[pshaiBot] Simple Market Maker (Leverage, NEW HEDGE MODE)

-- Simple Market Maker
-- by pshai @ 2020
-- 
-- Introduction:
-- This simple market maker makes the market!
-- It doesn't stop, it has no limits (other than max. pos. size)
-- and it's amazing. Get familiar with the bot before using it!
-- I strongly suggest doing backtests and especially running it
-- using a simulated account until you are confident that you know that
-- this bot knows what it is doing! Also remember that backtests cannot
-- represent the results you would see with a live bot; the difference
-- is very...different.
-- 
-- About trading commands....
-- This bot uses exit order commands only, but dont be alarmed!
-- It is merely a hack that I found while exploring, and this hack
-- allowed me to not bother handling positions whatsoever!
-- In other words, the bot works well with these; it just looks weird.
-- 
-- --== !NEW! Hedge Mode ==--
-- With this new feature you are able to trade on Binance Futures, OKEx
-- and other excahnges that support hedge mode. Enable this mode ONLY
-- when you are certain that hedging is supported on your chosen exchange!
-- 
-- *THINGS TO NOTE:*
--  - This bot will not work well on:
--    --> Bybit; bot is too intense for their API, dont trade there...
--    --> Bitmex; API Incompatibilities
--  - BE VERY CAREFUL with fixed high leverage! 
-- 
--
-- ~~ May the profits be with you ~~
-- ~pshai
-- 
-- 
-- --------------------------------------------------------------------------

EnableHighSpeedUpdates(true)
HideOrderSettings()
HideTradeAmountSettings()

-- inputs
    local slotCount = Input('01. Slot Count', 5, 'How many orders are constantly kept open on both long and short side')
    local slotSize = Input('02. Slot Size', 10, 'Trade amount per slot')
    local slotSpread = Input('03. Slot Spread %', 0.1, 'Percentage based spread value between each slot')
    local slotCancel = Input('04. Cancel Distance %', 0.1, 'How much price can move to the opposite direction before orders are cancelled and replaced')
    local minSpread = Input('05. Minimum Spread %', 0.1, 'Minimum spread percentage between the first long and short entries. This setting only works when bot has no position.')
    local maxSize = Input('06. Max. Open Contracts', 12000, 'Maximum open contracts at any given time. After exceeding this value, the bot will dump a portion of position at a loss')
    local reduceSize = Input('07. Size Reduction %', 25, 'How big of a portion the bot will dump once Max. Open Contracts is exceeded')
    local reduceOrderType = InputOrderType('08. Reduction Order Type', MarketOrderType, 'The order type for size reduction dump')
    local takeProfit = Input('09. Take-Profit %', 0.2, 'Fixed take-profit value, based on price change')
    local tpOrderType = InputOrderType('10. TP Order Type', MakerOrCancelOrderType, 'The order type for take-profit')
    local hedgeMode = Input('11. Hedge Mode', false, 'Hedge Mode works on exchanges like OKEX and Binance Futures with hedge mode enabled (need to set that via Binance Futrues website!). Changing this setting while bot is running will cause unwanted behavior!!')
    local hedgeRoi = Input('12. Hedge Minimum ROI %', 10, 'The ROI % the current open position needs to have before we enable the opposite side')

-- 
    minSpread = minSpread / 2.0


-- regular single-position logic
    if not hedgeMode then
        -- price and data
            local cp = CurrentPrice()
            local aep = GetPositionEnterPrice()
            local pamt = GetPositionAmount()
            local proi = GetPositionROI()

            Log('position ROI: '..Round(proi, 4)..'%')

        -- not using spread if we have a position
            if pamt > 0 then
                minSpread = 0
            end

        -- slot function
            local slot = function(isLong, index, amount, spread, cancelDist)
                local prefix = isLong and 'L' or 'S'
                local name = prefix .. index
                local cmd = isLong and PlaceExitShortOrder or PlaceExitLongOrder -- a little hack...
                local priceBase = isLong
                        and cp.bid
                        or cp.ask
                local spr = minSpread + spread * index

                -- if we have average entry price
                if aep > 0 then
                    priceBase = isLong
                            and Min(aep, priceBase)
                            or Max(aep, priceBase)
                end

                -- get price
                local price = isLong
                        and SubPerc(priceBase, spr)
                        or AddPerc(priceBase, spr)

                local oid = Load(name..'oid', '') -- order id

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(AddPerc(order.price, spr), priceBase)
                                or Delta(priceBase, SubPerc(order.price, spr))
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            oid = '' -- reset id immediately, otherwise need 2 updates to get new order
                            LogWarning('Delta cancelled '..name)
                        end
                    else
                        oid = ''
                    end
                else
                    SetFee(Abs(MakersFee())*-1)
                    oid = cmd(price, amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600})
                end

                Save(name..'oid', oid)
            end

        -- update take-profit
            local updateTakeProfit = function(entryPrice, targetRoi, cancelDist)        
                local name = 'Take-Profit'
                local oid = Load('tp_oid', '')
                local isLong = GetPositionDirection() == PositionLong
                local timer = Load('tp_timer', Time())
                local tp_delta = isLong and Delta(entryPrice, cp.bid) or Delta(cp.ask, entryPrice)

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(order.price, cp.close)
                                or Delta(cp.close, order.price)
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            LogWarning('Delta cancelled '..name)
                        end
                    else
                        oid = ''
                    end
                else
                    if tp_delta >= targetRoi and Time() >= timer then
                        SetFee(tpOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
                        oid = PlaceExitPositionOrder({type = tpOrderType, note = name, timeout = 3600})
                        timer = Time() + 60 -- 1min
                    end
                end

                Save('tp_oid', oid)
                Save('tp_timer', timer)
            end


        -- update position size
            local updatePositionManagement = function(currentSize, sizeLimit, cancelDist)
                local name = 'Size Reduction'
                local oid = Load('pos_oid', '')
                local isLong = GetPositionDirection() == PositionLong
                local amount = SubPerc(currentSize, 100 - reduceSize) -- take X% of position
                local price = isLong
                        and cp.ask
                        or cp.bid
                local cmd = isLong
                        and PlaceExitLongOrder
                        or PlaceExitShortOrder
                local timer = Load('pos_timer', Time())

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(order.price, cp.close)
                                or Delta(cp.close, order.price)
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            LogWarning('Delta cancelled '..name)
                        end
                    else
                        oid = ''
                    end
                else
                    if currentSize > sizeLimit and Time() >= timer then
                        SetFee(reduceOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
                        oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 6000})
                        timer = Time() + 60 -- 1min
                    end
                end

                Save('pos_oid', oid)
                Save('pos_timer', timer)
            end


        -- da logica

            -- take profit
            updateTakeProfit(aep, takeProfit, slotCancel)

            -- risk management
            updatePositionManagement(pamt, maxSize, slotCancel)


            -- update slots
            for i = 1, slotCount do
                slot(true, i, slotSize, slotSpread, slotCancel) -- long slot
            end

            for i = 1, slotCount do
                slot(false, i, slotSize, slotSpread, slotCancel) -- short slot
            end

            if aep > 0 then
                local posId = PositionContainer().positionId
                Plot(0, 'AvgEP', aep, {c=Purple, id=posId, w=2})
            end
    


    --------------------------------------------------------------------------------------------
    --------------------------------------------------------------------------------------------
    -- hedge it!
    else
        -- price and data
            local cp = CurrentPrice()
            local c = ClosePrices()
            local rsi = RSI(c, 9) -- RSI is used to determine which side to start off with. this is to eliminate ghost positions.
            local signal = rsi > 52 and -1 or rsi < 48 and 1 or 0

        -- positions
            local hedge_longPosId = Load('hedge_longPosId', NewGuid())
            local hedge_shortPosId = Load('hedge_shortPosId', NewGuid())

            local dir_l = GetPositionDirection(hedge_longPosId)
            local aep_l = GetPositionEnterPrice(hedge_longPosId)
            local pamt_l = GetPositionAmount(hedge_longPosId)
            local proi_l = GetPositionROI(hedge_longPosId)
            local dir_s = GetPositionDirection(hedge_shortPosId)
            local aep_s = GetPositionEnterPrice(hedge_shortPosId)
            local pamt_s = GetPositionAmount(hedge_shortPosId)
            local proi_s = GetPositionROI(hedge_shortPosId)

            Log('LONG position ROI: '..Round(proi_l, 4)..'%')
            Log('SHORT position ROI: '..Round(proi_s, 4)..'%')

        -- not using spread if we have a position
            if pamt_l > 0 or pamt_s > 0 then
                minSpread = 0
            end

        -- manage position ids
            if pamt_l == 0 and IsPositionClosed(hedge_longPosId) then
                if IsAnyOrderOpen(hedge_longPosId) then
                    CancelAllOrders(hedge_longPosId)
                else
                    hedge_longPosId = NewGuid()
                    dir_l = GetPositionDirection(hedge_longPosId)
                    aep_l = GetPositionEnterPrice(hedge_longPosId)
                    pamt_l = GetPositionAmount(hedge_longPosId)
                    proi_l = GetPositionROI(hedge_longPosId)
                end
            end
            
            if pamt_s == 0 and IsPositionClosed(hedge_shortPosId) then
                if IsAnyOrderOpen(hedge_shortPosId) then
                    CancelAllOrders(hedge_shortPosId)
                else
                    hedge_shortPosId = NewGuid()
                    dir_s = GetPositionDirection(hedge_shortPosId)
                    aep_s = GetPositionEnterPrice(hedge_shortPosId)
                    pamt_s = GetPositionAmount(hedge_shortPosId)
                    proi_s = GetPositionROI(hedge_shortPosId)
                end
            end
        
        -- get pos id
            local getPositionId = function(isLong)
                return isLong and hedge_longPosId or hedge_shortPosId
            end

        -- slot function
            local slot = function(isLong, index, amount, spread, cancelDist, canPlace)
                local prefix = isLong and 'L' or 'S'
                local name = prefix .. index
                local cmd = isLong and PlaceGoLongOrder or PlaceGoShortOrder
                local priceBase = isLong
                        and cp.bid
                        or cp.ask
                local spr = minSpread + spread * index
                local posId = getPositionId(isLong)
                local aep = isLong and aep_l or aep_s

                -- if we have average entry price
                if aep > 0 then
                    priceBase = isLong
                            and Min(aep, priceBase)
                            or Max(aep, priceBase)
                end

                -- get price
                local price = isLong
                        and SubPerc(priceBase, spr)
                        or AddPerc(priceBase, spr)

                local oid = Load(name..'oid', '') -- order id

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(AddPerc(order.price, spr), priceBase)
                                or Delta(priceBase, SubPerc(order.price, spr))
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            LogWarning('Delta cancelled '..name)
                        elseif not canPlace then
                            CancelOrder(oid)
                            LogWarning('Not allowed right now '..name)
                        end
                    else
                        oid = ''
                    end
                else
                    if canPlace then
                        SetFee(Abs(MakersFee())*-1)
                        oid = cmd(price, amount, {type = MakerOrCancelOrderType, note = name, timeout = 3600, positionId = posId})
                    end
                end

                Save(name..'oid', oid)
            end

        -- update take-profit
            local updateTakeProfit = function(isLong, entryPrice, targetRoi, cancelDist)        
                local prefix = isLong and 'Long' or 'Short'
                local name = prefix .. ' Take-Profit'
                local oid = Load(prefix .. 'tp_oid', '')
                local timer = Load(prefix .. 'tp_timer', 0)
                local posId = getPositionId(isLong)
                local tp_delta = isLong and Delta(entryPrice, cp.bid) or Delta(cp.ask, entryPrice)

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(order.price, cp.close)
                                or Delta(cp.close, order.price)
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            LogWarning('Delta cancelled '..name)
                        end
                    else
                        if order.isCancelled then
                            timer = 0
                        end
                        
                        oid = ''
                    end
                else
                    if tp_delta >= targetRoi and Time() >= timer then
                        SetFee(tpOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
                        oid = PlaceExitPositionOrder({type = tpOrderType, note = name, timeout = 3600, positionId = posId})
                        timer = Time() + 60 -- 1min
                    end
                end

                Save(prefix .. 'tp_oid', oid)
                Save(prefix .. 'tp_timer', timer)
            end


        -- update position size
            local updatePositionManagement = function(isLong, currentSize, sizeLimit, cancelDist)
                local prefix = isLong and 'Long' or 'Short'
                local name = prefix .. ' Size Reduction'
                local oid = Load(prefix .. 'pos_oid', '')
                local posId = getPositionId(isLong)
                local amount = SubPerc(currentSize, 100 - reduceSize) -- take X% of position
                local price = isLong
                        and cp.ask
                        or cp.bid
                local cmd = isLong
                        and PlaceExitLongOrder
                        or PlaceExitShortOrder
                local timer = Load(prefix .. 'pos_timer', Time())

                if oid != '' then
                    local order = OrderContainer(oid)

                    if order.isOpen then
                        local delta = isLong
                                and Delta(order.price, cp.close)
                                or Delta(cp.close, order.price)
                        
                        if delta >= cancelDist then
                            CancelOrder(oid)
                            LogWarning('Delta cancelled '..name)
                        end
                    else
                        oid = ''
                    end
                else
                    if currentSize > sizeLimit and Time() >= timer then
                        SetFee(reduceOrderType == MarketOrderType and TakersFee() or Abs(MakersFee())*-1)
                        oid = cmd(price, amount, {type = reduceOrderType, note = name, timeout = 6000, positionId = posId})
                        timer = Time() + 60 -- 1min
                    end
                end

                Save(prefix .. 'pos_oid', oid)
                Save(prefix .. 'pos_timer', timer)
            end


        -- da logica

            -- take profit
            updateTakeProfit(true, aep_l, takeProfit, slotCancel)
            updateTakeProfit(false, aep_s, takeProfit, slotCancel)

            -- risk management
            updatePositionManagement(true, pamt_l, maxSize, slotCancel)
            updatePositionManagement(false, pamt_s, maxSize, slotCancel)


            -- update slots
            for i = 1, slotCount do
                slot(true, i, slotSize, slotSpread, slotCancel, (pamt_s == 0 and signal == 1) or proi_s >= hedgeRoi) -- long slot
            end

            for i = 1, slotCount do
                slot(false, i, slotSize, slotSpread, slotCancel, (pamt_l == 0 and signal == -1) or proi_l >= hedgeRoi) -- short slot
            end

            if aep_l > 0 then
                local posId = getPositionId(true)
                Plot(0, 'AvgEP Long', aep_l, {c=Teal, id=posId, w=2})
            end

            if aep_s > 0 then
                local posId = getPositionId(false)
                Plot(0, 'AvgEP Short', aep_s, {c=Purple, id=posId, w=2})
            end

            

            Save('hedge_longPosId', hedge_longPosId)
            Save('hedge_shortPosId', hedge_shortPosId)
    end