Module: Coinbot::ProbabilityEngine

Defined in:

lib/coinbot/probability_engine.rb

Overview

This Module Calculates the Probability to BUY, SELL, HOLD, or SKIP Leveraging an Instantiation of Coinbook::OrderBook:Indicators

Class Method Summary

• .calculate(opts = {}) ⇒ Object
• .help ⇒ Object

Class Method Details

.calculate(opts = {}) ⇒ Object

# File 'lib/coinbot/probability_engine.rb', line 31

public_class_method def self.calculate(opts = {})
  ind_status = opts[:indicator_status]
  bot_conf = opts[:bot_conf]
  invested = opts[:invested]
  event_history = opts[:event_history]

  candles = event_history.order_book[:candles]

  # 1. Reinitialize bot_conf to account for Human
  # Intelligence Opting to Refactor Indicator Weights.
  weights = bot_conf[:weights]

  # 2. Reset the Probabilities Every Time
  action_probability_status = {}

  tot = {}
  tot[:sell] = 0
  tot[:hold] = 0
  tot[:cancel] = 0
  tot[:buy] = 0
  tot[:skip] = 0
  tot[:gtfo] = 0

  # 3. Determine health of _HEALTH_ Indicators
  # TODO:
  # _HEALTH_ Indicators Dictate _TREND_ Indicator Action Weights
  # *** i.e. Feedback Loop (A.I. Opportunity)
  if ind_status.weighted_avg
    weighted_avg = ind_status.weighted_avg
    weighted_avg_color = weighted_avg[:color].to_sym

    case weighted_avg_color
    when :green, :yellow
      # The previous VWAP-B is less than
      # the previous VWAP-S, resulting in
      # a return on investment.
      # ^ HEALTH IS REDUNDANT TO COLOR
      ind_status.weighted_avg[:healthy] = true
    when :red
      # The previous VWAP-S is less than
      # the previous VWAP-B, resulting in
      # a loss on investment.
      ind_status.weighted_avg[:healthy] = false
    end
  end

  if ind_status.profit_margin
    profit_margin = ind_status.profit_margin
    profit_margin_color = profit_margin[:color].to_sym

    case profit_margin_color
    when :green, :yellow
      # Investment Profits are Meeting
      # or Exceeding Profit Margin Goals.
      ind_status.profit_margin[:healthy] = true
    when :red
      # Investment Profits are Flat or
      # Failing to Meet Profit Margin Goals.
      ind_status.profit_margin[:healthy] = false
    end
  end

  # 4. Factor Action Weights for _TREND_ Indicators
  # Residing in the Cycle Trend

  # Calculate Weights for Custom EMA
  # Update indicator color w/ refreshed engine logic
  ema_color = :white
  ema_color = ind_status.ema_cross[:color].to_sym if ind_status.ema_cross
  tot = get_bot_conf_weights(
    weights: weights,
    indicator: :ema_cross,
    color: ema_color,
    invested: invested,
    tot: tot
  )

  # Update indicator color w/ refreshed engine logic
  macd_color = :white
  macd_color = ind_status.macd[:color].to_sym if ind_status.macd
  tot = get_bot_conf_weights(
    weights: weights,
    indicator: :macd,
    color: macd_color,
    invested: invested,
    tot: tot
  )

  # Calculate Weights for Custom EMA
  # Update indicator color w/ refreshed engine logic
  rsi_color = :white
  rsi_color = ind_status.rsi[:color].to_sym if ind_status.rsi
  tot = get_bot_conf_weights(
    weights: weights,
    indicator: :rsi,
    color: rsi_color,
    invested: invested,
    tot: tot
  )

  # _IF INVESTED_ Calculate Action
  if ind_status.stuck_in_position
    stuck_in_position = ind_status.stuck_in_position
    sip_color = stuck_in_position[:color].to_sym

    case sip_color
    when :green, :red
      third_last_sip = candles.last[:third_last_sip_color].to_sym
      second_last_sip = candles.last[:last_sip_color].to_sym
      last_sip = candles.last[:sip_color].to_sym

      tot = get_bot_conf_weights(
        weights: weights,
        indicator: :stuck_in_position,
        color: sip_color,
        invested: invested,
        tot: tot
      )
    end
  end

  # Calculate Weights for Pie-in-the-Sky Orders
  tpm = bot_conf[:target_profit_margin_percent].to_f

  # BUY
  # Submit Pie-in-the-Sky Limit Orders to Buy
  pie_in_sky_buy = bot_conf[:pie_in_sky_buy_percent].to_f
  tot[:buy] = 2000 if !invested &&
                      pie_in_sky_buy > tpm && (
                        ema_color == :green ||
                        ema_color == :yellow ||
                        ema_color == :red
                      ) && (
                        macd_color == :yellow ||
                        macd_color == :red
                      ) && (
                        rsi_color == :white ||
                        rsi_color == :green ||
                        rsi_color == :yellow ||
                        rsi_color == :red
                      )

  # Cancel Open Pie Buy Orders when Ready to Buy at TPM
  #   pie_in_sky_buy > tpm &&
  if !invested &&
     ema_color == :green &&
     macd_color == :green

    tot[:buy] = 0
    tot[:cancel] = 1600
  end

  # SELL
  # Submit Pie-in-the-Sky Limit Orders to Sell
  pie_in_sky_sell = bot_conf[:pie_in_sky_sell_percent].to_f
  tot[:sell] = 2000 if invested &&
                       pie_in_sky_sell > tpm &&
                       third_last_sip == :red &&
                       second_last_sip == :red &&
                       last_sip == :red

  # Cancel Open Pie Sell Orders when Ready to Sell at TPM
  #   pie_in_sky_sell > tpm &&
  # if invested &&
  #    macd_color == :red &&
  #    sip_color == :green
  #
  #   tot[:cancel] = 1600
  # end

  tot[:cancel] = 1600 if invested && macd_color == :red

  # Override sell weight if SiP went
  # from red to green and back to red
  if second_last_sip == :green &&
     last_sip == :red

    tot[:cancel] = 1600
  end

  # GTFO if ema_cross
  if invested &&
     weights[:ema_cross][:red][:sell] == 9000 &&
     ema_color == :red

    tot[:sell] = 0
    tot[:gtfo] = 9000
  end

  # Return action_probability_status Object
  action_probability_status[:buy] = {
    weight: tot[:buy],
    color: :white
  }

  action_probability_status[:sell] = {
    weight: tot[:sell],
    color: :white
  }

  action_probability_status[:hold] = {
    weight: tot[:hold],
    color: :white
  }

  action_probability_status[:cancel] = {
    weight: tot[:cancel],
    color: :white
  }

  action_probability_status[:skip] = {
    weight: tot[:skip],
    color: :white
  }

  action_probability_status[:gtfo] = {
    weight: tot[:gtfo],
    color: :white
  }

  action_probability_status
rescue StandardError => e
  raise e
end

.help ⇒ Object

# File 'lib/coinbot/probability_engine.rb', line 256

public_class_method def self.help
  constants.sort
end