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Grid Executor

The GridExecutor: is a sophisticated trading executor that implements a grid trading strategy.

Key Concepts:

  1. Grid Trading: A strategy that places multiple buy and sell orders at regular price intervals (forming a grid), attempting to profit from price oscillations within a range.

  2. Grid Levels: The executor creates multiple price levels between a start and end price, where each level represents a potential trading opportunity.

Main Features:

1. Grid Generation:

  • Creates evenly spaced price levels between start_price and end_price

  • Each level has an associated order amount and take-profit target

  • Supports both spot and perpetual futures trading

2. Order Management:

  • Places and monitors orders at different grid levels

  • Manages both open (entry) and close (exit) orders

  • Automatically cancels orders that move outside activation bounds

  • Implements batch order processing to avoid overwhelming the exchange

3. Risk Management:

  • Triple Barrier System:

  • Stop Loss

  • Take Profit

  • Time Limit

  • Trailing Stop functionality

  • Position size limits

  • Maximum open orders control

4. State Management:

Grid levels can be in different states:

  • NOT_ACTIVE: No orders placed

  • OPEN_ORDER_PLACED: Entry order active

  • OPEN_ORDER_FILLED: Entry order completed

  • CLOSE_ORDER_PLACED: Exit order active

  • COMPLETE: Both entry and exit orders filled

5. Performance Tracking:

  • Tracks realized and unrealized PnL

  • Monitors fees and execution costs

  • Calculates position metrics

  • Records filled and failed orders

Example Usage: 

config = GridExecutorConfig(
    connector_name="binance",
    trading_pair="BTC-USDT",
    start_price=30000,
    end_price=40000,
    total_amount_quote=1000,  # Total USDT to deploy
    min_spread_between_orders=0.01,  # 1% minimum spread
    activation_bounds=0.02,  # 2% activation bounds
)
executor = GridExecutor(strategy=my_strategy, config=config)

The executor will:

  1. Create grid levels between $30,000 and $40,000

  2. Deploy $1000 USDT across these levels

  3. Maintain minimum 1% spread between orders

  4. Only keep active orders within 2% of current price

  5. Automatically manage entry and exit orders

This is particularly useful for:

  • Range-bound markets

  • Market making strategies

  • Automated rebalancing

  • Risk-managed trading execution