Setting up a grid

jeremytregunna

I'm working on a strategy with 3 parameters, a lower price limit, a profit percentage to take per ladder rung, and a percentage of my capital to risk. The strategy will set up a ladder of buys, and sells. I want to set up 3 buys, and 2 sells after initially buying enough of the asset to cover the sells. Each time I pass a rung and take profit, I want to generate a new buy or sell above or below the highest buy in the grid, or the lowest low (downto the low price limit).

My question is really I don't know how to structure this within the should_long/go_long/should_short/go_short/update_position framework. I know how to generate my ladder, and how to go long/short; but tracking what trades exist in the system so I can return True in should_long/should_short is what I'm stuck on. Any suggestions would be appreciated.

nerdy

Track trades in update_position() using this https://docs.jesse-ai.com/docs/strategies/api.html#position
Can’t see why you can’t define your ladder in there also.

markus

Do you plan to do it with Staggered Orders? The concept of jesse doesn't allow multiple positions. Grid strategies like that, would need major changes in jesses code especially the strategy class. Maybe it could work with adding/selling parts of the same position in update position. https://docs.jesse-ai.com/docs/strategies/entering-and-exiting.html#entering-and-or-exiting-at-multiple-points You would also need the order book for the highest buy and lowest low. @Saleh should know more.
BTW its also questioned if the orderbooks of centralised exchanges are reliable and there are bots placing fake orders, that get cancled before they can be executed.

jeremytregunna

markus This is just a test not something serious (I have a bot already that I'm happy with that uses this strategy) -- so not critical if jesse can do it or not; the way my other bot works is like what I described above, so it does maintain multiple positions. Good to know this is a limitation of jesse, but I'll take yours and nerdy's advice to track it in update_position and see what I can cobble together. Thanks

Saleh

I would define my own variables using self.vars and then use should_long if the position is close, and update_position for increasing or reducing the position.

jeremytregunna

Yeah I think my biggest issue here is the fact that assuming a large bullish candle that covers 2 or 3 of my buys, I wouldn't actually be able to make a profit out of all but 1 buy, since I wouldn't be able to track multiple buys as separate orders. That said, I did exactly what you said @Saleh and it does mostly work, given that big caveat. 🙂

Saleh

jeremytregunna my biggest issue here is the fact that assuming a large bullish candle that covers 2 or 3 of my buys

I think you can. You need to open position using multiple orders, and the same for reducing and increasing:
https://docs.jesse-ai.com/docs/strategies/entering-and-exiting.html#entering-and-or-exiting-at-multiple-points

jeremytregunna

Ah yeah that does work, I had a bug in the code that was causing it to not work as I expected.