Strategies Showcase

module BareStrat
using ..Strategies: Strategies as st
using .st, .st.ExchangeTypes
using .st.TimeTicks
import .st: call!
using .st.Misc: Sim, NoMargin, Paper
using .st: Buy, Sell
using .st.OrderTypes: MarketOrder, ShortMarketOrder

const DESCRIPTION = "BaseStrat"
const EXC = :bitmex
const S{M} = Strategy{M,nameof(@__MODULE__),typeof(EXCID),Isolated}

function call!(s::T, ts::DateTime, ctx) where {T<:SC}
    foreach(s.universe) do ai
        oside = rand((Buy, Sell))
        pside = rand((Long, Short))
        if isopen(ai)
            call!(s, ai, ordertp(ai, oside, pside); amount=float(ai) / 3, date)
        elseif cash(s) > ai.limits.cost.min
            call!(s, ai, ordertp(ai, oside, pside); amount=ai.limits.amount.min, date)
        end
    end
end

function call!(::Type{<:SC}, ::StrategyMarkets)
    ["BTC/USDT:USDT", "ETH/USDT:USDT", "SOL/USDT:USDT"]
end
end

function call!(s::SC, ts::DateTime, _)
    ats = available(s.timeframe, ts)
    foreach(s.universe) do ai
        df = ohlcv(ai)
        idx = dateindex(df, ats)
        if idx > 15
            ma7d  = mean(@view df.close[(idx - 7):idx])
            ma15d = mean(@view df.close[(idx - 15):idx])
            side = ifelse(ma7d > ma15d, Buy, Sell)
            call!(s, ai, MarketOrder{side}; date=ts, amount=0.001)
        end
    end
end

const ASSETS = ["BTC/USDT"]
function call!(::Union{<:SC,Type{<:SC}}, ::StrategyMarkets)
    ASSETS
end

@enum Trend Down = 0 Up = 1

function handler(s, ai, ats, date)
    ohlcv = ai.data[tf"1h"]
    idx = dateindex(ohlcv, ats)
    idx < 1 && return nothing
    this_trend = ifelse(ohlcv[idx, :ema15] > ohlcv[idx, :ema40], Down, Up)
    this_rsi = ai.data[tf"15m"][ats, :rsi]
    if this_trend == Up && this_rsi < 40
        price = closeat(ohlcv, ats)
        amount = freecash(s) / price
        call!(s, ai, MarketOrder{Buy}; date, amount)
    elseif this_trend == Down && this_rsi > 60
        price = closeat(ohlcv, ats)
        if !isdust(ai, price)
            call!(s, ai, CancelOrders())
            call!(s, ai, MarketOrder{Sell}; date, amount=float(ai))
        end
    end
end

function handler(s, ai, ats, ts)
    call!(bbands!, s, ai, UpdateData(); cols=(:bb_lower, :bb_upper))
    ohlcv = ai.data[s.timeframe]
    lower = ohlcv[ats, :bb_lower]
    upper = ohlcv[ats, :bb_upper]
    current_price = closeat(ohlcv, ats)

    balance_quoted = s.self.freecash(s)   # free, not in pending orders
    buy_value = float(balance_quoted) * 0.80

    has_position = isopen(ai, Long())

    if current_price < lower && !has_position
        amount = buy_value / current_price
        call!(s, ai, MarketOrder{Buy}; date=ts, amount)
    elseif current_price > upper && has_position
        call!(s, ai, Long(), ts, PositionClose())
    end
end

function handler(s, ai, ats, date)
    call!(qqe!, s, ai, UpdateData(); cols=(:qqe,))

    data = ohlcv(ai, tf"1d")
    v = data[ats, :qqe]
    trend = if v > 13.22
        -1
    elseif v < 8.96
        1
    else
        0
    end

    pos = position(ai)
    exposure = pos === nothing ? 0.0 : cash(pos)
    @assert iszero(exposure) ||
        islong(pos) && exposure >= 0.0 ||
        isshort(pos) && exposure <= 0.0
    # ... open / close positions from the trend signal
end