rsi.ts

import { z } from "zod";
import { buy, cancelSmartTrade, IBotConfiguration, sell, TBotContext, useRSI } from "@opentrader/bot-processor";
import { logger } from "@opentrader/logger";

/**
 * Inspired by https://github.com/askmike/gekko/blob/develop/strategies/RSI.js
 * @param ctx - Bot context
 */
export function* rsi(ctx: TBotContext<RsiParams, RsiState>) {
  const {
    config: { settings: params },
    state,
  } = ctx;

  if (ctx.onStart) {
    logger.info(params, "[RSI] Bot started with params");
    return;
  }

  if (ctx.onStop) {
    logger.info("[RSI] Bot stopped");
    yield cancelSmartTrade();
    return;
  }

  if (!state.trend) {
    state.trend = {
      direction: "none",
      duration: 0,
      persisted: false,
      adviced: false,
    };

    logger.info(state, "[RSI] State initialized");
  }

  const rsi: number = yield useRSI(params.periods);
  logger.info(`[RSI] RSI value: ${rsi}`);

  if (rsi > params.high) {
    // new trend detected
    if (state.trend.direction !== "high") {
      state.trend = {
        duration: 0,
        persisted: false,
        direction: "high",
        adviced: false,
      };
    }

    state.trend.duration++;

    logger.info(`[RSI] In high since ${state.trend.duration} candle(s)`);

    if (state.trend.duration >= params.persistence) {
      state.trend.persisted = true;
    }

    if (state.trend.persisted && !state.trend.adviced) {
      state.trend.adviced = true;

      logger.info("[RSI] Advised to SELL");
      yield sell({
        quantity: params.quantity,
        orderType: "Market",
      });
    }
  } else if (rsi < params.low) {
    // new trend detected
    if (state.trend.direction !== "low") {
      state.trend = {
        duration: 0,
        persisted: false,
        direction: "low",
        adviced: false,
      };
    }

    state.trend.duration++;

    logger.info(`[RSI] In low since ${state.trend.duration} candle(s)`);

    if (state.trend.duration >= params.persistence) {
      state.trend.persisted = true;
    }

    if (state.trend.persisted && !state.trend.adviced) {
      state.trend.adviced = true;

      logger.info("[RSI] Advised to BUY");
      yield buy({
        quantity: params.quantity,
        orderType: "Market",
      });
    }
  } else {
    logger.info("[RSI] In no trend");
  }
}

rsi.displayName = "RSI Strategy";
rsi.schema = z.object({
  high: z.number().min(0).max(100).default(70).describe("Sell when RSI is above this value"),
  low: z.number().min(0).max(100).default(30).describe("Buy when RSI is below this value"),
  periods: z.number().positive().default(14).describe("RSI period"),
  persistence: z.number().positive().default(1).describe("Number of candles to persist in trend before buying/selling"),
  quantity: z.number().positive().default(0.0001).describe("Quantity to buy/sell"),
});

rsi.requiredHistory = 15;
rsi.timeframe = ({ timeframe }: IBotConfiguration) => timeframe;
rsi.runPolicy = {
  onCandleClosed: true,
};
rsi.watchers = {
  watchCandles: ({ symbol }: IBotConfiguration) => symbol,
};

type RsiState = {
  trend?: {
    direction: "high" | "low" | "none";
    duration: number;
    persisted: boolean;
    adviced: boolean;
  };
};

export type RsiParams = IBotConfiguration<z.infer<typeof rsi.schema>>;