Fix scaled trades for big jumps.
This commit is contained in:
Joe Tretter
@@ -3840,7 +3840,7 @@
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"type": "switch",
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"z": "791ce869.901798",
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"name": "MinVolReached?",
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"property": "$flowContext('coinBalance') - $flowContext('multiplier') ",
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"property": "$flowContext('coinBalance') - $flowContext('orderVolume') ",
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"propertyType": "jsonata",
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"rules": [
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{
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@@ -3916,7 +3916,7 @@
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"type": "switch",
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"z": "791ce869.901798",
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"name": "MaxVolReached?",
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"property": "$flowContext('coinBalance') + $flowContext('multiplier')",
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"property": "$flowContext('coinBalance') + $flowContext('orderVolume')",
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"propertyType": "jsonata",
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"rules": [
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{
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@@ -3962,7 +3962,7 @@
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"type": "function",
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"z": "791ce869.901798",
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"name": "Determine Action",
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"func": "//$number(payload.XMRUSD.a[0]) - $number($flowContext('lastExecPrice'))\n\nconst delta=flow.get('delta'); // how much price move to take action?\nlet pair=flow.get(\"pair\");\nlet askPrice=Number(msg.payload[pair].a[0]);\nlet bidPrice=Number(msg.payload[pair].b[0]);\nflow.set(\"askPrice\",Number(askPrice));\nflow.set(\"bidPrice\",Number(bidPrice));\n\nlet lastExecPrice=flow.get('lastExecPrice',\"file\");\n\nif (lastExecPrice === undefined) { \n lastExecPrice=askPrice; \n flow.set('lastExecPrice',Number(lastExecPrice),\"file\");\n}\n\nmsg.lastExecPrice=lastExecPrice;\n\nif (bidPrice>lastExecPrice+delta) {\n msg.action=\"sell\";\n msg.price=bidPrice;\n} else if (askPrice<lastExecPrice-delta) {\n msg.action=\"buy\";\n msg.price=askPrice;\n} else {\n msg.action=\"nothing\";\n}\n\nreturn msg;",
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"func": "//$number(payload.XMRUSD.a[0]) - $number($flowContext('lastExecPrice'))\n\nconst delta=flow.get('delta'); // how much price move to take action?\nlet pair=flow.get(\"pair\");\nlet askPrice=Number(msg.payload[pair].a[0]);\nlet bidPrice=Number(msg.payload[pair].b[0]);\nflow.set(\"askPrice\",Number(askPrice));\nflow.set(\"bidPrice\",Number(bidPrice));\n\nlet lastExecPrice=flow.get('lastExecPrice',\"file\");\n\nif (lastExecPrice === undefined) { \n lastExecPrice=askPrice; \n flow.set('lastExecPrice',Number(lastExecPrice),\"file\");\n}\n\nmsg.lastExecPrice=lastExecPrice;\n\nif (bidPrice>lastExecPrice+delta) {\n msg.action=\"sell\";\n msg.price=bidPrice;\n} else if (askPrice<lastExecPrice-delta) {\n msg.action=\"buy\";\n msg.price=askPrice;\n} else {\n msg.action=\"nothing\";\n}\n\n// if there is a bigger gap we might need to order multiple \"packages\"\n// this is for example if the market violently jumps or a bigger down move is \n// happening due to server offline.\nlet multiplier = Number(flow.get('multiplier'));\nlet jumpSize = Math.round(Math.abs(flow.get('lastExecPrice')-msg.price));\nflow.set(\"orderVolume\",jumpSize * multiplier);\n\nreturn msg;",
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"outputs": 1,
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"noerr": 0,
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"x": 910,
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@@ -3978,7 +3978,7 @@
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"type": "function",
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"z": "791ce869.901798",
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"name": "BuildOrder (buy)",
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"func": "let multiplier = Number(flow.get('multiplier'));\nlet pair = flow.get('pair');\n\nmsg.payload={\n\tpair : pair,\n\ttype : 'buy',\n\tordertype : 'market',\n\tvolume : multiplier\n};\n\nreturn msg;",
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"func": "msg.payload={\n\tpair : flow.get('pair'),\n\ttype : 'buy',\n\tordertype : 'market',\n\tvolume : flow.get('orderVolume')\n};\n\nreturn msg;",
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"outputs": 1,
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"noerr": 0,
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"x": 1960,
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@@ -4023,7 +4023,7 @@
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"type": "function",
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"z": "791ce869.901798",
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"name": "Buid Order (sell)",
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"func": "let pair = flow.get('pair');\nlet multiplier = Number(flow.get('multiplier'));\n\nmsg.payload={\n\tpair : pair,\n\ttype : 'sell',\n\tordertype : 'market',\n\tvolume : multiplier\n};\n\nreturn msg;",
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"func": "msg.payload={\n\tpair : flow.get('pair'),\n\ttype : 'sell',\n\tordertype : 'market',\n\tvolume : flow.get('orderVolume')\n};\n\nreturn msg;",
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"outputs": 1,
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"noerr": 0,
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"x": 1760,
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@@ -4384,51 +4384,6 @@
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]
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]
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},
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{
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"id": "90b1a878.2e9078",
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"type": "inject",
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"z": "791ce869.901798",
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"name": "",
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"topic": "",
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"payload": "",
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"payloadType": "date",
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"repeat": "",
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"crontab": "",
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"once": false,
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"onceDelay": 0.1,
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"x": 100,
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"y": 680,
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"wires": [
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[
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"842629ff.39e1f8"
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]
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]
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},
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{
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"id": "842629ff.39e1f8",
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"type": "change",
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"z": "791ce869.901798",
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"name": "BUY",
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"rules": [
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{
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"t": "set",
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"p": "#:(file)::lastExecPrice",
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"pt": "flow",
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"to": "999",
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"tot": "num"
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}
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],
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"action": "",
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"property": "",
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"from": "",
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"to": "",
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"reg": false,
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"x": 290,
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"y": 680,
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"wires": [
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[]
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]
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},
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{
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"id": "f0e0540.34101b",
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"type": "debug",
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@@ -4603,139 +4558,6 @@
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"y": 40,
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"wires": []
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},
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{
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"id": "a695a39b.f7902",
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"type": "inject",
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"z": "791ce869.901798",
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"name": "",
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"topic": "",
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"payload": "",
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"payloadType": "date",
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"repeat": "",
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"crontab": "",
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"once": false,
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"onceDelay": 0.1,
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"x": 100,
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"y": 760,
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"wires": [
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[
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"5b6ededf.2ac89"
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]
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]
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},
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{
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"id": "5b6ededf.2ac89",
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"type": "change",
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"z": "791ce869.901798",
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"name": "Manual CoinBalance",
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"rules": [
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{
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"t": "set",
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"p": "coinBalance",
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"pt": "flow",
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"to": "6",
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"tot": "num"
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}
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],
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"action": "",
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"property": "",
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"from": "",
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"to": "",
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"reg": false,
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"x": 340,
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"y": 760,
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"wires": [
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[]
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]
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},
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{
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"id": "a3d0d862.ac3b88",
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"type": "inject",
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"z": "791ce869.901798",
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"name": "",
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"topic": "",
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"payload": "",
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"payloadType": "date",
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"repeat": "",
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"crontab": "",
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"once": false,
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"onceDelay": 0.1,
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"x": 100,
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"y": 840,
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"wires": [
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[
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"f6f269cb.ffcf18"
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]
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]
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},
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{
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"id": "f6f269cb.ffcf18",
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"type": "change",
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"z": "791ce869.901798",
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"name": "Manual LastExecPrice",
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"rules": [
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{
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"t": "set",
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"p": "#:(file)::lastExecPrice",
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"pt": "flow",
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"to": "154.96",
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"tot": "num"
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}
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],
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"action": "",
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"property": "",
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"from": "",
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"to": "",
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"reg": false,
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"x": 340,
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"y": 840,
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"wires": [
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[]
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]
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},
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{
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"id": "d085c84b.b8d738",
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"type": "inject",
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"z": "791ce869.901798",
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"name": "",
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"topic": "",
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"payload": "",
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"payloadType": "date",
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"repeat": "",
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"crontab": "",
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"once": false,
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"onceDelay": 0.1,
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"x": 100,
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"y": 900,
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"wires": [
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[
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"8253bf67.e626c"
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]
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]
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},
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{
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"id": "8253bf67.e626c",
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"type": "change",
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"z": "791ce869.901798",
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"name": "",
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"rules": [
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{
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"t": "delete",
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"p": "#:(file)::coinBalance",
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"pt": "flow"
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}
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],
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"action": "",
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"property": "",
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"from": "",
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"to": "",
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"reg": false,
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"x": 330,
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"y": 900,
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"wires": [
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[]
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]
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},
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{
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"id": "322633db.979c1c",
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"type": "inject",
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