class LiveTrader:
params = {
"initial_depth": 3,
"max_depth": 4,
"variance_threshold": 0.00013,
"band_threshold": 0.00013,
"iteration_level": 3,
"division_threshold": 0.00013,
"max_weight": 8.0,
"activation": "tanh"
}
# Config for CPPN.
config = neat.config.Config(neat.genome.DefaultGenome,
neat.reproduction.DefaultReproduction,
neat.species.DefaultSpeciesSet,
neat.stagnation.DefaultStagnation,
'config_trader')
def __init__(self, ticker_len, target_percent, hd, base_sym="BTC"):
self.base_sym = base_sym
self.load_polo_client()
self.hd = hd
self.target_percent = target_percent
self.ticker_len = ticker_len
self.end_ts = datetime.now() + timedelta(seconds=(ticker_len * 55))
self.hs = HistWorker()
self.refresh_data()
self.tickers = self.polo.returnTicker()
self.refresh_balances()
self.sellCoins()
self.set_target()
self.inputs = self.hs.hist_shaped.shape[0] * (
self.hs.hist_shaped[0].shape[1])
self.outputs = self.hs.hist_shaped.shape[0]
self.end_idx = len(self.hs.hist_shaped[0]) - 1
self.make_shapes()
self.load_net()
self.poloTrader()
def load_polo_client(self):
keys = self.get_keys()
self.polo = Poloniex(keys[0], keys[1])
def purge_polo_client(self):
self.polo = None
def load_net(self):
champ_file = open("./champ_data/latest_greatest.pkl", 'rb')
g = pickle.load(champ_file)
#file.close()
the_cppn = neat.nn.FeedForwardNetwork.create(g, self.config)
self.cppn = the_cppn
def refresh_data(self):
try:
self.hs.pull_polo_usd_live(21)
self.hs.combine_live_usd_frames()
except Exception as e:
print(e)
time.sleep(360)
self.refresh_data()
def refresh_balances(self):
try:
self.bal = self.polo.returnCompleteBalances()
except Exception as e:
print(e)
time.sleep(360)
self.refresh_balances()
def get_one_bar_input_2d(self):
master_active = []
try:
for x in range(0, self.hd):
active = []
#print(self.outputs)
for y in range(0, self.outputs):
sym_data = self.hs.hist_shaped[y][self.end_idx - x]
#print(len(sym_data))
active += sym_data.tolist()
master_active.append(active)
except:
print("error getting look back data")
self.refresh_data()
self.get_one_bar_input_2d()
#print(active)
return master_active
def closeOrders(self):
try:
orders = self.polo.returnOpenOrders()
except Exception as e:
print(e)
print('error getting open orers')
time.sleep(360)
self.closeOrders()
for o in orders:
if orders[o] != []:
try:
ordnum = orders[o][0]['orderNumber']
self.polo.cancelOrder(ordnum)
except Exception as e:
print(e)
print('error closing')
def sellCoins(self):
for b in self.tickers:
if (b.split("_")[0] == self.base_sym):
price = self.get_price(b)
price = price - (price * .005)
self.sell_coin(b, price)
def buy_coin(self, coin, price):
amt = self.target / price
if (self.bal[self.base_sym]["available"] > self.target):
try:
self.polo.buy(coin, price, amt)
print("buying: ", coin)
except Exception as e:
print("error buying ", coin)
print(e)
return
def sell_coin(self, coin, price):
if (self.base_sym != "BTC"):
amt = self.bal[coin.split("_")[1]]["available"]
else:
amt = self.bal[coin.split("_")[1]]["btcValue"]
if (amt * price > .0001):
try:
self.polo.sell(coin, price, amt)
print("selling this shit: ", coin)
except Exception as e:
print("error selling ", coin)
print(e)
return
def reset_tickers(self):
try:
self.tickers = self.polo.returnTicker()
self.bal = self.polo.returnCompleteBalances()
except Exception as e:
print(e)
time.sleep(360)
self.reset_tickers()
return
def get_keys(self):
with open("./godsplan.txt") as f:
content = f.readlines()
content[0] = content[0][:-1]
if (content[1][-1:] == "\n"):
content[1] = content[1][:-1]
return content
def make_shapes(self):
sign = 1
self.out_shapes = []
self.in_shapes = []
for ix in range(1, self.outputs + 1):
sign = sign * -1
self.out_shapes.append((0.0 - (sign * .005 * ix), 0.0, -1.0))
for ix2 in range(1, (self.inputs // self.outputs) + 1):
self.in_shapes.append(
(0.0 + (sign * .01 * ix2), 0.0 - (sign * .01 * ix2), 0.0))
self.subStrate = Substrate(self.in_shapes, self.out_shapes)
def get_price(self, coin):
return self.tickers[coin]['last']
def set_target(self):
total = 0
full_bal = self.polo.returnCompleteBalances()
for x in full_bal:
total += full_bal[x]["btcValue"]
if (self.base_sym != "BTC"):
total = total * self.get_price(self.base_sym + "_" +
"BTC") * self.target_percent
print(total)
self.target = total
def poloTrader(self):
self.refresh_balances()
end_prices = {}
active = self.get_one_bar_input_2d()
self.load_net()
network = ESNetwork(self.subStrate, self.cppn, self.params, self.hd)
net = network.create_phenotype_network_nd('paper_net.png')
net.reset()
sell_syms = []
buy_syms = []
buy_signals = []
sell_signals = []
self.closeOrders()
for n in range(1, self.hd):
net.activate(active[self.hd - n])
out = net.activate(active[0])
for x in range(len(out)):
sym = self.hs.coin_dict[x]
end_prices[sym] = self.get_price(self.base_sym + "_" + sym)
if (out[x] > .5):
buy_signals.append(out[x])
buy_syms.append(sym)
if (out[x] < -.5):
sell_signals.append(out[x])
sell_syms.append(sym)
#rng = iter(shuffle(rng))
sorted_buys = np.argsort(buy_signals)[::-1]
sorted_sells = np.argsort(sell_signals)
self.reset_tickers()
for x in sorted_sells:
sym = sell_syms[x]
p = self.get_price(self.base_sym + "_" + sym)
price = p - (p * .005)
self.sell_coin(self.base_sym + "_" + sym, price)
for x in sorted_buys:
sym = buy_syms[x]
self.target_percent = .1 + out[x] - .45
p = self.get_price(self.base_sym + "_" + sym)
price = p * 1.005
self.buy_coin(self.base_sym + "_" + sym, price)
if datetime.now() >= self.end_ts:
return
else:
self.purge_polo_client()
time.sleep(self.ticker_len)
self.load_polo_client()
self.refresh_data()
self.make_shapes()
#self.closeOrders()
self.poloTrader()
class PaperTrader:
params = {
"initial_depth": 3,
"max_depth": 4,
"variance_threshold": 0.00013,
"band_threshold": 0.00013,
"iteration_level": 3,
"division_threshold": 0.00013,
"max_weight": 8.0,
"activation": "tanh"
}
# Config for CPPN.
config = neat.config.Config(neat.genome.DefaultGenome,
neat.reproduction.DefaultReproduction,
neat.species.DefaultSpeciesSet,
neat.stagnation.DefaultStagnation,
'config_trader')
in_shapes = []
out_shapes = []
def __init__(self, ticker_len, start_amount, histdepth, base_sym):
self.trade_hist = {}
self.polo = Poloniex()
self.hd = histdepth
self.ticker_len = ticker_len
self.end_ts = datetime.now() + timedelta(seconds=(ticker_len * 24))
self.start_amount = start_amount
self.hs = HistWorker()
self.hs.combine_live_usd_frames()
print(self.hs.currentHists.keys())
self.end_idx = len(self.hs.hist_shaped[0]) - 1
self.but_target = .1
self.inputs = self.hs.hist_shaped.shape[0] * (
self.hs.hist_shaped[0].shape[1])
self.outputs = self.hs.hist_shaped.shape[0]
self.folio = CryptoFolio(start_amount,
list(self.hs.currentHists.keys()), base_sym)
self.base_sym = base_sym
sign = 1
for ix in range(1, self.outputs + 1):
sign = sign * -1
self.out_shapes.append((0.0 - (sign * .005 * ix), 0.0, -1.0))
for ix2 in range(1, (self.inputs // self.outputs) + 1):
self.in_shapes.append(
(0.0 + (sign * .01 * ix2), 0.0 - (sign * .01 * ix2), 0.0))
self.subStrate = Substrate(self.in_shapes, self.out_shapes)
self.load_net()
print(self.hs.coin_dict)
self.poloTrader()
def refresh_data(self):
try:
self.hs.pull_polo_usd_live(21)
self.hs.combine_live_usd_frames()
self.end_idx = len(self.hs.hist_shaped[0]) - 1
except Exception as e:
print(e)
time.sleep(360)
self.refresh_data()
return
def load_net(self):
champ_file = open("./champ_data/latest_greatest.pkl", 'rb')
g = pickle.load(champ_file)
#file.close()
the_cppn = neat.nn.FeedForwardNetwork.create(g, self.config)
self.cppn = the_cppn
def make_shapes(self):
self.in_shapes = []
self.out_shapes = []
sign = 1
for ix in range(1, self.outputs + 1):
sign = sign * -1
self.out_shapes.append((0.0 - (sign * .005 * ix), -1.0, -1.0))
for ix2 in range(1, (self.inputs // self.outputs) + 1):
self.in_shapes.append(
(0.0 + (sign * .01 * ix2), 0.0 - (sign * .01 * ix2), 1.0))
def reset_tickers(self):
try:
self.tickers = self.polo.returnTicker()
except Exception as e:
time.sleep(360)
self.reset_tickers()
return
def get_price(self, coin):
return self.tickers[coin]['last']
def get_current_balance(self):
#self.refresh_data()
self.reset_tickers()
c_prices = {}
for s in self.hs.currentHists.keys():
if s != self.base_sym:
c_prices[s] = self.get_price(self.base_sym + "_" + s)
return self.folio.get_total_btc_value_no_sell(c_prices)
def get_one_bar_input_2d(self):
master_active = []
try:
for x in range(0, self.hd):
active = []
#print(self.outputs)
for y in range(0, self.outputs):
sym_data = self.hs.hist_shaped[y][self.end_idx - x]
#print(len(sym_data))
active += sym_data.tolist()
master_active.append(active)
except:
self.refresh_data()
self.get_one_bar_input_2d()
#print(active)
return master_active
def poloTrader(self):
try:
trade_df = pd.read_json("./live_hist/json_hist.json")
except Exception as e:
trade_df = pd.DataFrame()
end_prices = {}
active = self.get_one_bar_input_2d()
self.load_net()
sub = Substrate(self.in_shapes, self.out_shapes)
net = ESNetwork(sub, self.cppn, self.params, self.hd)
network = net.create_phenotype_network_nd('paper_net.png')
sell_syms = []
buy_syms = []
buy_signals = []
sell_signals = []
for n in range(1, self.hd):
network.activate(active[self.hd - n])
out = network.activate(active[0])
self.reset_tickers()
for x in range(len(out)):
sym = self.hs.coin_dict[x]
end_prices[sym] = self.get_price(self.base_sym + "_" + sym)
if (out[x] > .5):
buy_signals.append(out[x])
buy_syms.append(sym)
if (out[x] < -.5):
sell_signals.append(out[x])
sell_syms.append(sym)
#rng = iter(shuffle(rng))
sorted_buys = np.argsort(buy_signals)[::-1]
sorted_sells = np.argsort(sell_signals)
for x in sorted_sells:
try:
sym = sell_syms[x]
p = end_prices[sym]
print("selling: ", sym)
self.folio.sell_coin(sym, p)
except Exception as e:
print("error placing order")
for x in sorted_buys:
try:
sym = buy_syms[x]
p = end_prices[sym]
print("buying: ", sym)
self.folio.buy_coin(sym, p)
except Exception as e:
print("error placing order")
'''
self.trade_hist["date"] = datetime.now()
self.trade_hist["portfoliovalue"] = self.folio.get_total_btc_value_no_sell(end_prices)[0]
self.trade_hist["portfolio"] = self.folio.ledger
self.trade_hist["percentchange"] = ((self.trade_hist["portfoliovalue"] - self.folio.start)/self.folio.start)*100
trade_df.append(self.trade_hist)
trade_df.to_json("./live_hist/json_hist.json")
if(self.trade_hist["portfoliovalue"] > self.folio.start *1.1):
self.folio.start = self.folio.get_total_btc_value(end_prices)[0]
'''
if datetime.now() >= self.end_ts:
port_info = self.folio.get_total_btc_value(end_prices)
print("total val: ", port_info[0], "btc balance: ", port_info[1])
return
else:
print(self.get_current_balance())
for t in range(2):
p_vals = self.get_current_balance()
print("current value: ", p_vals[0], "current holdings: ",
p_vals[1])
time.sleep(self.ticker_len / 2)
self.refresh_data()
self.poloTrader()
