1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
|
from decimal import Decimal
from typing import Optional
import numpy as np
from shared.models import Candle, Signal, OrderSide
from strategies.base import BaseStrategy
class GridStrategy(BaseStrategy):
name: str = "grid"
def __init__(self) -> None:
self._lower_price: float = 0.0
self._upper_price: float = 0.0
self._grid_count: int = 5
self._quantity: Decimal = Decimal("0.01")
self._grid_levels: list[float] = []
self._last_zone: Optional[int] = None
@property
def warmup_period(self) -> int:
return 2
def configure(self, params: dict) -> None:
self._lower_price = float(params["lower_price"])
self._upper_price = float(params["upper_price"])
self._grid_count = int(params.get("grid_count", 5))
self._quantity = Decimal(str(params.get("quantity", "0.01")))
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._grid_count < 2:
raise ValueError(f"Grid grid_count must be >= 2, got {self._grid_count}")
if self._quantity <= 0:
raise ValueError(f"Quantity must be positive, got {self._quantity}")
self._grid_levels = list(
np.linspace(self._lower_price, self._upper_price, self._grid_count + 1)
)
self._last_zone = None
def reset(self) -> None:
self._last_zone = None
def _get_zone(self, price: float) -> int:
"""Return the grid zone index for a given price.
Zone 0 is below the lowest level, zone grid_count is above the highest level.
Zones 1..grid_count-1 are between levels.
"""
for i, level in enumerate(self._grid_levels):
if price < level:
return i
return len(self._grid_levels)
def on_candle(self, candle: Candle) -> Signal | None:
price = float(candle.close)
current_zone = self._get_zone(price)
if self._last_zone is None:
self._last_zone = current_zone
return None
prev_zone = self._last_zone
self._last_zone = current_zone
if current_zone < prev_zone:
# Price moved to a lower zone → BUY
return Signal(
strategy=self.name,
symbol=candle.symbol,
side=OrderSide.BUY,
price=candle.close,
quantity=self._quantity,
reason=f"Grid: price crossed down from zone {prev_zone} to {current_zone}",
)
elif current_zone > prev_zone:
# Price moved to a higher zone → SELL
return Signal(
strategy=self.name,
symbol=candle.symbol,
side=OrderSide.SELL,
price=candle.close,
quantity=self._quantity,
reason=f"Grid: price crossed up from zone {prev_zone} to {current_zone}",
)
return None
|
