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| /* eslint-disable no-unused-vars */ | ||
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| /* | ||
| * This is the entry point of program. Currently, there is just one strategy but this will be the place where | ||
| * a specific strategy would be selected to start the program with. In the future, this project could use | ||
| * a command line interface here for controlling it. | ||
| * This is the entry point of program. Select the strategy or analyzer(s) | ||
| */ | ||
| const momentumStrategyStart = require("./strategies/momentumTrading/momentumTrading"); | ||
| const momentumStrategyAnalyzerStart = require("./strategies/momentumTrading/momentumTradingAnalyzer"); | ||
| //Make sure to configure the momentumStrategy in ./strategies/momentumTrading/momentumTrading.js before launching | ||
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| const reverseMomentumStrategyStart = require("./strategies/reverseMomentumTrading/reverseMomentumTrading"); | ||
| const reverseMomentumStrategyAnalyzerStart = require("./strategies/reverseMomentumTrading/reverseMomentumTradingAnalyzer"); | ||
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| /*** Make sure to configure the momentumStrategy in ./strategies/momentumTrading/momentumTrading.js before launching ***/ | ||
| //Launches the momentum strategy and starts the bot: | ||
| momentumStrategyStart(); | ||
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| //Launches the momentum strategy anaylzer for back testing: | ||
| //momentumStrategyAnalyzerStart(); | ||
| //momentumStrategyAnalyzerStart(); | ||
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| /*** Make sure to configure the momentumStrategy in ./strategies/momentumTrading/momentumTrading.js before launching ***/ | ||
| //Launches the reverse momentum strategy and starts the bot: | ||
| //reverseMomentumStrategyStart(); | ||
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| //Launches the reverse momentum strategy anaylzer for back testing: | ||
| //reverseMomentumStrategyAnalyzerStart(); |
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| # Momentum Trading Strategy | ||
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| ## Summary: | ||
| This trading strategy works specifying a buy and sell delta. When the bot starts it waits for the buy delta condition to be reached. Say for example the buy delta is 2%, once the price rises to meet that delta then the boy will trigger a buy in. The idea behind momentum trading is that when the price goes up there's momentum that will continue to rise up. The Sell delta price is the opposite of the buy, where when the price drops by that amount it will sell out. |
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| /* | ||
| * This module contains methods to buy a position and sell a position. It uses a limit order then loops checking the order | ||
| * status until the order either completes, OR after 1 minute it will cancel the order. | ||
| */ | ||
| const pino = require("pino"); | ||
| const logger = pino({ level: process.env.LOG_LEVEL || "info" }); | ||
| const fileSystem = require("fs"); | ||
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| /** | ||
| * Halts the program from running temporarily to prevent it from hitting API call limits | ||
| * | ||
| * @param {number} ms -> the number of miliseconds to wait | ||
| */ | ||
| function sleep(ms) { | ||
| return new Promise((resolve) => { | ||
| setTimeout(resolve, ms); | ||
| }); | ||
| } | ||
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| /** | ||
| * Places a sell limit order then loops to check the order status until the order is filled. Once filled, the method updates the positionInfo, does any depositing based on the | ||
| * depositConfig, then ends. If the Order is done for a reason other than filled, or a profit was not made then the method throws an exception. If the order doesn't get filled | ||
| * in the alloted time span (1 minute) then the method cancels the order and throws an exception. | ||
| * | ||
| * @param {Number} balance | ||
| * @param {Object} accountIds | ||
| * @param {Object} positionInfo | ||
| * @param {Number} currentPrice | ||
| * @param {Object} authedClient | ||
| * @param {Object} coinbaseLibObject | ||
| * @param {Object} productInfo | ||
| * @param {Object} depositConfig | ||
| * @param {Object} tradingConfig | ||
| */ | ||
| async function sellPosition(balance, accountIds, positionInfo, currentPrice, authedClient, coinbaseLibObject, productInfo, depositConfig, tradingConfig) { | ||
| try { | ||
| const priceToSell = (currentPrice - (currentPrice * tradingConfig.orderPriceDelta)).toFixed(productInfo.quoteIncrementRoundValue); | ||
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| let orderSize; | ||
| if (productInfo.baseIncrementRoundValue === 0) { | ||
| orderSize = Math.trunc(balance); | ||
| } else { | ||
| orderSize = (balance).toFixed(productInfo.baseIncrementRoundValue); | ||
| } | ||
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| const orderParams = { | ||
| side: "sell", | ||
| price: priceToSell, | ||
| size: orderSize, | ||
| product_id: productInfo.productPair, | ||
| time_in_force: "FOK" | ||
| }; | ||
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| logger.info("Sell order params: " + JSON.stringify(orderParams)); | ||
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| //Place sell order | ||
| const order = await authedClient.placeOrder(orderParams); | ||
| logger.debug(order); | ||
| const orderID = order.id; | ||
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| //Loop to wait for order to be filled: | ||
| for (let i = 0; i < 10 && positionInfo.positionExists === true; ++i) { | ||
| let orderDetails; | ||
| logger.debug("Checking sell order result..."); | ||
| await sleep(6000); //wait 6 seconds | ||
| try { | ||
| orderDetails = await authedClient.getOrder(orderID); //Get latest order details | ||
| } catch(err) { | ||
| const message = "Error occured when attempting to get the order."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| continue; | ||
| } | ||
| logger.debug(orderDetails); | ||
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| if (orderDetails.status === "done") { | ||
| if (orderDetails.done_reason !== "filled") { | ||
| throw new Error("Sell order did not complete due to being filled? done_reason: " + orderDetails.done_reason); | ||
| } else { | ||
| positionInfo.positionExists = false; | ||
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| //Update positionData file: | ||
| try { | ||
| const writeData = JSON.stringify(positionInfo); | ||
| fileSystem.writeFileSync("positionData.json", writeData); | ||
| } catch(err) { | ||
| const message = "Error, failed to write the positionInfo to the positionData file in sellPosition. Continuing as normal but but positionDataTracking might not work correctly."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| } | ||
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| let profit = parseFloat(orderDetails.executed_value) - parseFloat(orderDetails.fill_fees) - positionInfo.positionAcquiredCost; | ||
| logger.info("Profit: " + profit); | ||
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| if (profit > 0) { | ||
| //Check deposit config: | ||
| if (depositConfig.depositingEnabled) { | ||
| const transferAmount = (profit * depositConfig.depositingAmount).toFixed(2); | ||
| const currency = productInfo.quoteCurrency; | ||
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| //Transfer funds to depositProfileID | ||
| const transferResult = await coinbaseLibObject.profileTransfer(accountIds.tradeProfileID, accountIds.depositProfileID, currency, transferAmount); | ||
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| logger.debug("transfer result: " + transferResult); | ||
| } | ||
| } else { | ||
| throw new Error("Sell was not profitable, terminating program. profit: " + profit); | ||
| } | ||
| } | ||
| } | ||
| } | ||
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| //Check if order wasn't filled and needs cancelled: | ||
| if (positionInfo.positionExists === true) { | ||
| const cancelOrder = await authedClient.cancelOrder(orderID); | ||
| if (cancelOrder !== orderID) { | ||
| throw new Error("Attempted to cancel failed order but it did not work. cancelOrderReturn: " + cancelOrder + "orderID: " + orderID); | ||
| } | ||
| } | ||
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| } catch (err) { | ||
| const message = "Error occured in sellPosition method."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| } | ||
| } | ||
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| /** | ||
| * This method places a buy limit order and loops waiting for it to be filled. Once filled it will update the positionInfo and end. If the | ||
| * order ends for a reason other then filled it will throw an exception. If the order doesn't get filled after 1 minute it will cancel the | ||
| * order and throw an exception. | ||
| * | ||
| * @param {Number} balance | ||
| * @param {Object} positionInfo | ||
| * @param {Number} currentPrice | ||
| * @param {Object} authedClient | ||
| * @param {Object} productInfo | ||
| * @param {Object} tradingConfig | ||
| */ | ||
| async function buyPosition(balance, positionInfo, currentPrice, authedClient, productInfo, tradingConfig) { | ||
| try { | ||
| const amountToSpend = balance - (balance * tradingConfig.highestFee); | ||
| const priceToBuy = (currentPrice + (currentPrice * tradingConfig.orderPriceDelta)).toFixed(productInfo.quoteIncrementRoundValue); | ||
| let orderSize; | ||
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| if (productInfo.baseIncrementRoundValue === 0) { | ||
| orderSize = Math.trunc(amountToSpend / priceToBuy); | ||
| } else { | ||
| orderSize = (amountToSpend / priceToBuy).toFixed(productInfo.baseIncrementRoundValue); | ||
| } | ||
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| const orderParams = { | ||
| side: "buy", | ||
| price: priceToBuy, | ||
| size: orderSize, | ||
| product_id: productInfo.productPair, | ||
| time_in_force: "FOK" | ||
| }; | ||
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| logger.info("Buy order params: " + JSON.stringify(orderParams)); | ||
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| //Place buy order | ||
| const order = await authedClient.placeOrder(orderParams); | ||
| logger.debug(order); | ||
| const orderID = order.id; | ||
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| //Loop to wait for order to be filled: | ||
| for (let i = 0; i < 10 && positionInfo.positionExists === false; ++i) { | ||
| let orderDetails; | ||
| logger.debug("Checking buy order result..."); | ||
| await sleep(6000); //wait 6 seconds | ||
| try { | ||
| orderDetails = await authedClient.getOrder(orderID); //Get latest order details | ||
| } catch(err) { | ||
| const message = "Error occured when attempting to get the order."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| continue; | ||
| } | ||
| logger.debug(orderDetails); | ||
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| if (orderDetails.status === "done") { | ||
| if (orderDetails.done_reason !== "filled") { | ||
| throw new Error("Buy order did not complete due to being filled? done_reason: " + orderDetails.done_reason); | ||
| } else { | ||
| //Update position info | ||
| positionInfo.positionExists = true; | ||
| positionInfo.positionAcquiredPrice = parseFloat(orderDetails.executed_value) / parseFloat(orderDetails.filled_size); | ||
| positionInfo.positionAcquiredCost = parseFloat(orderDetails.executed_value) + parseFloat(orderDetails.fill_fees); | ||
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| //Update positionData file: | ||
| try { | ||
| const writeData = JSON.stringify(positionInfo); | ||
| fileSystem.writeFileSync("positionData.json", writeData); | ||
| } catch(err) { | ||
| const message = "Error, failed to write the positionInfo to the positionData file in buyPosition. Continuing as normal but but positionDataTracking might not work correctly."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| } | ||
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| logger.info(positionInfo); | ||
| } | ||
| } | ||
| } | ||
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| //Check if order wasn't filled and needs cancelled | ||
| if (positionInfo.positionExists === false) { | ||
| const cancelOrder = await authedClient.cancelOrder(orderID); | ||
| if (cancelOrder !== orderID) { | ||
| throw new Error("Attempted to cancel failed order but it did not work. cancelOrderReturn: " + cancelOrder + "orderID: " + orderID); | ||
| } | ||
| } | ||
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| } catch (err) { | ||
| const message = "Error occured in buyPosition method."; | ||
| const errorMsg = new Error(err); | ||
| logger.error({ message, errorMsg, err }); | ||
| } | ||
| } | ||
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| module.exports = { | ||
| sellPosition, | ||
| buyPosition, | ||
| } |
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