bitfinexcom / bfx-hf-strategy

Bitfinex Honey Framework Trading Strategy Library for Node.JS

This repo serves as a framework for creating trading bots/strategies on the Bitfinex platform. It consists of a set of order methods and an architecture compatible with bfx-hf-data-server and bfx-hf-backtest for backtests on historical candle/trade data, which can be transitioned seamlessly to trading on the live markets.

Strategies written using this framework must define a set of update methods, called on each tick (with either a trade or a candle), along with a set of indicators which are automatically updated on each tick. The indicators are made available to the strategy methods, and can be queried to direct trading behavior.

Features

• Event-driven design approach allowing strategies to react to market updates in real-time
• Compatibility with bfx-hf-backtest for backtest execution
• Compatibility with bfx-hf-strategy-exec for execution on live markets

Installation

npm i --save bfx-hf-strategy

Quickstart & Example

Using bfx-hf-stratey implies writing a custom strategy utilizing the methods provided by the library. The following is an example of a valid strategy as defined within examples/macd_cross:

const { MACD } = require('bfx-hf-indicators')
const { SYMBOLS, TIME_FRAMES } = require('bfx-hf-util')
const HFS = require('bfx-hf-strategy')

module.exports = ({
  symbol = SYMBOLS.BTC_USD,
  tf = TIME_FRAMES.ONE_HOUR
} = {}) => HFS.define({
  id: 'quickstart_example',
  name: 'quickstart_example',
  symbol,
  tf,

  indicators: {
    macd: new MACD([10, 26, 9])
  },

  // This quickstart example immediately opens a long position, and then no
  // longer reacts to future market updates
  onPriceUpdate: async (state = {}, update = {}) => {
    const position = HFS.getPosition(state)

    if (position) {
      return state
    }

    return HFS.openLongPositionMarket(state, {
      mtsCreate: mts,
      amount: 1,
      price
    })
  }
})

Docs

Refer to docs/usage.md for an overview of the strategy system and methods available at runtime, and docs/api.md for JSDoc-generated API documentation.

Ready to run examples can be found in the examples/ folder

Contributing

1. Fork it
2. Create your feature branch (git checkout -b my-new-feature)
3. Commit your changes (git commit -am 'Add some feature')
4. Push to the branch (git push origin my-new-feature)
5. Create a new Pull Request

Note

This package will be maintained only via github, please use latest relases from github instead of npm.

Example on how to install specific version from github:

npm i --save-prod https://github.com/bitfinexcom/bfx-hf-strategy.git#v1.1.1

Example on how to install it latest version from github:

npm i --save-prod https://github.com/bitfinexcom/bfx-hf-strategy.git

bfx-hf-strategy's Issues

Fix: Take fee currency into account

Fees for trades are blindly summed together to track total fees over a strategy's lifetime without taking into account the fee currency. In preparation for supporting multiple markets & symbols, the fee's currency needs to be accounted for and the fee value converted to a user-specified fee currency (maybe default to USD).

This requires fetching price data, likely something that will be provided by the new multi-market system.

Examples of fee usage:

• https://github.com/bitfinexcom/bfx-hf-strategy/blob/master/lib/data/position_pl.js#L24
• https://github.com/bitfinexcom/bfx-hf-strategy/blob/master/lib/position/position_pl.js#L35

Feature: Add Tests

The test folder currently contains a stub so npm test passes; this needs to be filled in/expanded.

Feature: Extract fee definition from internals

The architecture needs to be refactored to support custom fees for internal calculations. The responsibility of acquiring an own user's maker/taker fees & passing them to bfx-hf-strategy should be deferred to the library consumer.

State positions are emptied - onCandleUpdate returns the initial state instead of the updated state

Issue type

• bug
• missing functionality
• performance
• feature request

Brief description

This bug can be seen on using live data stream, with the bfx-hf-strategy-exec. When a new candle is received, upon processing the candle update message and a trade is executed, the state position object is overridden by the previous empty positions state;

Steps to reproduce

• run with bfx-hf-strategy-exec, place a trade from either onUpdate or onEnter. Position state is updated temporarily, then on next candle_update it is reverted to empty object;

Additional Notes:

Cannot submit order with client id = nonce()

Issue type

• bug
• missing functionality
• performance
• feature request

Brief description

Steps to reproduce

Additional Notes:

• submit_order.js:
  invalid submit order when nonce() is using as order.cid
  If order.cid=Date.now() then order will be successfuly submitted

bfx-hf-strategy-2.1.1/examples/exec_ema_cross.js broken?

Issue type

• [x ] bug
• missing functionality
• performance
• feature request

Brief description

It seems to break on its own example.

My-iMac:backtest-with-bitfinex-honey me$ node ~/src/bfx-hf-strategy-2.1.1/examples/exec_ema_cross.js
/Users/me/src/bfx-hf-strategy-2.1.1/lib/orders/simulate_order_fill.js:22
const authorizationError = perfManager.canOpenOrder(amount, price || priceFeed.price)
^

TypeError: Cannot read properties of undefined (reading 'canOpenOrder')
at module.exports (/Users/me/src/bfx-hf-strategy-2.1.1/lib/orders/simulate_order_fill.js:22:42)
at module.exports (/Users/me/src/bfx-hf-strategy-2.1.1/lib/orders/submit_trade.js:33:13)
at openPositionWithOrder (/Users/me/src/bfx-hf-strategy-2.1.1/lib/position/open_position_with_order.js:43:34)
at openPosition (/Users/me/src/bfx-hf-strategy-2.1.1/lib/position/open_position.js:14:10)
at openPositionMarket (/Users/me/src/bfx-hf-strategy-2.1.1/lib/position/open_position_market.js:16:10)
at Object.openLongPositionMarket (/Users/me/src/bfx-hf-strategy-2.1.1/lib/position/open_long_position_market.js:13:10)
at module.exports (/Users/me/src/bfx-hf-strategy-2.1.1/examples/ema_cross/on_enter.js:15:18)
at /Users/me/src/bfx-hf-strategy-2.1.1/lib/updates/on_price_update.js:46:23
at module.exports (/Users/me/src/bfx-hf-strategy-2.1.1/lib/position/with_no_position.js:18:12)
at onPriceUpdate (/Users/me/src/bfx-hf-strategy-2.1.1/lib/updates/on_price_update.js:45:9)
at Object.onCandle (/Users/me/src/bfx-hf-strategy-2.1.1/lib/updates/on_candle.js:32:23)
at run (/Users/me/src/bfx-hf-strategy-2.1.1/examples/exec_ema_cross.js:32:28)

Steps to reproduce

node ~/src/bfx-hf-strategy-2.1.1/examples/exec_ema_cross.js

Additional Notes:

I believe I am running the latest versions of the various bfx-hf node.js stuff, as available in gitlab.

Alway throw error order not fully filled, refusing to create trade (${amount}/${amountOrig})

Issue type

• bug
• missing functionality
• performance
• feature request

Brief description

in Bitfinex new order documentation:
https://docs.bitfinex.com/reference/ws-auth-input-order-new

amount always !== 0

but in code trade_for_order.js

  if (amount !== 0) {
    throw new Error(
      `order not fully filled, refusing to create trade (${amount}/${amountOrig})`
    )
  }

that lead to bfx-hf-strategy always throw error

Steps to reproduce

Additional Notes:

How to create OCO oder for backtesting?

Hey,
i'm new to automated trading as well as node.js.

I folled the implementation from hackernoon.com which manually fetches candles and passes each onto HFS.onCandle(strategyState, candles[i]).

I managed to create a market order using HFS.openLongPositionMarket(). Additionally to this opened position i also want to create a OCO order. But this should of course only be filled if either the limit price was reached & filled or the stop has triggered a market oder.

I tried doing this right after creating the market order with

const positionOCO = await HFS.closePositionLimit(positionShortState, {
     mtsCreate: update.candle.mts,
     oco: true,
     price: priceTarget,
     priceAuxLimit: priceStop,
 });

but this immeditately fills the order at the same time.

Am i doing a conceptual mistake and misunderstand how HF should be used, or do i need to call some other method?