def ordering(e):
#market = m.get_market("LTC","BTC",e)
market = m.market_from("LTC", "BTC")
b = a.afacade.balance_all(exchange=e)
btc_balance = list(filter(lambda x: x['symbol'] == 'BTC', b))[0]['amount']
print(btc_balance)
#b = a.afacade.balance_currency("BTC",e)
if btc_balance > 0.001:
print("balance ", b)
print("market " + market)
s = a.afacade.get_market_summary(market, e)
print("s ", s)
bid = s["bid"]
ask = s["ask"]
trade_type = "BUY"
rho = 0.03
rounding = 8
if e == exc.BINANCE:
#binance rounds to 6
rounding = 6
price = round(bid * (1 - rho), rounding)
qty = 0.5
o = [market, trade_type, price, qty]
print("order " + str(o))
r = a.afacade.submit_order(o, e)
print("order result " + str(r))
else:
print("insufficient balance")
def get_ethusdt():
""" get daily candles and append last price as current day """
market = models.market_from("ETH", "USDT")
x = a.afacade.get_candles_daily(market, exc.BINANCE)
y = a.afacade.get_candles_minute(market, exc.BINANCE)
x.append(y[-1])
return x
def ordering():
currency = input("what market against BTC? ")
e = input(
"what exchange (number)? CRYPTOPIA = 0 BITTREX = 1 KUCOIN = 2 BINANCE = 3 KRAKEN = 4 HITBTC = 5"
)
e = int(e)
market = m.get_market(currency, "BTC", e)
buysell = input("buy or sell? ")
qty = input("quantity? ")
qty = float(qty)
b = a.afacade.balance_all(exchange=e)
btc_balance = list(filter(lambda x: x['symbol'] == 'BTC', b))[0]['amount']
print(btc_balance)
s = a.afacade.get_market_summary(market, e)
bid = s["bid"]
ask = s["ask"]
if buysell == "BUY":
if btc_balance > 0.001:
trade_type = "BUY"
rho = 0.1
price = round(bid * (1 - rho), 8)
print("target price ", price)
#qty = 0.1
market = m.market_from(
currency,
"BTC",
)
o = [market, trade_type, price, qty]
print("order " + str(o))
r = a.afacade.submit_order(o, e)
print("order result " + str(r))
else:
print("insufficient balance")
else:
#TODO check LTC balance
trade_type = "SELL"
rho = 0.001
price = round(ask * (1 - rho), 8)
print("target price ", price)
#qty = 0.1
market = m.market_from(currency, "BTC")
o = [market, trade_type, price, qty]
print("order " + str(o))
r = a.afacade.submit_order(o, e)
print("order result " + str(r))
def get_average(token):
#r = redis.Redis(host='localhost', port=6379, db=0)
market = models.market_from(token, "ETH")
candles = a.afacade.get_candles_minute(market, exc.BINANCE)
closes = [float(x[4]) for x in candles]
avg = round(np.mean(closes), 6)
#print (closes)
k = market + "_avg"
print(token, ":", avg)
#r.set(token, json.dumps(avg))
return avg
def sync_all_candles(self, markets):
for m in markets[:10]:
try:
s = m['nom']
market = models.market_from(s, "BTC")
self.broker.sync_candle_minute(market, exc.BINANCE)
x = self.broker.db.candles.find_one()
self.logger.info(x["time_insert"])
time.sleep(0.05)
except Exception as err:
logger.error("pair error %s" % err)
def sync_all_candles(self, markets):
logger.debug("sync candles for %i markets"%(len(markets)))
for m in markets[:50]:
try:
s = m['nom']
market = models.market_from(s,"BTC")
#candles = self.afacade.get_candles_minute(market,exc.BINANCE)
self.broker.sync_candle_minute15(market,exc.BINANCE)
x = self.broker.db.candles.find_one()
logger.debug(x["time_insert"])
#self.candle_signal(candles, market)
#self.checkpair(market)
time.sleep(0.05)
except Exception as err:
logger.error("pair error %s"%err)
def submit_buy():
book = get_book()
mid = mid_price(book)
#display_book(book)
#print (mid)
print(book)
ttype = orders.ORDER_SIDE_BUY
p = 0.01
order_price = round(mid * (1 - p), 0)
qty = 1
market = m.market_from("XBT", "USD")
order = [market, ttype, order_price, qty]
result = abroker.submit_order(order, exc.BITMEX)
print("result ", result)
oo = abroker.afacade.open_orders(exc.BITMEX)
print(oo)
def sync_job(self):
""" run worker """
db = self.broker.get_db()
col = db.orderbooks #['bitmex_orderbook']
#i = 0
self.logger.debug('sync in the background')
#while True:
market = m.market_from("XBT", "USD")
smarket = models.conv_markets_to(market, exc.BITMEX)
self.broker.sync_orderbook(smarket, exc.BITMEX)
self.broker.sync_trades(smarket, exc.BITMEX)
#col.insert_one(book)
#logger.debug("sync.. %s"%str(book))
#print (book)
#time.sleep(5)
#i+=1
"""
import archon.exchange.binance as b
import archon.model.models as models
from archon.util import *
import time
import datetime
import math
from datetime import datetime
a = broker.Broker()
a.set_keys_exchange_file()
client = a.afacade.get_client(exc.BINANCE)
market = models.market_from("ADA","BTC")
#x = a.afacade.get_candles_hourly(market,exc.BINANCE)
data = a.afacade.get_candles_daily(market,exc.BINANCE)
closes = list()
COL_CLOSE = 4
COL_VOLUME = 5
"""
for z in x[-100:]:
ts = z[0]
o,h,l,c = z[1:5]
print (ts,c,z[5])
closes.append(c)
"""
import archon.facade as facade
import archon.broker as broker
import archon.exchange.exchanges as exc
import archon.exchange.binance as b
import archon.model.models as models
from archon.util import *
import time
import datetime
import math
from datetime import datetime
a = broker.Broker()
a.set_keys_exchange_file()
client = a.afacade.get_client(exc.BINANCE)
market = models.get_market("RVN", "BTC", exc.BINANCE)
x = client.get_orderbook_symbol(market)
time.sleep(0.5)
m = models.market_from("RVN", "BTC")
[bids, asks] = a.afacade.get_orderbook(m, exc.BINANCE)
print(bids[0], asks[0])
def show_book(nom, denom):
for e in [exc.KRAKEN]:
market = model.market_from(nom, denom)
show_book_exc(e, market)
import archon.exchange.exchanges as exc
import archon.model.models as models
import archon.facade as facade
import archon.broker as broker
import archon.markets as m
afacade = facade.Facade()
broker.setClientsFromFile(afacade)
a = broker.Broker()
ae = [exc.KUCOIN,exc.BITTREX]
a.set_active_exchanges(ae)
market = models.market_from("LTC","BTC")
print ("sync ",market)
a.sync_orderbook_all(market)
db = a.get_db()
x = db.orderbooks.find({'market':market})
for z in x:
print (z)
"""
import archon.facade as facade
import archon.broker as broker
import archon.exchange.exchanges as exc
import archon.model.models as models
from archon.util import *
from pymongo import MongoClient
import time
import datetime
import math
afacade = facade.Facade()
broker.setClientsFromFile(afacade)
a = broker.Broker()
ae = [exc.KUCOIN, exc.BITTREX, exc.CRYPTOPIA]
a.set_active_exchanges(ae)
if __name__ == '__main__':
nom = "LTC"
denom = "BTC"
market = models.market_from(nom, denom)
a.sync_tx_all(market)
db = a.get_db()
for e in ae:
n = exc.NAMES[e]
txs = db.txs.find_one({'market': market, 'exchange': n})
print("> ", txs['tx'][-1])
def get_book():
symbol = "XBTUSD"
inst = client.get_instrument(symbol)
print (inst['bidPrice'])
print (inst['askPrice'])
book = client.market_depth(symbol,depth=3)
sells = list(filter(lambda x: x['side']=='Sell',book))
buys = list(filter(lambda x: x['side']=='Buy',book))
print (buys[0],sells[0])
def display_book(book,name):
[bids,asks] = book
print ("** bid ** %s ** ask **"%(name))
i = 0
for b in bids[:10]:
ask = asks[i]
bp = b['price']
ap = ask['price']
av = ask['quantity']
bv = b['quantity']
print ("%.8f %.2f %.8f %.2f" % (bp,bv,ap,av))
i+=1
#get_book()
#market = "XBT-USD"
market = m.market_from("XBT","USD")
book = abroker.afacade.get_orderbook(market, exc.BITMEX)
#print (book)
display_book(book,"BITMEX")
def get_book():
market = m.market_from("XBT", "USD")
smarket = m.conv_markets_to(market, exc.BITMEX)
book = abroker.afacade.get_orderbook(smarket, exc.BITMEX)
return book
"""
show orderbooks for all exchanges
"""
import archon.facade as facade
import archon.broker as broker
import archon.exchange.exchanges as exc
import archon.model.models as model
from archon.util import *
import time
import datetime
import math
abroker = broker.Broker(setAuto=False)
abroker.set_keys_exchange_file(exchanges=[exc.KRAKEN])
client = abroker.afacade.get_client(exc.KRAKEN)
market = model.market_from("BTC", "USD")
smarket = model.conv_markets_to(market, exc.KRAKEN)
t = client.get_trades(smarket)
for x in t:
print(x)
bars = pd.DataFrame(candle_data, index=dates, columns=['close', 'volume'])
#print (bars.describe())
bars['Pct Change'] = bars['close'].astype('float').pct_change()
bars['RSI'] = talib.RSI(bars['close'])
bars['volumeROC'] = talib.ROC(bars['volume'])
symbol = market
rfs = RSIStrategy('close', bars, buy_barrier, short_barrier)
signals = rfs.generate_signals()
#print ("signal summary \n",signals.describe())
backtest = MarketOnOpenPortfolio(symbol, bars, signals)
pf = backtest.backtest_portfolio()
lastindex = pf['Strategy'][-1]
total_return = lastindex / 100 - 1
print("total return ", total_return)
plot_portfolio(pf)
if __name__ == "__main__":
currency_to_test = "ADA"
market = models.market_from(currency_to_test, "BTC")
daily_data = a.afacade.get_candles_daily(market, exc.BINANCE)
#daily_data = a.afacade.get_candles_hourly(market,exc.BINANCE)
buy_barrier = 40
short_barrier = 60
backtest_market(daily_data, buy_barrier, short_barrier)
