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Ride trend from other data source than a swap pool (#51)
* Ride trend from other data source than a swap pool * Fix price difference limit * Update parameters
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,151 @@ | ||
| import { DataPoint, DataType } from "../data_sources/data_point"; | ||
| import { average } from "simple-statistics"; | ||
| import { Strategy } from "./strategy"; | ||
| import { TradeOrder } from "./order"; | ||
|
|
||
| /** | ||
| * If the price of a token from some data source, say an exchange, looks like it's going into a period where it's price is increasing we | ||
| * should buy the token on a trading pool. The trend is determined by comparing a short moving average to a longer moving average. | ||
| */ | ||
| export class RideTheExternalTrend extends Strategy { | ||
| private readonly short: number; | ||
| private readonly long: number; | ||
| private lastDecision: number = 0; | ||
| private readonly pool: string; | ||
| private latestPoolPrice: number = 0; | ||
|
|
||
| private history: Array<number> = []; | ||
| private readonly limit: number; | ||
| private readonly defaultAmounts: [number, number]; | ||
| private readonly exchange: string; | ||
| private readonly priceRatio: number; | ||
|
|
||
| /** | ||
| * | ||
| * @param pool The swap pool to make trades on. | ||
| * @param data_source The source of pricing data. | ||
| * @param short The length of the short moving average. | ||
| * @param long The length of the long moving average. | ||
| * @param defaultAmounts The number of tokens to swap of coin type A and B resp. when the trend changes. | ||
| * @param limit Minimum ratio in the averages to do a trade. | ||
| * @param priceRatio: Minimum ratio between pool price and exchange price. | ||
| * @param name A human readable name for this strategy. | ||
| */ | ||
| constructor( | ||
| pool: string, | ||
| data_source: string, | ||
| short: number, | ||
| long: number, | ||
| defaultAmounts: [number, number], | ||
| limit: number, | ||
| priceRatio: number, | ||
| name: string | ||
| ) { | ||
| super({ | ||
| name: name, | ||
| pool: pool, | ||
| exchange: data_source, | ||
| short: short, | ||
| long: long, | ||
| }); | ||
| this.short = short; | ||
| this.long = long; | ||
| this.pool = pool; | ||
| this.exchange = data_source; | ||
| this.defaultAmounts = defaultAmounts; | ||
| this.limit = limit; | ||
| this.priceRatio = priceRatio; | ||
| } | ||
|
|
||
| evaluate(data: DataPoint): Array<TradeOrder> { | ||
| console.log(data); | ||
|
|
||
| // Unknown data type | ||
| if (data.type != DataType.Price) { | ||
| return []; | ||
| } | ||
|
|
||
| // This strategy is only interested in the price from the pool it's observing and the external data source. | ||
| if (data.source_uri == this.pool) { | ||
| this.latestPoolPrice = data.price; | ||
| return []; | ||
| } | ||
|
|
||
| // Keep track of last time this strategy called for a trade. If it was very recent, our trade might have influenced the price. | ||
| this.lastDecision++; | ||
|
|
||
| // Get the current price from the data point | ||
| let price = data.price; | ||
|
|
||
| // Add the new data point to the history | ||
| this.history.push(price); | ||
| if (this.history.length < this.long) { | ||
| return []; | ||
| } | ||
|
|
||
| // Only keep the history we need | ||
| if (this.history.length > this.long) { | ||
| this.history.shift(); | ||
| } | ||
|
|
||
| // We're certain that the history has length this.long at this point | ||
| // TODO: We can do this by streaming instead of recomputing the average every time | ||
| let short_average = average( | ||
| this.history.slice(this.history.length - this.short, this.history.length) | ||
| ); | ||
| let long_average = average(this.history); | ||
|
|
||
| this.logStatus({ | ||
| pool: this.latestPoolPrice, | ||
| exchange: price, | ||
| short_average: short_average, | ||
| long_average: long_average, | ||
| }); | ||
|
|
||
| // The last trade could have influenced the price, so we wait until this effect has passed | ||
| if (this.lastDecision > this.long + 1) { | ||
| if (short_average / long_average < 1 / this.limit) { | ||
| // The value of A is going down. Sell A and hope it goes even lower. | ||
|
|
||
| if (price > this.latestPoolPrice * this.priceRatio) { | ||
| // The pool price is not as good as the exchange price, so we do not trade anything now | ||
| return []; | ||
| } | ||
|
|
||
| this.lastDecision = 0; | ||
| return [ | ||
| { | ||
| pool: this.pool, | ||
| amountIn: this.defaultAmounts[0], | ||
| estimatedPrice: this.latestPoolPrice, | ||
| a2b: true, | ||
| }, | ||
| ]; | ||
| } else if (short_average / long_average > this.limit) { | ||
| // The value of A is going up. Buy and hope it continues. | ||
| this.lastDecision = 0; | ||
|
|
||
| if (price < this.latestPoolPrice / this.priceRatio) { | ||
| // The pool price is not as good as the exchange price, so we do not trade anything now | ||
| return []; | ||
| } | ||
|
|
||
| return [ | ||
| { | ||
| pool: this.pool, | ||
| amountIn: this.defaultAmounts[1], | ||
| estimatedPrice: 1 / this.latestPoolPrice, | ||
| a2b: false, | ||
| }, | ||
| ]; | ||
| } | ||
| } | ||
|
|
||
| // No decision can be made at this point | ||
| return []; | ||
| } | ||
|
|
||
| subscribes_to(): Array<string> { | ||
| return [this.pool, this.exchange]; | ||
| } | ||
| } |
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