Merge pull request #8 from joergrs/7_limit_factor

New feature to adjust the limit price order based on a factor of the actual pair price.

README.md

@@ -75,10 +75,14 @@ api:
 # pair: Name of the pair (list of available pairs: https://api.kraken.com/0/public/AssetPairs)
 # delay: Delay in days between each buy limit order.
 # amount: Amount of the order in quote asset.
+# limit_factor (optional): Create the limit order at a price of current price
+#                          multiplied by specified factor (up to 5 digits).
+# E.g., limit_factor = 0.95 creates a limit order 5% below market price
 dca_pairs:
   - pair: "XETHZEUR"
     delay: 1
     amount: 15
+    limit_factor: 0.98
   - pair: "XXBTZEUR"
     delay: 3
     amount: 20
@@ -88,6 +92,9 @@ dca_pairs:
 - Available pairs for pair field can be found [here](https://api.kraken.com/0/public/AssetPairs) on *altname*.
 - Amount is the amount of quote asset to sell to buy base asset.
 - You can specify as many pairs as you want in the dca_pairs list.
+- Set a `limit_factor` if you want to place the buy order that is different from the 
+  current market price (up to 5 digits).<br>
+  E.g., `limit_factor: 0.95` would set the limit price 5% below the market price.
 
 More information on 
 [Kraken API official documentation](https://support.kraken.com/hc/en-us/articles/360000920306-Ticker-pairs).

__main__.py

@@ -11,4 +11,3 @@
     kdca = KrakenDCA(config, ka)
     kdca.initialize_pairs_dca()
     kdca.handle_pairs_dca()
-

config.yaml

@@ -7,11 +7,14 @@ api:
 # pair: Name of the pair (list of available pairs: https://api.kraken.com/0/public/AssetPairs)
 # delay: Delay in days between each buy limit order.
 # amount: Amount of the order in quote asset.
+# limit_factor (optional): Create the limit order at a price of current price
+#                          multiplied by specified factor (up to 5 digits).
+# E.g., limit_factor = 0.95 creates a limit order 5% below market price
 dca_pairs:
   - pair: "XETHZEUR"
     delay: 1
     amount: 15
+    limit_factor: 0.985
   - pair: "XXBTZEUR"
     delay: 3
     amount: 20
-

krakendca/dca.py

@@ -19,6 +19,7 @@ class DCA:
     delay: int
     pair: Pair
     amount: float
+    limit_factor: float
     orders_filepath: str
 
     def __init__(
@@ -28,6 +29,7 @@ def __init__(
         pair: Pair,
         amount: float,
         orders_filepath: str = "orders.csv",
+        limit_factor: float = 1,
     ) -> None:
         """
         Initialize the DCA object.
@@ -41,6 +43,7 @@ def __init__(
         self.delay = delay
         self.pair = pair
         self.amount = float(amount)
+        self.limit_factor = float(limit_factor)
         self.orders_filepath = orders_filepath
         print(f"Pair: {self.pair.name}, delay: {self.delay}, amount: {self.amount}.")
 
@@ -62,12 +65,13 @@ def handle_dca_logic(self) -> None:
             # Get current pair ask price.
             pair_ask_price = self.pair.get_pair_ask_price(self.ka, self.pair.name)
             print(f"Current {self.pair.name} ask price: {pair_ask_price}.")
+            limit_price = self.get_limit_price(pair_ask_price)
             # Create the Order object.
             order = Order.buy_limit_order(
                 current_date,
                 self.pair.name,
                 self.amount,
-                pair_ask_price,
+                limit_price,
                 self.pair.lot_decimals,
                 self.pair.quote_decimals,
             )
@@ -79,6 +83,22 @@ def handle_dca_logic(self) -> None:
         else:
             print("Already DCA.")
 
+    def get_limit_price(self, pair_ask_price: float) -> float:
+        """
+        Calculates wanted limit price from current ask price and limit_factor.
+
+        :param pair_ask_price: Pair ask price to adjust li;it price from.
+        :return: The limit price
+        """
+        if round(self.limit_factor, 5) == 1.0:
+            limit_price = pair_ask_price
+        else:
+            limit_price = round(pair_ask_price * self.limit_factor, 2)
+            print(
+                f"Factor adjusted limit price ({self.limit_factor:.4f}): {limit_price}."
+            )
+        return limit_price
+
     def get_system_time(self) -> datetime:
         """
         Compare system and Kraken time.

krakendca/krakendca.py

@@ -36,7 +36,8 @@ def initialize_pairs_dca(self):
         for dca_pair in self.config.dca_pairs:
             pair = Pair.get_pair_from_kraken(self.ka, asset_pairs, dca_pair.get("pair"))
             self.dcas_list.append(DCA(
-                self.ka, dca_pair.get("delay"), pair, dca_pair.get("amount")
+                self.ka, dca_pair.get("delay"), pair, dca_pair.get("amount"),
+                limit_factor=dca_pair.get("limit_factor", 1)
             ))
 
     def handle_pairs_dca(self):

tests/fixtures/config.yaml

@@ -7,11 +7,14 @@ api:
 # pair: Name of the pair (list of available pairs: https://api.kraken.com/0/public/AssetPairs)
 # delay: Delay in days between each buy limit order.
 # amount: Amount of the order in quote asset.
+# limit_factor (optional): Create the limit order at a price of current price
+#                          multiplied by specified factor (up to 5 digits).
+# E.g., limit_factor = 0.95 creates a limit order 5% below market price
 dca_pairs:
   - pair: "XETHZEUR"
     delay: 1
     amount: 15
+    limit_factor: 0.985
   - pair: "XXBTZEUR"
     delay: 3
     amount: 20
-

tests/fixtures/vcr_cassettes/test_limit_factor.yaml

@@ -0,0 +1,50 @@
+interactions:
+  - request:
+      body: pair=XETHZEUR
+      headers:
+        Connection:
+          - close
+        Content-Length:
+          - '13'
+        Content-Type:
+          - application/x-www-form-urlencoded
+        Host:
+          - api.kraken.com
+        User-Agent:
+          - Python-urllib/3.8
+      method: POST
+      uri: https://api.kraken.com/0/public/Ticker
+    response:
+      body:
+        string: '{"error":[],"result":{"XETHZEUR":{"a":["3896.01000","54","54.000"],"b":["3896.00000","1","1.000"],"c":["3896.00000","0.01289350"],"v":["13252.90999721","14339.17068685"],"p":["3838.30816","3829.30482"],"t":[20470,22511],"l":["3700.00000","3690.00000"],"h":["3913.02000","3913.02000"],"o":"3729.23000"}}}'
+      headers:
+        CF-Cache-Status:
+          - DYNAMIC
+        CF-RAY:
+          - 6a8036490b280746-FRA
+        Connection:
+          - close
+        Content-Type:
+          - application/json; charset=utf-8
+        Date:
+          - Tue, 02 Nov 2021 20:46:24 GMT
+        Expect-CT:
+          - max-age=604800, report-uri="https://report-uri.cloudflare.com/cdn-cgi/beacon/expect-ct"
+        Server:
+          - cloudflare
+        Set-Cookie:
+          - __cf_bm=yvnjJaYTlqqvrgbQUObBpPK_9B7DPalBHlf.kAwetDA-1635885984-0-ATG59S5EJ4tqwg2AtcDhs/509EHUsJWZ3F7YTvUSykyTB928Ps+tANmqYn+/200ttJBUBHiJUpEbQoH9lLixOww=;
+            path=/; expires=Tue, 02-Nov-21 21:16:24 GMT; domain=.kraken.com; HttpOnly;
+            Secure; SameSite=None
+        Transfer-Encoding:
+          - chunked
+        cache-control:
+          - no-cache,max-age=0
+        referrer-policy:
+          - no-referrer-when-downgrade
+        strict-transport-security:
+          - max-age=15768000
+      status:
+        code: 200
+        message: OK
+version: 1

tests/test_dca.py

@@ -30,6 +30,8 @@ def test_init(self):
         assert type(self.dca.pair) == Pair
         assert type(self.dca.amount) == float
         assert self.dca.amount == 20
+        assert type(self.dca.limit_factor) == float
+        assert self.dca.limit_factor == 1
         assert self.dca.orders_filepath == self.test_orders_filepath
 
     @freeze_time("2021-04-15 21:33:28.069731")
@@ -195,3 +197,10 @@ def test_send_buy_limit_order(self, capfd):
             "OUHXFN-RTP6W-ART4VP\nDescription: buy 0.01029256 ETHEUR @ limit 1938.11\n"
         )
         assert captured.out == test_output
+
+    @vcr.use_cassette("tests/fixtures/vcr_cassettes/test_limit_factor.yaml")
+    def test_limit_factor(self):
+        self.dca.limit_factor = 0.9
+        assert self.dca.get_limit_price(3896.01) == 3506.41
+        self.dca.limit_factor = 0.999999
+        assert self.dca.get_limit_price(3896.01) == 3896.01