Skip to main content

strategy.utils.price_volatility

datetime​

timedelta​

Optional​

Tuple​

pd​

coingecko_clip_window_days​

coingecko_dex_get_pool_price​

coingecko_dex_get_pool_prices​

coingecko_get_price​

coingecko_get_prices​

format_pair_cex_binance​

get_cex_price​

get_cex_price_3way_pair​

get_cex_prices​

get_cex_prices_3way_pair​

ModelConfig​

Pool​

Token​

PriceModel​

DataFormat​

DataSource​

ETHNativeChains​

convert_time_window​

VolatilityModel​

COINGECKO_DEX_MISSING_DATA_BUFFER​

get_price_and_volatility​

def get_price_and_volatility(
    price_model: ModelConfig,
    volatility_model: ModelConfig,
    pool: Pool,
    granularity: Optional[str] = "1h",
    price_window_multiplier: Optional[float] = 1.0,
    volatility_window_multiplier: Optional[float] = 1.0
) -> Tuple[pd.DataFrame, pd.DataFrame]

get_current_price_and_volatility​

def get_current_price_and_volatility(
        price_model: ModelConfig,
        volatility_model: ModelConfig,
        pool: Pool,
        granularity: Optional[str] = "1h") -> Tuple[int, int]

get_historical_prices​

def get_historical_prices(data_source: DataSource,
                          pool: Pool,
                          window: int,
                          granularity: Optional[str] = "1h",
                          verbose: bool = False) -> pd.DataFrame

Retrieves historical price data for a specified pair of tokens from a DataSource. The granularity and time window for the price data are determined by the strategy's configuration.

Arguments:

  • data_source DataSource - The data source to fetch the price data from. (e.g. DataSource.BINANCE)
  • pool Pool - The pool for which to fetch the price data, containing the Tokens information.
  • window int - The time window for the price data.
  • granularity str, optional - The granularity of the price data to fetch. Defaults to "1h".
  • verbose bool, optional - Whether to print verbose output. Defaults to False.

Returns:

  • DataFrame - DF of historical OHLCV for the token pair, adjusted for any necessary inversion.

Raises:

  • ValueError - If there is an issue fetching the prices, typically due to network or API errors, or if the specified tokens are not properly recognized by the data source.

Notes:

  • The function automatically adjusts for token pairs that are quoted in the opposite direction from the requested pair by inverting the price.

get_current_price​

def get_current_price(data_source: DataSource,
                      pool: Optional[Pool] = None,
                      base_symbol: Optional[str] = None,
                      quote_symbol: Optional[str] = None,
                      chain: Optional[str] = None) -> float