[pshaiBot] RSI-VWAP Trading Bot for Deribit (port)

-- RSI-VWAP trading bot for Deribit
-- ported by pshai
--
-- original post: https://docs.wunderbit.co/free-tradingview-strategies/trading-bot-for-deribit/rsi-vwap-trading-bot-for-deribit

EnableHighSpeedUpdates(true)

-- not used in script but might be useful
function valuewhen(trigger, values, offset)
    local prev = Load('vw_prev', 0)
    offset = not offset and 0 or offset
    if trigger then
        local type = GetType(values)
        if type == ArrayDataType or type == TextDataType then
            prev = values[offset+1]
        elseif type == FunctionDataType then
            prev = values()
        else
            prev = values
        end
    end

    Save('vw_prev', prev)
    return prev
end

cp = CurrentPrice()

--/ TREND
InputGroupHeader('Trend Ribbon')
ribbon_period = Input("1. Period", 14)
hsp = CC_HighSpeedPrices()
close = hsp.close

leadLine1 = EMA(close, ribbon_period)
leadLine2 = SMA(close, ribbon_period)

-- p1 = plot(leadLine1, color= #53b987, title="EMA", transp = 50, linewidth = 1)
-- p2 = plot(leadLine2, color= #eb4d5c, title="SMA", transp = 50, linewidth = 1)
-- fill(p1, p2, transp = 60, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)

-- Initial Inputs
InputGroupHeader("RSI-VWAP")
Act_RSI_VWAP_long = Input("1. RSI VOLUME WEIGHTED AVERAGE PRICE LONG", true)
RSI_VWAP_length_long = Input("2. RSI-VWAP LENGTH LONG", 20)
RSI_VWAP_overSold_long = Input("3. RSI-VWAP OVERSOLD LONG", 24)
RSI_VWAP_overBought_long = Input("4. RSI-VWAP OVERBOUGHT LONG", 94)

Act_RSI_VWAP_short = Input("5. RSI VOLUME WEIGHTED AVERAGE PRICE SHORT", true)
RSI_VWAP_length_short = Input("6. RSI-VWAP LENGTH SHORT", 16)
RSI_VWAP_overSold_short = Input("7. RSI-VWAP OVERSOLD SHORT", 12)
RSI_VWAP_overBought_short = Input("8. RSI-VWAP OVERBOUGHT SHORT", 66)

-- RSI with VWAP as source
RSI_VWAP_long = RSI(CC_VWAP({resetInterval=1440}), RSI_VWAP_length_long)
RSI_VWAP_short = RSI(CC_VWAP({resetInterval=1440}), RSI_VWAP_length_short)

-- Plot Them Separately.
-- Plotting LONG, Put overlay=false
-- r=plot(RSI_VWAP_long, color = RSI_VWAP_long > RSI_VWAP_overBought_long ? color.red : RSI_VWAP_lnog < RSI_VWAP_overSold_long ? color.lime : color.blue, title="rsi", linewidth=2, style=plot.style_line)
-- h1=plot(RSI_VWAP_overBought_long, color = color.gray, style=plot.style_stepline)
-- h2=plot(RSI_VWAP_overSold_long, color = color.gray, style=plot.style_stepline)
-- fill(r,h1, color = RSI_VWAP_long > RSI_VWAP_overBought_long ? color.red : na, transp = 60)
-- fill(r,h2, color = RSI_VWAP_long < RSI_VWAP_overSold_long ? color.lime : na, transp = 60)

-- Plotting SHORT, Put overlay=false
-- r=plot(RSI_VWAP_short, color = RSI_VWAP_short > RSI_VWAP_overBought_short ? color.red : RSI_VWAP_short < RSI_VWAP_overSold_short ? color.lime : color.blue, title="rsi", linewidth=2, style=plot.style_line)
-- h1=plot(RSI_VWAP_overBought_short, color = color.gray, style=plot.style_stepline)
-- h2=plot(RSI_VWAP_overSold_short, color = color.gray, style=plot.style_stepline)
-- fill(r,h1, color = RSI_VWAP_short > RSI_VWAP_overBought_short ? color.red : na, transp = 60)
-- fill(r,h2, color = RSI_VWAP_short < RSI_VWAP_overSold_short ? color.lime : na, transp = 60)


-- position information
position = PositionContainer()
aep = position.enterPrice


------/  STRATEGY Take Profit / Stop Loss --------
InputGroupHeader("Take-Profit / Stop-Loss")
------ LONG ------
long_tp_inp = Input('1. Long Take Profit %', 20)
long_sl_inp = Input('2. Long Stop Loss %', 2.5)
long_trailing = Input('3. Trailing Stop Long', 100)

--long_take_level = aep * (1 + long_tp_inp)
--long_stop_level = aep * (1 - long_sl_inp)

------ SHORT ------
short_tp_inp = Input('4. Short Take Profit %', 8.5)
short_sl_inp = Input('5. Short Stop Loss %', 4.5)
short_trailing = Input('6. Trailing Stop short', 100)

--short_take_level = aep * (1 - short_tp_inp)
--short_stop_level = aep * (1 + short_sl_inp)

--/Strategy_Conditions
--/ LONG --/
entry_long =CrossOver(RSI_VWAP_long, RSI_VWAP_overSold_long) and leadLine2 < leadLine1
entry_price_long=valuewhen(entry_long,close,0)
exit_long =CrossUnder(RSI_VWAP_long, RSI_VWAP_overBought_long) or TrailingStopLoss(long_trailing) or StopLoss(long_sl_inp) or TakeProfit(long_tp_inp)

--/ SHORT --/
entry_short =CrossUnder(RSI_VWAP_short, RSI_VWAP_overBought_short) and leadLine2 > leadLine1
entry_price_short=valuewhen(entry_short,close,0)
exit_short =CrossOver(RSI_VWAP_short, RSI_VWAP_overSold_short) or TrailingStopLoss(short_trailing) or StopLoss(short_sl_inp) or TakeProfit(short_tp_inp)


function placeOrder(isLong, isExit)
    local name = (isLong and 'L' or 'S') .. (isExit and 'X' or '')
    local oid = Load(name..'oid', '')
    local timer = Load(name..'timer', 0)
    local cmd = not isExit and (isLong and PlaceGoLongOrder or PlaceGoShortOrder) or (isLong and PlaceExitLongOrder or PlaceExitShortOrder)
    local amount = not isExit and TradeAmount() or position.amount
    local price = not isExit and (isLong and cp.bid or cp.ask) or (isLong and cp.ask or cp.bid)

    if oid != '' then
        local order = OrderContainer(oid)

        if oid.isOpen then
            return
        else
            oid = ''

            local remaining = order.executedAmount - order.filledAmount

            if remaining > 0 and IsTradeAmountEnough(PriceMarket(), price, remaining) then
                amount = ParseTradeAmount(PriceMarket(), price, remaining)
                timer = 0
            end
        end
    end

    if timer < Time() then
        oid = cmd(price, amount, {note = name})
        timer = Time() + CurrentInterval() * 60
    end

    Save(name..'oid', oid)
    Save(name..'timer', timer)
end


-- da logica
if entry_long and (position.amount == 0 or position.isLong) then
    placeOrder(true)
elseif entry_short and (position.amount == 0 or position.isShort) then
    placeOrder(false)
elseif exit_long and (position.amount > 0 and position.isLong) then
    placeOrder(true, true)
elseif exit_short and (position.amount > 0 and position.isShort) then
    placeOrder(false, true)
end