def getNormalizedEstimatedPrice(market_trend, time_x=datetime.utcnow()):
timeX = (toCryptsyServerTime(time_x) - epoch).total_seconds()
estimatedPrice = estimateValue(timeX,
market_trend.m, market_trend.n,
market_trend.minX, market_trend.scalingFactorX,
market_trend.minY, market_trend.scalingFactorY)
normalizedEstimatedPrice = float(estimatedPrice) / 100000000
return normalizedEstimatedPrice
def plot_diagram(market_name, market_id):
interval = timedelta(days=1, hours=4)
cryptsy_mongo = CryptsyMongo(host="192.168.1.33")
timeStart = datetime.utcnow() - interval
cryptoCurrencyDataSamples = cryptsy_mongo.markets_collection.find(
{"name": market_name, "lasttradetime": {"$gt": timeStart.strftime("%Y-%m-%d %H:%M:%S")}})
tradeData = [(cryptoCurrencySample['lasttradetime'], cryptoCurrencySample['lasttradeprice']) for
cryptoCurrencySample in cryptoCurrencyDataSamples]
uniqueTradeData = list(set(tradeData))
uniqueTradeData = sorted(uniqueTradeData, key=(lambda x: x[0]))
times = [(datetime.strptime(tradeDataSample[0], '%Y-%m-%d %H:%M:%S') - epoch).total_seconds()
for tradeDataSample in uniqueTradeData]
prices = [float(tradeDataSample[1]) for tradeDataSample in uniqueTradeData]
trades = cryptsy_mongo.trades_collection.find(
{"marketid": str(market_id), "datetime": {"$gt": timeStart.strftime("%Y-%m-%d %H:%M:%S")}})
trade_samples = []
for trade in trades:
trade_samples.append(((datetime.strptime(trade['datetime'], '%Y-%m-%d %H:%M:%S') - epoch).total_seconds(),
float(trade['tradeprice']), trade['tradetype']))
buy_trade_times = [trade_sample[0] for trade_sample in trade_samples if trade_sample[2] == 'Buy']
buy_trade_price = [trade_sample[1] for trade_sample in trade_samples if trade_sample[2] == 'Buy']
sell_trade_times = [trade_sample[0] for trade_sample in trade_samples if trade_sample[2] == 'Sell']
sell_trade_price = [trade_sample[1] for trade_sample in trade_samples if trade_sample[2] == 'Sell']
times_x = []
prices_y = []
market_trend = cryptsy_mongo.calculateMarketTrend(market_name, market_id)
for hour in range(0, 24):
time_x = datetime.utcnow() - timedelta(hours=hour)
price_y = getNormalizedEstimatedPrice(market_trend, time_x)
times_x.append((toCryptsyServerTime(time_x) - epoch).total_seconds())
prices_y.append(price_y)
plt.plot(times, prices)
plt.plot(buy_trade_times, buy_trade_price, 'ro')
plt.plot(sell_trade_times, sell_trade_price, 'go')
plt.plot(times_x, prices_y, 'ko')
plt.savefig("{}.png".format("{}-{}".format(market_name.replace('/', '-'), market_id)), format='png')
plt.close()
def test_toCryptsyServerTime(self):
now = datetime.now()
cryptsy_time = toCryptsyServerTime(now)
self.assertEqual(cryptsy_time, now - timedelta(hours=CRYPTSY_HOURS_DIFFERENCE))
def investBTC(btcBalance, active_markets, markets):
market_names = [market for market in markets]
btcMarketNames = filter(lambda x: 'BTC' in x and 'Points' not in x, market_names)
logger.debug("activeMarkets: {}".format(active_markets))
inactive_btc_markets = filter(lambda x: int(markets[x]) not in active_markets, btcMarketNames)
logger.debug("inactive_btc_markets: {}".format(
[int(markets[inactive_btc_market]) for inactive_btc_market in inactive_btc_markets]))
market_trends, marketIds = getMarketTrends(inactive_btc_markets, markets)
sorted_market_trends = sorted(market_trends, key=lambda x: abs(0.0 - x.m))
sorted_market_trend_ids = [x.marketId for x in sorted_market_trends]
logger.info("sorted_market_trend_ids: {}".format(sorted_market_trend_ids))
avg_filtered_market_trends = filter(lambda x: x.m != 0.0 and x.m >= -0.1 and x.avg >= 0.000001,
sorted_market_trends)
avg_filtered_market_trends_ids = [x.marketId for x in avg_filtered_market_trends]
logger.debug("avg_filtered_market_trends_ids: {}".format(avg_filtered_market_trends_ids))
# sorted_market_trends_to_bet_on = filter(lambda x: x.std > (x.avg * FEE + x.avg * DESIRED_EARNING),
# avg_filtered_market_trends)
# sorted_market_trends_to_bet_on = filter(lambda x: x.std > 2 * (x.avg * FEE), avg_filtered_market_trends)
sorted_market_trends_to_bet_on = avg_filtered_market_trends
sorted_market_trends_to_bet_on_ids = [x.marketId for x in sorted_market_trends_to_bet_on]
logger.info("sorted_market_trends_to_bet_on_ids: {}".format(sorted_market_trends_to_bet_on_ids))
best_markets_last_3h = cryptsy_mongo.getBestPerformingMarketsFrom(
toCryptsyServerTime(datetime.utcnow() - timedelta(hours=3)))
logger.debug("best_markets_last_3h: {}".format(best_markets_last_3h))
worst_markets_last_30m = cryptsy_mongo.getWorstPerformingMarketsFrom(
toCryptsyServerTime(datetime.utcnow() - timedelta(minutes=30)))
logger.debug("worst_markets_last_30m: {}".format(worst_markets_last_30m))
worst_performing_markets = [int(market_id) for market_id in set(worst_markets_last_30m)]
logger.info("worst_performing_markets: {}".format(worst_performing_markets))
best_performing_markets = [int(market) for market in best_markets_last_3h if
int(market) not in worst_performing_markets]
logger.info("best_performing_markets: {}".format(best_performing_markets))
logger.info("marketIds: {}".format(marketIds))
logger.info("userMarketIds: {}".format(userMarketIds))
suggested_market_ids = filter(lambda x: x in marketIds, userMarketIds) + filter(lambda x: x in marketIds,
best_performing_markets)
suggested_market_trends = []
for market_id in suggested_market_ids:
for market_trend in market_trends:
if int(market_trend.marketId) == market_id:
suggested_market_trends.append(market_trend)
other_sorted_market_trends = filter(
lambda x: int(x.marketId) not in suggested_market_ids and int(x.marketId) not in worst_performing_markets,
sorted_market_trends_to_bet_on)
marketTrendsToInvestOn = suggested_market_trends + other_sorted_market_trends
market_multipliers = cryptsy_mongo.getMarketsMultipliers()
logger.info("Buy - Markets Multiplier: {}".format(market_multipliers))
for market_trend in marketTrendsToInvestOn:
if btcBalance < MINIMUM_AMOUNT_TO_INVEST:
break
market_multiplier = market_multipliers[
market_trend.marketId] if market_trend.marketId in market_multipliers else 0
# logger.info(
# "Buy - {}({}) multiplier: {}".format(market_trend.marketName, market_trend.marketId, market_multiplier))
if int(market_trend.marketId) in userMarketIds:
desiredAmountToInvest = TEST_STAKE
elif market_multiplier > 0:
desiredAmountToInvest = BASE_STAKE * market_multiplier
elif market_multiplier == 0:
desiredAmountToInvest = TEST_STAKE
elif market_multiplier < 0:
desiredAmountToInvest = TEST_STAKE
else:
desiredAmountToInvest = TEST_STAKE
amountToInvest = min(desiredAmountToInvest, btcBalance)
one_hour_trend = getMarketTrendFor(market_trend.marketName, market_trend.marketId, 1)
two_hours_trend = getMarketTrendFor(market_trend.marketName, market_trend.marketId, 2)
three_hours_trend = getMarketTrendFor(market_trend.marketName, market_trend.marketId, 3)
if three_hours_trend.m == 0.0 or three_hours_trend.m < 0.0 or three_hours_trend.num_samples < 25:
logger.info(
"Buy - REJECTED - {}({}) has m: {} and number samples: {}".format(three_hours_trend.marketName,
three_hours_trend.marketId,
three_hours_trend.m,
three_hours_trend.num_samples))
continue
elif two_hours_trend.m > one_hour_trend.m < 0.3:
logger.info(
"Buy - REJECTED - {}({}) has 3h-2h-1h: {}, {}, {} ".format(three_hours_trend.marketName,
three_hours_trend.marketId,
three_hours_trend.m,
two_hours_trend.m,
one_hour_trend.m))
continue
buyPrice = getBuyPrice(three_hours_trend)
quantity = calculateQuantity(amountToInvest, FEE, buyPrice)
if buyPrice <= 0.0 or quantity <= 0.0:
logger.info(
"Buy - REJECTED - {}({}) quantity: {} price: {}.".format(market_trend.marketName, market_trend.marketId,
quantity,
toEightDigit(buyPrice)))
continue
logger.info(
"Buy - PLACING - {}({}) quantity: {}, price: {}".format(three_hours_trend.marketName,
three_hours_trend.marketId,
quantity,
toEightDigit(buyPrice)))
responseBody, apiCallSucceded = cryptsyClient.placeBuyOrder(market_trend.marketId, quantity, buyPrice)
if apiCallSucceded:
btcBalance -= amountToInvest
def main(argv):
global public
global private
getEnv(argv)
global cryptsy_client
cryptsy_client = CryptsyPy(public, private)
# cryptsy_mongo = CryptsyMongo(host="192.168.1.33")
cryptsy_mongo = CryptsyMongo()
recent_market_trends = cryptsy_mongo.getRecentMarketTrends()
recent_trades = cryptsy_client.getRecentTrades()
if recent_trades is not None:
cryptsy_mongo.persistTrades(recent_trades)
if hours is not None:
start_time = toCryptsyServerTime(datetime.utcnow() - timedelta(hours=int(hours)))
else:
now = datetime.utcnow()
start_time = toCryptsyServerTime(datetime(now.year, now.month, now.day))
total_buy_best = 0.0
total_sell_best = 0.0
total_fee_best = 0.0
print "Best markets:"
mongotradeStats = cryptsy_mongo.getAllTradesFrom(start_time)
filteredTradeStats = filter(
lambda x: mongotradeStats[x]['Sell'] >= mongotradeStats[x]['Fee'] + mongotradeStats[x]['Buy'],
mongotradeStats)
sortedTradeStats = sorted(filteredTradeStats,
key=lambda x: mongotradeStats[x]['Sell'] - mongotradeStats[x]['Buy'] - mongotradeStats[x][
'Fee'],
reverse=True)
for tradeStat in sortedTradeStats:
sell = float(mongotradeStats[tradeStat]['Sell'])
buy = float(mongotradeStats[tradeStat]['Buy'])
fee = float(mongotradeStats[tradeStat]['Fee'])
total_buy_best += buy
total_sell_best += sell
total_fee_best += fee
std = next((toEightDigit(market_trend.std) for market_trend in recent_market_trends if
int(market_trend.marketId) == int(tradeStat)), None)
print "MarketId: {}, Std:{}, Sell: {}, Buy: {}, Earn: {}".format(tradeStat, std,
toEightDigit(sell), toEightDigit(buy),
toEightDigit(sell - buy - fee))
print "Best markets total: buy: {}, sell: {}, fee:{} - earnings: {}".format(total_buy_best, total_sell_best,
total_fee_best,
total_sell_best - total_buy_best - total_fee_best)
total_buy_worst = 0.0
total_sell_worst = 0.0
total_fee_worst = 0.0
print "Worst markets:"
mongotradeStats = cryptsy_mongo.getAllTradesFrom(start_time)
filteredTradeStats = filter(
lambda x: 0 < mongotradeStats[x]['Sell'] < mongotradeStats[x]['Fee'] + mongotradeStats[x]['Buy'],
mongotradeStats)
sortedTradeStats = sorted(filteredTradeStats,
key=lambda x: mongotradeStats[x]['Sell'] - mongotradeStats[x]['Buy'] - mongotradeStats[x][
'Fee'])
for tradeStat in sortedTradeStats:
sell = float(mongotradeStats[tradeStat]['Sell'])
buy = float(mongotradeStats[tradeStat]['Buy'])
fee = float(mongotradeStats[tradeStat]['Fee'])
total_buy_worst += buy
total_sell_worst += sell
total_fee_worst += fee
std = next((toEightDigit(market_trend.std) for market_trend in recent_market_trends if
int(market_trend.marketId) == int(tradeStat)), None)
print "MarketId: {}, Std:{}, Sell: {}, Buy: {}, Earn: {}".format(tradeStat, std,
toEightDigit(sell), toEightDigit(buy),
toEightDigit(sell - buy - fee))
print "Worst markets total: buy: {}, sell: {}, fee:{} - earnings: {}".format(total_buy_worst, total_sell_worst,
total_fee_worst,
total_sell_worst - total_buy_worst - total_fee_worst)
print "Total stats: total earning: {}".format(
(total_sell_best + total_sell_worst) - (total_buy_best + total_buy_worst + total_fee_best + total_fee_worst))