From 48beb279c01e2e1d86a842add42a4c8778c272af Mon Sep 17 00:00:00 2001 From: gcarq Date: Mon, 11 Sep 2017 13:59:11 +0200 Subject: [PATCH 01/24] rename btc_amount to stake_amount --- main.py | 4 ++-- persistence.py | 2 +- rpc/telegram.py | 2 +- test/test_main.py | 2 +- test/test_persistence.py | 2 +- 5 files changed, 6 insertions(+), 6 deletions(-) diff --git a/main.py b/main.py index 6de813653..493be3494 100755 --- a/main.py +++ b/main.py @@ -148,7 +148,7 @@ def create_trade(stake_amount: float, _exchange: exchange.Exchange) -> Optional[ """ logger.info('Creating new trade with stake_amount: %f ...', stake_amount) whitelist = _CONF[_exchange.name.lower()]['pair_whitelist'] - # Check if btc_amount is fulfilled + # Check if stake_amount is fulfilled if exchange.get_balance(_CONF['stake_currency']) < stake_amount: raise ValueError( 'stake amount is not fulfilled (currency={}'.format(_CONF['stake_currency']) @@ -188,7 +188,7 @@ def create_trade(stake_amount: float, _exchange: exchange.Exchange) -> Optional[ logger.info(message) telegram.send_msg(message) return Trade(pair=pair, - btc_amount=stake_amount, + stake_amount=stake_amount, open_rate=open_rate, open_date=datetime.utcnow(), amount=amount, diff --git a/persistence.py b/persistence.py index 8ba8079f9..dd917a750 100644 --- a/persistence.py +++ b/persistence.py @@ -49,7 +49,7 @@ class Trade(Base): open_rate = Column(Float, nullable=False) close_rate = Column(Float) close_profit = Column(Float) - btc_amount = Column(Float, nullable=False) + stake_amount = Column(Float, name='btc_amount', nullable=False) amount = Column(Float, nullable=False) open_date = Column(DateTime, nullable=False, default=datetime.utcnow) close_date = Column(DateTime) diff --git a/rpc/telegram.py b/rpc/telegram.py index 80d557406..cf764a65c 100644 --- a/rpc/telegram.py +++ b/rpc/telegram.py @@ -157,7 +157,7 @@ def _profit(bot: Bot, update: Update) -> None: current_rate = exchange.get_ticker(trade.pair)['bid'] profit = 100 * ((current_rate - trade.open_rate) / trade.open_rate) - profit_amounts.append((profit / 100) * trade.btc_amount) + profit_amounts.append((profit / 100) * trade.stake_amount) profits.append(profit) best_pair = Trade.session.query(Trade.pair, func.sum(Trade.close_profit).label('profit_sum')) \ diff --git a/test/test_main.py b/test/test_main.py index 12b9db5ec..bd9bb0c47 100644 --- a/test/test_main.py +++ b/test/test_main.py @@ -61,7 +61,7 @@ class TestMain(unittest.TestCase): self.assertEqual(trade.pair, 'BTC_ETH') self.assertEqual(trade.exchange, exchange.Exchange.BITTREX) self.assertEqual(trade.amount, 206.43811673387373) - self.assertEqual(trade.btc_amount, 15.0) + self.assertEqual(trade.stake_amount, 15.0) self.assertEqual(trade.is_open, True) self.assertIsNotNone(trade.open_date) buy_signal.assert_called_once_with('BTC_ETH') diff --git a/test/test_persistence.py b/test/test_persistence.py index 65af0ad8a..8875b0e78 100644 --- a/test/test_persistence.py +++ b/test/test_persistence.py @@ -10,7 +10,7 @@ class TestTrade(unittest.TestCase): with patch('main.exchange.sell', side_effect='mocked_order_id') as api_mock: trade = Trade( pair='BTC_ETH', - btc_amount=1.00, + stake_amount=1.00, open_rate=0.50, amount=10.00, exchange=Exchange.BITTREX, From f91cd8ea965b4a563e8c4a90d9fa145832f0ac65 Mon Sep 17 00:00:00 2001 From: gcarq Date: Mon, 11 Sep 2017 13:59:38 +0200 Subject: [PATCH 02/24] drop support for poloniex --- README.md | 2 +- config.json.example | 6 ------ exchange.py | 45 +++++++------------------------------------ misc.py | 1 - requirements.txt | 1 - test/test_main.py | 6 ------ test/test_telegram.py | 6 ------ 7 files changed, 8 insertions(+), 59 deletions(-) diff --git a/README.md b/README.md index 1569eabea..3753a015b 100644 --- a/README.md +++ b/README.md @@ -3,7 +3,7 @@ [![Build Status](https://travis-ci.org/gcarq/freqtrade.svg?branch=develop)](https://travis-ci.org/gcarq/freqtrade) Simple High frequency trading bot for crypto currencies. -Currently supported exchanges: bittrex, poloniex (partly implemented) +Currently supported exchanges: bittrex This software is for educational purposes only. Don't risk money which you are afraid to lose. diff --git a/config.json.example b/config.json.example index 227d4091e..411d2af87 100644 --- a/config.json.example +++ b/config.json.example @@ -9,12 +9,6 @@ "0": 0.02 }, "stoploss": -0.10, - "poloniex": { - "enabled": false, - "key": "key", - "secret": "secret", - "pair_whitelist": [] - }, "bittrex": { "enabled": true, "key": "key", diff --git a/exchange.py b/exchange.py index e92e5cf7e..2b0947311 100644 --- a/exchange.py +++ b/exchange.py @@ -3,7 +3,6 @@ import logging from typing import List from bittrex.bittrex import Bittrex -from poloniex import Poloniex logger = logging.getLogger(__name__) @@ -14,7 +13,6 @@ _CONF = {} class Exchange(enum.Enum): - POLONIEX = 0 BITTREX = 1 @@ -33,13 +31,8 @@ def init(config: dict) -> None: if config['dry_run']: logger.info('Instance is running with dry_run enabled') - use_poloniex = config.get('poloniex', {}).get('enabled', False) use_bittrex = config.get('bittrex', {}).get('enabled', False) - - if use_poloniex: - EXCHANGE = Exchange.POLONIEX - _API = Poloniex(key=config['poloniex']['key'], secret=config['poloniex']['secret']) - elif use_bittrex: + if use_bittrex: EXCHANGE = Exchange.BITTREX _API = Bittrex(api_key=config['bittrex']['key'], api_secret=config['bittrex']['secret']) else: @@ -47,9 +40,10 @@ def init(config: dict) -> None: # Check if all pairs are available markets = get_markets() - for pair in config[EXCHANGE.name.lower()]['pair_whitelist']: + exchange_name = EXCHANGE.name.lower() + for pair in config[exchange_name]['pair_whitelist']: if pair not in markets: - raise RuntimeError('Pair {} is not available at Poloniex'.format(pair)) + raise RuntimeError('Pair {} is not available at {}'.format(pair, exchange_name)) def buy(pair: str, rate: float, amount: float) -> str: @@ -62,9 +56,6 @@ def buy(pair: str, rate: float, amount: float) -> str: """ if _CONF['dry_run']: return 'dry_run' - elif EXCHANGE == Exchange.POLONIEX: - _API.buy(pair, rate, amount) - # TODO: return order id elif EXCHANGE == Exchange.BITTREX: data = _API.buy_limit(pair.replace('_', '-'), amount, rate) if not data['success']: @@ -82,9 +73,6 @@ def sell(pair: str, rate: float, amount: float) -> str: """ if _CONF['dry_run']: return 'dry_run' - elif EXCHANGE == Exchange.POLONIEX: - _API.sell(pair, rate, amount) - # TODO: return order id elif EXCHANGE == Exchange.BITTREX: data = _API.sell_limit(pair.replace('_', '-'), amount, rate) if not data['success']: @@ -100,9 +88,6 @@ def get_balance(currency: str) -> float: """ if _CONF['dry_run']: return 999.9 - elif EXCHANGE == Exchange.POLONIEX: - data = _API.returnBalances() - return float(data[currency]) elif EXCHANGE == Exchange.BITTREX: data = _API.get_balance(currency) if not data['success']: @@ -116,14 +101,7 @@ def get_ticker(pair: str) -> dict: :param pair: Pair as str, format: BTC_ETC :return: dict """ - if EXCHANGE == Exchange.POLONIEX: - data = _API.returnTicker() - return { - 'bid': float(data[pair]['highestBid']), - 'ask': float(data[pair]['lowestAsk']), - 'last': float(data[pair]['last']) - } - elif EXCHANGE == Exchange.BITTREX: + if EXCHANGE == Exchange.BITTREX: data = _API.get_ticker(pair.replace('_', '-')) if not data['success']: raise RuntimeError('BITTREX: {}'.format(data['message'])) @@ -142,8 +120,6 @@ def cancel_order(order_id: str) -> None: """ if _CONF['dry_run']: pass - elif EXCHANGE == Exchange.POLONIEX: - raise NotImplemented('Not implemented') elif EXCHANGE == Exchange.BITTREX: data = _API.cancel(order_id) if not data['success']: @@ -158,8 +134,6 @@ def get_open_orders(pair: str) -> List[dict]: """ if _CONF['dry_run']: return [] - elif EXCHANGE == Exchange.POLONIEX: - raise NotImplemented('Not implemented') elif EXCHANGE == Exchange.BITTREX: data = _API.get_open_orders(pair.replace('_', '-')) if not data['success']: @@ -180,9 +154,7 @@ def get_pair_detail_url(pair: str) -> str: :param pair: pair as str, format: BTC_ANT :return: url as str """ - if EXCHANGE == Exchange.POLONIEX: - raise NotImplemented('Not implemented') - elif EXCHANGE == Exchange.BITTREX: + if EXCHANGE == Exchange.BITTREX: return 'https://bittrex.com/Market/Index?MarketName={}'.format(pair.replace('_', '-')) @@ -191,10 +163,7 @@ def get_markets() -> List[str]: Returns all available markets :return: list of all available pairs """ - if EXCHANGE == Exchange.POLONIEX: - # TODO: implement - raise NotImplemented('Not implemented') - elif EXCHANGE == Exchange. BITTREX: + if EXCHANGE == Exchange. BITTREX: data = _API.get_markets() if not data['success']: raise RuntimeError('BITTREX: {}'.format(data['message'])) diff --git a/misc.py b/misc.py index 2d653651d..668770f7d 100644 --- a/misc.py +++ b/misc.py @@ -78,7 +78,6 @@ CONF_SCHEMA = { } }, 'anyOf': [ - {'required': ['poloniex']}, {'required': ['bittrex']} ], 'required': [ diff --git a/requirements.txt b/requirements.txt index 7ee7236ee..df6e07226 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,4 +1,3 @@ --e git+https://github.com/s4w3d0ff/python-poloniex.git#egg=Poloniex -e git+https://github.com/ericsomdahl/python-bittrex.git#egg=python-bittrex SQLAlchemy==1.1.13 python-telegram-bot==7.0.1 diff --git a/test/test_main.py b/test/test_main.py index bd9bb0c47..e4ee83de3 100644 --- a/test/test_main.py +++ b/test/test_main.py @@ -20,12 +20,6 @@ class TestMain(unittest.TestCase): "720": 0.01, "0": 0.02 }, - "poloniex": { - "enabled": False, - "key": "key", - "secret": "secret", - "pair_whitelist": [] - }, "bittrex": { "enabled": True, "key": "key", diff --git a/test/test_telegram.py b/test/test_telegram.py index 55b9c73f2..906df8e87 100644 --- a/test/test_telegram.py +++ b/test/test_telegram.py @@ -28,12 +28,6 @@ class TestTelegram(unittest.TestCase): "720": 0.01, "0": 0.02 }, - "poloniex": { - "enabled": False, - "key": "key", - "secret": "secret", - "pair_whitelist": [] - }, "bittrex": { "enabled": True, "key": "key", From ffa32df40f09f5edd42a1d39cb9290a1d0bcac29 Mon Sep 17 00:00:00 2001 From: gcarq Date: Mon, 11 Sep 2017 14:06:52 +0200 Subject: [PATCH 03/24] remove poloniex from CONF_SCHEMA --- misc.py | 1 - 1 file changed, 1 deletion(-) diff --git a/misc.py b/misc.py index 668770f7d..dcf0bfe86 100644 --- a/misc.py +++ b/misc.py @@ -48,7 +48,6 @@ CONF_SCHEMA = { 'minProperties': 1 }, 'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True}, - 'poloniex': {'$ref': '#/definitions/exchange'}, 'bittrex': {'$ref': '#/definitions/exchange'}, 'telegram': { 'type': 'object', From 2221a0fbbc9b6626e659366989180b3941ad23ab Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Tue, 12 Sep 2017 10:47:23 +0200 Subject: [PATCH 04/24] implement new buying strategy --- analyze.py | 61 +++++++++++++++++++++++++++--------------------------- 1 file changed, 30 insertions(+), 31 deletions(-) diff --git a/analyze.py b/analyze.py index 4878333b6..12de90d8b 100644 --- a/analyze.py +++ b/analyze.py @@ -49,19 +49,9 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame: """ Adds several different TA indicators to the given DataFrame """ - dataframe['close_30_ema'] = ta.EMA(dataframe, timeperiod=30) - dataframe['close_90_ema'] = ta.EMA(dataframe, timeperiod=90) - - dataframe['sar'] = ta.SAR(dataframe, 0.02, 0.2) - - # calculate StochRSI - stochrsi = ta.STOCHRSI(dataframe) - dataframe['stochrsi'] = stochrsi['fastd'] # values between 0-100, not 0-1 - - macd = ta.MACD(dataframe) - dataframe['macd'] = macd['macd'] - dataframe['macds'] = macd['macdsignal'] - dataframe['macdh'] = macd['macdhist'] + dataframe['ema'] = ta.EMA(dataframe, timeperiod=33) + dataframe['sar'] = ta.SAR(dataframe, 0.02, 0.22) + dataframe['adx'] = ta.ADX(dataframe) return dataframe @@ -72,13 +62,29 @@ def populate_buy_trend(dataframe: DataFrame) -> DataFrame: :param dataframe: DataFrame :return: DataFrame with buy column """ + prev_sar = dataframe['sar'].shift(1) + prev_close = dataframe['close'].shift(1) + prev_sar2 = dataframe['sar'].shift(2) + prev_close2 = dataframe['close'].shift(2) + + # wait for stable turn from bearish to bullish market dataframe.loc[ - (dataframe['stochrsi'] < 20) - & (dataframe['macd'] > dataframe['macds']) - & (dataframe['close'] > dataframe['sar']), - 'buy' + (dataframe['close'] > dataframe['sar']) & + (prev_close > prev_sar) & + (prev_close2 < prev_sar2), + 'swap' ] = 1 + + # consider prices above ema to be in upswing + dataframe.loc[dataframe['ema'] <= dataframe['close'], 'upswing'] = 1 + + dataframe.loc[ + (dataframe['upswing'] == 1) & + (dataframe['swap'] == 1) & + (dataframe['adx'] > 25), # adx over 25 tells there's enough momentum + 'buy'] = 1 dataframe.loc[dataframe['buy'] == 1, 'buy_price'] = dataframe['close'] + return dataframe @@ -127,27 +133,20 @@ def plot_dataframe(dataframe: DataFrame, pair: str) -> None: matplotlib.use("Qt5Agg") import matplotlib.pyplot as plt - # Three subplots sharing x axe - fig, (ax1, ax2, ax3) = plt.subplots(3, sharex=True) + # Two subplots sharing x axis + fig, (ax1, ax2) = plt.subplots(2, sharex=True) fig.suptitle(pair, fontsize=14, fontweight='bold') + ax1.plot(dataframe.index.values, dataframe['sar'], 'g_', label='pSAR') ax1.plot(dataframe.index.values, dataframe['close'], label='close') - ax1.plot(dataframe.index.values, dataframe['close_30_ema'], label='EMA(30)') - ax1.plot(dataframe.index.values, dataframe['close_90_ema'], label='EMA(90)') # ax1.plot(dataframe.index.values, dataframe['sell'], 'ro', label='sell') - ax1.plot(dataframe.index.values, dataframe['buy_price'], 'bo', label='buy') + ax1.plot(dataframe.index.values, dataframe['ema'], '--', label='EMA(20)') + ax1.plot(dataframe.index.values, dataframe['buy'], 'bo', label='buy') ax1.legend() - ax2.plot(dataframe.index.values, dataframe['macd'], label='MACD') - ax2.plot(dataframe.index.values, dataframe['macds'], label='MACDS') - ax2.plot(dataframe.index.values, dataframe['macdh'], label='MACD Histogram') - ax2.plot(dataframe.index.values, [0] * len(dataframe.index.values)) + ax2.plot(dataframe.index.values, dataframe['adx'], label='ADX') + ax2.plot(dataframe.index.values, [25] * len(dataframe.index.values)) ax2.legend() - ax3.plot(dataframe.index.values, dataframe['stochrsi'], label='StochRSI') - ax3.plot(dataframe.index.values, [80] * len(dataframe.index.values)) - ax3.plot(dataframe.index.values, [20] * len(dataframe.index.values)) - ax3.legend() - # Fine-tune figure; make subplots close to each other and hide x ticks for # all but bottom plot. fig.subplots_adjust(hspace=0) From a5b3428552beb164b637bf5137f3bc69e1373b6b Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Tue, 12 Sep 2017 10:49:10 +0200 Subject: [PATCH 05/24] rename variable to get rid of bunch of pylint shadowing complaints --- analyze.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/analyze.py b/analyze.py index 12de90d8b..55d01cb70 100644 --- a/analyze.py +++ b/analyze.py @@ -157,8 +157,8 @@ def plot_dataframe(dataframe: DataFrame, pair: str) -> None: if __name__ == '__main__': # Install PYQT5==5.9 manually if you want to test this helper function while True: - pair = 'BTC_ANT' + test_pair = 'BTC_ANT' #for pair in ['BTC_ANT', 'BTC_ETH', 'BTC_GNT', 'BTC_ETC']: # get_buy_signal(pair) - plot_dataframe(analyze_ticker(pair), pair) + plot_dataframe(analyze_ticker(test_pair), test_pair) time.sleep(60) From cedc2070978034ad4741c476569e4a9a580f7e9a Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Tue, 12 Sep 2017 10:49:30 +0200 Subject: [PATCH 06/24] remove unused import --- analyze.py | 1 - 1 file changed, 1 deletion(-) diff --git a/analyze.py b/analyze.py index 55d01cb70..55df7a0b1 100644 --- a/analyze.py +++ b/analyze.py @@ -3,7 +3,6 @@ from datetime import timedelta import logging import arrow import requests -from pandas.io.json import json_normalize from pandas import DataFrame import talib.abstract as ta From 1280670ea3c2fe88a49f53e9fbd51c1cdb3321ec Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Tue, 12 Sep 2017 10:53:42 +0200 Subject: [PATCH 07/24] use five minute ticker for a much more stable indicators --- analyze.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/analyze.py b/analyze.py index 55df7a0b1..338549c87 100644 --- a/analyze.py +++ b/analyze.py @@ -22,7 +22,7 @@ def get_ticker(pair: str, minimum_date: arrow.Arrow) -> dict: } params = { 'marketName': pair.replace('_', '-'), - 'tickInterval': 'OneMin', + 'tickInterval': 'fiveMin', '_': minimum_date.timestamp * 1000 } data = requests.get(url, params=params, headers=headers).json() From f84c58c3eb171e328ab76a96b218ba9e542de3b9 Mon Sep 17 00:00:00 2001 From: gcarq Date: Tue, 12 Sep 2017 19:20:49 +0200 Subject: [PATCH 08/24] add slack token --- .travis.yml | 33 ++++++++++++++++----------------- 1 file changed, 16 insertions(+), 17 deletions(-) diff --git a/.travis.yml b/.travis.yml index b9f41da0b..a31c421f9 100644 --- a/.travis.yml +++ b/.travis.yml @@ -1,28 +1,27 @@ sudo: false os: - - linux - +- linux language: python python: - - 3.6 - - nightly +- 3.6 +- nightly matrix: allow_failures: - - python: nightly - + - python: nightly addons: apt: packages: - - libelf-dev - - libdw-dev - - binutils-dev - + - libelf-dev + - libdw-dev + - binutils-dev install: - - wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz - - tar zxvf ta-lib-0.4.0-src.tar.gz - - cd ta-lib && ./configure && sudo make && sudo make install && cd .. - - export LD_LIBRARY_PATH=/usr/local/lib:$LD_LIBRARY_PATH - - pip install -r requirements.txt - +- wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz +- tar zxvf ta-lib-0.4.0-src.tar.gz +- cd ta-lib && ./configure && sudo make && sudo make install && cd .. +- export LD_LIBRARY_PATH=/usr/local/lib:$LD_LIBRARY_PATH +- pip install -r requirements.txt script: - - python -m unittest \ No newline at end of file +- python -m unittest +notifications: + slack: + secure: 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 From e9e76da054a27a1b0c71dc94ac291db46947129c Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Andr=C3=A9=20=C3=98ien=20Langvand?= Date: Sun, 17 Sep 2017 18:42:42 +0200 Subject: [PATCH 09/24] add whitelist to execute_sell and append sold pair to it --- main.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/main.py b/main.py index 493be3494..68723bea8 100755 --- a/main.py +++ b/main.py @@ -94,8 +94,10 @@ def execute_sell(trade: Trade, current_rate: float) -> None: # Get available balance currency = trade.pair.split('_')[1] balance = exchange.get_balance(currency) + whitelist = _CONF[trade.exchange.name.lower()]['pair_whitelist'] profit = trade.exec_sell_order(current_rate, balance) + whitelist.append(trade.pair) message = '*{}:* Selling [{}]({}) at rate `{:f} (profit: {}%)`'.format( trade.exchange.name, trade.pair.replace('_', '/'), From 989682457ea34c3ad90a2e1a33cf44b270405df0 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 17 Sep 2017 22:37:46 +0300 Subject: [PATCH 10/24] add a field to config for setting balance between trying to buy with ask price and last price --- config.json.example | 3 +++ misc.py | 13 +++++++++++++ 2 files changed, 16 insertions(+) diff --git a/config.json.example b/config.json.example index 411d2af87..a0b93c455 100644 --- a/config.json.example +++ b/config.json.example @@ -9,6 +9,9 @@ "0": 0.02 }, "stoploss": -0.10, + "bid_strategy": { + "ask_last_balance": 0.0 + }, "bittrex": { "enabled": true, "key": "key", diff --git a/misc.py b/misc.py index dcf0bfe86..be8cf71b9 100644 --- a/misc.py +++ b/misc.py @@ -48,6 +48,18 @@ CONF_SCHEMA = { 'minProperties': 1 }, 'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True}, + 'bid_strategy': { + 'type': 'object', + 'properties': { + 'ask_last_balance': { + 'type': 'number', + 'minimum': 0, + 'maximum': 1, + 'exclusiveMaximum': False + }, + }, + 'required': ['ask_last_balance'] + }, 'bittrex': {'$ref': '#/definitions/exchange'}, 'telegram': { 'type': 'object', @@ -85,6 +97,7 @@ CONF_SCHEMA = { 'stake_amount', 'dry_run', 'minimal_roi', + 'bid_strategy', 'telegram' ] } From 465dc47b23bea453d4a310db53e9804caf57bb97 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 17 Sep 2017 23:21:46 +0300 Subject: [PATCH 11/24] balance bid price between ask and last --- main.py | 9 ++++++++- test/test_main.py | 17 ++++++++++++++++- test/test_telegram.py | 3 +++ 3 files changed, 27 insertions(+), 2 deletions(-) diff --git a/main.py b/main.py index 493be3494..be1cee447 100755 --- a/main.py +++ b/main.py @@ -138,6 +138,13 @@ def handle_trade(trade: Trade) -> None: except ValueError: logger.exception('Unable to handle open order') +def get_target_bid(ticker) -> float: + """ Calculates bid target between current ask price and last price """ + if ticker['ask'] < ticker['last']: + return ticker['ask'] + balance = _CONF['bid_strategy']['ask_last_balance'] + return ticker['ask'] + balance * (ticker['last'] - ticker['ask']) + def create_trade(stake_amount: float, _exchange: exchange.Exchange) -> Optional[Trade]: """ @@ -174,7 +181,7 @@ def create_trade(stake_amount: float, _exchange: exchange.Exchange) -> Optional[ else: return None - open_rate = exchange.get_ticker(pair)['ask'] + open_rate = get_target_bid(exchange.get_ticker(pair)) amount = stake_amount / open_rate order_id = exchange.buy(pair, open_rate, amount) diff --git a/test/test_main.py b/test/test_main.py index e4ee83de3..9ff4f97f2 100644 --- a/test/test_main.py +++ b/test/test_main.py @@ -4,7 +4,7 @@ from unittest.mock import patch, MagicMock from jsonschema import validate import exchange -from main import create_trade, handle_trade, close_trade_if_fulfilled, init +from main import create_trade, handle_trade, close_trade_if_fulfilled, init, get_target_bid from misc import CONF_SCHEMA from persistence import Trade @@ -20,6 +20,9 @@ class TestMain(unittest.TestCase): "720": 0.01, "0": 0.02 }, + "bid_strategy": { + "ask_last_balance": 0.0 + }, "bittrex": { "enabled": True, "key": "key", @@ -90,6 +93,18 @@ class TestMain(unittest.TestCase): self.assertTrue(closed) self.assertEqual(trade.is_open, False) + def test_balance_fully_ask_side(self): + with patch.dict('main._CONF', {'bid_strategy': {'ask_last_balance': 0.0}}): + self.assertEqual(get_target_bid({'ask': 20, 'last': 10}), 20) + + def test_balance_fully_last_side(self): + with patch.dict('main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}}): + self.assertEqual(get_target_bid({'ask': 20, 'last': 10}), 10) + + def test_balance_when_last_bigger_than_ask(self): + with patch.dict('main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}}): + self.assertEqual(get_target_bid({'ask': 5, 'last': 10}), 5) + @classmethod def setUpClass(cls): validate(cls.conf, CONF_SCHEMA) diff --git a/test/test_telegram.py b/test/test_telegram.py index 906df8e87..e7af1a876 100644 --- a/test/test_telegram.py +++ b/test/test_telegram.py @@ -28,6 +28,9 @@ class TestTelegram(unittest.TestCase): "720": 0.01, "0": 0.02 }, + "bid_strategy": { + "ask_last_balance": 0.0 + }, "bittrex": { "enabled": True, "key": "key", From 4d651e0082ede9d41ac4158cd621ac7accabf8e6 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 18 Sep 2017 05:08:05 -0700 Subject: [PATCH 12/24] add ask_last_balance to README.md --- README.md | 3 +++ 1 file changed, 3 insertions(+) diff --git a/README.md b/README.md index 3753a015b..4e307300e 100644 --- a/README.md +++ b/README.md @@ -44,6 +44,9 @@ profit dips below -10% for a given trade. This parameter is optional. Possible values are `running` or `stopped`. (default=`running`) If the value is `stopped` the bot has to be started with `/start` first. +`ask_last_balance` sets the bidding price. Value `0.0` will use `ask` price, `1.0` will +use the `last` price and values between those interpolate between ask and last price. + The other values should be self-explanatory, if not feel free to raise a github issue. From e5a742cf2e9301df42f0142d05ac4eaf015619ae Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 18 Sep 2017 05:09:45 -0700 Subject: [PATCH 13/24] add a little more explanation for ask_last_balance to README --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 4e307300e..211b0fdb6 100644 --- a/README.md +++ b/README.md @@ -45,7 +45,7 @@ Possible values are `running` or `stopped`. (default=`running`) If the value is `stopped` the bot has to be started with `/start` first. `ask_last_balance` sets the bidding price. Value `0.0` will use `ask` price, `1.0` will -use the `last` price and values between those interpolate between ask and last price. +use the `last` price and values between those interpolate between ask and last price. Using `ask` price will guarantee quick success in bid, but bot will also end up paying more then would probably have been necessary. The other values should be self-explanatory, if not feel free to raise a github issue. From 358a1eb73fc904133919a248ceaa51d205f6f50c Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Wed, 20 Sep 2017 07:34:47 -0700 Subject: [PATCH 14/24] add type hint for ticker --- main.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/main.py b/main.py index be1cee447..44e060eb3 100755 --- a/main.py +++ b/main.py @@ -4,7 +4,7 @@ import logging import time import traceback from datetime import datetime -from typing import Optional +from typing import Dict, Optional from jsonschema import validate @@ -138,7 +138,7 @@ def handle_trade(trade: Trade) -> None: except ValueError: logger.exception('Unable to handle open order') -def get_target_bid(ticker) -> float: +def get_target_bid(ticker: Dict[str, float]) -> float: """ Calculates bid target between current ask price and last price """ if ticker['ask'] < ticker['last']: return ticker['ask'] From 9b63f02e1c15f42a5356b0efd652675a65622d05 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 24 Sep 2017 17:20:25 +0300 Subject: [PATCH 15/24] add set of test data --- test/testdata/btc-edg.json | 1 + test/testdata/btc-eth.json | 1 + test/testdata/btc-neo.json | 1 + test/testdata/btc-omg.json | 1 + test/testdata/btc-pay.json | 1 + test/testdata/btc-pivx.json | 1 + test/testdata/btc-qtum.json | 1 + 7 files changed, 7 insertions(+) create mode 100644 test/testdata/btc-edg.json create mode 100644 test/testdata/btc-eth.json create mode 100644 test/testdata/btc-neo.json create mode 100644 test/testdata/btc-omg.json create mode 100644 test/testdata/btc-pay.json create mode 100644 test/testdata/btc-pivx.json create mode 100644 test/testdata/btc-qtum.json diff --git a/test/testdata/btc-edg.json b/test/testdata/btc-edg.json new file mode 100644 index 000000000..e1e4c07e7 --- /dev/null +++ b/test/testdata/btc-edg.json @@ -0,0 +1 @@ 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\ No newline at end of file From f3ccca1c66f320d3897101f266e82a4335aafde4 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 24 Sep 2017 17:23:29 +0300 Subject: [PATCH 16/24] try running analyze_ticker with mock data --- test/test_backtesting.py | 16 ++++++++++++++++ 1 file changed, 16 insertions(+) create mode 100644 test/test_backtesting.py diff --git a/test/test_backtesting.py b/test/test_backtesting.py new file mode 100644 index 000000000..ab2bff712 --- /dev/null +++ b/test/test_backtesting.py @@ -0,0 +1,16 @@ +# pragma pylint: disable=missing-docstring +import unittest +from unittest.mock import patch +import json +import arrow +from analyze import analyze_ticker + +class TestMain(unittest.TestCase): + + def test_1_create_trade(self): + with open('test/testdata/btc-neo.json') as data_file: + data = json.load(data_file) + + with patch('analyze.get_ticker', return_value=data): + with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')): + print(analyze_ticker('BTC-NEO')) From 877dd6d3fa11764cf1e42a5f20928d42a05eca07 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 15:17:29 +0300 Subject: [PATCH 17/24] simplify sell conditions --- main.py | 12 ++++++------ 1 file changed, 6 insertions(+), 6 deletions(-) diff --git a/main.py b/main.py index 44e060eb3..86ab10703 100755 --- a/main.py +++ b/main.py @@ -117,11 +117,11 @@ def handle_trade(trade: Trade) -> None: raise ValueError('attempt to handle closed trade: {}'.format(trade)) logger.debug('Handling open trade %s ...', trade) - # Get current rate - current_rate = exchange.get_ticker(trade.pair)['bid'] - current_profit = 100.0 * ((current_rate - trade.open_rate) / trade.open_rate) - if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']) * 100.0: + current_rate = exchange.get_ticker(trade.pair)['bid'] + current_profit = (current_rate - trade.open_rate) / trade.open_rate + + if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']): logger.debug('Stop loss hit.') execute_sell(trade, current_rate) return @@ -130,11 +130,11 @@ def handle_trade(trade: Trade) -> None: duration, threshold = float(duration), float(threshold) # Check if time matches and current rate is above threshold time_diff = (datetime.utcnow() - trade.open_date).total_seconds() / 60 - if time_diff > duration and current_rate > (1 + threshold) * trade.open_rate: + if time_diff > duration and current_profit > threshold: execute_sell(trade, current_rate) return - logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit) + logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit * 100.0) except ValueError: logger.exception('Unable to handle open order') From 4198220b68dc045bfa1172da29785ffd96314ede Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 15:42:16 +0300 Subject: [PATCH 18/24] extract sell criteria to it's own method for testing --- main.py | 36 +++++++++++++++++++++++------------- 1 file changed, 23 insertions(+), 13 deletions(-) diff --git a/main.py b/main.py index 86ab10703..2f2ab71c3 100755 --- a/main.py +++ b/main.py @@ -107,6 +107,28 @@ def execute_sell(trade: Trade, current_rate: float) -> None: telegram.send_msg(message) +def should_sell(trade: Trade, current_rate: float, current_time: datetime) -> bool: + """ + Based an earlier trade and current price and configuration, decides whether bot should sell + :return True if bot should sell at current rate + """ + current_profit = (current_rate - trade.open_rate) / trade.open_rate + + if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']): + logger.debug('Stop loss hit.') + return True + + for duration, threshold in sorted(_CONF['minimal_roi'].items()): + duration, threshold = float(duration), float(threshold) + # Check if time matches and current rate is above threshold + time_diff = (current_time - trade.open_date).total_seconds() / 60 + if time_diff > duration and current_profit > threshold: + return True + + logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit * 100.0) + return False + + def handle_trade(trade: Trade) -> None: """ Sells the current pair if the threshold is reached and updates the trade record. @@ -119,22 +141,10 @@ def handle_trade(trade: Trade) -> None: logger.debug('Handling open trade %s ...', trade) current_rate = exchange.get_ticker(trade.pair)['bid'] - current_profit = (current_rate - trade.open_rate) / trade.open_rate - - if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']): - logger.debug('Stop loss hit.') + if should_sell(trade, current_rate, datetime.utcnow()): execute_sell(trade, current_rate) return - for duration, threshold in sorted(_CONF['minimal_roi'].items()): - duration, threshold = float(duration), float(threshold) - # Check if time matches and current rate is above threshold - time_diff = (datetime.utcnow() - trade.open_date).total_seconds() / 60 - if time_diff > duration and current_profit > threshold: - execute_sell(trade, current_rate) - return - - logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit * 100.0) except ValueError: logger.exception('Unable to handle open order') From 5f98649b7de43a13c35059275b59d9a63e28b11d Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 21:06:15 +0300 Subject: [PATCH 19/24] backtesting over 7 different coins and a month of 5min ticker data --- test/test_backtesting.py | 60 ++++++++++++++++++++++++++++++++++++---- 1 file changed, 54 insertions(+), 6 deletions(-) diff --git a/test/test_backtesting.py b/test/test_backtesting.py index ab2bff712..7f663481f 100644 --- a/test/test_backtesting.py +++ b/test/test_backtesting.py @@ -3,14 +3,62 @@ import unittest from unittest.mock import patch import json import arrow +from pandas import DataFrame from analyze import analyze_ticker +from persistence import Trade +from main import should_sell + +def print_results(results): + print('Made {} buys. Average profit of a deal was {:.1f}%. Total profit was {:.3f}. Average trade lasted {:.1f} minutes.'.format( + len(results.index), + results.profit.mean() * 100.0, + results.profit.sum(), + results.duration.mean()*5 + )) class TestMain(unittest.TestCase): + pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum'] + conf = { + "minimal_roi": { + "2880": 0.005, + "720": 0.01, + "0": 0.02 + }, + "stoploss": -0.10 + } - def test_1_create_trade(self): - with open('test/testdata/btc-neo.json') as data_file: - data = json.load(data_file) + def test_backtest(self): + trades = [] + with patch.dict('main._CONF', self.conf): + for pair in self.pairs: + with open('test/testdata/'+pair+'.json') as data_file: + data = json.load(data_file) - with patch('analyze.get_ticker', return_value=data): - with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')): - print(analyze_ticker('BTC-NEO')) + with patch('analyze.get_ticker', return_value=data): + with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')): + ticker = analyze_ticker(pair) + # for each buy point + for index, row in ticker[ticker.buy == 1].iterrows(): + trade = Trade( + open_rate=row['close'], + open_date=arrow.get(row['date']).datetime, + amount=1, + ) + # calculate win/lose forwards from buy point + for index2, row2 in ticker[index:].iterrows(): + if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime): + current_profit = (row2['close'] - trade.open_rate) / trade.open_rate + + trades.append((pair, current_profit, index2 - index)) + break + + labels = ['currency', 'profit', 'duration'] + results = DataFrame.from_records(trades, columns=labels) + + print('====================== BACKTESTING REPORT ================================') + + for pair in self.pairs: + print('For currency {}:'.format(pair)) + print_results(results[results.currency == pair]) + print('TOTAL OVER ALL TRADES:') + print_results(results) From 9f7a72a990360939462ca429eaebc4dcf74bab3d Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 21:39:28 +0300 Subject: [PATCH 20/24] shorten report text --- test/test_backtesting.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/test/test_backtesting.py b/test/test_backtesting.py index 7f663481f..8c01f12b6 100644 --- a/test/test_backtesting.py +++ b/test/test_backtesting.py @@ -9,7 +9,7 @@ from persistence import Trade from main import should_sell def print_results(results): - print('Made {} buys. Average profit of a deal was {:.1f}%. Total profit was {:.3f}. Average trade lasted {:.1f} minutes.'.format( + print('Made {} buys. Average profit {:.1f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format( len(results.index), results.profit.mean() * 100.0, results.profit.sum(), From c9dcc1e57cecaa05bc29bbe7336f1e3c1b61e870 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 21:39:43 +0300 Subject: [PATCH 21/24] disable the backtesting by default --- test/test_backtesting.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/test/test_backtesting.py b/test/test_backtesting.py index 8c01f12b6..8d9bc36ab 100644 --- a/test/test_backtesting.py +++ b/test/test_backtesting.py @@ -1,6 +1,7 @@ # pragma pylint: disable=missing-docstring import unittest from unittest.mock import patch +import os import json import arrow from pandas import DataFrame @@ -27,6 +28,7 @@ class TestMain(unittest.TestCase): "stoploss": -0.10 } + @unittest.skipIf(not os.environ.get('BACKTEST', False), "slow, should be run manually") def test_backtest(self): trades = [] with patch.dict('main._CONF', self.conf): From 41849c4a1eda4cace96e92c729e42597d1c5e154 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 25 Sep 2017 22:01:54 +0300 Subject: [PATCH 22/24] add three more currency pairs to back testing. redownloaded all test data --- test/test_backtesting.py | 2 +- test/testdata/btc-edg.json | 2 +- test/testdata/btc-etc.json | 1 + test/testdata/btc-eth.json | 2 +- test/testdata/btc-ltc.json | 1 + test/testdata/btc-mtl.json | 1 + test/testdata/btc-neo.json | 2 +- test/testdata/btc-omg.json | 2 +- test/testdata/btc-pay.json | 2 +- test/testdata/btc-pivx.json | 2 +- test/testdata/btc-qtum.json | 2 +- 11 files changed, 11 insertions(+), 8 deletions(-) create mode 100644 test/testdata/btc-etc.json create mode 100644 test/testdata/btc-ltc.json create mode 100644 test/testdata/btc-mtl.json diff --git a/test/test_backtesting.py b/test/test_backtesting.py index 8d9bc36ab..41c48674d 100644 --- a/test/test_backtesting.py +++ b/test/test_backtesting.py @@ -18,7 +18,7 @@ def print_results(results): )) class TestMain(unittest.TestCase): - pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum'] + pairs = ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc'] conf = { "minimal_roi": { "2880": 0.005, diff --git a/test/testdata/btc-edg.json b/test/testdata/btc-edg.json index e1e4c07e7..35287a9d3 100644 --- a/test/testdata/btc-edg.json +++ b/test/testdata/btc-edg.json @@ -1 +1 @@ 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\ No newline at end of file diff --git a/test/testdata/btc-neo.json b/test/testdata/btc-neo.json index f2552809d..c7c4cebd0 100644 --- a/test/testdata/btc-neo.json +++ b/test/testdata/btc-neo.json @@ -1 +1 @@ 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\ No newline at end of file From a2f7709cfd9e53408cb0a7a19d5bbdf24c673929 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Thu, 28 Sep 2017 17:00:14 +0300 Subject: [PATCH 23/24] disable debug level logging when running backtesting --- test/test_backtesting.py | 5 +++++ 1 file changed, 5 insertions(+) diff --git a/test/test_backtesting.py b/test/test_backtesting.py index 41c48674d..fdf18cc32 100644 --- a/test/test_backtesting.py +++ b/test/test_backtesting.py @@ -3,6 +3,7 @@ import unittest from unittest.mock import patch import os import json +import logging import arrow from pandas import DataFrame from analyze import analyze_ticker @@ -28,6 +29,10 @@ class TestMain(unittest.TestCase): "stoploss": -0.10 } + @classmethod + def setUpClass(cls): + logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot + @unittest.skipIf(not os.environ.get('BACKTEST', False), "slow, should be run manually") def test_backtest(self): trades = [] From ff5a6633c67aebb07f164f082f0004495849c338 Mon Sep 17 00:00:00 2001 From: gcarq Date: Thu, 28 Sep 2017 19:14:18 +0200 Subject: [PATCH 24/24] version bump --- main.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/main.py b/main.py index f967dcffc..8f2256bb4 100755 --- a/main.py +++ b/main.py @@ -22,7 +22,7 @@ logger = logging.getLogger(__name__) __author__ = "gcarq" __copyright__ = "gcarq 2017" __license__ = "GPLv3" -__version__ = "0.9.0" +__version__ = "0.10.0" _CONF = {}