def collect_order_book():
gdax_order_book = gdax_client.get_order_book(ticker='eth', level=2)
gob_model = OrderBookModel.build(gdax_order_book)
gob_model.db_save(es)
cex_order_book = cex_client.get_order_book(ticker='eth', level=2)
cob_model = OrderBookModel.build(cex_order_book)
cob_model.db_save(es)
timestamp = gob_model.js['timestamp__long']
logger.info("saved data: {0}, {1}".format(str(timestamp),
epoch.to_str(timestamp)))
def get_order_book_data(self):
try:
gdax_order_book = self.gdax_public_client.get_product_order_book('ETH-USD', 2)
gob_model = OrderBookModel.build(gdax_order_book)
gob_model.db_save(es)
cex_order_book = self.cex_public_client.get_product_order_book('ETH-USD')
cob_model = OrderBookModel.build(cex_order_book)
cob_model.db_save(es)
logger.info("saved data: gdx:{0} | cex:{1}".format(gob_model.uid, cob_model.uid))
except Exception:
sentry_client.captureException()
tb = traceback.format_exc()
logger.error(tb)
def test__009(self):
"""
compute_sell
"""
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"bids": [
{
"price__num": 316.17,
"size__num": 45.39426145,
"num_orders__int": 1.0
},
{
"price__num": 316.01,
"size__num": 0.03269,
"num_orders__int": 1.0
},
{
"price__num": 316.0,
"size__num": 22.6947,
"num_orders__int": 6.0
}
]
}
ob = OrderBookModel.parse(ob_js)
shares = 50.0
usd = helpers.compute_sell(shares, ob)
direct_calculation = 316.17 * 45.39426145 + 316.01 * 0.03269 + 316.0 * (shares - 45.39426145 - 0.03269)
assert usd == direct_calculation
def test__0011(self):
"""
compute_buy
"""
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"asks": [
{
"price__num": 316.19,
"size__num": 3.0,
"num_orders__int": 1.0
},
{
"price__num": 316.2,
"size__num": 8.8439152,
"num_orders__int": 1.0
},
{
"price__num": 316.25,
"size__num": 7.45,
"num_orders__int": 2.0
}
]
}
ob = OrderBookModel.parse(ob_js)
amount = 3000
shares = helpers.compute_buy(amount, ob)
direct_calculation = 3.0 + (amount - 316.19*3)/316.2
assert shares == direct_calculation
def test__01(self):
"""
buy stopping price
"""
ob_js = {
"uid":
"71e689f5d4884dddb17f3f3b660b40f1",
"created__long":
1503543603464,
"modified__long":
1503543603468,
"exchange":
"gdax",
"product":
"eth-usd",
"asks": [{
"price__num": 316.19,
"size__num": 3.0,
"num_orders__int": 1.0
}, {
"price__num": 316.2,
"size__num": 8.8439152,
"num_orders__int": 1.0
}, {
"price__num": 316.25,
"size__num": 7.45,
"num_orders__int": 2.0
}]
}
ob = OrderBookModel.parse(ob_js)
shares = 11
stopping_price = helpers.compute_buy_stopping_price(shares, ob)
direct_calculation = 316.2
assert stopping_price == direct_calculation
def test__02(self):
"""
sell stopping price
"""
ob_js = {
"uid":
"71e689f5d4884dddb17f3f3b660b40f1",
"created__long":
1503543603464,
"modified__long":
1503543603468,
"exchange":
"gdax",
"product":
"eth-usd",
"bids": [{
"price__num": 316.17,
"size__num": 2.39426145,
"num_orders__int": 1.0
}, {
"price__num": 316.01,
"size__num": 0.03269,
"num_orders__int": 1.0
}, {
"price__num": 316.0,
"size__num": 22.6947,
"num_orders__int": 6.0
}]
}
ob = OrderBookModel.parse(ob_js)
shares = 10
stopping_price = helpers.compute_sell_stopping_price(shares, ob)
direct_calculation = 316.0
assert stopping_price == direct_calculation
def get_order_book(self, product_id=None, ticker=None, timestamp=-1):
"""
Search from timstamp, and work backward until one is found.
:return: OrderbookModel
"""
if timestamp == -1:
timestamp = epoch.current_milli_time()
search_window = 11000 # 11 seconds
search_window = 15 * 60000 # 15 minutes
search_window = 1000 * 60000 # 1000 minutes
(t0, t1) = timestamp - search_window, timestamp + 500
query = {
"size": 1,
"sort": [
{
"timestamp__long": {
"order": "desc"
}
}
],
"query": {
"bool": {
"must": [
{
"range": {
"timestamp__long": {
"gte": t0,
"lte": t1
}
}
},
{
"match": {
"exchange.raw": self.exh
}
},
{
"match": {
"product.raw": 'eth-usd'
}
}
]
}
}
}
params = default_es_get_params()
result = es.search("order_book", "data", query, params=params)
# validation
if result['hits']['total'] == 0:
logger.info(pretty_json(query))
logger.info(timestamp)
logger.info(epoch.to_str(timestamp))
raise RuntimeError('Cannot find orderbook in backtesting')
ob_js = result['hits']['hits'][0]['_source']
ob = OrderBookModel.build(ob_js)
return ob
def test__db_save__and_db_get(self):
js = {
"product": "usdeth",
"exchange": "gdax",
}
ob = OrderBookModel.build(js)
uid = ob.uid
# saving data
ob.db_save(es)
# get data
js = ob.db_get(es, uid)
ob2 = OrderBookModel.parse(js)
assert ob == ob2
def test__007(self):
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"asks": [
{
"price__num": 316.19,
"size__num": 25.86,
"num_orders__int": 1.0
},
{
"price__num": 316.2,
"size__num": 8.8439152,
"num_orders__int": 1.0
},
{
"price__num": 316.25,
"size__num": 7.45,
"num_orders__int": 2.0
}
]
}
ob = OrderBookModel.parse(ob_js)
shares = 40.0
usd = helpers.compute_usd_spent(shares, ob)
direct_calculation = 316.19 * 25.86 + 316.2 * 8.8439152 + 316.25 * (shares - 25.86 - 8.8439152)
assert usd == direct_calculation
def test__compute_money_made__01(self):
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"timestamp__long": 1503543603463,
"sequence__long": 1036028392,
"bids": [
{
"price__num": 316.17,
"size__num": 2.39426145,
"num_orders__int": 1.0
},
{
"price__num": 316.01,
"size__num": 0.03269,
"num_orders__int": 1.0
},
{
"price__num": 316.0,
"size__num": 22.6947,
"num_orders__int": 6.0
}
],
}
ob = OrderBookModel.parse(ob_js)
shares = 20
usd = helpers.compute_usd_made(shares, ob)
direct_calculation = 316.17*2.39426145 + 316.01*0.03269 + 316.0 * (shares - 2.39426145- 0.03269)
assert usd == direct_calculation
def get_order_book(self, product_id=None, ticker=None, timestamp=-1):
if timestamp != -1:
raise RuntimeError('should always be -1')
exh_client = self._get_exh_client()
ob_js = exh_client.get_order_book(product_id=product_id, ticker=ticker, level=2)
ob = OrderBookModel.build(ob_js)
return ob
def test__parse_order_book_model_should_pass__001(self):
js = {
"uid": "5cdf981ca55344fc84f390faa10dbafb",
"key1__bool": False,
"key2__long": 343,
"product": "usdeth",
"exchange": "gdax",
}
ob = OrderBookModel.parse(js)
def test__build_order_book_model__001(self):
js1 = {
"uid": "5cdf981ca55344fc84f390faa10dbafb",
"key1__bool": False,
"key2__long": 343,
"key3": "buy",
"exchange": "gdax",
"product": "sdfds"
}
uid = js1['uid']
ob = OrderBookModel.build(js1)
assert ob.js['uid'] == uid
def test__computing_sell_eth_value__014(self):
"""
computing sell value of some number of shares
"""
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"bids": [
{
"price__num": 316.17,
"size__num": 2.39426145,
"num_orders__int": 1.0
},
{
"price__num": 316.01,
"size__num": 0.03269,
"num_orders__int": 1.0
},
{
"price__num": 316.0,
"size__num": 22.6947,
"num_orders__int": 6.0
}
],
"asks": [
{
"price__num": 316.19,
"size__num": 3.0,
"num_orders__int": 1.0
},
{
"price__num": 316.2,
"size__num": 8.8439152,
"num_orders__int": 1.0
},
{
"price__num": 316.25,
"size__num": 7.45,
"num_orders__int": 2.0
}
]
}
ob = OrderBookModel.parse(ob_js)
shares = 3.0
shares_value = helpers.compute_sell_value(shares, ob)
direct_cal = 2.39426145 * 316.17 + 0.03269 * 316.01 + (3 - 2.39426145 - 0.03269) * 316.0
assert shares_value == direct_cal
def test__build_order_book_model__002(self):
js = {
"key1__bool": False,
"key2__long": 343,
# "product": "usdeth",
"exchange": "gdax",
"key3": "buy"
}
got_error = False
try:
ob = OrderBookModel.build(js)
except ModelKeyValueException as e:
got_error = True
assert got_error
def test__parse_order_book_model_should_fail__001(self):
"""
should fail due to missing key
"""
js = {
# "uid": "5cdf981ca55344fc84f390faa10dbafb",
"key1__bool": False,
"key2__long": 343,
"product": "usdeth",
"exchange": "gdax",
}
got_error = False
try:
ob = OrderBookModel.parse(js)
except ModelKeyValueException as e:
got_error = True
assert got_error
def test__03(self):
"""
sell stopping price
"""
ob_js = {
"uid":
"71e689f5d4884dddb17f3f3b660b40f1",
"created__long":
1503543603464,
"modified__long":
1503543603468,
"exchange":
"gdax",
"product":
"eth-usd",
"bids": [{
"price__num": 316.17,
"size__num": 2.39426145,
"num_orders__int": 1.0
}, {
"price__num": 316.01,
"size__num": 0.03269,
"num_orders__int": 1.0
}, {
"price__num": 316.0,
"size__num": 22.6947,
"num_orders__int": 6.0
}]
}
ob = OrderBookModel.parse(ob_js)
shares = 10
stopping_price = helpers.compute_sell_stopping_price(shares, ob)
logger.info(stopping_price * 0.999)
lowerbound = helpers.compute_sell_lowerbound(shares, ob)
logger.info(ob)
logger.info(stopping_price)
logger.info(lowerbound)