def init_engine_and_indicators(self):
self.initializing = True
try:
self.cbpro_websocket.close()
except:
pass
# Periods to update indicators for
self.indicator_period_list = []
# Periods to actively trade on (typically 1 per product)
self.trade_period_list = {}
# List of products that we are actually monitoring
self.product_list = set()
fiat_currency = self.config['fiat']
if self.config['sandbox']:
api_url = "https://api-public.sandbox.pro.coinbase.com"
else:
api_url = "https://api.pro.coinbase.com"
auth_client = cbpro.AuthenticatedClient(self.config['key'],
self.config['secret'],
self.config['passphrase'],
api_url=api_url)
for cur_period in self.config['periods']:
self.logger.debug("INITIALIZING %s", cur_period['name'])
if cur_period.get('meta'):
new_period = period.MetaPeriod(
period_size=(60 * cur_period['length']),
fiat=fiat_currency,
product=cur_period['product'],
name=cur_period['name'],
cbpro_client=auth_client)
else:
new_period = period.Period(period_size=(60 *
cur_period['length']),
product=cur_period['product'],
name=cur_period['name'],
cbpro_client=auth_client)
self.indicator_period_list.append(new_period)
self.product_list.add(cur_period['product'])
if cur_period['trade']:
if self.trade_period_list.get(cur_period['product']) is None:
self.trade_period_list[cur_period['product']] = []
self.trade_period_list[cur_period['product']].append(
new_period)
max_slippage = Decimal(str(self.config['max_slippage']))
self.trade_engine = engine.TradeEngine(auth_client,
product_list=self.product_list,
fiat=fiat_currency,
is_live=self.config['live'],
max_slippage=max_slippage)
self.cbpro_websocket = engine.TradeAndHeartbeatWebsocket(
fiat=fiat_currency, sandbox=self.config['sandbox'])
self.cbpro_websocket.start()
self.indicator_period_list[0].verbose_heartbeat = True
self.indicator_subsys = indicators.IndicatorSubsystem(
self.indicator_period_list)
self.last_indicator_update = time.time()
self.init_interface()
self.initializing = False
new_period = period.Period(period_size=(60 * cur_period['length']),
product=cur_period['product'], name=cur_period['name'])
indicator_period_list.append(new_period)
product_list.add(cur_period['product'])
if cur_period['trade']:
if trade_period_list.get(cur_period['product']) is None:
trade_period_list[cur_period['product']] = []
trade_period_list[cur_period['product']].append(new_period)
auth_client = gdax.AuthenticatedClient(config['key'], config['secret'], config['passphrase'])
max_slippage = Decimal(str(config['max_slippage']))
trade_engine = engine.TradeEngine(auth_client, product_list=product_list, fiat=fiat_currency, is_live=config['live'], max_slippage=max_slippage)
gdax_websocket = TradeAndHeartbeatWebsocket(fiat=fiat_currency)
gdax_websocket.start()
indicator_period_list[0].verbose_heartbeat = True
indicator_subsys = indicators.IndicatorSubsystem(indicator_period_list)
last_indicator_update = time.time()
if config['frontend'] == 'curses':
curses_enable = True
else:
curses_enable = False
interface = curses_interface.cursesDisplay(enable=curses_enable)
while(True):
try:
if gdax_websocket.error:
raise gdax_websocket.error
msg = gdax_websocket.websocket_queue.get(timeout=15)
for product in trade_engine.products:
product.order_book.process_message(msg)
if msg.get('type') == "match":
def __init__(self):
config_path = os.getenv("CBPRO_CONFIG", "/opt/project/config.yml")
with open(config_path, 'r') as ymlfile:
config = yaml.safe_load(ymlfile)
self.logger = logging.getLogger('trader-logger')
self.logger.setLevel(logging.DEBUG)
if config['logging']:
self.logger.addHandler(logging.StreamHandler())
if config['frontend'] == 'debug':
self.logger.addHandler(logging.StreamHandler())
self.error_logger = logging.getLogger('error-logger')
self.error_logger.addHandler(logging.StreamHandler())
# Periods to update indicators for
self.indicator_period_list = []
# Periods to actively trade on (typically 1 per product)
self.trade_period_list = {}
# List of products that we are actually monitoring
self.product_list = set()
fiat_currency = config['fiat']
if config['sandbox']:
api_url = "https://api-public.sandbox.pro.coinbase.com"
else:
api_url = "https://api.pro.coinbase.com"
auth_client = cbpro.AuthenticatedClient(config['key'], config['secret'], config['passphrase'], api_url=api_url)
for curr_period in config['periods']:
if curr_period.get('meta'):
new_period = period.MetaPeriod(period_size=(60 * curr_period['length']), fiat=fiat_currency,
product=curr_period['product'], name=curr_period['name'], cbpro_client=auth_client)
else:
new_period = period.Period(period_size=(60 * curr_period['length']),
product=curr_period['product'], name=curr_period['name'], cbpro_client=auth_client)
self.indicator_period_list.append(new_period)
self.product_list.add(curr_period['product'])
if curr_period['trade']:
if self.trade_period_list.get(curr_period['product']) is None:
self.trade_period_list[curr_period['product']] = []
self.trade_period_list[curr_period['product']].append(new_period)
max_slippage = Decimal(str(config['max_slippage']))
self.trade_engine = engine.TradeEngine(auth_client, product_list=self.product_list, fiat=fiat_currency, is_live=config['live'], max_slippage=max_slippage)
self.cbpro_websocket = engine.TradeAndHeartbeatWebsocket(fiat=fiat_currency, sandbox=config['sandbox'])
self.cbpro_websocket.start()
self.indicator_period_list[0].verbose_heartbeat = True
self.indicator_subsys = indicators.IndicatorSubsystem(self.indicator_period_list)
self.last_indicator_update = time.time()
if config['frontend'] == 'curses':
curses_enable = True
else:
curses_enable = False
self.interface = interface.cursesDisplay(enable=curses_enable)
if config['frontend'] == 'web':
web_interface = interface.web(self.indicator_subsys, self.trade_engine)
server_thread = threading.Thread(target=web_interface.start, daemon=True)
server_thread.start()
def main(config):
logger = logging.getLogger('trader-logger')
logger.setLevel(logging.DEBUG)
if config['logging']:
logger.addHandler(logging.FileHandler("debug.log"))
if config['frontend'] == 'debug':
logger.addHandler(logging.StreamHandler())
error_logger = logging.getLogger('error-logger')
error_logger.addHandler(logging.FileHandler("error.log"))
# Periods to update indicators for
indicator_period_list = []
# Periods to actively trade on (typically 1 per product)
trade_period_list = {}
# List of products that we are actually monitoring
product_list = set()
fiat_currency = config['fiat']
for cur_period in config['periods']:
if cur_period.get('meta'):
new_period = period.MetaPeriod(period_size=(60 *
cur_period['length']),
fiat=fiat_currency,
product=cur_period['product'],
name=cur_period['name'])
else:
new_period = period.Period(period_size=(60 * cur_period['length']),
product=cur_period['product'],
name=cur_period['name'])
indicator_period_list.append(new_period)
product_list.add(cur_period['product'])
if cur_period['trade']:
if trade_period_list.get(cur_period['product']) is None:
trade_period_list[cur_period['product']] = []
trade_period_list[cur_period['product']].append(new_period)
auth_client = gdax.AuthenticatedClient(config['key'], config['secret'],
config['passphrase'])
max_slippage = Decimal(str(config['max_slippage']))
trade_engine = engine.TradeEngine(auth_client,
product_list=product_list,
fiat=fiat_currency,
is_live=config['live'],
max_slippage=max_slippage)
gdax_websocket = TradeAndHeartbeatWebsocket(fiat=fiat_currency)
gdax_websocket.start()
indicator_period_list[0].verbose_heartbeat = True
indicator_subsys = indicators.IndicatorSubsystem(indicator_period_list)
last_indicator_update = time.time()
if config['frontend'] == 'curses':
interface = interfaces.cursesDisplay(enable=True)
elif config['frontend'] == 'flask':
interface = interfaces.flaskInterface(enable=True)
else:
interface = interfaces.cursesDisplay(enable=False)
while (True):
try:
msg = gdax_websocket.websocket_queue.get(timeout=15)
for product in trade_engine.products:
product.order_book.process_message(msg)
if msg.get('type') == "match":
for cur_period in indicator_period_list:
cur_period.process_trade(msg)
if time.time() - last_indicator_update >= 1.0:
for cur_period in indicator_period_list:
indicator_subsys.recalculate_indicators(cur_period)
for product_id, period_list in trade_period_list.items():
trade_engine.determine_trades(
product_id, period_list,
indicator_subsys.current_indicators)
last_indicator_update = time.time()
elif msg.get('type') == "heartbeat":
for cur_period in indicator_period_list:
cur_period.process_heartbeat(msg)
for product_id, period_list in trade_period_list.items():
if len(indicator_subsys.current_indicators[
cur_period.name]) > 0:
trade_engine.determine_trades(
product_id, period_list,
indicator_subsys.current_indicators)
trade_engine.print_amounts()
interface.update(trade_engine, indicator_subsys.current_indicators,
indicator_period_list, msg)
except KeyboardInterrupt:
trade_engine.close(exit=True)
gdax_websocket.close()
interface.close()
break
except Exception as e:
error_logger.exception(datetime.datetime.now())
trade_engine.close()
gdax_websocket.close()
# Period data cannot be trusted. Re-initialize
for cur_period in indicator_period_list:
cur_period.initialize()
time.sleep(10)
gdax_websocket.start()