Eth Strategy

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zxzxcool

//@version=4
strategy("Eth Strategy", overlay=false)

symbol_in = input("ETH", "Symbol", type=input.string, options=["BTC", "ETH"], group='price source')
src = input(hlc3, title="Source", type=input.source, group='price source')
smoothing = input("SMA", "Type", type=input.string, options=["SMA", "EMA", "RMA", "WMA"], group='Moving Average')
length = input(title='Length', defval=7, group='Moving Average')

upper = input(2, "Upper", type=input.float, step=0.1, minval=0, group='Threshold')
lower = input(0, "Lower", type=input.float, step=0.1, maxval=0, group='Threshold')
mid = (upper + lower) / 2

// get datas
f() => [src, volume]

f_price_spot() =>
    [p1, v1] = security("BINANCE:" + symbol_in + "USDT", timeframe.period, f())
    [p2, v2] = security("HUOBI:" + symbol_in + "USDT", timeframe.period, f())
    [p3, v3] = security("OKEX:" + symbol_in + "USDT", timeframe.period, f())
    [p4, v4] = security("COINBASE:" + symbol_in + "USD", timeframe.period, f())
    [p5, v5] = security("FTX:" + symbol_in + "USD", timeframe.period, f())
    price_spot = (p1*v1+p2*v2+p3*v3+p4*v4+p5*v5)/(v1+v2+v3+v4+v5)

f_price_future() =>
    [p1, v1] = security("BINANCE:" + symbol_in + "USDTPERP", timeframe.period, f())
    [p2, v2] = security("BYBIT:" + symbol_in + "USD", timeframe.period, f())
    [p3, v3] = security("HUOBI:" + symbol_in + "PERP", timeframe.period, f())
    [p4, v4] = security("BITMEX:" + symbol_in=="BTC"?"XBT":"ETH" + "USD", timeframe.period, f())
    [p5, v5] = security("FTX:" + symbol_in+"PERP", timeframe.period, f())
    price_future = (p1*v1+p2*v2+p3*v3+p4*v4+p5*v5)/(v1+v2+v3+v4+v5)

price_spot = f_price_spot()
price_future = f_price_future()


// BTC perp futures premium
premium = log(price_future / price_spot) * 1000


// ma_function
ma_function(source, length) =>
    if smoothing == "RMA"
        rma(source, length)
    else
        if smoothing == "SMA"
            sma(source, length)
        else
            if smoothing == "EMA"
                ema(source, length)
            else
                wma(source, length)
                

// calc moving average
ma = ma_function(premium, length)



// plot lines
//palette = ma>upper?color.red:ma<lower?color.green:color.gray
//plot(ma, linewidth=3, color=palette)
plot(ma, "premium", ma <= upper ? color.gray : na, linewidth=1, transp=50)
plot(ma, "premium", ma > upper ? color.red : na, linewidth=3, transp=0)
plot(ma, "premium", ma < lower ? color.green : na, linewidth=3, transp=0)


h0 = hline(0, "0")



////------Slope-------

ema = ema(src, 14)
old_ema = nz(ema[1],0)
slope = ema - old_ema
slope := slope < 0 ? slope * -1 : slope
//plot(slope, "slp", color.orange, linewidth=3)





spread1 = security("BITFINEX:ETHUSD", timeframe.period, ohlc4)-security("COINBASE:ETHUSD", timeframe.period, ohlc4) 
spread2 = security("COINBASE:ETHUSD", timeframe.period, ohlc4)-security("BINANCE:ETHUSDT", timeframe.period, ohlc4) 
spread3 = security("COINBASE:ETHUSD", timeframe.period, ohlc4)-security("BITMEX:ETHUSD", timeframe.period, ohlc4) 
spread = spread1 + spread2 + spread3
spread_p = spread / security("BITFINEX:ETHUSD", timeframe.period, ohlc4) 
ma_p = sma(spread_p, 7) * 1000

upper_p = 0.5
lower_p = -2

plot(ma_p, "premium", ma_p <= upper_p ? color.gray : na, linewidth=1, transp=50)
plot(ma_p, "premium", ma_p > upper_p ? color.green : na, linewidth=3, transp=50)
plot(ma_p, "premium", ma_p < lower_p ? color.red : na, linewidth=3, transp=50)


slope_bond = 30
goLong = ma < lower and ma_p > upper_p and slope < slope_bond
goShort = ma > upper and ma_p < lower_p and slope < slope_bond
if goLong
    alert("UMI says: 💵 ETH BUY 💵", alert.freq_once_per_bar)
if goShort
    alert("UMI says: 🚨 ETH SELL 🚨", alert.freq_once_per_bar)
//alert("WARNING: Test", alert.freq_once_per_bar)
strategy.order("buy", true, 1, when = goLong)
strategy.order("sell", false, 1, when = goShort)