Merge pull request #16 from Newtoniano/min-volume-filter

config.example.yml

@@ -88,6 +88,10 @@ trading_options:
   # Set to 0 to disable.
   cool_off_delay: 0
 
+  # Trading volume threshold in pair_with currency for a coin to be considered for trading.
+  # For Binance, this value refers to the 24h quote asset trading volume of the coin.
+  min_quote_volume_traded: 100000
+
   # Configuration for trailing stop loss.
   trailing_stop_options:
     # Whether to enable trailing stop loss.

internal/bot/bot.go

@@ -22,6 +22,7 @@ type Bot struct {
 	market           market.Market
 	db               database.Database
 	volatilityWindow *VolatilityWindow
+	tradeVolumes     market.TradeVolumes
 	config           *config.Configuration
 	botLog           *zap.SugaredLogger
 	buyLog           *zap.SugaredLogger
@@ -52,6 +53,12 @@ func (b *Bot) Start(ctx context.Context) {
 	defer b.flushLogs()
 	b.botLog.Info("Bot started. Press CTRL + C to quit.")
 
+	if b.config.TradingOptions.MinQuoteVolumeTraded != 0.0 {
+		if err := b.updateVolumeTraded(ctx); err != nil {
+			panic(fmt.Sprintf("failed to load initial volume traded: %s", err))
+		}
+	}
+
 	var wg sync.WaitGroup
 	wg.Add(2)
 
@@ -72,11 +79,20 @@ func (b *Bot) buy(ctx context.Context, wg *sync.WaitGroup) {
 		panic(fmt.Sprintf("failed to load initial latest coins: %s", err))
 	}
 
+	ticker := time.NewTicker(1 * time.Hour)
+	defer ticker.Stop()
+
 	for {
 		select {
 		case <-ctx.Done():
 			b.buyLog.Debug("Bot stopped buying coins.")
 			return
+		case <-ticker.C:
+			// We want to update the volume traded every hour to avoid API rate limiting. This can be a configurable option in the future.
+			if err := b.updateVolumeTraded(ctx); err != nil {
+				b.buyLog.Errorf("Failed to update volume traded: %s.", err)
+				continue
+			}
 		default:
 			// Wait until the next recheck interval.
 			lastRecord := b.volatilityWindow.GetLatestRecord()
@@ -97,6 +113,12 @@ func (b *Bot) buy(ctx context.Context, wg *sync.WaitGroup) {
 			volatileCoins := b.volatilityWindow.IdentifyVolatileCoins(b.config.TradingOptions.ChangeInPrice)
 			b.buyLog.Infof("Found %d volatile coins.", len(volatileCoins))
 			for _, volatileCoin := range volatileCoins {
+
+				if !volatileCoin.Coin.IsAvailableForTrading(b.config.TradingOptions.AllowList, b.config.TradingOptions.DenyList, b.config.TradingOptions.PairWith, b.config.TradingOptions.MinQuoteVolumeTraded) {
+					b.buyLog.Debugf("Coin %s is not available for trading. Skipping.", volatileCoin.Symbol)
+					continue
+				}
+
 				b.buyLog.Infof("Coin %s has gained %.2f%% within the last %d minutes.", volatileCoin.Symbol, volatileCoin.Percentage, b.config.TradingOptions.TimeDifference)
 
 				// Skip if the coin has already been bought.
@@ -358,6 +380,20 @@ func (b *Bot) getProfitOrLossText(priceChangePercentage float64) string {
 	return profitOrLossText
 }
 
+// updateVolumeTraded fetches the volume traded of all coins from the market and stores them in the CoinVolumes map.
+func (b *Bot) updateVolumeTraded(ctx context.Context) error {
+	b.botLog.Debug("Fetching volume traded of all coins.")
+
+	volumeTraded, err := b.market.GetCoinsVolume(ctx)
+	if err != nil {
+		return err
+	}
+
+	b.tradeVolumes = volumeTraded
+
+	return nil
+}
+
 // updateLatestCoins fetches the latest coins from the market and appends them to the volatilityWindow.
 func (b *Bot) updateLatestCoins(ctx context.Context) error {
 	b.botLog.Debug("Fetching latest coins.")
@@ -367,6 +403,12 @@ func (b *Bot) updateLatestCoins(ctx context.Context) error {
 		return err
 	}
 
+	for symbol, coin := range coins {
+		if quoteVolume, ok := b.tradeVolumes[symbol]; ok {
+			coin.QuoteVolumeTraded = quoteVolume
+		}
+	}
+
 	b.volatilityWindow.AddRecord(coins)
 
 	return nil

internal/bot/bot_test.go

@@ -14,7 +14,7 @@ import (
 
 type mockMarket struct {
 	coinsIndex int
-	coins      []market.CoinMap
+	coins      []market.Coins
 	cancel     context.CancelFunc
 }
 
@@ -23,7 +23,7 @@ var _ market.Market = (*mockMarket)(nil)
 
 func newMockMarket(cancel context.CancelFunc) *mockMarket {
 	return &mockMarket{
-		coins:  make([]market.CoinMap, 0),
+		coins:  make([]market.Coins, 0),
 		cancel: cancel,
 	}
 }
@@ -40,7 +40,11 @@ func (m *mockMarket) Sell(ctx context.Context, coin string, quantity float64) (m
 	panic("implement me")
 }
 
-func (m *mockMarket) GetCoins(_ context.Context) (market.CoinMap, error) {
+func (m *mockMarket) GetCoinsVolume(_ context.Context) (market.TradeVolumes, error) {
+	panic("implement me")
+}
+
+func (m *mockMarket) GetCoins(_ context.Context) (market.Coins, error) {
 	if m.coinsIndex >= len(m.coins) {
 		m.cancel()
 		return nil, fmt.Errorf("no coins found at index %d", m.coinsIndex)
@@ -53,7 +57,7 @@ func (m *mockMarket) GetCoins(_ context.Context) (market.CoinMap, error) {
 	return coins, nil
 }
 
-func (m *mockMarket) AddCoins(coins market.CoinMap) {
+func (m *mockMarket) AddCoins(coins market.Coins) {
 	m.coins = append(m.coins, coins)
 }
 
@@ -128,41 +132,61 @@ func TestBot_buy(t *testing.T) {
 		EnableTestMode: true,
 		LoggingOptions: config.LoggingOptions{Enable: false},
 		TradingOptions: config.TradingOptions{
-			ChangeInPrice: 10, // 10%
-			PairWith:      "USDT",
-			Quantity:      10, // trade 10 USDT
+			ChangeInPrice:        10, // 10%
+			PairWith:             "USDT",
+			Quantity:             10, // trade 10 USDT
+			MinQuoteVolumeTraded: 100_000,
 		},
 	}
 
 	m := newMockMarket(cancel)
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
-			Symbol: "BTC",
-			Price:  10_000,
+			Symbol:            "BTCUSDT",
+			Price:             10_000,
+			QuoteVolumeTraded: 50_000,
 		},
 		"ETH": market.Coin{
-			Symbol: "ETH",
-			Price:  10_000,
+			Symbol:            "ETHUSDT",
+			Price:             10_000,
+			QuoteVolumeTraded: 80_000,
 		},
 	})
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
-			Symbol: "BTC",
-			Price:  10_500,
+			Symbol:            "BTCUSDT",
+			Price:             10_500,
+			QuoteVolumeTraded: 100_000,
 		},
 		"ETH": market.Coin{
-			Symbol: "ETH",
-			Price:  9_000,
+			Symbol:            "ETHUSDT",
+			Price:             9_000,
+			QuoteVolumeTraded: 20_000,
 		},
 	})
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
-			Symbol: "BTC",
-			Price:  11_000,
+			Symbol:            "BTCUSDT",
+			Price:             11_000,
+			QuoteVolumeTraded: 120_000,
 		},
 		"ETH": market.Coin{
-			Symbol: "ETH",
-			Price:  10_000,
+			Symbol:            "ETHUSDT",
+			Price:             10_000,
+			QuoteVolumeTraded: 400_000,
+		},
+	})
+	// price change above threshold but not enough trading volume
+	m.AddCoins(market.Coins{
+		"BTC": market.Coin{
+			Symbol:            "BTCUSDT",
+			Price:             14_000,
+			QuoteVolumeTraded: 30_000,
+		},
+		"ETH": market.Coin{
+			Symbol:            "ETHUSDT",
+			Price:             13_000,
+			QuoteVolumeTraded: 40_000,
 		},
 	})
 
@@ -176,7 +200,7 @@ func TestBot_buy(t *testing.T) {
 
 	orders := db.GetOrders(models.BuyOrder, m.Name())
 	assert.Equal(t, 1, len(orders))
-	assert.Equal(t, "BTC", orders[0].Symbol)
+	assert.Equal(t, "BTCUSDT", orders[0].Symbol)
 	assert.Equal(t, 0.0009091, orders[0].Volume)
 }
 
@@ -197,7 +221,7 @@ func TestBot_sell(t *testing.T) {
 	}
 
 	m := newMockMarket(cancel)
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"XTZUSDT": market.Coin{
 			Symbol: "XTZUSDT",
 			Price:  1.295,
@@ -249,19 +273,19 @@ func TestBot_sell_with_trailing_stop_loss(t *testing.T) {
 	}
 
 	m := newMockMarket(cancel)
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
 			Symbol: "BTC",
 			Price:  11_000,
 		},
 	})
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
 			Symbol: "BTC",
 			Price:  11_050,
 		},
 	})
-	m.AddCoins(market.CoinMap{
+	m.AddCoins(market.Coins{
 		"BTC": market.Coin{
 			Symbol: "BTC",
 			Price:  9000,

internal/bot/volatility_window.go

@@ -14,7 +14,7 @@ const UnlimitedVolatilityWindowLength = 0
 
 type VolatilityWindowRecord struct {
 	time  time.Time
-	coins market.CoinMap
+	coins market.Coins
 }
 
 type VolatilityWindow struct {
@@ -36,7 +36,7 @@ func (h *VolatilityWindow) Size() int {
 }
 
 // AddRecord adds a new record to the volatilityWindow.
-func (h *VolatilityWindow) AddRecord(coins market.CoinMap) {
+func (h *VolatilityWindow) AddRecord(coins market.Coins) {
 	if l := h.Size(); l == h.maxLength && l != UnlimitedVolatilityWindowLength {
 		// remove everything except the last record
 		// h.records = h.records[h.maxLength-1:]

internal/bot/volatility_window_test.go

@@ -15,13 +15,13 @@ func TestVolatilityWindow_Size(t *testing.T) {
 
 func TestVolatilityWindow_Min(t *testing.T) {
 	window := NewVolatilityWindow(3)
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 10000.0},
 	})
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 8000.0},
 	})
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 20000.0},
 	})
 	m := window.Min("BTCUSDT")
@@ -30,13 +30,13 @@ func TestVolatilityWindow_Min(t *testing.T) {
 
 func TestVolatilityWindow_Max(t *testing.T) {
 	window := NewVolatilityWindow(3)
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 10000.0},
 	})
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 20000.0},
 	})
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 8000.0},
 	})
 	m := window.Max("BTCUSDT")
@@ -47,41 +47,41 @@ func TestVolatilityWindow_IdentifyVolatileCoins(t *testing.T) {
 	// Basic percentage increase check.
 	window := NewVolatilityWindow(UnlimitedVolatilityWindowLength)
 	percentage := 15.0
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 20_000.0},
 	})
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 23_000.0},
 	})
 	v := window.IdentifyVolatileCoins(percentage)
 	assert.Equal(t, percentage, v["BTCUSDT"].Percentage)
 
 	// This coin is already identified as volatile above.
 	// a sudden spike in price shouldn't affect the result within the current time window.
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"BTCUSDT": {Price: 25_000.0},
 	})
 	v = window.IdentifyVolatileCoins(percentage)
 	assert.Equal(t, percentage, v["BTCUSDT"].Percentage)
 
 	// A brand-new coin should not yet be volatile.
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"ETHUSDT": {Price: 3000},
 	})
 	v = window.IdentifyVolatileCoins(percentage)
 	vv, ok := v["ETHUSDT"]
 	assert.Equal(t, false, ok, vv.Percentage)
 
 	// Test price drop.
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"ETHUSDT": {Price: 2000},
 	})
 	v = window.IdentifyVolatileCoins(percentage)
 	vv, ok = v["ETHUSDT"]
 	assert.Equal(t, false, ok, vv.Percentage)
 
 	// Test price increase
-	window.AddRecord(market.CoinMap{
+	window.AddRecord(market.Coins{
 		"ETHUSDT": {Price: 10_000},
 	})
 	v = window.IdentifyVolatileCoins(percentage)

internal/config/types.go

@@ -119,6 +119,10 @@ type TradingOptions struct {
 	// Set to 0 to disable.
 	CoolOffDelay int `mapstructure:"cool_off_delay"`
 
+	// The minimum 24h quote asset volume traded of the coin.
+	// This is to avoid buying coins with very low trading volume.
+	MinQuoteVolumeTraded float64 `mapstructure:"min_quote_volume_traded"`
+
 	// Configuration for trailing stop loss.
 	TrailingStopOptions TrailingStopOptions `mapstructure:"trailing_stop_options"`