def do_POST(self):
content_len = int(self.headers.get('content-length'))
res = json.loads(self.rfile.read(content_len).decode('utf-8'))
if res['boardName'] == 'BitMEX_XBTUSD':
logger.debug('save response: {}'.format(dict2str(res)))
self.save_response(res)
def simulate():
start_dt = '2018-11-20 00:00:00'
end_dt = '2018-12-31 23:59:59'
#end_dt = '2018-12-28 23:59:59'
assets = 3000
params = get_params()
# 過去の値を含めたローソク足を作成
start_dt_ext = (datetime.strptime(start_dt, '%Y-%m-%d %H:%M:%S') -
timedelta(1)).strftime('%Y-%m-%d %H:%M:%S')
messages_ext = create_message(start_dt_ext, end_dt)
messages = create_message(start_dt, end_dt)
tickers = create_tickers(messages)
tm = TimeManager(timestamps=messages['1min'].index)
rm = ResourceManager(messages_ext, tickers, assets,
tm) # ResourceMangerは最終的なローソク足のみ登録する
api = APISimulator(rm)
logger.info('[params], ' + dict2str(params) + 'initial_assets: ' +
str(assets))
#seller = ModelNaive(params['reward_upper'], params['loss_lower'], params['update_threshold'], params['step'])
#buyer = ModelMa(params['pair'], params['candle_type'], params['timeperiod_s'], params['timeperiod_m'], params['timeperiod_l'], params['timeperiod_xl'], api)
buyer = ModelLGB(params['pair'], api)
seller = ModelLGB(params['pair'], api)
trader = Trader(params['pair'], params['candle_type'], buyer, seller,
params['amount'], params['order_type'],
params['asset_lower'], api)
PubSubSimulator(params['candle_type'], trader, api, tm).run(messages)
summary(start_dt, end_dt, 'simulate/log/debug.log')
def trade():
params = get_params()
api = API()
try:
logger.info('[params], ' + dict2str(params) + 'initial_assets: ' +
str(api.get_asset()))
# Listenerの追加
buyer = ModelLGBBinary(params['pair'], api, params['norm_mean'],
params['norm_std'], params['lower'],
params['upper'], params['loss_lower'])
seller = ModelLGBBinary(params['pair'], api, params['norm_mean'],
params['norm_std'], params['lower'],
params['upper'], params['loss_lower'])
#seller = ModelNaive(params['reward_upper'], params['loss_lower'])
trader = Trader(params['pair'], params['candle_type'], buyer, seller,
params['amount'], params['order_type'],
params['asset_lower'], api)
TimeTradeEnvironment(params['candle_type'], trader, api,
params['pair']).run()
except Exception:
logger.error(traceback.format_exc())
logger.debug('process reboot')
os.execv(sys.executable, [sys.executable] + ['trade/tr.py'])
def calc_entry_score(self, candle):
end_dt = datetime.fromtimestamp(candle[5] / 1000)
start_dt = (end_dt - timedelta(1)).strftime('%Y-%m-%d %H:%M:%S')
end_dt = end_dt.strftime('%Y-%m-%d %H:%M:%S')
features = None
candle_types = ['1min', '5min', '15min', '30min']
for candle_type in candle_types:
candles = self.api.get_candles(self.pair,
candle_type=candle_type,
start_dt=start_dt,
end_dt=end_dt)
candles = pd.DataFrame(candles,
columns=[
'open', 'high', 'low', 'close',
'volume', 'timestamp'
])
candles.index = candles.timestamp.map(
lambda x: datetime.fromtimestamp(x / 1000))
params = get_params('1min')
feature = _extract_feature(candles, params)
feature = feature.fillna(method='ffill')
feature.columns = [c + '_' + candle_type for c in feature.columns]
if features is None:
features = feature
else:
features = pd.concat([features, feature], axis=1)
features = features.fillna(method='ffill')
# 予測値を低く見積もって（25%点）さらにROCPの標準偏差も考慮した値が０より大きければロング
X = features[features.index == end_dt]
y_pred = self.clf.predict(X)[0]
y_pred_upper = self.clf_upper.predict(X)[0]
y_pred_lower = self.clf_lower.predict(X)[0]
rocp_std = calc_rocp_std(self.api, self.pair, start_dt, end_dt)
score = y_pred_lower - rocp_std
result = {
'y_pred': y_pred,
'y_pred_upper': y_pred_upper,
'y_pred_lower': y_pred_lower,
'rocp_std': rocp_std,
'score': score
}
logger.debug(dict2str(result))
if score > 0:
return [True, result]
return [False, result]
def trade(self, candle):
# 現在の資産を確認する
assets = self.api.get_asset()
if assets < self.asset_lower:
raise InsufficientAssetsError
# 板価格を確認する
ticker_price_buy = self.api.get_ticker(self.pair)['buy']
ticker_price_sell = self.api.get_ticker(self.pair)['sell']
# 損切りを確認する
if len(self.long_entries) > 0:
price_bought = self.long_entries[sorted(
self.long_entries.keys())[-1]]['average_price']
if self.seller.is_cut_loss(ticker_price_sell, price_bought):
logger.debug(
'cut loss, ticker_price_buy: {}, price_bought: {}'.format(
ticker_price_buy, price_bought))
active_sells = [
active_order for active_order in
self.api.get_active_orders(self.pair)['orders']
if active_order['side'] == 'sell'
]
# アクティブな注文はキャンセルする
if len(active_sells) > 0:
cancel_ids = [
active_id['order_id'] for active_id in active_sells
]
self.api.cancel_orders(self.pair, cancel_ids)
logger.debug('cancel order: {}'.format(cancel_ids))
# 買った数を計算する
total_executed_amount_buy = 0
for order_id, entry in self.long_entries.items():
total_executed_amount_buy += float(
entry['executed_amount'])
# 売りの最安値で注文する
logger.debug(
'order sell, pair: {}, price: {}, amount: {}, order type: {}'
.format(self.pair, ticker_price_sell,
total_executed_amount_buy, 'market'))
res_order = self.api.order(self.pair, ticker_price_sell,
total_executed_amount_buy, 'sell',
'market')
logger.debug('order finished, ' + dict2str(res_order))
# 注文履歴を更新
self.update_long_entries(res_order)
# 投資指標を計算
position, score = self.buyer.calc_score(candle)
logger.debug('trade index, score: {}, position: {}'.format(
score, position))
# 売買する
if position == 'buy':
# 買いの最高値で注文する
logger.debug(
'order buy, pair: {}, price: {}, amount: {}, order type: {}'.
format(self.pair, ticker_price_buy, self.amount,
self.order_type))
res_order = self.api.order(self.pair, ticker_price_buy,
self.amount, 'buy', self.order_type)
logger.debug('order finished, ' + dict2str(res_order))
# 注文履歴を更新
self.update_long_entries(res_order)
elif position == 'sell' and len(self.long_entries) > 0:
active_sell = [
active_order for active_order in self.api.get_active_orders(
self.pair)['orders'] if active_order['side'] == 'sell'
]
print('{} {}'.format(
len(active_sell),
self.api.get_active_orders(self.pair)['orders']))
if len(active_sell) == 0:
# 買った数を計算する
total_executed_amount_buy = 0
for order_id, entry in self.long_entries.items():
total_executed_amount_buy += float(
entry['executed_amount'])
# 売りの最安値で注文する
logger.debug(
'order sell, pair: {}, price: {}, amount: {}, order type: {}'
.format(self.pair, ticker_price_sell,
total_executed_amount_buy, self.order_type))
res_order = self.api.order(self.pair, ticker_price_sell,
total_executed_amount_buy, 'sell',
self.order_type)
logger.debug('order finished, ' + dict2str(res_order))
# 注文履歴を更新
self.update_long_entries(res_order)
'''
long_entries = self.long_entries.copy()
for order_id, entry in long_entries.items():
if entry['status'] == 'ACTIVE':
continue
price_now = self.api.get_ticker(self.pair)['sell']
price_bought = float(entry['average_price'])
is_exit, order_type = self.seller.is_exit_long(float(price_now), price_bought)
if is_exit:
logger.debug('order sell, pair: {}, price: {}, amount: {}, order type: {}'.format(self.pair, price_now, self.amount, order_type))
self.long_entries[order_id]['status'] = 'ACTIVE'
res_order = self.api.order(self.pair, price_now, float(entry['executed_amount']), 'sell', order_type)
logger.debug('order finished, ' + dict2str(res_order))
# 注文履歴を更新
self.update_long_entries(res_order, order_id)
'''
# デバッグ用コメント
total_executed_amount_buy = 0
for order_id, entry in self.long_entries.items():
total_executed_amount_buy += float(entry['executed_amount'])
logger.debug(
'current orders, order num: {}, remained amount: {}'.format(
len(self.long_entries), total_executed_amount_buy))