async def persistent_submit(self, side, price, qty, ioc, quote):
tries = 0
unsuccessful_submit = True
p = price
q = qty
while (tries < 5 and unsuccessful_submit):
try:
await self._trader.submit_order(side=side,
price=p,
qty=q,
ioc=ioc,
quote=quote)
unsuccessful_submit = False
except PostOnlyException:
previous_price = p
previous_qty = q
if side == Side.BID:
p = previous_price - make_price(0.01)
q = make_qty(
Decimal(round((previous_qty * previous_price) / p, 8)))
else:
p = previous_price + make_price(0.01)
q = make_qty(
Decimal(round((previous_qty * previous_price) / p, 8)))
tries += 1
if unsuccessful_submit:
log.warning('Tried to place order 5x. Giving up...')
async def on_signal(self, action, update):
strp_time = update['timestamp'].split('.')[0].split('+')[0]
curr_time = time.mktime(
dt.datetime.strptime(strp_time, '%Y-%m-%d %H:%M:%S').timetuple())
book = update['book']
if action == 'BUY':
if self._pnl_manager.get_cash_value() <= Decimal(1.00):
return
price = make_price(book['asks'][0]['price'])
cash = self._pnl_manager.get_cash_value()
qty = cash / price
await self._trader.submit_order(side=Side.BID,
price=price,
qty=make_qty(Decimal(qty)),
ioc=True,
quote=True)
self._last_buy_ts = curr_time
else:
if self._pnl_manager.get_crypto_value(book) <= Decimal(0.01):
return
price = make_price(book['bids'][0]['price'])
qty = self._pnl_manager.crypto_coins
await self._trader.submit_order(side=Side.ASK,
price=price,
qty=make_qty(Decimal(qty)),
ioc=True,
quote=True)
self._last_sell_ts = curr_time
def main(args):
params = {
'api_url': gdax.OrderEntryGateway.SANDBOX_URL,
'api_key': args['<API_KEY>'],
'api_secret': args['<API_SECRET>'],
'passphrase': args['<PASSPHRASE>'],
'ip': args['<IP>'],
'port': args['<PORT>'],
'sandbox': False if (args['<SANDBOX>'] == "False") else True,
'instrument': args['<INSTRUMENT>']
}
log.info('Starting Anchor Strategy for {} in {} mode',
params['instrument'],
'SANDBOX' if params['sandbox'] else 'PRODUCTION')
# TODO: Set up limits through configuration
StrategyConfig['limits'] = {}
StrategyConfig['limits']['max_order_qty'] = make_qty('2')
StrategyConfig['limits']['max_order_value'] = make_price('1000')
StrategyConfig['limits']['max_open_value'] = 1000
loop = asyncio.get_event_loop()
anchor_strategy = Anchor(loop)
loop.run_until_complete(anchor_strategy.run(params))
async def socket_handler(self, request):
resp = aiohttp.web.WebSocketResponse()
ok, protocol = resp.can_prepare(request)
if not ok:
return aiohttp.web.Response(text='Somthing went wrong')
await resp.prepare(request)
try:
request.app['sockets'].append(resp)
async for msg in resp:
if msg.type == aiohttp.web.WSMsgType.TEXT:
req = json.loads(msg.data)
if 'submit' in req:
logging.info('Recieved request: {}'.format(req))
if is_valid_submit(req['submit']):
submit = req['submit']
side = Side.BUY \
if submit['side'] == 'BUY' else Side.SELL
submit = await self.trader.submit_order(
side=side,
price=make_price(submit['price']),
qty=make_qty(submit['qty']),
ioc=submit['ioc'],
quote=submit['quote'])
else:
self.broadcast(
'submit_nack', {
'trigger': {
'msg': 'submit',
'args': req
},
'error': 'One+ fields are invalid!'
})
elif 'cancel_session' in req:
await self.trader.cancel_session()
elif 'cancel_all' in req:
await self.trader.cancel_all()
elif 'admin' in req:
if req['admin'] == 'GetBalance':
msg = await self.get_balance_msg()
resp.send_str(json.dumps(msg))
elif req['admin'] == 'ListOrders':
await self.trader.broadcast_orders()
elif req['admin'] == 'GetFills':
msg = await self.get_fills_msg()
resp.send_str(json.dumps(msg))
else:
pass
except Exception as e:
self.broadcast('UnexpectedError', e)
logging.error('Unexpected Error: {}'.format(e))
finally:
try:
request.app['sockets'].remove(resp)
except ValueError:
pass
return resp
def __init__(self, gateway, instrument):
limits = LimitChecker(max_order_qty=make_qty('0.8'),
max_order_value=make_price('200.50'),
max_open_value=200)
self.session = Session(gateway=gateway,
instrument=instrument,
limits=limits)
self.session.add_event_handler(self)
async def on_signal(self, action, update):
if not self._enabled:
return
await self._trader.cancel_all()
at_min_spread = self._at_min_spread()
book = update['book']
if action == 'BUY':
if self._pnl_manager.get_cash_value() <= Decimal(1.00):
return
cash = Decimal(self._pnl_manager.get_cash_value())
if at_min_spread:
price = make_price(float(book['asks'][0]['price']))
qty = Decimal(round(cash / price, 8))
else:
price = make_price(float(book['asks'][0]['price']) - 0.01)
qty = Decimal(round(cash / price, 8))
await self._jarvis.persistent_submit(side=Side.BID,
price=price,
qty=make_qty(qty),
ioc=False,
quote=True)
else:
if self._pnl_manager.get_crypto_value(book) <= Decimal(0.01):
return
qty = Decimal(round(self._pnl_manager.crypto_coins, 8))
if at_min_spread:
price = make_price(float(book['bids'][0]['price']))
else:
price = make_price(float(book['bids'][0]['price']) + 0.01)
await self._jarvis.persistent_submit(side=Side.ASK,
price=price,
qty=make_qty(Decimal(qty)),
ioc=False,
quote=True)
# Notify dashboard listeners
await self._broadcast_state("Flipped Signal")
def __init__(self, gateway, instrument):
limits = LimitChecker(max_order_qty=make_qty('100'),
max_order_value=make_price('20000'),
max_open_value=20000)
self.session = Session(gateway=gateway,
instrument=instrument,
limits=limits)
self.session.add_event_handler(self)
self.orders = []
self._broadcast_cb = None
def on_resting_trade(self, price, qty, side):
# log.info("resting trade: {} {} {}".format(price, qty, side))
order = Order(None, None, side, make_price(price), qty, 0, qty)
# pretend it is like an on cancel
if side is Side.BID:
self._handler.update_reserves(price * qty, 0)
else:
self._handler.update_reserves(0, qty)
if self._handler is not None:
self._handler.on_fill(order, qty)
async def run(self):
await self.session.wait_ready()
order = await self.submit_order(side=Side.BUY,
price=make_price(300),
qty=make_qty('0.50'))
log.info('Submitted: order={}', order)
await asyncio.sleep(3)
ioc = await self.submit_ioc(side=Side.BUY,
price=make_price(1000),
qty=make_qty('0.02'))
log.info('Submitted IOC: order={}', ioc)
await asyncio.sleep(3)
try:
if order is not None:
await order.cancel()
except oe_exceptions.CancelNack as cnack:
log.error('{}: {}', cnack.order, cnack)
await self.check_balance()
def main(args):
loop = asyncio.get_event_loop()
strategy_harness = StrategyHarness(loop)
params = {
'api_url': gdax.OrderEntryGateway.SANDBOX_URL,
'api_key': args['<API_KEY>'],
'api_secret': args['<API_SECRET>'],
'passphrase': args['<PASSPHRASE>'],
'ip': args['<IP>'],
'port': args['<PORT>'],
'sandbox': False if (args['<SANDBOX>'] == "False") else True,
'instrument': args['<INSTRUMENT>']
}
log.info('Starting Aesop Strategy for {} in {} mode', params['instrument'],
'SANDBOX' if params['sandbox'] else 'PRODUCTION')
# TODO: Set up limits through configuration
StrategyConfig['limits'] = {}
StrategyConfig['limits']['max_order_qty'] = make_qty('3')
StrategyConfig['limits']['max_order_value'] = make_price('1000')
StrategyConfig['limits']['max_open_value'] = 1000
try:
loop.run_until_complete(strategy_harness.run(params))
except KeyboardInterrupt:
log.info('Keyboard Interrupt - Shutting down Aesop Strategy')
# Cancel all running tasks
for t in asyncio.Task.all_tasks():
t.cancel()
loop.run_forever() # Wait for tasks to finish cleanup.
# Gather exceptions.
for t in asyncio.Task.all_tasks():
try:
t.exception()
except Exception:
log.exception('Exception during shutdown: {}', t)
finally:
loop.close()
def _slacked_price(self, price):
return round(make_price(price), 2)
def __init__(self, instrument):
self._instrument = instrument
self.open_long = make_qty(0)
self.open_short = make_qty(0)
self.base_amount = make_qty(0)
self.quote_amount = make_price(0)
def __init__(self, level_side):
self._price = make_price(level_side['price'])
self._qty = make_qty(level_side['qty'])
