s then
pamt_s_diff = pamt_s2 - pamt_s
local tradeprofitshort1 = pamt_s_diff * contsize * ( (1 / enterpriceshort1) -(1 / lastexitshortp))
tradeprofitshort = tradeprofitshort + tradeprofitshort1
pamt_s2 = pamt_s
end
if pamt_l2 < pamt_l then
pamt_l_diff = pamt_l - pamt_l2
local enterpricelongnew_1 = pamt_l2 * enterpricelong1
local enterpricelongnew_2 = pamt_l_diff * lastlongp
local enterpricelongnew = (enterpricelongnew_1 + enterpricelongnew_2) / pamt_l
pamt_l2 = pamt_l
enterpricelong1 = enterpricelongnew
end
if pamt_s2 < pamt_s then
pamt_s_diff = pamt_s - pamt_s2
local enterpriceshortnew_1 = pamt_s2 * enterpriceshort1
local enterpriceshortnew_2 = pamt_s_diff * lastshortp
local enterpriceshortnew = (enterpriceshortnew_1 + enterpriceshortnew_2) / pamt_s
pamt_s2 = pamt_s
enterpriceshort1 = enterpriceshortnew
end
Log('Pricebase cp.bid: '..cp.bid)
Save('enterpricelong1',enterpricelong1)
Save('enterpriceshort1',enterpriceshort1)
Save('pamt_l2',pamt_l2)
Save('pamt_s2',pamt_s2)
Save('tradeprofitlong',tradeprofitlong)
Save('tradeprofitshort',tradeprofitshort)
-- slot function
local slot = function(isLong, index, amount, spread, cancelDist, canPlace)
local prefix = isLong and 'L' or 'S'
local name = prefix .. index
local cmd = isLong and PlaceGoLongOrder or PlaceGoShortOrder
local priceBase = isLong
and cp.bid
or cp.ask
local spr = minSpread + spread * index
local posId = getPositionId(isLong)
local aep = isLong and enterpricelong1 or enterpriceshort1
-- if we have average entry price
if aep > 0 then
priceBase = isLong
and Min(aep, priceBase)
or Max(aep, priceBase)
end
-- get price
local price = isLong
and SubPerc(priceBase, spr)
or AddPerc(priceBase, spr)
local oid = Load(name..'oid', '') -- order id
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(AddPerc(order.price, spr), priceBase)
or Delta(priceBase, SubPerc(order.price, spr))
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
elseif not canPlace then
CancelOrder(oid)
LogWarning('Not allowed right now '..name)
end
else
oid = ''
end
else
if canPlace then
SetFee(Abs(MakersFee())*-1)
oid = cmd(price, amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600, positionId = posId})
end
end
Save(name..'oid', oid)
end
-- slot2 function
local slot2 = function(isLong, index, amount, spread, cancelDist, canPlace)
local prefix = isLong and 'L' or 'S'
local name = prefix .. index
local cmd = isLong and PlaceGoLongOrder or PlaceGoShortOrder
local priceBase = isLong
and cp.bid
or cp.ask
local spr = 0
local posId = getPositionId(isLong)
local aep = isLong and enterpricelong1 or enterpriceshort1
-- if we have average entry price
if aep > 0 then
priceBase = isLong
and cp.bid
or cp.ask
end
-- get price
local price = isLong
and cp.bid
or cp.ask
local oid = Load(name..'oid', '') -- order id
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(AddPerc(order.price, spr), priceBase)
or Delta(priceBase, SubPerc(order.price, spr))
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
elseif not canPlace then
CancelOrder(oid)
LogWarning('Not allowed right now '..name)
end
else
oid = ''
end
else
if canPlace then
SetFee(Abs(MakersFee())*-1)
oid = cmd(cp.close, amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600, positionId = posId})
end
end
Save(name..'oid', oid)
end
-- slot3 function
local slot3 = function(isLong, index, amount, spread, cancelDist, canPlace)
local prefix = isLong and 'L' or 'S'
local name = prefix .. index
local cmd = isLong and PlaceGoLongOrder or PlaceGoShortOrder
local priceBase = isLong
and cp.bid
or cp.ask
local spr = 0
local posId = getPositionId(isLong)
local aep = isLong and enterpricelong1 or enterpriceshort1
-- if we have average entry price
if aep > 0 then
priceBase = isLong
and cp.bid
or cp.ask
end
-- get price
local price = isLong
and cp.bid
or cp.ask
local oid = Load(name..'oid', '') -- order id
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(AddPerc(order.price, spr), priceBase)
or Delta(priceBase, SubPerc(order.price, spr))
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
elseif not canPlace then
CancelOrder(oid)
LogWarning('Not allowed right now '..name)
end
else
oid = ''
end
else
if canPlace then
SetFee(Abs(MakersFee())*-1)
oid = cmd( limit_preis_long , amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600, positionId = posId})
end
end
Save(name..'oid', oid)
end
-- slot4 function
local slot4 = function(isLong, index, amount, spread, cancelDist, canPlace)
local prefix = isLong and 'L' or 'S'
local name = prefix .. index
local cmd = isLong and PlaceGoLongOrder or PlaceGoShortOrder
local priceBase = isLong
and cp.bid
or cp.ask
local spr = 0
local posId = getPositionId(isLong)
local aep = isLong and enterpricelong1 or enterpriceshort1
-- if we have average entry price
if aep > 0 then
priceBase = isLong
and cp.bid
or cp.ask
end
-- get price
local price = isLong
and cp.bid
or cp.ask
local oid = Load(name..'oid', '') -- order id
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(AddPerc(order.price, spr), priceBase)
or Delta(priceBase, SubPerc(order.price, spr))
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
elseif not canPlace then
CancelOrder(oid)
LogWarning('Not allowed right now '..name)
end
else
oid = ''
end
else
if canPlace then
SetFee(Abs(MakersFee())*-1)
oid = cmd( limit_preis_short , amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600, positionId = posId})
end
end
Save(name..'oid', oid)
end
-- update take-profit
local updateTakeProfit = function(isLong, entryPrice, targetRoi, cancelDist)
local prefix = isLong and 'Long' or 'Short'
local name = prefix .. ' Take-Profit'
local oid = Load(prefix .. 'tp_oid', '')
local timer = Load(prefix .. 'tp_timer', 0)
local maxprofit = Load(prefix ..'tp_maxprofit', 0)
local maxprofitmin = Load(prefix ..'tp_maxprofitmin', 0)
local posId = getPositionId(isLong)
local tp_delta = isLong and Delta(entryPrice, cp.bid) or Delta(cp.ask, entryPrice)
if tp_delta >= targetRoi and maxprofit < tp_delta then
maxprofit = tp_delta
maxprofitmin = maxprofit * dynprofit
end
if tp_delta < targetRoi then
maxprofit = 0
maxprofitmin = 0
end
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(order.price, cp.close)
or Delta(cp.close, order.price)
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
end
else
if order.isCancelled then
timer = 0
end
oid = ''
end
else
if tp_delta <= maxprofitmin then
if tp_delta >= targetRoi and Time() >= timer then
SetFee(tpOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
oid = PlaceExitPositionOrder({type = tpOrderType, note = name, timeout = 3600, positionId = posId})
timer = Time() + 180 -- 3min
end
end
end
Save(prefix .. 'tp_oid', oid)
Save(prefix .. 'tp_timer', timer)
Save(prefix .. 'tp_maxprofit', maxprofit)
Save(prefix .. 'tp_maxprofitmin', maxprofitmin)
end
-- update position size
local updatePositionManagement = function(isLong, currentSize, sizeLimit, cancelDist)
local prefix = isLong and 'Long' or 'Short'
local name = prefix .. ' Size Reduction'
local oid = Load(prefix .. 'pos_oid', '')
local posId = getPositionId(isLong)
local amount = SubPerc(currentSize, 100 - reduceSize) -- take X% of position
local price = isLong
and cp.ask
or cp.bid
local cmd = isLong
and PlaceExitLongOrder
or PlaceExitShortOrder
local timer = Load(prefix .. 'pos_timer', Time())
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(order.price, cp.close)
or Delta(cp.close, order.price)
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
end
else
oid = ''
end
else
if currentSize > sizeLimit and Time() >= timer and reduceSize > 0 then
SetFee(reduceOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 3600, positionId = posId})
timer = Time() + 120 -- 2min
end
end
Save(prefix .. 'pos_oid', oid)
Save(prefix .. 'pos_timer', timer)
end
-- sellsafety
local sellsafty = function(isLong, amountsell, cancelDist)
local prefix = isLong and 'Long' or 'Short'
local name = prefix .. ' sellsafty'
local oid = Load(prefix .. 'pos_oid', '')
local posId = getPositionId(isLong)
local amount = amountsell
local price = isLong
and cp.ask
or cp.bid
local cmd = isLong
and PlaceExitLongOrder
or PlaceExitShortOrder
local timer = Load(prefix .. 'pos_timer', Time())
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(order.price, cp.close)
or Delta(cp.close, order.price)
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
end
else
oid = ''
end
else
if Time() >= timer then
SetFee(reduceOrderType == LimitOrderType and TakersFee() or Abs(MakersFee())*-1)
oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 300, positionId = posId})
timer = Time() + 60 -- 1min
end
end
Save(prefix .. 'pos_oid', oid)
Save(prefix .. 'pos_timer', timer)
end
-- selllong Profit
local sellprofit = function(isLong, amountsell, cancelDist)
local prefix = isLong and 'Long' or 'Short'
local name = prefix .. ' selllongprofit'
local oid = Load(prefix .. 'pos_oid', '')
local posId = getPositionId(isLong)
local amount = amountsell
local price = isLong
and cp.ask
or cp.bid
local cmd = isLong
and PlaceExitLongOrder
or PlaceExitShortOrder
local timer = Load(prefix .. 'pos_timer', Time())
if oid != '' then
local order = OrderContainer(oid)
if order.isOpen then
local delta = isLong
and Delta(order.price, cp.close)
or Delta(cp.close, order.price)
if delta >= cancelDist then
CancelOrder(oid)
LogWarning('Delta cancelled '..name)
end
else
oid = ''
end
else
if Time() >= timer then
SetFee(reduceOrderType == LimitOrderType and TakersFee() or Abs(MakersFee())*-1)
oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 300, positionId = posId})
timer = Time() + 60 -- 1min
end
end
Save(prefix .. 'pos_oid', oid)
Save(prefix .. 'pos_timer', timer)
end
-- selllong Stop loss
local longstoploss = function(isLong, amountsell, cancelDist)
local prefix = isLong and 'Long' or 'Short'
local name = prefix .. ' longSL'
local oid = Load(prefix .. 'pos_oid', '')
local posId = getPositionId(isLong)
local amount = amountsell
local price = isLong
and enterpricelong1 * 1.001
or cp.bid
local cmd = isLong
and PlaceExitLongOrder
or PlaceExitShortOrder
local timer = Load(prefix .. 'pos_timer', Time())
if Time() >= timer then
SetFee(reduceOrderType == LimitOrderType and TakersFee() or Abs(MakersFee())*-1)
Log("bevor SL")
oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 120, positionId = posId})
timer = Time() + 60 -- 1min
LogWarning("Stop Loss 2 , Price:" ..price.."Size"..amount )
end
Save(prefix .. 'pos_oid', oid)
Save(prefix .. 'pos_timer', timer)
end
-- dynamic slot size and max position
--max position
local maxCheck = autoMax and (maxMax * leverage_save)
local maxValue = autoMax and (maxCheck > maxSizeM) and maxCheck or maxSizeM
local maxSize = autoMax and maxValue or maxSizeM
-- check max open
if autoMax then
if maxCheck > maxSizeM then
Log('Dynamic Max Open: '..Round(maxCheck, roundc)..' '..AmountLabel())
else
Log('Dynamic Max Open: '..Round(maxCheck, roundc)..' but using default value: '..Round(maxSizeM, roundc)..' '..AmountLabel())
end
end
-- auto slot size
local slotCheck1 = autoSlot and (maxSize / slotBudget1)
local slotCheck2 = autoSlot and (maxSize / slotBudget2)
local slotCheck3 = autoSlot and (maxSize / slotBudget3)
local slotValues1 = autoSlot and (slotCheck1 > slotSize_1) and slotCheck1 or slotSize_1
local slotValues2 = autoSlot and (slotCheck2 > slotSize_2) and slotCheck2 or slotSize_2
local slotValues3 = autoSlot and (slotCheck3 > slotSize_3) and slotCheck3 or slotSize_3
local slotValuel1 = autoSlot and (slotCheck1 > slotSizel_1) and slotCheck1 or slotSizel_1
local slotValuel2 = autoSlot and (slotCheck2 > slotSizel_2) and slotCheck2 or slotSizel_2
local slotValuel3 = autoSlot and (slotCheck3 > slotSizel_3) and slotCheck3 or slotSizel_3
local slotSize1 = autoSlot and slotValues1 or slotSize_1
local slotSize2 = autoSlot and slotValues2 or slotSize_2
local slotSize3 = autoSlot and slotValues3 or slotSize_3
local slotSizel1 = autoSlot and slotValuel1 or slotSizel_1
local slotSizel2 = autoSlot and slotValuel2 or slotSizel_2
local slotSizel3 = autoSlot and slotValuel3 or slotSizel_3
if autoSlot then
if okShort then
if slotCheck1 > slotSize_1 then
slotSize_1 = slotSize1
Log('Dynamic Slot S1 Size: '..Round(slotSize1, roundc))
else
Log('DSSize: S1 '..Round(slotCheck1, roundc)..' But using default value: '..Round(slotSize_1, roundc))
end
if slotCheck2 > slotSize_2 then
slotSize_2 = slotSize2
Log('Dynamic Slot S2 Size: '..Round(slotSize2, roundc))
else
Log('DSSize: S2 '..Round(slotCheck2, roundc)..' But using default value: '..Round(slotSize_2, roundc))
end
if slotCheck3 > slotSize_3 then
slotSize_3 = slotSize3
Log('Dynamic Slot S3 Size: '..Round(slotSize3, roundc))
else
Log('DSSize: S3 '..Round(slotCheck3, roundc)..' But using default value: '..Round(slotSize_3, roundc))
end
end
if okLong then
if slotCheck1 > slotSizel_1 then
slotSizel_1 = slotSizel1
Log('Dynamic Slot L1 Size: '..Round(slotSizel1, roundc))
else
Log('DSSize: L1 '..Round(slotCheck1, roundc)..' But using default value: '..Round(slotSizel_1, roundc))
end
if slotCheck2 >= slotSizel_2 then
slotSizel_2 = slotSizel2
Log('Dynamic Slot L2 Size: '..Round(slotSizel2, roundc))
else
Log('DSSize: L2 '..Round(slotCheck2, roundc)..' But using default value: '..Round(slotSizel_2,roundc))
end
if slotCheck3 > slotSizel_3 then
slotSizel_3 = slotSizel3
Log('Dynamic Slot L3 Size: '..Round(slotSizel3, roundc))
else
Log('DSSize: L3 '..Round(slotCheck3, roundc)..' But using default value: '..Round(slotSizel_3, roundc))
end
end
else
if okShort then
Log('Manual Slot S1 Size: '..Round(slotSize_1, roundc))
Log('Manual Slot S2 Size: '..Round(slotSize_2, roundc))
Log('Manual Slot S3 Size: '..Round(slotSize_3, roundc))
end
if okLong then
Log('Manual Slot L1 Size: '..Round(slotSizel_1, roundc))
Log('Manual Slot L2 Size: '..Round(slotSizel_2, roundc))
Log('Manual Slot L3 Size: '..Round(slotSizel_3, roundc))
end
end
-- manuell Slots
-- Agressiv Mod1
local slotSpreadl = 0
local slotSpreads = 0
local slotCancels = 0
local slotCancell = 0
local mod3long = 0
local mod3short = 0
if autoMax == true and maxCheck > maxSizeM then
Log("AUTOMATIC MAXIMUM")
maxSizeL_1 = maxCheck * maxSizeL_1 / 100
maxSizeL_2 = maxCheck * maxSizeL_2 / 100
maxSizeL_3 = maxCheck * maxSizeL_3 / 100
maxSizeS_1 = maxCheck * maxSizeS_1 / 100
maxSizeS_2 = maxCheck * maxSizeS_2 / 100
maxSizeS_3 = maxCheck * maxSizeS_3 / 100
maxSizeS_safty0 = maxCheck * maxSizeS_safty0 / 100
maxSizeS_safty = maxCheck * maxSizeS_safty / 100
maxSizeL_safty0 = maxCheck * maxSizeL_safty0 / 100
maxSizeL_safty = maxCheck * maxSizeL_safty / 100
maxSizeL_4 = maxCheck * maxSizeL_4 / 100
minSizeL_4 = maxCheck * minSizeL_4 / 100
if pamt_l < maxSizeL_1 then
slotSpreadl = slotSpread_1
slotCancell = slotCancel_1
slotSizel = slotSizel_1
end
if pamt_l < maxSizeL_2 and pamt_l >= maxSizeL_1 then
slotSizel = slotSizel_2
slotSpreadl = slotSpread_2
slotCancell = slotCancel_2
end
if pamt_l < maxSizeL_3 and pamt_l >= maxSizeL_2 then
slotSizel = slotSizel_3
slotSpreadl = slotSpread_3
slotCancell = slotCancel_3
mod3long = 1
end
if pamt_s < maxSizeS_1 then
slotSpreads = slotSpread_1
slotCancels = slotCancel_1
slotSizes = slotSize_1
end
if pamt_s < maxSizeS_2 and pamt_s >= maxSizeS_1 then
slotSpreads = slotSpread_2
slotCancels = slotCancel_2
slotSizes = slotSize_2
end
if pamt_s < maxSizeS_3 and pamt_s >= maxSizeS_2 then
slotSpreads = slotSpread_3
slotCancels = slotCancel_3
slotSizes = slotSize_3
mod3short = 1
end
else
Log("MANUAL MAXIMUM")
maxSizeL_1 = maxSizeM * maxSizeL_1 / 100
maxSizeL_2 = maxSizeM * maxSizeL_2 /100
maxSizeL_3 = maxSizeM * maxSizeL_3 / 100
maxSizeS_1 = maxSizeM * maxSizeS_1 / 100
maxSizeS_2 = maxSizeM * maxSizeS_2 /100
maxSizeS_3 = maxSizeM * maxSizeS_3 / 100
maxSizeL_4 = maxSizeM * maxSizeL_4 / 100
minSizeL_4 = maxSizeM * minSizeL_4 / 100
maxSizeS_safty0 = maxSizeM * maxSizeS_safty0 / 100
maxSizeS_safty = maxSizeM * maxSizeS_safty / 100
maxSizeL_safty0 = maxSizeM * maxSizeL_safty0 / 100
maxSizeL_safty = maxSizeM * maxSizeL_safty / 100
if pamt_l < maxSizeL_1 then
slotSizel = slotSizel_1
slotSpreadl = slotSpread_1
slotCancell = slotCancel_1
end
if pamt_s < maxSizeS_1 then
slotSizes = slotSize_1
slotSpreads = slotSpread_1
slotCancels = slotCancel_1
end
-- Medium Mod2
if pamt_l < maxSizeL_2 and pamt_l >= maxSizeL_1 then
slotSizel = slotSizel_2
slotSpreadl = slotSpread_2
slotCancell = slotCancel_2
end
if pamt_s < maxSizeS_2 and pamt_s >= maxSizeS_1 then
slotSizes = slotSize_2
slotSpreads = slotSpread_2
slotCancels = slotCancel_2
end
-- Normal Mod3
if pamt_l < maxSizeL_3 and pamt_l >= maxSizeL_2 then
slotSizel = slotSizel_3
slotSpreadl = slotSpread_3
slotCancell = slotCancel_3
mod3long = 1
end
if pamt_s < maxSizeS_3 and pamt_s >= maxSizeS_2 then
slotSizes = slotSize_3
slotSpreads = slotSpread_3
slotCancels = slotCancel_3
mod3short = 1
end
end
if okLong then
Log('LONG Max Size Mod1 '..Round(maxSizeL_1,roundc))
Log('LONG Max Size Mod2 '..Round(maxSizeL_2,roundc))
Log('LONG Max Size Mod3 '..Round(maxSizeL_3,roundc))
Log('LONG Max Start Size Profitmod '..Round(maxSizeL_4,roundc))
Log('LONG Size Stopp Loss '..Round(minSizeL_4,roundc))
Log('LONG SlotSpread '..Round(slotSpreadl,2))
if oksafty then
Log("LONG Max Size Safetymod 1 "..Round(maxSizeL_safty0,roundc))
Log("LONG Max Size Safetymod 2-5 "..Round(maxSizeL_safty,roundc))
end
end
if okShort then
Log('SHORT Max Size Mod1 '..Round(maxSizeS_1,roundc))
Log('SHORT Max Size Mod2 '..Round(maxSizeS_2,roundc))
Log('SHORT Max Size Mod3 '..Round(maxSizeS_3,roundc))
if oksafty then
Log("SHORT Max Size Safetymod 1 "..Round(maxSizeS_safty0,roundc))
Log("SHORT Max Size Safetymod 2-5 "..Round(maxSizeS_safty,roundc))
end
end
local maxgewinn = Load('maxgewinn', 0)
local mingewinn = Load('mingewinn', 0)
local safesell = Load('safesell', 0)
local difflong = 0
local diffshort = 0
local amountsell = 0
if oksafty == true and ProfitMod2 == false then
-- Safty 1
if enterpricedifflongbuy <= safty0 and enterpricedifflongbuy > safty and pamt_l * saftysize0 < maxSizeS_safty0 and pamt_s < pamt_l * saftysize0 and enterpricediffshortsell >= 0 and safesell == 0 then
difflong = ((pamt_l * saftysize0) - pamt_s)
if maxSizeS_safty0 >= (pamt_s + difflong) then
Log('Repurchase Safety1 Number Short - not maximum' ..difflong)
Log('Size Long' ..pamt_l)
Log('Size Short' ..pamt_s)
Log('maxSizeS_safety0' ..maxSizeS_safty0)
Log('safetysize0' ..saftysize0)
slot2(false, 0, difflong , 0, 0.01, proi_s >= -10000 )
end
if maxSizeS_safty0 < (pamt_s + difflong) then
difflong = maxSizeS_safty0 - pamt_s
if difflong > 0 then
Log('Repurchase Safety1 Number Short - Maximum' ..difflong)
Log('Size Long' ..pamt_l)
Log('Size Short' ..pamt_s)
Log('maxSizeS_safety0' ..maxSizeS_safty0)
Log('safetysize0' ..saftysize0)
slot2(false, 0, difflong , 0, 0.01, proi_s >= -10000 )
end
end
end
if enterpricediffshortbuy <= safty0 and enterpricediffshortbuy > safty2 and pamt_l * saftysize0 < maxSizeL_safty0 and pamt_l < pamt_s * saftysize0 and enterpricedifflongsell >= 0 and safesell == 0 then
diffshort = ((pamt_s * saftysize0) - pamt_l)
if maxSizeL_safty0 >= (pamt_l + diffshort) then
Log('Repurchase Safety1 Number Long - not Maximum' ..diffshort)
Log('Size Long' ..pamt_l)
Log('Size Short' ..pamt_s)
Log('maxSizeL_safety0' ..maxSizeL_safty0)
Log('safetysize0' ..saftysize0)
slot2(true, 0, diffshort, 0, 0.01, proi_l >= -10000 )
end
if maxSizeL_safty0 < (pamt_l + diffshort) then
diffshort = maxSizeL_safty0 - pamt_l
if diffshort > 0 then
Log('Repurchase Safety1 Number Long - Maximum' ..diffshort)
Log('Size Long' ..pamt_l)
Log('Size Short' ..pamt_s)
Log('maxSizeL_safety0' ..maxSizeL_safty0)
Log('safetysize0' ..saftysize0)
slot2(true, 0, diffshort, 0, 0.01, proi_l >= -10000 )
end
end
end
if enterpricedifflongsell < safty0 and enterpricedifflongsell > safty2 + backsafty and pamt_l * saftysize2 >= pamt_s and enterpricediffshortsell >= saftyprofitsell and okbacksafty then
modsaftyl = 1
amountsell = pamt_s - pamt_l * saftysize0
sellsafty(false, amountsell, slotCancel)
Log('Sell short Safty 1' ..amountsell)
end
if enterpricedifflongsell > safty0 then
modsaftyl = 0
end
if enterpricediffshortsell > safty0 then
modsaftys = 0
end
if enterpricediffshortsell < safty0 and enterpricediffshortsell >= safty2 + backsafty and pamt_s * saftysize2 >= pamt_l and enterpricedifflongsell >= saftyprofitsell and okbacksafty then
modsaftys = 1
amountsell = pamt_l - pamt_s * saftysize0
sellsafty(true, amountsell, slotCancel)
Log('Sell long Safty 1' ..amountsell)
end
-- Safty 2-5
local modsaftyl = Load('modsaftyl', 0)
local modsaftys = Load('modsaftys', 0)
if enterpricediffshortsell > safty2 then
safes = 0
else
safes = 1
end
if enterpricedifflongsell > safty2 then
safel = 0
else
safel =1
end
-- Safty 2
if enterpricedifflongsell < safty2 and enterpricedifflongsell > safty3 + backsafty and pamt_l * saftysize3 >= pamt_s and enterpricediffshortsell >= saftyprofitsell and okbacksafty then
modsaftyl = 2
amountsell = pamt_s - pamt_l * saftysize2
sellsafty(false, amountsell, slotCancel)
Log('Sell short Safety 2' ..amountsell)
end
if enterpricedifflongsell <= safty2 and enterpricedifflongsell > safty3 and pamt_l * saftysize2 > pamt_s and enterpricediffshortsell >= 0 and safesell == 0 then
modsaftyl = 2
difflong = ((pamt_l * saftysize2) - pamt_s)
if difflong + pamt_s <= maxSizeS_safty then
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
else
difflong = maxSizeS_safty - pamt_s
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
end
Log('Buy short Safety 2' ..difflong)
end
if enterpricediffshortsell < safty2 and enterpricediffshortsell >= safty3 + backsafty and pamt_s * saftysize3 >= pamt_l and enterpricedifflongsell >= saftyprofitsell and okbacksafty then
modsaftys = 2
amountsell = pamt_l - pamt_s * saftysize2
sellsafty(true, amountsell, slotCancel)
Log('Sell long Safety 2' ..amountsell)
end
if enterpricediffshortsell < safty2 and enterpricediffshortsell > safty3 and pamt_s * saftysize2 > pamt_l and proi_l >= 0 and safesell == 0 then
modsaftys = 2
diffshort = ((pamt_s * saftysize2) - pamt_l)
if diffshort + pamt_l <= maxSizeL_safty then
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
else
diffshort = maxSizeL_safty - pamt_l
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
end
Log('Buy long Safety 2' ..diffshort)
end
-- Safty 3
if enterpricedifflongsell < safty3 and enterpricedifflongsell > safty4 + backsafty and pamt_l * saftysize4 >= pamt_s and enterpricediffshortsell >= saftyprofitsell and okbacksafty then
amountsell = pamt_s - pamt_l * saftysize3
sellsafty(false, amountsell, slotCancel)
Log('Sell short Safety 3' ..amountsell)
modsaftyl = 3
end
if enterpricedifflongsell <= safty3 and enterpricedifflongsell > safty4 and pamt_l * saftysize3 > pamt_s and enterpricediffshortsell >= 0 and safesell == 0 then
modsaftyl = 3
difflong = ((pamt_l * saftysize3) - pamt_s)
if difflong + pamt_s <= maxSizeS_safty then
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
else
difflong = maxSizeS_safty - pamt_s
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
end
Log('Buy short Safety 3' ..difflong)
end
if enterpricediffshortsell < safty3 and enterpricediffshortsell > safty4 + backsafty and pamt_s * saftysize4 >= pamt_l and enterpricedifflongsell >= saftyprofitsell and okbacksafty then
modsaftys = 3
amountsell = pamt_l - pamt_s * saftysize3
sellsafty(true, amountsell, slotCancel)
Log('Sell long Safety 3' ..amountsell)
end
if enterpricediffshortsell < safty2 and enterpricediffshortsell > safty3 and pamt_s * saftysize3 > pamt_l and proi_l >= 0 and safesell == 0 then
modsaftys = 3
diffshort = ((pamt_s * saftysize3) - pamt_l)
if diffshort + pamt_l <= maxSizeL_safty then
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
else
diffshort = maxSizeL_safty - pamt_l
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
end
Log('Buy long Safety 3' ..diffshort)
end
-- Safty 4
if enterpricedifflongsell < safty4 and enterpricedifflongsell > safty + backsafty and pamt_l * saftysize >= pamt_s and enterpricediffshortsell >= saftyprofitsell and okbacksafty then
modsaftyl = 4
amountsell = pamt_s - pamt_l * saftysize4
sellsafty(false, amountsell, slotCancel)
Log('Sell short Safety 4' ..amountsell)
end
if enterpricedifflongsell <= safty4 and enterpricedifflongsell > safty and pamt_l * saftysize4 > pamt_s and enterpricediffshortsell >= 0 and safesell == 0 then
modsaftyl = 4
difflong = ((pamt_l * saftysize4) - pamt_s)
if difflong + pamt_s <= maxSizeS_safty then
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
else
difflong = maxSizeS_safty - pamt_s
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
end
Log('Buy short Safety 4' ..difflong)
end
if enterpricediffshortsell < safty4 and enterpricediffshortsell > safty + backsafty and pamt_s * saftysize >= pamt_l and enterpricedifflongsell >= saftyprofitsell and okbacksafty then
modsaftys = 4
amountsell = pamt_l - pamt_s * saftysize4
sellsafty(true, amountsell, slotCancel)
Log('Sell long Safety 4' ..amountsell)
end
if enterpricediffshortsell < safty4 and enterpricediffshortsell > safty and pamt_s * saftysize4 > pamt_l and proi_l >= 0 and safesell == 0 then
modsaftys = 4
diffshort = ((pamt_s * saftysize4) - pamt_l)
if diffshort + pamt_l <= maxSizeL_safty then
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
else
diffshort = maxSizeL_safty - pamt_l
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
end
Log('Buy long Safety 4' ..diffshort)
end
-- Safty 5
if enterpricedifflongsell <= safty and pamt_l * saftysize > pamt_s and enterpricediffshortsell >= 0 and safesell == 0 then
modsaftyl = 5
difflong = ((pamt_l * saftysize) - pamt_s)
if difflong + pamt_s <= maxSizeS_safty then
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
else
difflong = maxSizeS_safty - pamt_s
slot2(false, 0, difflong , 0, 0.01, proi_s >= 0 )
end
end
if enterpricediffshortsell < safty and pamt_s * saftysize > pamt_l and enterpricedifflongsell >= 0 and safesell == 0 then
modsafty5 = 5
diffshort = ((pamt_s * saftysize) - pamt_l)
if diffshort + pamt_l <= maxSizeL_safty then
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
else
diffshort = maxSizeL_safty - pamt_l
slot2(true, 0, diffshort, 0, 0.01, proi_l >= 0 )
end
end
Log('Safetymod long'..modsaftyl)
Log('Safetymod short'..modsaftys)
Save('modsaftyl', modsaftyl)
Save('modsaftys', modsaftys)
-- Profit Safty
local maxgewinn = Load('maxgewinn', 0)
local mingewinn = Load('mingewinn', 0)
local safesell = Load('safesell', 0)
local gewinn_s = profitcalcshort
local gewinn_l = profitcalclong
local gewinn = posprofitshort + posprofitlong
if maxgewinn < gewinn and gewinn >= saftyprofit then
maxgewinn = gewinn
mingewinn = maxgewinn * dynprofitsafty
end
if gewinn < saftyprofit then
maxgewinn = 0
mingewinn = 0
end
if gewinn > saftyprofit and ((enterpricediffshortsell < safty and pamt_l > pamt_s) or (enterpricedifflongsell < safty and pamt_s > pamt_l) ) then
if gewinn <= mingewinn then
safesell = 1
maxSizeL = 0
maxSizeS = 0
reduceSize = 100
end
end
if safesell == 1 and pamt_l == 0 and pamt_s ==0 then
safesell = 0
end
if safesell == 1 then
maxSizeL = 0
maxSizeS = 0
reduceSize = 100
end
Log('Dissolve Safetymod, sell everything when 1 - '..safesell)
Log('Safetymod Profit'..gewinn)
Log('Safetymod Max Profit'..maxgewinn)
Log('Safetymod Min Profit'..mingewinn)
Save('maxgewinn', maxgewinn)
Save('mingewinn', mingewinn)
Save('safesell', safesell)
end
-- Buy Limit current Price
local limit_open_akt_long_now = 0
if limit_open_akt_long > 0 and limit_long_akt_aktiv != 1 then
limit_open_akt_long_now = limit_open_akt_long
slot2(true, 42, limit_open_akt_long_now , 0, 0.2, proi_l >= hedgeRoi )
limit_long_akt_aktiv = 1
limit_open_akt_long_now = 0
end
if limit_open_akt_long == 0 then
limit_long_akt_aktiv = 0
end
local limit_open_akt_short_now = 0
if limit_open_akt_short > 0 and limit_short_akt_aktiv != 1 then
limit_open_akt_short_now = limit_open_akt_short
slot2(false, 42, limit_open_akt_short_now , 0, 1, proi_s >= hedgeRoi )
limit_short_akt_aktiv = 1
limit_open_akt_short_now = 0
end
if limit_open_akt_short == 0 then
limit_short_akt_aktiv = 0
end
-- Buy Limit select Price
local limit_open_long_now = 0
if limit_open_long > 0 and limit_preis_long > 0 and limit_long_aktiv != 1 then
limit_open_long_now = limit_open_long
slot3(true, 42, limit_open_long_now , 0, 1, proi_l >= hedgeRoi )
limit_long_aktiv = 1
limit_open_long_now = 0
end
if limit_open_long == 0 then
limit_long_aktiv = 0
end
local limit_open_short_now = 0
if limit_open_short > 0 and limit_preis_short > 0 and limit_short_aktiv != 1 then
limit_open_short_now = limit_open_short
slot4(false, 42, limit_open_short_now , 0, 1, proi_s >= hedgeRoi )
limit_short_aktiv = 1
end
if limit_open_short == 0 then
limit_short_aktiv = 0
end
if ProfitMod2 == true and okShort == false and okLong == true then
Log("ProfitMod2")
-- longmod aktiv
local longmod = Load('longmod', 0)
local maxroislotlong_save = Load('maxroislotlong_save', maxroislotlong)
local slroislotlong_save = Load('slroislotlong_save', slroislotlong)
local maxSizeL_4_save = Load('maxSizeL_4_save', maxSizeL_4)
local minSizeL_4_save = Load('minSizeL_4_save', minSizeL_4)
if enterpricelong1 * ((100 + maxroislotlong_save) /100 ) < cp.ask and aep_l > 0 then
longmod = 1
Log("Profitmod activates")
end
if pamt_l == 0 then
longmod = 0
maxroislotlong_save = maxroislotlong
slroislotlong_save = slroislotlong
maxSizeL_4_save = maxSizeL_4
minSizeL_4_save = minSizeL_4
leverage_save = leverage
minSizeL_4_save = minSizeL_4
end
-- Sell longmod
if longmod == 1 and pamt_l >= maxSizeL_4_save and enterpricelong1 * ((100 + maxroislotlong_save) /100 ) < cp.bid then
amountsell = Round((pamt_l * sellslotlong), roundc)
sellprofit(true, amountsell, slotCancel_4)
LogWarning ("LONGMOD SELL"..amountsell)
if oksldyn then
maxroislotlong_save = maxroislotlong_save * slminrois
slroislotlong_save = slroislotlong_save * slminrois
maxSizeL_4_save = maxSizeL_4_save * chsize
LogWarning ("Profit increases! Profit: "..maxroislotlong_save.."% SL: "..slroislotlong_save.."% Maximum Size Profitmod "..maxSizeL_4_save.."Contracte" )
if okchle and maxSizeL_4_save >= maxCheck and maxchle > leverage_save then
leverage_save = leverage_save + 1
end
if okchle and maxSizeL_4_save >= maxCheck and maxchle <= leverage_save then
maxSizeL_4_save = maxCheck
end
end
end
if longmod == 0 then
maxroislotlong_save = maxroislotlong
slroislotlong_save = slroislotlong
maxSizeL_4_save = maxSizeL_4
minSizeL_4_save = minSizeL_4
leverage_save = leverage
minSizeL_4_save = minSizeL_4
if pamt_l > maxSizeL_4_save then
maxSizeL_4_save = pamt_l
end
end
if longmod == 1 and enterpricelong1 * ((100 + slroislotlong_save) /100 ) >= cp.bid then
amountsell = Round((pamt_l - minSizeL_4_save), roundc)
LogWarning ("STOP LOSS "..amountsell.." Profitnmod deactivated")
if amountsell >= 1 then
longstoploss(true, amountsell, 0.4)
end
if pamt_l <= minSizeL_4_save then
longmod = 0
if slminrois > 1 then
maxroislotlong_save = maxroislotlong
slroislotlong_save = slroislotlong
maxSizeL_4_save = maxSizeL_4
leverage_save = leverage
LogWarning ("Profit margin set to start! Profit: "..maxroislotlong_save.."% SL: "..slroislotlong_save.."% Profitmod auf "..Round(maxSizeL_4_save,0).."Contracte")
end
end
end
LogWarning("Profitmod Start: "..maxroislotlong_save.."% Stopp Loss "..slroislotlong_save.."% Maximum Size Profitmod "..Round(maxSizeL_4_save,0).." LONGMOD AKTIV:"..longmod )
Save('longmod', longmod)
Save('maxroislotlong_save', maxroislotlong_save)
Save('slroislotlong_save', slroislotlong_save)
Save('maxSizeL_4_save', maxSizeL_4_save)
Save('minSizeL_4_save', minSizeL_4_save)
if enterpricelong1 * ((100 + maxroislotlong_save) /100 ) < cp.ask and pamt_l < maxSizeL_4_save then
local amountbuy = Round(((pamt_l * slotSizel_4) - pamt_l), roundc)
slot2(true, 20, amountbuy, slotSpread_4, slotCancel_4, ( proi_s >= hedgeRoi))-- long slot
end
else
Log("ProfitMod1")
if safel == 0 and safes == 0 and safesell == 0 then
updateTakeProfit(true, enterpricelong1, takeProfitL, slotCancel)
updateTakeProfit(false, enterpriceshort1, takeProfitS, slotCancel)
end
leverage_save = leverage
end
Save('leverage_save', leverage_save)
-- da logica
-- take profit
-- risk management
if safesell ==1 or reduceSize > 0 then
updatePositionManagement(true, pamt_l, maxSizeL, slotCancel)
updatePositionManagement(false, pamt_s, maxSizeS, slotCancel)
end
-- update slots
if okLong == true then
if mod3long == 1 and enterpricedifflongsell >= mindist then
Log('Mod 3 Long Distance too small, no repurchasing!')
else
if safel == 1 or safesell == 1 or pamt_l >= maxSizeL_3 then
Log('Max long or saftymod')
else
for i = 1, slotCount do
slot(true, i, slotSizel, slotSpreadl, slotCancell, (pamt_s == 0 and signal == 1) or proi_s >= hedgeRoi)-- long slot
end
end
end
end
if okShort == true then
if mod3short == 1 and enterpricediffshortsell >= mindist then
Log('Mod 3 Short Distance too small, no repurchasing!')
else
if safes == 1 or safesell == 1 or pamt_s >= maxSizeS_3 then
Log('Max short or saftymod')
else
for i = 1, slotCount do
slot(false, i, slotSizes , slotSpreads, slotCancels, (pamt_l == 0 and signal == -1) or proi_l >= hedgeRoi) -- short slot
end
end
end
end
if enterpricelong1 > 0 then
local posId = getPositionId(true)
Plot(0, 'AvgEP Long', enterpricelong1, {c=Teal, id=posId, w=2})
end
if enterpriceshort1 > 0 then
local posId = getPositionId(false)
Plot(0, 'AvgEP Short', enterpriceshort1, {c=Purple, id=posId, w=2})
end
if okLong then Log('Size LONG '..pamt_l) end
if okShort then Log('Size SHORT '..pamt_s) end
if okLong then Log('profitcalclong aktuell '..Parse(profitcalclong, StringType)) end
if okShort then Log('profitcalcshort aktuell'..Parse(profitcalcshort, StringType)) end
LogWarning('Positions Profit: '..Parse(profitpositions, StringType))
if okLong then LogWarning('LONG Difference Entry '..Parse(enterpricedifflongsell, StringType).."%") end
if okLong then LogWarning('LONG own Enter Price: '..Parse(enterpricelong1, StringType)) end
if okShort then LogWarning('SHORT Difference Entry '..Parse(enterpricediffshortsell, StringType).."%") end
if okShort then LogWarning('SHORT own Enter Price: '..Parse(enterpriceshort1, StringType)) end
Log("Leverage: "..leverage_save)
Save('hedge_longPosId', hedge_longPosId)
Save('hedge_shortPosId', hedge_shortPosId)
Log(' ')
end
OptimizedForInterval(interval, go)3 Comments
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Hi
Can I ask what the platform to use the code
Thanks
HTS v3
:fire: