From 52693cda96cc47530b319241395df686949195f1 Mon Sep 17 00:00:00 2001
From: eric o meehan <eric@eom.dev>
Date: Mon, 23 Sep 2024 20:24:38 -0400
Subject: [PATCH] v0.0.16

---
 app.py                      |  8 ++++---
 kraken_bot/HighLowCutoff.py | 46 +++++++++++++++++++++++++++++++++++++
 2 files changed, 51 insertions(+), 3 deletions(-)
 create mode 100644 kraken_bot/HighLowCutoff.py

diff --git a/app.py b/app.py
index 8e11687..7366996 100644
--- a/app.py
+++ b/app.py
@@ -3,7 +3,7 @@ import os
 
 from kraken_bot.KrakenBot import KrakenBot
 from kraken_bot.LinearRegression import LinearRegression
-from kraken_bot.MyStrategy import MyStrategy
+from kraken_bot.HighLowCutoff import HighLowCutoff
 from dotenv import load_dotenv
 
 load_dotenv()
@@ -13,9 +13,11 @@ logger = logging.getLogger(__name__)
 model = LinearRegression(
         r_value_target = float(os.getenv('R_VALUE_TARGET'))
         )
-strategy = MyStrategy(
+strategy = HighLowCutoff(
         investment_count = int(os.getenv('INVESTMENT_COUNT')),
-        investment_volume = float(os.getenv('INVESTMENT_VOLUME'))
+        investment_volume = float(os.getenv('INVESTMENT_VOLUME')),
+        target_gain = float(os.getenv('TARGET_GAIN')),
+        max_loss = float(os.getenv('MAX_LOSS'))
         )
 bot = KrakenBot(
         token = os.getenv('KRAKEN_API_TOKEN'),
diff --git a/kraken_bot/HighLowCutoff.py b/kraken_bot/HighLowCutoff.py
new file mode 100644
index 0000000..dabd962
--- /dev/null
+++ b/kraken_bot/HighLowCutoff.py
@@ -0,0 +1,46 @@
+from kraken_bot.TradingStrategy import TradingStrategy
+from kraken_bot.KrakenOrder import KrakenOrder
+
+class HighLowCutoff(TradingStrategy):
+    def __init__(self, investment_count, investment_volume, target_gain, max_loss):
+        super().__init__(investment_count, investment_volume)
+        self.target_gain = self.investment_volume * (1 + target_gain)
+        self.max_loss = self.investment_volume * (1 - max_loss)
+
+    def update(self, tradable_asset_pairs, ohlc_data, market_analysis, account_balance):
+        self.orders = []
+        investment_count = len(account_balance) - 1
+        for asset in account_balance[(account_balance.index != 'ZUSD')].index:
+            market = tradable_asset_pairs[
+                    (tradable_asset_pairs.base == asset) &
+                    (tradable_asset_pairs.quote == 'ZUSD')
+                    ]
+            ohlc, last = ohlc_data[market.index[0]]
+            last_close = ohlc.iloc[-1].close
+            value = account_balance.loc[asset].vol * last_close
+            if (value <= self.max_loss) or (value >= self.target_gain):
+                self.orders.append(KrakenOrder(
+                    ordertype = 'market',
+                    type = 'sell',
+                    pair = market.index[0],
+                    volume = account_balance.loc[asset].vol,
+                    validate = False
+                    ))
+                investment_count -= 1
+        new_investments = []
+        while investment_count < self.investment_count:
+            for market in market_analysis.index:
+                base = tradable_asset_pairs.loc[market].base
+                if base not in account_balance.index and base not in new_investments:
+                    ohlc, last = ohlc_data[market]
+                    volume = self.investment_volume / ohlc.iloc[-2].close
+                    self.orders.append(KrakenOrder(
+                        ordertype = 'market',
+                        type = 'buy',
+                        pair = market,
+                        volume = volume,
+                        validate = False
+                        ))
+                    new_investments.append(base)
+                    investment_count += 1
+                    break