Firetron’s Hedged DCA

--  ============================================================================
--    Firetron's Hedged DCA
--
--    Runs a long and a short each doing dollar cost averaging strategy.
--    Expands positions on an interval and exits whenever there is a profit.
--
--    Custom Command Dependencies:
--    Firetron's CurrentVsEntry
--    Firetron's FormatRoundedPercent
--    Firetron's FormatRoundedQuoteCurrency
--    Firetron's ReportMaxRiskPoint
--    Firetron's ReportOpenPositions
--    Firetron's TrueOnInterval
--
--    Discord:  @FiretronP75
--  ============================================================================

--  ========================================================
--    Configuration
--  ========================================================

EnableHighSpeedUpdates()
HideOrderSettings()
HideTradeAmountSettings()

--  ========================================================
--    Variables
--  ========================================================

local logHRule = '------------------------------------------------------------';

--  ------------------------------------
--    Enumerations
--  ------------------------------------

local booleanOption = {
  no  = 'No',
  yes = 'Yes',
}

local ProfitType = {
  marketChange = 'Market Change',
  positionROI  = 'Position ROI',
}

--  ------------------------------------
--    Positions
--  ------------------------------------

local longPositionId  = Load('longPositionId',  '')
local shortPositionId = Load('shortPositionId', '')

--  ========================================================
--    Inputs
--  ========================================================

local group   = ''
local label   = ''
local tooltip = ''

--  ------------------------------------
--    Testing
--  ------------------------------------

local fee               = Fee()
local isVerbose         = booleanOption.no
local verbosityInterval = 60

group = ' Testing'

label   = 'Fee Percentage'
tooltip = 'For backtests and simulated trading.'
fee     = Input(label, fee, tooltip, group)

label     = 'Verbose Logging'
tooltip   = 'Log extra details. Will run slower.'
isVerbose = InputOptions(label, isVerbose, booleanOption, tooltip, group)

label             = 'Verbose Logging Interval'
tooltip           = 'Time between verbose logging.'
verbosityInterval = InputInterval(label, verbosityInterval, tooltip, group)

--  ------------------------------------
--    Main
--  ------------------------------------

local expandBy      = MinimumTradeAmount()
local interval      = 1440
local profitTrigger = 10
local profitType    = ProfitType.positionROI

group = 'Main'

label    = 'Expand By'
tooltip  = 'Number of contracts to expand by each interval.'
expandBy = Input(label, expandBy, tooltip, group)

label    = 'Interval'
tooltip  = 'Time between position expansions.'
interval = InputInterval(label, interval, tooltip, group)

label         = 'Profit Trigger'
tooltip       = 'Percent profit that will trigger an exit.'
profitTrigger = Input(label, profitTrigger, tooltip, group)

label      = 'Profit Type'
tooltip    = 'Calculate profit using either position ROI or simple change in market price. In other words, you are specifying whether or not your profit trigger is taking leverage into account or not.'
profitType = InputOptions(label, profitType, ProfitType, tooltip, group)

--  ========================================================
--    Functions
--  ========================================================

--  ------------------------------------
--    Debug
--  ------------------------------------

function GetDebugInfo ()

  if isVerbose == booleanOption.no then
    return {
      isVerbose = false,
    }
  end

  if not CC_TrueOnInterval(verbosityInterval) then
    return {
      isVerbose = false,
    }
  end

  local currentPrice = CurrentPrice()

  return {
    baseCurrency = BaseCurrency(),
    currentAsk   = CC_FormatRoundedQuoteCurrency(currentPrice.ask),
    currentBid   = CC_FormatRoundedQuoteCurrency(currentPrice.bid),
    isVerbose    = true,
  }

end

--  ------------------------------------
--    Exiting
--  ------------------------------------

function Exit ()

  local debugInfo = GetDebugInfo()

  ExitCheckLong( debugInfo)
  ExitCheckShort(debugInfo)

end

--  ----------------

function ExitCheckLong (debugInfo)

  local longProfit

  if longPositionId != '' then
    longProfit = profitType == ProfitType.positionROI and GetPositionROI(longPositionId) or CC_CurrentVsEntry(longPositionId)
  end

  if longPositionId == '' then
    if debugInfo.isVerbose then
      Log(logHRule)
      Log('No long position.')
    end
  elseif longProfit >= profitTrigger then
    ExitLong()
  elseif debugInfo.isVerbose then
    Log(logHRule)
    Log('Long profit is '..CC_FormatRoundedPercent(longProfit))
    Log(debugInfo.baseCurrency..' bid is @ '..debugInfo.currentBid)
  end

end

--  ----------------

function ExitCheckShort (debugInfo)

  local shortProfit

  if shortPositionId != '' then
    shortProfit = profitType == ProfitType.positionROI and GetPositionROI(shortPositionId) or CC_CurrentVsEntry(shortPositionId)
  end

  if shortPositionId == '' then
    if debugInfo.isVerbose then
      Log(logHRule)
      Log('No short position.')
    end
  elseif shortProfit >= profitTrigger then
    ExitShort()
  elseif debugInfo.isVerbose then
    Log(logHRule)
    Log('Short profit is '..CC_FormatRoundedPercent(shortProfit))
    Log(debugInfo.baseCurrency..' ask is @ '..debugInfo.currentAsk)
  end

end

--  ----------------

function ExitLong ()

  local parameters = {
    positionId = longPositionId,
    type = MarketOrderType,
  }

  Log(logHRule)
  LogWarning('Taking profit on long.')
  PlaceExitPositionOrder(parameters);
  Save('longPositionId', '')

end

--  ----------------

function ExitShort ()

  local parameters = {
    positionId = shortPositionId,
    type = MarketOrderType,
  }

  Log(logHRule)
  LogWarning('Taking profit on short.')
  PlaceExitPositionOrder(parameters);
  Save('shortPositionId', '')

end

--  ------------------------------------
--    Going
--  ------------------------------------

function Go ()

  if longPositionId == '' then

    longPositionId = NewGuid()
    Save('longPositionId', longPositionId)

  end

  Log(logHRule)
  GoLong()

  if shortPositionId == '' then

    shortPositionId = NewGuid()
    Save('shortPositionId', shortPositionId)

  end

  GoShort()

end

--  ----------------

function GoLong ()

  local parameters = {
    type = MarketOrderType,
    positionId = longPositionId,
  }

  PlaceGoLongOrder(0, expandBy, parameters)

end

--  ----------------

function GoShort ()

  local parameters = {
    type = MarketOrderType,
    positionId = shortPositionId,
  }

  PlaceGoShortOrder(0, expandBy, parameters)

end

--  ========================================================
--    Execution
--  ========================================================

SetFee(fee)

CC_ReportOpenPositions()
CC_ReportMaxRiskPoint()

Exit()
OptimizedForInterval(interval, Go)