openbroker 1.0.67 → 1.0.69

package/scripts/strategies/grid.ts

@@ -1,397 +0,0 @@
-#!/usr/bin/env npx tsx
-// Grid Trading Strategy - Place orders at multiple price levels
-
-import { getClient } from '../core/client.js';
-import { formatUsd, parseArgs, sleep } from '../core/utils.js';
-
-function printUsage() {
-  console.log(`
-Open Broker - Grid Trading
-==========================
-
-Place buy and sell orders across a price range. Profits from price oscillations
-within the range by buying low and selling high repeatedly.
-
-Usage:
-  npx tsx scripts/strategies/grid.ts --coin <COIN> --lower <PRICE> --upper <PRICE> --grids <N> --size <SIZE>
-
-Options:
-  --coin          Asset to trade (e.g., ETH, BTC)
-  --lower         Lower bound of grid (price)
-  --upper         Upper bound of grid (price)
-  --grids         Number of grid levels (default: 10)
-  --size          Size per grid in base asset
-  --total-size    OR total size to distribute across grids
-  --mode          Grid mode: neutral, long, short (default: neutral)
-  --refresh       Refresh interval in seconds to rebalance grid (default: 60)
-  --duration      How long to run in hours (default: runs until stopped)
-  --dry           Dry run - show grid plan without placing orders
-
-Grid Modes:
-  neutral   Place both buys below and sells above current price
-  long      Only place buy orders (accumulation grid)
-  short     Only place sell orders (distribution grid)
-
-Examples:
-  # ETH grid between $3000-$4000 with 10 levels, 0.1 ETH per level
-  npx tsx scripts/strategies/grid.ts --coin ETH --lower 3000 --upper 4000 --grids 10 --size 0.1
-
-  # BTC accumulation grid (buys only)
-  npx tsx scripts/strategies/grid.ts --coin BTC --lower 90000 --upper 100000 --grids 5 --size 0.01 --mode long
-
-  # Preview grid setup
-  npx tsx scripts/strategies/grid.ts --coin ETH --lower 3000 --upper 4000 --grids 10 --size 0.1 --dry
-
-How it Works:
-  1. Calculates price levels evenly spaced between lower and upper bounds
-  2. Places buy orders at levels below current price
-  3. Places sell orders at levels above current price
-  4. Monitors fills and replaces filled orders on the opposite side
-  5. Continues until duration ends or manually stopped
-`);
-}
-
-interface GridLevel {
-  price: number;
-  side: 'buy' | 'sell';
-  size: number;
-  oid?: number;
-  status: 'pending' | 'open' | 'filled' | 'cancelled';
-}
-
-interface GridState {
-  levels: GridLevel[];
-  totalBuys: number;
-  totalSells: number;
-  realizedPnl: number;
-  avgBuyPrice: number;
-  avgSellPrice: number;
-}
-
-async function main() {
-  const args = parseArgs(process.argv.slice(2));
-
-  const coin = args.coin as string;
-  const lower = parseFloat(args.lower as string);
-  const upper = parseFloat(args.upper as string);
-  const grids = args.grids ? parseInt(args.grids as string) : 10;
-  const sizePerGrid = args.size ? parseFloat(args.size as string) : undefined;
-  const totalSize = args['total-size'] ? parseFloat(args['total-size'] as string) : undefined;
-  const mode = (args.mode as string) || 'neutral';
-  const refreshInterval = args.refresh ? parseInt(args.refresh as string) : 60;
-  const durationHours = args.duration ? parseFloat(args.duration as string) : Infinity;
-  const dryRun = args.dry as boolean;
-
-  if (!coin || isNaN(lower) || isNaN(upper) || (!sizePerGrid && !totalSize)) {
-    printUsage();
-    process.exit(1);
-  }
-
-  if (lower >= upper) {
-    console.error('Error: --lower must be less than --upper');
-    process.exit(1);
-  }
-
-  if (!['neutral', 'long', 'short'].includes(mode)) {
-    console.error('Error: --mode must be "neutral", "long", or "short"');
-    process.exit(1);
-  }
-
-  const size = sizePerGrid || (totalSize! / grids);
-
-  const client = getClient();
-
-  if (args.verbose) {
-    client.verbose = true;
-  }
-
-  console.log('Open Broker - Grid Trading');
-  console.log('==========================\n');
-
-  try {
-    const mids = await client.getAllMids();
-    const midPrice = parseFloat(mids[coin]);
-    if (!midPrice) {
-      console.error(`Error: No market data for ${coin}`);
-      process.exit(1);
-    }
-
-    // Calculate grid levels
-    const gridSpacing = (upper - lower) / (grids - 1);
-    const levels: GridLevel[] = [];
-
-    for (let i = 0; i < grids; i++) {
-      const price = lower + gridSpacing * i;
-      let side: 'buy' | 'sell';
-
-      if (mode === 'long') {
-        side = 'buy';
-      } else if (mode === 'short') {
-        side = 'sell';
-      } else {
-        // Neutral: buys below mid, sells above mid
-        side = price < midPrice ? 'buy' : 'sell';
-      }
-
-      levels.push({
-        price,
-        side,
-        size,
-        status: 'pending',
-      });
-    }
-
-    const buyLevels = levels.filter(l => l.side === 'buy');
-    const sellLevels = levels.filter(l => l.side === 'sell');
-    const totalNotional = levels.reduce((sum, l) => sum + l.price * l.size, 0);
-
-    console.log('Grid Configuration');
-    console.log('------------------');
-    console.log(`Coin:           ${coin}`);
-    console.log(`Current Price:  ${formatUsd(midPrice)}`);
-    console.log(`Range:          ${formatUsd(lower)} - ${formatUsd(upper)}`);
-    console.log(`Grid Spacing:   ${formatUsd(gridSpacing)} (${((gridSpacing / midPrice) * 100).toFixed(2)}%)`);
-    console.log(`Grid Levels:    ${grids}`);
-    console.log(`Size/Level:     ${size} ${coin}`);
-    console.log(`Total Size:     ${size * grids} ${coin}`);
-    console.log(`Total Notional: ~${formatUsd(totalNotional)}`);
-    console.log(`Mode:           ${mode.toUpperCase()}`);
-    console.log(`Buy Orders:     ${buyLevels.length}`);
-    console.log(`Sell Orders:    ${sellLevels.length}`);
-
-    console.log('\nGrid Levels');
-    console.log('-----------');
-    for (let i = levels.length - 1; i >= 0; i--) {
-      const level = levels[i];
-      const marker = Math.abs(level.price - midPrice) < gridSpacing / 2 ? ' <-- current' : '';
-      const sideLabel = level.side === 'buy' ? 'BUY ' : 'SELL';
-      console.log(`  ${sideLabel} @ ${formatUsd(level.price)} (${size} ${coin})${marker}`);
-    }
-
-    // Profit estimation
-    const profitPerRoundTrip = gridSpacing * size;
-    console.log('\nProfit Estimation (per round trip)');
-    console.log('-----------------------------------');
-    console.log(`Profit/Grid:    ${formatUsd(profitPerRoundTrip)}`);
-    console.log(`If all grids:   ${formatUsd(profitPerRoundTrip * (grids - 1))}`);
-
-    if (dryRun) {
-      console.log('\n--- Dry run complete ---');
-      return;
-    }
-
-    // Place initial orders
-    console.log('\nPlacing grid orders...\n');
-
-    const state: GridState = {
-      levels,
-      totalBuys: 0,
-      totalSells: 0,
-      realizedPnl: 0,
-      avgBuyPrice: 0,
-      avgSellPrice: 0,
-    };
-
-    for (const level of levels) {
-      // Skip levels too close to current price (within 0.1%)
-      const distance = Math.abs(level.price - midPrice) / midPrice;
-      if (distance < 0.001) {
-        console.log(`  Skipping level @ ${formatUsd(level.price)} (too close to current price)`);
-        level.status = 'cancelled';
-        continue;
-      }
-
-      const response = await client.limitOrder(
-        coin,
-        level.side === 'buy',
-        level.size,
-        level.price,
-        'Gtc',
-        false
-      );
-
-      if (response.status === 'ok' && response.response && typeof response.response === 'object') {
-        const status = response.response.data.statuses[0];
-        if (status?.resting) {
-          level.oid = status.resting.oid;
-          level.status = 'open';
-          console.log(`  ${level.side.toUpperCase()} @ ${formatUsd(level.price)} - OID: ${level.oid}`);
-        } else if (status?.filled) {
-          level.status = 'filled';
-          const fillPrice = parseFloat(status.filled.avgPx);
-          console.log(`  ${level.side.toUpperCase()} @ ${formatUsd(level.price)} - FILLED @ ${formatUsd(fillPrice)}`);
-
-          // Track for PnL
-          if (level.side === 'buy') {
-            state.totalBuys += level.size;
-            state.avgBuyPrice = ((state.avgBuyPrice * (state.totalBuys - level.size)) + (fillPrice * level.size)) / state.totalBuys;
-          } else {
-            state.totalSells += level.size;
-            state.avgSellPrice = ((state.avgSellPrice * (state.totalSells - level.size)) + (fillPrice * level.size)) / state.totalSells;
-          }
-        } else if (status?.error) {
-          level.status = 'cancelled';
-          console.log(`  ${level.side.toUpperCase()} @ ${formatUsd(level.price)} - ERROR: ${status.error}`);
-        }
-      } else {
-        level.status = 'cancelled';
-        console.log(`  ${level.side.toUpperCase()} @ ${formatUsd(level.price)} - FAILED`);
-      }
-
-      await sleep(100); // Small delay between orders
-    }
-
-    const openOrders = levels.filter(l => l.status === 'open').length;
-    console.log(`\nGrid initialized with ${openOrders} open orders.`);
-
-    // Monitoring loop
-    if (durationHours !== Infinity) {
-      const endTime = Date.now() + durationHours * 3600 * 1000;
-
-      console.log(`\nMonitoring grid for ${durationHours} hours...`);
-      console.log(`(Press Ctrl+C to stop and cancel orders)\n`);
-
-      // Handle graceful shutdown
-      process.on('SIGINT', async () => {
-        console.log('\n\nShutting down - cancelling all grid orders...');
-        await cancelAllGridOrders(client, coin, state.levels);
-        printSummary(state);
-        process.exit(0);
-      });
-
-      while (Date.now() < endTime) {
-        await sleep(refreshInterval * 1000);
-
-        // Check for filled orders
-        const openOrders = await client.getOpenOrders();
-        const openOids = new Set(openOrders.filter(o => o.coin === coin).map(o => o.oid));
-
-        for (const level of state.levels) {
-          if (level.status === 'open' && level.oid && !openOids.has(level.oid)) {
-            // Order was filled
-            level.status = 'filled';
-            console.log(`[${new Date().toLocaleTimeString()}] ${level.side.toUpperCase()} FILLED @ ${formatUsd(level.price)}`);
-
-            // Update tracking
-            if (level.side === 'buy') {
-              state.totalBuys += level.size;
-              state.avgBuyPrice = level.price;
-            } else {
-              state.totalSells += level.size;
-              state.avgSellPrice = level.price;
-
-              // Calculate realized PnL when we sell
-              if (state.avgBuyPrice > 0) {
-                const pnl = (level.price - state.avgBuyPrice) * level.size;
-                state.realizedPnl += pnl;
-              }
-            }
-
-            // Place opposite order at next level
-            if (mode === 'neutral') {
-              const oppositePrice = level.side === 'buy'
-                ? level.price + gridSpacing
-                : level.price - gridSpacing;
-
-              if (oppositePrice >= lower && oppositePrice <= upper) {
-                const oppositeSide = level.side === 'buy' ? 'sell' : 'buy';
-                const response = await client.limitOrder(
-                  coin,
-                  oppositeSide === 'buy',
-                  level.size,
-                  oppositePrice,
-                  'Gtc',
-                  false
-                );
-
-                if (response.status === 'ok' && response.response && typeof response.response === 'object') {
-                  const status = response.response.data.statuses[0];
-                  if (status?.resting) {
-                    // Add new level
-                    const newLevel: GridLevel = {
-                      price: oppositePrice,
-                      side: oppositeSide,
-                      size: level.size,
-                      oid: status.resting.oid,
-                      status: 'open',
-                    };
-                    state.levels.push(newLevel);
-                    console.log(`  -> Placed ${oppositeSide.toUpperCase()} @ ${formatUsd(oppositePrice)} (OID: ${newLevel.oid})`);
-                  }
-                }
-              }
-            }
-          }
-        }
-
-        // Status update
-        const currentOpen = state.levels.filter(l => l.status === 'open').length;
-        const currentFilled = state.levels.filter(l => l.status === 'filled').length;
-        const newMid = parseFloat((await client.getAllMids())[coin]);
-        console.log(`[${new Date().toLocaleTimeString()}] Price: ${formatUsd(newMid)} | Open: ${currentOpen} | Filled: ${currentFilled} | PnL: ${formatUsd(state.realizedPnl)}`);
-      }
-
-      // End of duration - cancel remaining orders
-      console.log('\nDuration ended. Cancelling remaining orders...');
-      await cancelAllGridOrders(client, coin, state.levels);
-      printSummary(state);
-    } else {
-      console.log(`\nGrid is running. Press Ctrl+C to stop and cancel orders.`);
-      console.log(`Refresh interval: ${refreshInterval}s\n`);
-
-      // Handle graceful shutdown
-      process.on('SIGINT', async () => {
-        console.log('\n\nShutting down - cancelling all grid orders...');
-        await cancelAllGridOrders(client, coin, state.levels);
-        printSummary(state);
-        process.exit(0);
-      });
-
-      // Keep running
-      while (true) {
-        await sleep(refreshInterval * 1000);
-
-        const openOrders = await client.getOpenOrders();
-        const openOids = new Set(openOrders.filter(o => o.coin === coin).map(o => o.oid));
-        const currentOpen = state.levels.filter(l => l.status === 'open' && l.oid && openOids.has(l.oid)).length;
-        const newMid = parseFloat((await client.getAllMids())[coin]);
-
-        console.log(`[${new Date().toLocaleTimeString()}] Price: ${formatUsd(newMid)} | Open orders: ${currentOpen} | PnL: ${formatUsd(state.realizedPnl)}`);
-      }
-    }
-
-  } catch (error) {
-    console.error('Error:', error);
-    process.exit(1);
-  }
-}
-
-async function cancelAllGridOrders(
-  client: ReturnType<typeof getClient>,
-  coin: string,
-  levels: GridLevel[]
-): Promise<void> {
-  for (const level of levels) {
-    if (level.status === 'open' && level.oid) {
-      try {
-        await client.cancel(coin, level.oid);
-        level.status = 'cancelled';
-        console.log(`  Cancelled ${level.side.toUpperCase()} @ ${formatUsd(level.price)}`);
-      } catch {
-        // Ignore errors - order may have been filled
-      }
-    }
-  }
-}
-
-function printSummary(state: GridState): void {
-  console.log('\n========== Grid Summary ==========');
-  console.log(`Total Buys:     ${state.totalBuys.toFixed(6)}`);
-  console.log(`Total Sells:    ${state.totalSells.toFixed(6)}`);
-  console.log(`Avg Buy Price:  ${state.avgBuyPrice > 0 ? formatUsd(state.avgBuyPrice) : 'N/A'}`);
-  console.log(`Avg Sell Price: ${state.avgSellPrice > 0 ? formatUsd(state.avgSellPrice) : 'N/A'}`);
-  console.log(`Realized PnL:   ${formatUsd(state.realizedPnl)}`);
-  console.log(`Net Position:   ${(state.totalBuys - state.totalSells).toFixed(6)}`);
-}
-
-main();