[pshaiBot] Oscillator Scalper (SPOT)

-- [pshaiBot] Oscillator Scalper
-- Author: pshai


EnableHighSpeedUpdates(true)
HideOrderSettings()
HideTradeAmountSettings()

local oscillators = {
    rsi = 'RSI',
    mfi = 'MFI',
    cci = 'CCI'
}

local signalTypes = {
    crossOver = 'Cross-over Level',
    crossUnder = 'Cross-under Level',
    isAbove = 'Is Above Level',
    isBelow = 'Is Below Level',
}

local tradingDirections = {
    long = 'Buy/Long',
    short = 'Sell/Short'
}

InputGroupHeader('User Controls')
local forceExit = Input('Force ALL positions to close', false, 'If true, bot will force all positions to exit. This also prevents bot from opening new positions.')
local stopNoPos = Input('Deactivate on NoPosition', false, 'If true, bot will deactivate itself when it has no more open positions. This also prevents bot from opening new positions.')

local tradeAmount = CC_InputConvertedTradeAmount('Per Position')

InputGroupHeader('Oscillator Settings')
local oscillator = InputOptions('1. Oscillator', oscillators.rsi, oscillators)
local osc_len = Input('2. Oscillator Length', 14)
local osc_buy = Input('3. Buy Level', 30)
local osc_sell = Input('4. Sell Level', 70)

InputGroupHeader('Signal Settings')
local buySignalType = InputOptions('1. Buy Signal Type (Buy Level)', signalTypes.isBelow, signalTypes)
local sellSignalType = InputOptions('2. Sell Signal Type (Sell Level)', signalTypes.isAbove, signalTypes)

InputGroupHeader('Trading Settings')
local tradingDirection = InputOptions('1. Trading Direction', tradingDirections.long, tradingDirections)
local maxPositions = Input('2. Max Positions', 3)
local orderCooldown = Input('3. Order Cooldown (minutes)', 60)
local orderTimeout = Input('4. Order Timeout (seconds)', 360)
local entryOrderType = InputOrderType('5. Entry Order Type', MarketOrderType)

InputGroupHeader('Safety Settings')
local takeProfit = Input('1. Take-Profit %', 1)
local stopLoss = Input('2. Stop-Loss %', 1)
local armLength = Input('3. Trailing Activation %', 0.5)
local trailDist = Input('4. Trailing Distance %', 1)
local stopCooldown = Input('5. Stop Cooldown (minutes)', 60, 'If position is closed by Stop-Loss, trading is then put on cooldown.')
local exitOrderType = InputOrderType('6. Exit Order Type', MarketOrderType)
local masterMarket = InputPriceSourceMarket('7. Master', 'BINANCE_BTC_USDT_')
local masterDumpSize = Input('8. Master Market Dump %', 5)
local masterDumpLb = Input('9. Master Market Lookback', 2, 'Lookback value in minutes')
local masterCooldown = Input('10. Master Market Cooldown (minutes)', 60, 'If positions are closed by master market dumpage, trading is then put on cooldown.')

-- ===============================================================
-- Handy functions

    -- deep clone an object
    function clone(original)
        local copy = {}
        for k, v in pairs(original) do
            if GetType(v) == ArrayDataType then
                v = clone(v)
            end
            copy[k] = v
        end
        return copy
    end

    
    -- check and initialize a module
    function IsModuleInitialized(module)
        if module._init then
            LogError('Module "' .. module.name .. '" already initialized!')
            return true
        end

        module._init = true

        return false
    end


    function arrayAdd(array, value)
        if GetHaasScriptVersion() == 1 then
            array[#array +1] = value
            return array
        else
            return ArrayAdd(array, value)
        end
    end

    function arrayUnshift(array, value)
        if GetHaasScriptVersion() == 1 then
            local newArr = {}
            for i = 1, #array do
                newArr[i +1] = array[i]
            end
            newArr[1] = value
            return newArr
        else
            return ArrayUnshift(array, value)
        end
    end

    function arrayRemove(array, index)
        if GetHaasScriptVersion() == 1 then
            local newArr = {}
            for i = 1, #array do
                if i < index then
                    newArr[i] = array[i]
                elseif i > index then
                    newArr[i-1] = array[i]
                end
            end
            return newArr
        else
            return ArrayRemove(array, index)
        end
    end

-- ===============================================================
-- Modules 

    -- wrapper for script settings
    local Config = {}

    -- position object
    local Position = {}

    -- position manager
    local PosMan = {}

    -- master dumpage
    local MasterDumpage = {}


    -- ---------------------------------------------------------------
    -- Config

        function Config:init()
            if IsModuleInitialized(self) then
                return
            end

            -- thought i'd need this, but turns out i dont.
        end     


    

    --

        function MasterDumpage:init()
            if IsModuleInitialized(self) then
                return
            end

            self.PriceList = Load('md:pl', {})
            self.Timestamps = Load('md:ts', {})
            self.DumpAll = false
            self.Direction = Sign(masterDumpSize)
        end

        function MasterDumpage:save()
            Save('md:pl', self.PriceList)
            Save('md:ts', self.Timestamps)
        end

        function MasterDumpage:getDumpAll()
            return self.DumpAll, self.Direction
        end

        function MasterDumpage:update()
            local mkt = masterMarket
            local cp = CurrentPrice(mkt)
            local remove = 0

            self.Timestamps = arrayUnshift(self.Timestamps, Time())
            self.PriceList = arrayUnshift(self.PriceList, cp.close)

            -- remove old values by timestamp
            for i = 1, #self.Timestamps do
                local ts = self.Timestamps[i]

                if ts < Time() - masterDumpLb * 60 then
                    remove = i
                    break
                end
            end

            if remove > 0 then
                self.PriceList = Grab(self.PriceList, 0, remove-1) --arrayRemove(self.PriceList, remove[i] -i)
                self.Timestamps = Grab(self.Timestamps, 0, remove-1) --arrayRemove(self.Timestamps, remove[i] -i)
            end


            -- we want to anyway update prices even though the system is not in use...
            -- so we return here, after we recorded the prices.
            if masterDumpSize <= 0 then
                return
            end

            --local sign = self.Direction
            local oldPrice = self.PriceList[ #self.PriceList ]
            local curPrice = self.PriceList[ 1 ]
            --local priceDiff = sign > 0
            --        and oldPrice / curPrice * 100 - 100
            --        or curPrice / oldPrice * 100 - 100
            local priceDiff = oldPrice / curPrice * 100 - 100
            local timeNow = self.Timestamps[1]
            local timeThen = self.Timestamps[#self.Timestamps]
            local timeDiff = ((timeNow - timeThen) / 60)

            Log('[MasterDumpage] Current time difference: ' .. Round(timeDiff, 2) .. ' minutes', SkyBlue)
            Log('[MasterDumpage] Current price difference: ' .. Round(priceDiff, 2) .. ' % / ' .. masterDumpSize .. ' %', SkyBlue)
            
            if priceDiff > masterDumpSize
            then
                self.DumpAll = true
            end


            local logDumpAll = Load('md:lda', true)
            
            if self.DumpAll and logDumpAll then
                LogWarning('Master Market is dumping: DUMP ALL!')
                logDumpAll = false
            elseif not self.DumpAll and not logDumpAll then
                LogWarning('Looks like Master Market dump is over...')
                logDumpAll = true
            end

            Save('md:lda', logDumpAll)
        end



    -- ---------------------------------------------------------------
    -- Position object

        function Position:load(id, isBuy)
            local pos = clone(Position)

            pos.Pid = id
            pos.IsBuy = Load(id..':ib', isBuy)
            pos.Bid = Load(id..':bid', '')
            pos.Sid = Load(id..':sid', '')
            pos.Completed = Load(id..':completed', false)

            return pos
        end

        function Position:save()
            Save(self.Pid .. ':ib', self.IsBuy)
            Save(self.Pid .. ':bid', self.Bid)
            Save(self.Pid .. ':sid', self.Sid)
            Save(self.Pid .. ':completed', self.Completed)
        end

    -- ---------------------------------------------------------------
    -- Position Manager

        function PosMan:init()
            if IsModuleInitialized(self) then
                return
            end

            self.Pids = Load('posman:pids', {})
            self.Positions = {}
            self.Timer = Load('posman:t', 0)
            self.MasterTimer = Load('posman:mt', 0)

            for i = 1, #self.Pids do
                local pid = self.Pids[i] -- get ID from array
                local pos = Position:load(pid) -- load position per ID

                -- add position to array
                self.Positions = arrayAdd(self.Positions, pos)
            end

        end

        function PosMan:save()
            Save('posman:pids', self.Pids)
            Save('posman:t', self.Timer)
            Save('posman:mt', self.MasterTimer)
        end

        function PosMan:getPositionCount()
            return #self.Pids
        end

        function PosMan:newPosition(isBuy, price, amount, orderType, orderTimeout)

            local timeLeft = self.Timer + stopCooldown * 60 - Time()
            if timeLeft > 0 then
                LogWarning('Blocking new position; system in Stop Cooldown: ' .. Round(timeLeft/60.0, 2) .. ' minutes left')
                return 
            end

            local masterTimeLeft = self.MasterTimer + masterCooldown * 60 - Time()
            if masterTimeLeft > 0 then
                LogWarning('Blocking new position; system in Master Market Dumpage Cooldown: ' .. Round(masterTimeLeft/60.0, 2) .. ' minutes left')
                return 
            end


            local newId = NewGuid()
            local sideStr = isBuy and 'Buy' or 'Sell'
            Log('Creating new '..sideStr..' position, ID: ' .. SubString(newId, 0, 4) .. '...', DarkGray)

            -- add id to mem
            self.Pids = arrayAdd(self.Pids, newId)

            -- load new position
            local pos = Position:load(newId, isBuy)

            -- add position to array
            self.Positions = arrayAdd(self.Positions, pos)

            if pos.IsBuy then
                -- set buy order ID
                pos.Bid = PlaceBuyOrder(price, amount, {type = orderType, positionId = newId, timeout = orderTimeout, note = 'Buy Entry'})
            else 
                -- set sell order ID
                pos.Sid = PlaceSellOrder(price, amount, {type = orderType, positionId = newId, timeout = orderTimeout, note = 'Sell Entry'})
            end
        end


        function PosMan:update(pos)
            local pc = PositionContainer(pos.Pid)
            local cp = CurrentPrice(pc.market)

            if pc.positionId == '' and pos.Bid == '' then
                Log('Trying to update a nil position?', DarkGray)
                return 
            end

            if pos.Bid != '' then
                local order = OrderContainer(pos.Bid)

                if order.isOpen then
                    -- do smth
                else
                    if not pos.IsBuy and order.isFilled then
                        pos.Completed = true
                    end

                    pos.Bid = ''
                end
            end

            if pos.Sid != '' then
                local order = OrderContainer(pos.Sid)

                if order.isOpen then
                    -- do smth
                else
                    if pos.IsBuy and order.isFilled then
                        pos.Completed = true
                    end

                    pos.Sid = ''
                end
            end

            if pc.amount > 0 and ((pos.IsBuy and pc.isLong) or (not pos.IsBuy and pc.isShort)) then
                if IsTradeAmountEnough(PriceMarket(), cp.close, pc.amount, false) then
                    -- TODO: place sell order
                    -- TODO: stop-loss, take-profit, trailing-arm stop-loss

                    local tp = TakeProfit(takeProfit, pos.Pid)
                    local sl = StopLoss(stopLoss, pos.Pid)
                    local tsl = CC_TrailingArmStopLoss(trailDist, armLength, pos.Pid)

                    if tp then
                        self:exit(pos, 'Take-Profit')
                    elseif sl then
                        self:exit(pos, 'Stop-Loss')
                        self.Timer = Time() -- put on cooldown...
                    elseif tsl then
                        self:exit(pos, 'Trailing-Stop')
                        --self.Timer = Time() -- put on cooldown...
                    end

                else
                    Log('Position amount too small; not able to sell (will be removed)', Cyan)
                    pos.Completed = true
                end
            end
        end

        function PosMan:exit(pos, note)
            local pc = PositionContainer(pos.Pid)
            local cp = CurrentPrice()

            if pos.IsBuy and pos.Sid == '' then
                -- set sell order ID
                pos.Sid = PlaceSellOrder(cp.ask, pc.amount, {type = exitOrderType, positionId = pos.Pid, timeout = orderTimeout, note = note})
            
            elseif not pos.IsBuy and pos.Bid == '' then
                -- set buy order ID
                pos.Bid = PlaceBuyOrder(cp.bid, pc.amount, {type = exitOrderType, positionId = pos.Pid, timeout = orderTimeout, note = note})
            end
        end

        function PosMan:updateAll()
            -- update master market stuff
            local dumpAll, direction = MasterDumpage:getDumpAll()
            
            -- update positions
            local positions = self.Positions
            local i = 1
            local cp = CurrentPrice()
            local removed = {}

            while i <= #positions do
                local pos = positions[i]
                local pc = PositionContainer(pos.Pid)
                
                if not dumpAll and not forceExit then
                    self:update(pos)
                    pos:save()
                else
                    local dumpage = dumpAll --and ((direction > 0 and pos.IsBuy) or (direction < 0 and not pos.IsBuy))
                    local reason = 'Master Market Dump'

                    if forceExit then
                        reason = 'Force Exit'
                    end

                    if dumpage or forceExit then
                        if pc.amount > MinimumTradeAmount() then
                            PlaceExitPositionOrder(pos.Pid, {type = MarketOrderType, note = reason})
                        end

                        pos.Completed = true
                    end
                end

                if pos.Completed then
                    if not IsPositionClosed(pos.Pid) then
                        if not dumpAll then
                            Log('Position is completed, but left out with dust; simulated cleaning', DarkGray)
                            CloseVPosition(cp.close, pos.Pid)
                        else
                            Log('Waiting for dumpage to be over...')
                        end
                    
                    else
                        Log('Completed position cycle; removing position.', Gold)
                        removed = arrayAdd(removed, i)
                    end
                
                elseif pc.positionId == '' and pos.Bid == '' then
                    removed = arrayAdd(removed, i)

                    Log('Found empty position ID; removing position.', Gold)
                end

                i = i + 1
            end

            if dumpAll and self.MasterTimer == 0 then 
                self.MasterTimer = Time()
            elseif self.MasterTimer + masterCooldown * 60 - Time() <= 0 then
                self.MasterTimer = 0
            end

            if #removed > 0 then
                local newPids = {}

                for i = 1, #self.Pids do
                    if not ArrayContains(removed, i) then
                        if IsAnyOrderOpen(self.Pids[i]) then
                            CancelAllOrders(self.Pids[i])
                        end
                        
                        newPids = arrayAdd(newPids, self.Pids[i])
                    end
                end

                self.Pids = newPids
            end
        end






-- ===============================================================
-- Trading logic

    function hasSignal(value, level, type)
        if type == signalTypes.isBelow then
            return value <= level
        elseif type == signalTypes.isAbove then
            return value >= level
        elseif type == signalTypes.crossOver then
            return CrossOver(value, level)
        elseif type == signalTypes.crossUnder then
            return CrossUnder(value, level)
        end

        LogWarning('Signal type "' .. type .. '" is not defined in hasSignal() function!')
        return false
    end


    -- fire up position manager
    PosMan:init()

    if stopNoPos and PosMan:getPositionCount() == 0 then
        DeactivateBot('Deactivation on NoPosition triggered.', true)
    end

    -- handle master market dumpage check
    MasterDumpage:init()
    MasterDumpage:update()

    local orderTimer = Load('ot', 0)
    local logNotOK = Load('lnok', true)

    local o = OpenPrices()
    local h = HighPrices()
    local l = LowPrices()
    local c = ClosePrices()
    local v = GetVolume()
    local cp = CurrentPrice()

    local osc

    if oscillator == oscillators.rsi then
        osc = RSI(c, osc_len)
    elseif oscillator == oscillators.mfi then
        osc = MFI(h, l, c, v, osc_len)
    elseif oscillator == oscillators.cci then
        osc = CCI(h, l, c, osc_len)
    end

    Plot(2, 'Oscillator', osc, Purple)
    PlotHorizontalLine(2, 'Buy', Green, osc_buy, Dashed)
    PlotHorizontalLine(2, 'Sell', Red, osc_sell, Dashed)

    local buySignal = hasSignal(osc, osc_buy, buySignalType)
    local sellSignal = hasSignal(osc, osc_sell, sellSignalType)

    local shouldBuy = tradingDirection == tradingDirections.long and buySignal
    local shouldSell = tradingDirection == tradingDirections.short and sellSignal
    local timerOK = orderTimer + orderCooldown * 60 <= Time() -- cooldown check
    local positionCount = PosMan:getPositionCount()
    local positionsOK = positionCount < maxPositions -- max positions check
    local dumpAll = MasterDumpage:getDumpAll()

    Log('Buy signal: ' .. (shouldBuy and 'Yes' or 'No'))
    Log('Sell signal: ' .. (shouldSell and 'Yes' or 'No'))
    Log('Timer OK: ' .. (timerOK and 'Yes' or 'No'))
    Log('Position count OK: ' .. (positionsOK and 'Yes' or 'No'))

    if timerOK and positionsOK and not dumpAll then
        logNotOK = true

        if not forceExit and not stopNoPos then
            if shouldBuy then
                PosMan:newPosition(true, cp.bid, tradeAmount, GetOrderType(), orderTimeout)

                orderTimer = Time()
            
            elseif shouldSell then
                PosMan:newPosition(false, cp.ask, tradeAmount, GetOrderType(), orderTimeout)

                orderTimer = Time()
            end
        end
    else
        if logNotOK then
            if not timerOK then
                Log('Blocking new entries; entry cooldown', DarkGray)
                logNotOK = false
            elseif not positionsOK then
                Log('Blocking new entries; max positions open', DarkGray)
                logNotOK = false
            elseif dumpAll then
                Log('Blocking new entries; master market is dumping', DarkGray)
                logNotOK = false
            end
        end
    end

    Save('lnok', logNotOK)
    Save('ot', orderTimer)

    Plot(1, 'Positions', positionCount)

    -- update all positions and save
    PosMan:updateAll()
    PosMan:save()
    MasterDumpage:save()