diff options
Diffstat (limited to 'services/strategy-engine/strategies/grid_strategy.py')
| -rw-r--r-- | services/strategy-engine/strategies/grid_strategy.py | 34 |
1 files changed, 34 insertions, 0 deletions
diff --git a/services/strategy-engine/strategies/grid_strategy.py b/services/strategy-engine/strategies/grid_strategy.py index 70443ec..283bfe5 100644 --- a/services/strategy-engine/strategies/grid_strategy.py +++ b/services/strategy-engine/strategies/grid_strategy.py @@ -18,6 +18,9 @@ class GridStrategy(BaseStrategy): self._quantity: Decimal = Decimal("0.01") self._grid_levels: list[float] = [] self._last_zone: Optional[int] = None + self._exit_threshold_pct: float = 5.0 + self._out_of_range: bool = False + self._in_position: bool = False # Track if we have any grid positions @property def warmup_period(self) -> int: @@ -29,11 +32,15 @@ class GridStrategy(BaseStrategy): self._grid_count = int(params.get("grid_count", 5)) self._quantity = Decimal(str(params.get("quantity", "0.01"))) + self._exit_threshold_pct = float(params.get("exit_threshold_pct", 5.0)) + if self._lower_price >= self._upper_price: raise ValueError( f"Grid lower_price must be < upper_price, " f"got lower={self._lower_price}, upper={self._upper_price}" ) + if self._exit_threshold_pct <= 0: + raise ValueError(f"exit_threshold_pct must be > 0, got {self._exit_threshold_pct}") if self._grid_count < 2: raise ValueError(f"Grid grid_count must be >= 2, got {self._grid_count}") if self._quantity <= 0: @@ -53,7 +60,9 @@ class GridStrategy(BaseStrategy): ) def reset(self) -> None: + super().reset() self._last_zone = None + self._out_of_range = False def _get_zone(self, price: float) -> int: """Return the grid zone index for a given price. @@ -69,6 +78,31 @@ class GridStrategy(BaseStrategy): def on_candle(self, candle: Candle) -> Signal | None: self._update_filter_data(candle) price = float(candle.close) + + # Check if price is out of grid range + if self._grid_levels: + lower_bound = self._grid_levels[0] * (1 - self._exit_threshold_pct / 100) + upper_bound = self._grid_levels[-1] * (1 + self._exit_threshold_pct / 100) + + if price < lower_bound or price > upper_bound: + if not self._out_of_range: + self._out_of_range = True + # Exit signal — close positions + return self._apply_filters( + Signal( + strategy=self.name, + symbol=candle.symbol, + side=OrderSide.SELL, + price=candle.close, + quantity=self._quantity, + conviction=0.8, + reason=f"Grid: price {price:.2f} broke out of range [{self._grid_levels[0]:.2f}, {self._grid_levels[-1]:.2f}]", + ) + ) + return None # Already out of range, no more signals + else: + self._out_of_range = False + current_zone = self._get_zone(price) if self._last_zone is None: |