Simon Moisy
1af0aab5fa
- Introduced a new module for live trading based on the Multi-Pair Divergence Strategy. - Implemented configuration classes for OKX API and multi-pair settings. - Developed data feed functionality to fetch real-time OHLCV and funding data for multiple assets. - Created a trading bot orchestrator to manage trading cycles, including entry and exit signals based on ML model predictions. - Added comprehensive logging and error handling for robust operation. - Included a README with setup instructions and usage guidelines for the new module.
146 lines
4.8 KiB
Python
146 lines
4.8 KiB
Python
"""
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Configuration for Multi-Pair Live Trading.
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Extends the base live trading config with multi-pair specific settings.
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"""
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import os
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from pathlib import Path
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from dataclasses import dataclass, field
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from dotenv import load_dotenv
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load_dotenv()
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@dataclass
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class OKXConfig:
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"""OKX API configuration."""
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api_key: str = field(default_factory=lambda: "")
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secret: str = field(default_factory=lambda: "")
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password: str = field(default_factory=lambda: "")
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demo_mode: bool = field(default_factory=lambda: True)
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def __post_init__(self):
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"""Load credentials based on demo mode setting."""
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self.demo_mode = os.getenv("OKX_DEMO_MODE", "true").lower() in ("true", "1", "yes")
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if self.demo_mode:
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self.api_key = os.getenv("OKX_DEMO_API_KEY", os.getenv("OKX_API_KEY", ""))
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self.secret = os.getenv("OKX_DEMO_SECRET", os.getenv("OKX_SECRET", ""))
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self.password = os.getenv("OKX_DEMO_PASSWORD", os.getenv("OKX_PASSWORD", ""))
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else:
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self.api_key = os.getenv("OKX_API_KEY", "")
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self.secret = os.getenv("OKX_SECRET", "")
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self.password = os.getenv("OKX_PASSWORD", "")
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def validate(self) -> None:
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"""Validate that required credentials are present."""
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mode = "demo" if self.demo_mode else "live"
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if not self.api_key:
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raise ValueError(f"OKX API key not set for {mode} mode")
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if not self.secret:
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raise ValueError(f"OKX secret not set for {mode} mode")
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if not self.password:
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raise ValueError(f"OKX password not set for {mode} mode")
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@dataclass
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class MultiPairLiveConfig:
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"""
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Configuration for multi-pair live trading.
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Combines trading parameters, strategy settings, and risk management.
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"""
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# Asset Universe (top 10 by market cap perpetuals)
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assets: list[str] = field(default_factory=lambda: [
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"BTC/USDT:USDT", "ETH/USDT:USDT", "SOL/USDT:USDT", "XRP/USDT:USDT",
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"BNB/USDT:USDT", "DOGE/USDT:USDT", "ADA/USDT:USDT", "AVAX/USDT:USDT",
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"LINK/USDT:USDT", "DOT/USDT:USDT"
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])
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# Timeframe
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timeframe: str = "1h"
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candles_to_fetch: int = 500 # Enough for feature calculation
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# Z-Score Thresholds
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z_window: int = 24
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z_entry_threshold: float = 1.0
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z_exit_threshold: float = 0.0 # Exit at mean reversion
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# ML Thresholds
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prob_threshold: float = 0.5
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# Position sizing
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max_position_usdt: float = -1.0 # If <= 0, use all available funds
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min_position_usdt: float = 10.0
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leverage: int = 1
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margin_mode: str = "cross"
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max_concurrent_positions: int = 1 # Trade one pair at a time
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# Risk Management - ATR-Based Stops
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atr_period: int = 14
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sl_atr_multiplier: float = 10.0
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tp_atr_multiplier: float = 8.0
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# Fallback fixed percentages
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base_sl_pct: float = 0.06
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base_tp_pct: float = 0.05
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# ATR bounds
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min_sl_pct: float = 0.02
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max_sl_pct: float = 0.10
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min_tp_pct: float = 0.02
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max_tp_pct: float = 0.15
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# Funding Rate Filter
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funding_threshold: float = 0.0005 # 0.05%
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# Trade Management
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min_hold_bars: int = 0
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cooldown_bars: int = 0
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# Execution
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sleep_seconds: int = 3600 # Run every hour
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slippage_pct: float = 0.001
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def get_asset_short_name(self, symbol: str) -> str:
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"""Convert symbol to short name (e.g., BTC/USDT:USDT -> btc)."""
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return symbol.split("/")[0].lower()
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def get_pair_count(self) -> int:
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"""Calculate number of unique pairs from asset list."""
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n = len(self.assets)
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return n * (n - 1) // 2
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@dataclass
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class PathConfig:
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"""File paths configuration."""
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base_dir: Path = field(
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default_factory=lambda: Path(__file__).parent.parent.parent
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)
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data_dir: Path = field(default=None)
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logs_dir: Path = field(default=None)
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model_path: Path = field(default=None)
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positions_file: Path = field(default=None)
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trade_log_file: Path = field(default=None)
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def __post_init__(self):
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self.data_dir = self.base_dir / "data"
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self.logs_dir = self.base_dir / "logs"
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# Use the same model as backtesting
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self.model_path = self.base_dir / "data" / "multi_pair_model.pkl"
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self.positions_file = self.base_dir / "live_trading" / "multi_pair_positions.json"
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self.trade_log_file = self.base_dir / "live_trading" / "multi_pair_trade_log.csv"
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# Ensure directories exist
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self.data_dir.mkdir(parents=True, exist_ok=True)
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self.logs_dir.mkdir(parents=True, exist_ok=True)
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def get_multi_pair_config() -> tuple[OKXConfig, MultiPairLiveConfig, PathConfig]:
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"""Get all configuration objects for multi-pair trading."""
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okx = OKXConfig()
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trading = MultiPairLiveConfig()
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paths = PathConfig()
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return okx, trading, paths
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