def exec_reverse_trade(self, symbol_21, symbol_23, symbol_31, volume_31,
price_21, price_23, price_31):
utils.log_to_slack(
'start REVERSE trade, detected prices:\n{}: {}\n{}: {}\n{}: {}'.
format(symbol_21, price_21, symbol_23, price_23, symbol_31,
price_31))
cur3_amount = self.trade(symbol_31, 'buy', volume_31, price_31)
time.sleep(1)
volume_23 = cur3_amount / price_23
decrease_step = volume_23 * 0.004
# 若價格瞬間上漲，cur3_amount 可能不夠買 volume_23，就減少 volume_23，買到為止
while 1:
try:
cur2_amount = self.trade(symbol_23, 'buy', volume_23, price_23)
break
except InsufficientFundsException:
utils.log_to_slack(
'Insufficient funds.\nDecrease volume by {}'.format(
decrease_step))
volume_23 = volume_23 - decrease_step
time.sleep(1)
cur1_amount = self.trade(symbol_21, 'sell', cur2_amount, price_21)
return cur1_amount
def log_balance(trader):
info = trader.get_balance_info()
balance_msg = "\n".join(info)
print('[NEW BALANCE INFO]')
print(balance_msg)
write_log('balance', balance_msg)
utils.log_to_slack(balance_msg)
def log_trade(formatted_time, direction, first_currency, bridge_currency,
second_currency, take_volume, ratio):
trade_msg = '{}, {}, {}, {}, {}, {}, {}'.format(formatted_time, direction,
first_currency,
bridge_currency,
second_currency,
take_volume, ratio)
print(trade_msg)
write_log('trade', trade_msg)
utils.log_to_slack(trade_msg)
def log_trade(formatted_time, direction, cur1, cur2, cur3, take_volume, ratio):
if 'forward' == direction:
start_cur = cur2
elif 'reverse' == direction:
start_cur = cur3
else:
raise ValueError('direction must be forward or reverse')
trade_msg = '[{0}]\n{1}: {2}-{3}-{4}\nVolume: {5:.8f}{6}\nRatio: {7:.8f}'.format(
formatted_time, direction.upper(), cur1, cur2, cur3, take_volume,
start_cur, ratio)
print(trade_msg)
utils.log_to_slack(trade_msg)
utils.write_log('trade', trade_msg)
def exec_forward_trade(self, symbol_21, symbol_23, symbol_31, volume_21,
price_21, price_23, price_31):
utils.log_to_slack(
'start FORWARD trade, detected prices:\n{}: {}\n{}: {}\n{}: {}'.
format(symbol_21, price_21, symbol_23, price_23, symbol_31,
price_31))
cur2_amount = self.trade(symbol_21, 'buy', volume_21, price_21)
time.sleep(1)
cur3_amount = self.trade(symbol_23, 'sell', cur2_amount, price_23)
time.sleep(1)
cur1_amount = self.trade(symbol_31, 'sell', cur3_amount, price_31)
return cur1_amount
def log_balance(exchange, amounts, amounts_before=None):
info = [
'[{}]'.format(time.strftime('%c')), 'Exchange: {}'.format(exchange)
]
for symbol in amounts:
amount = amounts[symbol]
if isinstance(amounts_before, dict):
amount_before = amounts_before[symbol]
diff = amount - amount_before
info.append('{0}: {1:.8f} ({2:.8f})'.format(symbol, amount, diff))
else:
info.append('{0}: {1:.8f}'.format(symbol, amount))
msg = "\n".join(info)
print('[NEW BALANCE INFO]')
print(msg)
utils.log_to_slack(msg)
utils.write_log('balance', msg)
def trade(self, pair_symbol, side, amount, price):
utils.log_to_slack('Trade start: {0}\n{1} volume: {2:.8f}'.format(
pair_symbol, side, amount))
exchange_adapter = self.exchange_adapter
response = {}
try:
if 'buy' == side:
acceptable_price = price * 1.01
response = exchange_adapter.create_limit_buy_order(
pair_symbol, amount, acceptable_price)
elif 'sell' == side:
acceptable_price = price * 0.99
response = exchange_adapter.create_limit_sell_order(
pair_symbol, amount, acceptable_price)
except ccxt.InvalidOrder as e:
msg = 'TRADE SKIPPED - invalid order: {0}. pair: {1}, side: {2}, amount: {3:.8f}'.format(
str(e), pair_symbol, side, amount)
raise InsufficientFundsException(msg)
except ccxt.InsufficientFunds:
msg = 'TRADE SKIPPED - insufficient balance. pair: {0}, side: {1}, amount: {2:.8f}'.format(
pair_symbol, side, amount)
raise InsufficientFundsException(msg)
except Exception as e:
msg = 'Unknown error: {0}. pair: {1}, side: {2}, amount: {3:.8f}'.format(
str(e), pair_symbol, side, amount)
raise TradeSkippedException(msg)
order_id = response['id']
tmp_timestamp = time.time()
while 1:
try:
order = exchange_adapter.fetch_order(order_id, pair_symbol)
except Exception:
order = exchange_adapter.fetch_orders(pair_symbol)[-1]
if order['id'] != order_id:
time.sleep(0.5)
continue
if 'closed' != order['status'] and 'canceled' != order['status']:
current_timestamp = time.time()
if (current_timestamp - tmp_timestamp) > 1800:
utils.log_to_slack('The trade is still uncompleted...')
tmp_timestamp = current_timestamp
time.sleep(0.5)
continue
taker_fee_rate = self.get_fee_rate('taker')
# TODO: use adapter.fetch_trade()
if 'buy' == side:
try:
fee = order['fee']['cost']
except Exception as e:
fee = order['filled'] * taker_fee_rate
got_amount = order['filled'] - fee
else:
fee = order['cost'] * taker_fee_rate
got_amount = order['cost'] - fee
utils.log_to_slack(
'Trade complete: {0}\ngot amount: {1:.8f}'.format(
pair_symbol, got_amount))
return got_amount