Grid bot for Trality

gridBot.py

'''
v0.2 Not sell or buy twice the same level over/under the price
'''
import math

def initialize(state):
    state.number_offset_trades = 0

# 50 BUSD every time
buy_value = 50
# number of lines above and under the price
grid_size = 6
# separation between lines
grid_interval_percentage = 2

base_coin = "BNB"
quoted_coin = "BUSD"
symbol = base_coin + quoted_coin


@schedule(interval="1h", symbol=symbol)
def handler(state, data):
    if data is None:
        return

    # get price, levels and orders
    current_price = data.close_last
    buy_levels, sell_levels = get_price_levels( current_price )
    open_buy_orders, open_sell_orders = get_open_orders()

    # calculate levels where we need to buy
    levels_to_buy, closest_missing_buy_levels = get_pending_levels( buy_levels, open_buy_orders )

    # if we have some missing levels below the current price is because they have been bought
    # try to sell them again immediately if current price is over their expected sell price
    value_to_sell_immediately = get_value_to_sell( current_price, closest_missing_buy_levels )
    if value_to_sell_immediately > buy_value :
        print("Selling {} {} immediately at {}".format(value_to_sell_immediately, quoted_coin, current_price))
        order_market_value( symbol=data.symbol, value=-value_to_sell_immediately )
    
    # place any missing buy order
    for level in levels_to_buy :
        try_place_buy_level_order( level )

    # calculate levels where we need to sell
    levels_to_sell, closest_missing_sell_levels = get_pending_levels( sell_levels, open_sell_orders )

    # if we have some missing levels above the current price is because they have been sold
    # try to buy them again immediately if current price is under their expected buy price
    value_to_buy_immediately = get_value_to_buy( current_price, closest_missing_sell_levels )
    if value_to_buy_immediately > 0 :
        print("Buying {} {} immediately at {}".format(value_to_buy_immediately, quoted_coin, current_price))
        order_market_value( symbol=data.symbol, value=value_to_buy_immediately )

    # place any missing sell order
    for level in levels_to_sell :
        try_place_sell_level_order( level )

    # close any order that is out of the grid range to freed their balance
    buy_orders, sell_orders = get_open_orders()
    close_far_orders( buy_orders, sell_orders )

    # that's all, print some logs to check what's happening
    buy_orders, sell_orders = get_open_orders()
    print_orders(buy_orders, sell_orders, current_price);


# get open orders that match grid levels
# any other order not related to the bot should be ignored
# !! still buggy and messing with other orders
def get_open_orders() :
    orders = query_open_orders()
    buy_orders = {}
    sell_orders = {}

    for order in orders :
        if order.limit_price is not None :
            level = get_level_id(order.limit_price)
            if order.side == OrderSide.Buy :
                if order.symbol == symbol :
                    buy_orders[ level ] = order.id
            elif order.symbol == symbol :
                sell_orders[ level ] = order.id

    return buy_orders, sell_orders

# get levels where we need to place new orders
def get_pending_levels( levels, open_orders ):
    orders_to_place = []
    closest_missing_levels = []
    first_orders = True
    for level in levels : 
        if get_level_id(level[0]) not in open_orders :
            orders_to_place.append( level )
            # closest missing levels to the price tell us
            # the orders that have been fulfilled in the last candle
            if first_orders :
                closest_missing_levels.append( level )
        else :
            first_orders = False
    
    # if the 2 lists are the same, we don't really miss any close level
    if len(orders_to_place) == len( closest_missing_levels ) :
        closest_missing_levels = []

    return orders_to_place, closest_missing_levels

def get_value_to_sell( price, buy_levels ) :
    value = 0
    for level in buy_levels :
        if level[1] < price :
            value += buy_value * price / level[0]

    if value == 0 :
        return 0

    available = float(query_balance_free(base_coin))
    if available is None :
        return 0
    
    available_value = available * price * .995
    if available_value < buy_value :
        return 0

    # substract a bit of value to skip fee errors
    value = value * .995
    if available < value :
        return available
    return value

def get_value_to_buy( price, sell_levels ) :
    value = 0
    for level in sell_levels :
        if level[1] > price :
            value += buy_value
    
    if value == 0 :
        return 0
    
    available = float(query_balance_free(quoted_coin)) * .995

    if available < buy_value :
        return 0

    # substract a bit of value to skip fee errors
    value = value * .995
    if available < value :
        return available
    return value

# this is buggy as query_balance_free might return
# more free balance than it should because it's not counting
# orders we are being placed during the current handle run.
# fortunatelly, if there is not enough balance, order placing fails gently
# that it's the same than not placing the order
def try_place_buy_level_order( level ) :
    available = float(query_balance_free(quoted_coin))

    # we can only buy if we have enough money
    if available > buy_value :
        order_limit_value(symbol=symbol, value=buy_value, limit_price=level[0])


def try_place_sell_level_order( level ) :
    available = float(query_balance_free(base_coin))

    available_value = available * level[0]
    to_sell = buy_value * level[0] / level[1]
    # we can only sell if we have enough balance
    if available_value > to_sell :
        order_limit_value(symbol=symbol, value=-to_sell, limit_price=level[0])

# close orders that are out of the grid
def close_far_orders( buy_orders, sell_orders ) :
    if len(buy_orders) > grid_size :
        buy_far = get_far_orders( buy_orders )
        cancel_orders( buy_far )
    if len(sell_orders) > grid_size :
        sell_far = get_far_orders( sell_orders, False )
        cancel_orders( sell_far )

def get_far_orders( orders, smallest=True ) :
    keys = list(orders.keys())
    keys.sort(reverse=smallest)
    far_keys = keys[grid_size:]
    far_ids = []
    for key in far_keys :
        far_ids.append(orders[key])
    
    print("Cleaning {} orders".format(len(far_ids)))
    return far_ids

def cancel_orders( order_ids ) :
    for id in order_ids :
        cancel_order(id)

def print_orders( buy_orders, sell_orders, current_price ) :
    buy = list(buy_orders.keys())
    sell = list(sell_orders.keys())

    buy.sort()
    sell.sort()

    print("levels: {} - {} - {}".format( buy, get_level_id(current_price), sell ));

def trim_levels_by_placed_orders( buy_levels, buy_orders, sell_levels, sell_orders ) :
    trimmed_buys = buy_levels.copy()
    trimmed_sells = sell_levels.copy()

    # Don't trim anything if we have no orders
    if len(buy_orders) == 0 or len(sell_orders) == 0 :
        return trimmed_buys, trimmed_sells
    
    first_sell = get_level_id(sell_levels[0][0]) in sell_orders
    first_buy = get_level_id(buy_levels[0][0]) in buy_orders

    if not first_buy and first_sell :
        # we have just bought the first level in the last candle
        # but we couldn't sell it yet, don't buy it again
        print("Trimming first buy level")
        trimmed_buys.pop(0)

    if not first_sell and first_buy :
        # we have just sold the first level in the last candle
        # but we didn't buy it again yet, don't sell it again
        print("Trimming first sell level")
        trimmed_sells.pop(0)
    
    return trimmed_buys, trimmed_sells


# every level is 1.0098887 times bigger than the previous one
# so we can select increments close to 1,2,3...n percentage by picking 1 out of n levels
# base_levels[0] is always used to be sure that same levels are used for different 10^n order
# that would make some `grid_interval_percentage`s not to be respected in the limits of the list
base_levels = [1000000,1009889,1019875,1029960,1040145,1050431,1060818,1071309,1081902,1092601,1103405,1114317,1125336,1136464,1147702,1159051,1170513,1182088,1193777,1205582,1217504,1229543,1241702,1253981,1266381,1278904,1291550,1304322,1317220,1330246,1343400,1356685,1370100,1383649,1397331,1411149,1425104,1439196,1453428,1467800,1482315,1496973,1511776,1526726,1541823,1557070,1572467,1588017,1603720,1619579,1635594,1651768,1668102,1684598,1701256,1718079,1735069,1752226,1769554,1787052,1804724,1822570,1840593,1858794,1877175,1895738,1914484,1933416,1952535,1971843,1991342,2011034,2030920,2051004,2071285,2091768,2112453,2133342,2154438,2175743,2197258,2218986,2240929,2263089,2285468,2308068,2330892,2353941,2377219,2400726,2424466,2448441,2472653,2497104,2521797,2546735,2571919,2597352,2623036,2648974,2675169,2701623,2728339,2755319,2782565,2810081,2837869,2865932,2894272,2922893,2951796,2980986,3010464,3040234,3070297,3100659,3131320,3162285,3193556,3225136,3257028,3289236,3321762,3354610,3387783,3421284,3455116,3489282,3523787,3558633,3593823,3629361,3665251,3701495,3738098,3775063,3812394,3850093,3888166,3926615,3965444,4004657,4044258,4084250,4124638,4165425,4206616,4248214,4290223,4332648,4375492,4418760,4462456,4506584,4551148,4596153,4641603,4687502,4733856,4780667,4827942,4875684,4923898,4972589,5021762,5071420,5121570,5172216,5223362,5275014,5327178,5379856,5433056,5486782,5541039,5595833,5651168,5707051,5763486,5820480,5878037,5936163,5994864,6054145,6114013,6174472,6235530,6297191,6359462,6422349,6485858,6549995,6614765,6680177,6746235,6812947,6880318,6948355,7017065,7086455,7156531,7227300,7298768,7370944,7443833,7517442,7591780,7666853,7742668,7819233,7896555,7974642,8053501,8133139,8213566,8294787,8376812,8459648,8543302,8627785,8713102,8799263,8886277,8974150,9062893,9152513,9243020,9334421,9426727,9519945,9614084,9709155,9805166,9902127]

# generates `grid_size` levels above and below the given price
def get_price_levels( price ):
    # make the price fit in the base_levels array
    levelized_price = price
    factor = 1
    while levelized_price < base_levels[0] :
        levelized_price = levelized_price * 10
        factor = factor * 10

    # find its position in the base_levels
    price_index = find_price_level_index( levelized_price )

    buy_index = price_index
    buy_indices = []
    while len(buy_indices) < grid_size :
        # only use levels that are separated by `grid_interval_percentage`
        if buy_index % grid_interval_percentage == 0 :
            buy_indices.append( buy_index )
        buy_index = buy_index - 1

    sell_index = price_index + 1
    sell_indices = []
    while len(sell_indices) < grid_size :
        # only use levels that are separated by `grid_interval_percentage`
        if sell_index % grid_interval_percentage == 0 :
            sell_indices.append( sell_index )
        sell_index = sell_index + 1

    buy_levels = get_levels_by_indices( factor, buy_indices, True )
    sell_levels = get_levels_by_indices( factor, sell_indices, False )

    return buy_levels, sell_levels
        
    
def find_price_level_index( price ) :
    start = 0
    end = len( base_levels ) - 1

    if base_levels[end] <= price :
        return end

    while not (base_levels[start] <= price and base_levels[start+1]> price) :
        half = round( (end + start) / 2 )
        if base_levels[half] <= price :
            start = half
        else :
            end = half

    return start   

# levels are just lists of 2 prices
# in buy levels, the first price is where to buy and the second where we want to sell
# in sell levels, the first price is where to sell and the second where we bought
def get_levels_by_indices( factor, indices, ascendingPair ):
    levels = []
    for index in indices :
        secondary_index = index - grid_interval_percentage
        if ascendingPair :
            secondary_index = index + grid_interval_percentage

        levels.append([
            get_level_by_index( factor, index ),
            get_level_by_index( factor, secondary_index )
        ])
    return levels

# with the index of the level and the factor we can know
# what's the real price we want for the level
def get_level_by_index( initial_factor, index ) :
    factor = initial_factor
    parsed_index = index
    levels_len = len( base_levels )

    # negative index, we need to look at the end of the base_levels
    # and the factor is too small
    if index < 0 :
        factor = factor * 10
        parsed_index = index + levels_len
        if (parsed_index % grid_interval_percentage) != 0 :
            parsed_index = parsed_index - (parsed_index % grid_interval_percentage)
    
    # index overflows, we need to look at the start of the base_levels
    # and the factor is too big
    if index > levels_len - 1 :
        factor = factor / 10
        parsed_index = index - levels_len
        if (parsed_index % grid_interval_percentage) != 0 :
            parsed_index = parsed_index - (parsed_index % grid_interval_percentage)
    
    return base_levels[ parsed_index ] / factor

# The ids will only have 4 meaningful numbers, all the rest are trimmed/padded with 0s
# being too precise would fail to recognize levels in order prices
# 123456 -> 123400
# 12.3456 -> 12.34
# 0.00123456 -> 0.001234
def get_level_id( price ) :
    parts = str( price ).split('.')
    id = str(price)  
    if len(parts[0]) > 3 :
        id = parts[0][0:4] + pad( len(parts[0]) - 4 )
    elif len(parts) > 1 :
        if int(parts[0]) > 0 :
            id = parts[0]
            dec = parts[1][0:4-len(id)]
            id = id + "." + dec
        else :
            dec = ""
            i = 0
            while parts[1][i] == "0" :
                dec = dec + "0"
                i = i + 1
            
            id = "0." + dec + parts[1][i:i+4]

    return float(id)

def pad( length ):
    zeros = ""
    while length > 0 :
        zeros = zeros + "0"
        length = length - 1
    return zeros

Hi so is this bot possible to keep running with say 500 busd starting point without adding more money over time i ask due to the top line of buy 50 is that just coming from your starting amount of 500 and once its bought to the some of 500 will it work off sales from then on?

Hi mate,

huge fan of your work! The code performs very good, but has some problems in a bearish market.
You could implement downtrend and uptrend/ RSI/ EMA-crossover into your code, so it performs better in a bearish market.
Let me know if you like this idea.

Best regards
Rotweinralf

Hey this actually worked!! Thank you so much. I'll see if I can tweak it, been years since I coded.