def config_test():
sql = "select * from entry"
repository.read_sql(database=DATABASE, sql=sql)
api = pybitflyer.API(api_key=Bitflyer.Api.value.KEY.value,
api_secret=Bitflyer.Api.value.SECRET.value)
balance = api.getbalance()
if "error_message" in balance:
raise ConfigException()
def initialize():
sql = "select * from ticker"
ticker = repository.read_sql(database=database, sql=sql)
if ticker.empty:
message.info("initialize ticker")
sql = "insert into ticker values (now(),0,0)"
repository.execute(database=database, sql=sql, write=False)
def __ticker(self):
while True:
try:
sql = "select * from ticker"
ticker = repository.read_sql(database=self.DATABASE, sql=sql)
if not ticker.empty:
best_ask = ticker.at[0, "best_ask"]
best_bid = ticker.at[0, "best_bid"]
return {"best_ask": best_ask, "best_bid": best_bid}
except Exception:
message.error(traceback.format_exc())
def get_historical_price(self, limit):
sql = """
select
cast(Time as datetime) as Date,
Open,
High,
Low,
Close
from
(
select
date_format(
cast(op.date as datetime),
'%Y-%m-%d %H:%i:00'
) as Time,
op.price as Open,
ba.High as High,
ba.Low as Low,
cl.price as Close
from
(
select
max(price) as High,
min(price) as Low,
min(id) as open_id,
max(id) as close_id
from
execution_history
group by
year(date),
month(date),
day(date),
hour(date),
minute(date)
order by
max(date) desc
limit
{limit}
) ba
inner join execution_history op on op.id = ba.open_id
inner join execution_history cl on cl.id = ba.close_id
) as ohlc
order by
Time
""".format(limit=limit)
historical_price = repository.read_sql(database=self.DATABASE, sql=sql)
first_Date = historical_price.loc[0]["Date"]
sql = "delete from execution_history where date < '{first_Date}'"\
.format(first_Date=first_Date)
repository.execute(database=self.DATABASE, sql=sql, write=False)
return historical_price
def __has_changed_side(self, side):
try:
sql = "select * from entry"
entry = \
repository.read_sql(database=self.DATABASE, sql=sql)
if entry.empty:
message.warning("entry empty")
return True
latest_side = entry.at[0, "side"]
if latest_side != side:
message.warning("change side from", side, "to", latest_side)
return True
else:
return False
except Exception:
message.error(traceback.format_exc())
import matplotlib.pyplot as plt
from lib import math, repository
asset = 1000000
sql = """
select
*
from
backtest_entry
order by
date
"""
be = repository.read_sql(database="tradingbot", sql=sql)
start_time = be.loc[0]["date"]
finish_time = be.loc[len(be) - 1]["date"]
profits = []
for i in range(len(be)):
if i == 0:
continue
entry_position = be.iloc[i - 1]
close_position = be.iloc[i]
if entry_position["side"] == "BUY" and (close_position["side"] == "SELL" or
close_position["side"] == "CLOSE"):
amount = asset / entry_position["price"]
if has_changed_side(side=side):
return False
else:
time.sleep(1)
return True
bitflyer = bitflyer.API(api_key=Bitflyer.Api.value.KEY.value,
api_secret=Bitflyer.Api.value.SECRET.value)
DATABASE = "tradingbot"
latest_side = None
while True:
try:
sql = "select * from entry"
entry = repository.read_sql(database=DATABASE, sql=sql)
if entry.empty:
continue
side = entry.at[0, "side"]
except Exception:
message.error(traceback.format_exc())
continue
if latest_side is None \
or latest_side != side:
if side == "CLOSE":
bitflyer.close()
if retry_sleep(secs=120, side=side):
message.info("close retry")
bitflyer.close()
b2.Volume as v2,
b1.Date as bb1,
b2.Date as bb2,
b3.Date as bb3
from
bitflyer_btc_ohlc_1M b1
inner join
bitflyer_btc_ohlc_1M b2
on (b1.Date + interval 1 minute) = b2.Date
inner join
bitflyer_btc_ohlc_1M b3
on (b3.Date + interval {back_min} minute) = b2.Date
order by
Date
""".format(back_min=back_min)
be = repository.read_sql(database=database, sql=sql)
df = be["v1"]
sma = df.rolling(volume_ma).mean()[:volume_ma]
be["v1_ma"] = pd.concat([sma, df[volume_ma:]]).ewm(span=volume_ma,
adjust=False).mean()
df = be["v2"]
sma = df.rolling(volume_ma).mean()[:volume_ma]
be["v2_ma"] = pd.concat([sma, df[volume_ma:]]).ewm(span=volume_ma,
adjust=False).mean()
be["signal"] = np.where(be["v2_ma"] / be["v1_ma"] > diff_ratio, "signal", None)
be = be.drop(columns="v1_ma")
be = be.drop(columns="v2_ma")