def load_live_config(live_config_path: str) -> dict:
try:
live_config = json.load(open(live_config_path))
live_config = json.loads(
json.dumps(live_config).replace('secondary_grid_spacing',
'secondary_pprice_diff'))
assert all(k in live_config['long']
for k in get_template_live_config()['long'])
return numpyize(live_config)
except Exception as e:
raise Exception(f'failed to load live config {live_config_path} {e}')
def get_expanded_ranges(config: dict) -> dict:
updated_ranges = OrderedDict()
unpacked = unpack_config(get_template_live_config())
for k0 in unpacked:
if '£' in k0 or k0 in config['ranges']:
for k1 in config['ranges']:
if k1 in k0:
updated_ranges[k0] = config['ranges'][k1]
if 'pbr_limit' in k0:
updated_ranges[k0] = [
updated_ranges[k0][0],
min(updated_ranges[k0][1], config['max_leverage'])
]
return updated_ranges
def create_config(config: dict) -> dict:
updated_ranges = get_expanded_ranges(config)
template = get_template_live_config()
template['long']['enabled'] = config['do_long']
template['shrt']['enabled'] = config['do_shrt']
unpacked = unpack_config(template)
for k in updated_ranges:
side = 'long' if 'long' in k else ('shrt' if 'shrt' in k else '')
if updated_ranges[k][0] != updated_ranges[k][1] and (
not side or config[f'do_{side}']):
unpacked[k] = tune.uniform(updated_ranges[k][0],
updated_ranges[k][1])
else:
unpacked[k] = updated_ranges[k][0]
return {**config, **unpacked, **{'ranges': updated_ranges}}
async def main():
parser = argparse.ArgumentParser(prog='Optimize', description='Optimize passivbot config.')
parser = add_argparse_args(parser)
parser.add_argument('-t', '--start', type=str, required=False, dest='starting_configs',
default=None,
help='start with given live configs. single json file or dir with multiple json files')
args = parser.parse_args()
for config in await prep_config(args):
try:
template_live_config = get_template_live_config(config['n_spans'])
config = {**template_live_config, **config}
dl = Downloader(config)
data = await dl.get_sampled_ticks()
shm = shared_memory.SharedMemory(create=True, size=data.nbytes)
shdata = np.ndarray(data.shape, dtype=data.dtype, buffer=shm.buf)
shdata[:] = data
del data
config['n_days'] = (shdata[-1][0] - shdata[0][0]) / (1000 * 60 * 60 * 24)
config['optimize_dirpath'] = make_get_filepath(os.path.join(config['optimize_dirpath'],
ts_to_date(time())[:19].replace(':', ''), ''))
print()
for k in (keys := ['exchange', 'symbol', 'starting_balance', 'start_date', 'end_date', 'latency_simulation_ms',
'do_long', 'do_shrt', 'minimum_bankruptcy_distance', 'maximum_hrs_no_fills',
'maximum_hrs_no_fills_same_side', 'iters', 'n_particles', 'sliding_window_size',
'n_spans']):
if k in config:
print(f"{k: <{max(map(len, keys)) + 2}} {config[k]}")
print()
backtest_wrap = BacktestWrap(shdata, config)
post_processing = PostProcessing()
if config['starting_configs']:
starting_configs = get_starting_configs(config)
initial_positions = [backtest_wrap.config_to_xs(cfg) for cfg in starting_configs]
else:
initial_positions = []
pso_multiprocess(backtest_wrap.rf,
config['n_particles'],
backtest_wrap.bounds,
config['options']['c1'],
config['options']['c2'],
config['options']['w'],
n_cpus=config['num_cpus'],
iters=config['iters'],
initial_positions=initial_positions,
post_processing_func=post_processing.process)
finally:
async def main():
logging.basicConfig(
format="%(asctime)s %(levelname)-8s %(message)s",
level=logging.INFO,
datefmt="%Y-%m-%dT%H:%M:%S",
)
parser = argparse.ArgumentParser(
prog="auto profit transfer",
description=
"automatically transfer percentage of profits from futures wallet to spot wallet",
)
parser.add_argument("user",
type=str,
help="user/account_name defined in api-keys.json")
parser.add_argument(
"-p",
"--percentage",
type=float,
required=False,
default=0.5,
dest="percentage",
help="per uno, i.e. 0.02==2%. default=0.5",
)
args = parser.parse_args()
config = get_template_live_config()
config["user"] = args.user
config["symbol"] = "BTCUSDT" # dummy symbol
config["market_type"] = "futures"
bot = await create_binance_bot(config)
transfer_log_fpath = make_get_filepath(
os.path.join("logs",
f"automatic_profit_transfer_log_{config['user']}.json"))
try:
already_transferred_ids = set(json.load(open(transfer_log_fpath)))
logging.info(f"loaded already transferred IDs: {transfer_log_fpath}")
except:
already_transferred_ids = set()
logging.info(f"no previous transfers to load")
while True:
now = (await bot.public_get(bot.endpoints["time"]))["serverTime"]
try:
income = await bot.get_all_income(start_time=now -
1000 * 60 * 60 * 24)
except Exception as e:
logging.error(f"failed fetching income {e}")
traceback.print_exc()
income = []
income = [
e for e in income
if e["transaction_id"] not in already_transferred_ids
]
profit = sum([e["income"] for e in income])
to_transfer = round_dynamic(profit * args.percentage, 4)
if to_transfer > 0:
try:
transferred = await bot.private_post(
bot.endpoints["futures_transfer"],
{
"asset": "USDT",
"amount": to_transfer,
"type": 2
},
base_endpoint=bot.spot_base_endpoint,
)
logging.info(
f"income: {profit} transferred {to_transfer} USDT")
already_transferred_ids.update(
[e["transaction_id"] for e in income])
json.dump(list(already_transferred_ids),
open(transfer_log_fpath, "w"))
except Exception as e:
logging.error(f"failed transferring {e}")
traceback.print_exc()
else:
logging.info("nothing to transfer")
sleep(60 * 60)
async def main():
logging.basicConfig(format="", level=os.environ.get("LOGLEVEL", "INFO"))
parser = argparse.ArgumentParser(
prog="Optimize multi symbol",
description="Optimize passivbot config multi symbol")
parser.add_argument(
"-o",
"--optimize_config",
type=str,
required=False,
dest="optimize_config_path",
default="configs/optimize/harmony_search.hjson",
help="optimize config hjson file",
)
parser.add_argument(
"-t",
"--start",
type=str,
required=False,
dest="starting_configs",
default=None,
help=
"start with given live configs. single json file or dir with multiple json files",
)
parser.add_argument("-i",
"--iters",
type=int,
required=False,
dest="iters",
default=None,
help="n optimize iters")
parser.add_argument("-c",
"--n_cpus",
type=int,
required=False,
dest="n_cpus",
default=None,
help="n cpus")
parser.add_argument(
"-le",
"--long",
type=str,
required=False,
dest="long_enabled",
default=None,
help="long enabled: [y/n]",
)
parser.add_argument(
"-se",
"--short",
type=str,
required=False,
dest="short_enabled",
default=None,
help="short enabled: [y/n]",
)
parser.add_argument(
"-pm",
"--passivbot_mode",
"--passivbot-mode",
type=str,
required=False,
dest="passivbot_mode",
default=None,
help="passivbot mode options: [s/static_grid, r/recursive_grid]",
)
parser.add_argument(
"-sf",
"--score_formula",
"--score-formula",
type=str,
required=False,
dest="score_formula",
default=None,
help=
"passivbot score formula options: [adg_PAD_mean, adg_PAD_std, adg_DGstd_ratio, adg_mean, adg_min, adg_PAD_std_min]",
)
parser.add_argument(
"-oh",
"--ohlcv",
help="use 1m ohlcv instead of 1s ticks",
action="store_true",
)
parser = add_argparse_args(parser)
args = parser.parse_args()
args.symbol = "BTCUSDT" # dummy symbol
config = await prepare_optimize_config(args)
if args.score_formula is not None:
if args.score_formula not in [
"adg_PAD_mean",
"adg_PAD_std",
"adg_DGstd_ratio",
"adg_mean",
"adg_min",
"adg_PAD_std_min",
]:
logging.error(f"unknown score formula {args.score_formula}")
logging.error(f"using score formula {config['score_formula']}")
else:
config["score_formula"] = args.score_formula
if args.passivbot_mode is not None:
if args.passivbot_mode in ["s", "static_grid", "static"]:
config["passivbot_mode"] = "static_grid"
elif args.passivbot_mode in ["r", "recursive_grid", "recursive"]:
config["passivbot_mode"] = "recursive_grid"
else:
raise Exception(f"unknown passivbot mode {args.passivbot_mode}")
passivbot_mode = config["passivbot_mode"]
assert passivbot_mode in [
"recursive_grid",
"static_grid",
], f"unknown passivbot mode {passivbot_mode}"
config.update(get_template_live_config(passivbot_mode))
config["exchange"], _, _ = load_exchange_key_secret(config["user"])
args = parser.parse_args()
if args.long_enabled is None:
config["long"]["enabled"] = config["do_long"]
else:
if "y" in args.long_enabled.lower():
config["long"]["enabled"] = config["do_long"] = True
elif "n" in args.long_enabled.lower():
config["long"]["enabled"] = config["do_long"] = False
else:
raise Exception("please specify y/n with kwarg -le/--long")
if args.short_enabled is None:
config["short"]["enabled"] = config["do_short"]
else:
if "y" in args.short_enabled.lower():
config["short"]["enabled"] = config["do_short"] = True
elif "n" in args.short_enabled.lower():
config["short"]["enabled"] = config["do_short"] = False
else:
raise Exception("please specify y/n with kwarg -le/--short")
if args.symbol is not None:
config["symbols"] = args.symbol.split(",")
if args.n_cpus is not None:
config["n_cpus"] = args.n_cpus
config["ohlcv"] = args.ohlcv
print()
lines = [(k, getattr(args, k)) for k in args.__dict__
if args.__dict__[k] is not None]
for line in lines:
logging.info(
f"{line[0]: <{max([len(x[0]) for x in lines]) + 2}} {line[1]}")
print()
# download ticks .npy file if missing
if config["ohlcv"]:
cache_fname = f"{config['start_date']}_{config['end_date']}_ohlcv_cache.npy"
else:
cache_fname = f"{config['start_date']}_{config['end_date']}_ticks_cache.npy"
exchange_name = config["exchange"] + ("_spot" if config["market_type"]
== "spot" else "")
config["symbols"] = sorted(config["symbols"])
for symbol in config["symbols"]:
cache_dirpath = f"backtests/{exchange_name}/{symbol}/caches/"
if not os.path.exists(cache_dirpath +
cache_fname) or not os.path.exists(
cache_dirpath +
"market_specific_settings.json"):
logging.info(f"fetching data {symbol}")
args.symbol = symbol
if config["ohlcv"]:
data = load_hlc_cache(
symbol,
config["start_date"],
config["end_date"],
base_dir=config["base_dir"],
spot=config["spot"],
)
else:
tmp_cfg = await prepare_backtest_config(args)
downloader = Downloader({**config, **tmp_cfg})
await downloader.get_sampled_ticks()
# prepare starting configs
cfgs = []
if args.starting_configs is not None:
logging.info("preparing starting configs...")
if os.path.isdir(args.starting_configs):
for fname in os.listdir(args.starting_configs):
try:
cfg = load_live_config(
os.path.join(args.starting_configs, fname))
assert determine_passivbot_mode(
cfg) == passivbot_mode, "wrong passivbot mode"
cfgs.append(cfg)
except Exception as e:
logging.error(f"error loading config {fname}: {e}")
elif os.path.exists(args.starting_configs):
hm_load_failed = True
if "hm_" in args.starting_configs:
try:
hm = json.load(open(args.starting_configs))
for k in hm:
cfg = {
"long": hm[k]["long"]["config"],
"short": hm[k]["short"]["config"]
}
assert (determine_passivbot_mode(cfg) == passivbot_mode
), "wrong passivbot mode in harmony memory"
cfgs.append(cfg)
logging.info(
f"loaded harmony memory {args.starting_configs}")
hm_load_failed = False
except Exception as e:
logging.error(
f"error loading harmony memory {args.starting_configs}: {e}"
)
if hm_load_failed:
try:
cfg = load_live_config(args.starting_configs)
assert determine_passivbot_mode(
cfg) == passivbot_mode, "wrong passivbot mode"
cfgs.append(cfg)
except Exception as e:
logging.error(
f"error loading config {args.starting_configs}: {e}")
config["starting_configs"] = cfgs
harmony_search = HarmonySearch(config)
harmony_search.run()
def start_new_harmony(self, wi: int):
self.iter_counter += 1 # up iter counter on each new config started
template = get_template_live_config(self.config["passivbot_mode"])
new_harmony = {
**{
"long": deepcopy(template["long"]),
"short": deepcopy(template["short"]),
},
**{
k: self.config[k]
for k in [
"starting_balance", "latency_simulation_ms", "market_type"
]
},
**{
"symbol": self.symbols[0],
"config_no": self.iter_counter
},
}
new_harmony["long"]["enabled"] = self.do_long
new_harmony["short"]["enabled"] = self.do_short
for key in self.long_bounds:
if np.random.random() < self.hm_considering_rate:
# take note randomly from harmony memory
new_note_long = self.hm[np.random.choice(list(
self.hm))]["long"]["config"][key]
new_note_short = self.hm[np.random.choice(list(
self.hm))]["short"]["config"][key]
if np.random.random() < self.pitch_adjusting_rate:
# tweak note
new_note_long = new_note_long + self.bandwidth * (
np.random.random() -
0.5) * abs(self.long_bounds[key][0] -
self.long_bounds[key][1])
new_note_short = new_note_short + self.bandwidth * (
np.random.random() -
0.5) * abs(self.short_bounds[key][0] -
self.short_bounds[key][1])
# ensure note is within bounds
new_note_long = max(
self.long_bounds[key][0],
min(self.long_bounds[key][1], new_note_long))
new_note_short = max(
self.short_bounds[key][0],
min(self.short_bounds[key][1], new_note_short))
else:
# new random note
new_note_long = np.random.uniform(self.long_bounds[key][0],
self.long_bounds[key][1])
new_note_short = np.random.uniform(self.short_bounds[key][0],
self.short_bounds[key][1])
new_harmony["long"][key] = new_note_long
new_harmony["short"][key] = new_note_short
logging.debug(
f"starting new harmony {new_harmony['config_no']} - long " +
" ".join([
str(round_dynamic(e[1], 3))
for e in sorted(new_harmony["long"].items())
]) + " - short: " + " ".join([
str(round_dynamic(e[1], 3))
for e in sorted(new_harmony["short"].items())
]))
new_harmony[
"market_specific_settings"] = self.market_specific_settings[
new_harmony["symbol"]]
new_harmony[
"ticks_cache_fname"] = f"{self.bt_dir}/{new_harmony['symbol']}/{self.ticks_cache_fname}"
new_harmony["passivbot_mode"] = self.config["passivbot_mode"]
self.workers[wi] = {
"config":
deepcopy(new_harmony),
"task":
self.pool.apply_async(backtest_wrap,
args=(deepcopy(new_harmony),
self.ticks_caches)),
"id_key":
new_harmony["config_no"],
}
self.unfinished_evals[new_harmony["config_no"]] = {
"config": deepcopy(new_harmony),
"single_results": {},
"in_progress": set([self.symbols[0]]),
}
async def main():
parser = argparse.ArgumentParser(prog='Optimize multi symbol', description='Optimize passivbot config multi symbol')
parser.add_argument('-o', '--optimize_config', type=str, required=False, dest='optimize_config_path',
default='configs/optimize/multi_symbol.hjson', help='optimize config hjson file')
parser.add_argument('-t', '--start', type=str, required=False, dest='starting_configs',
default=None,
help='start with given live configs. single json file or dir with multiple json files')
parser.add_argument('-i', '--iters', type=int, required=False, dest='iters', default=None, help='n optimize iters')
parser = add_argparse_args(parser)
args = parser.parse_args()
args.symbol = 'BTCUSDT' # dummy symbol
config = await prepare_optimize_config(args)
config.update(get_template_live_config())
config['exchange'], _, _ = load_exchange_key_secret(config['user'])
config['long']['enabled'] = config['do_long']
config['shrt']['enabled'] = config['do_shrt']
if config['long']['enabled']:
if config['shrt']['enabled']:
print('optimizing both long and short')
config['side'] = 'both'
else:
print('optimizing long')
config['side'] = 'long'
elif config['shrt']['enabled']:
print('optimizing short')
config['side'] = 'shrt'
else:
raise Exception('long, shrt or both must be enabled')
# download ticks .npy file if missing
cache_fname = f"{config['start_date']}_{config['end_date']}_ticks_cache.npy"
exchange_name = config['exchange'] + ('_spot' if config['market_type'] == 'spot' else '')
for symbol in sorted(config['symbols']):
cache_dirpath = f"backtests/{exchange_name}/{symbol}/caches/"
if not os.path.exists(cache_dirpath + cache_fname) or not os.path.exists(cache_dirpath + 'market_specific_settings.json'):
print(f'fetching data {symbol}')
args.symbol = symbol
tmp_cfg = await prepare_backtest_config(args)
downloader = Downloader({**config, **tmp_cfg})
await downloader.get_sampled_ticks()
pool = Pool(processes=config['n_cpus'])
func_wrap = FuncWrap(pool, config)
cfgs = []
if args.starting_configs is not None:
if os.path.isdir(args.starting_configs):
cfgs = []
for fname in os.listdir(args.starting_configs):
try:
cfgs.append(load_live_config(os.path.join(args.starting_configs, fname)))
except Exception as e:
print('error loading config:', e)
elif os.path.exists(args.starting_configs):
try:
cfgs = [load_live_config(args.starting_configs)]
except Exception as e:
print('error loading config:', e)
starting_xs = [func_wrap.config_to_xs(cfg) for cfg in cfgs]
n_harmonies = config['n_harmonies']
hm_considering_rate = config['hm_considering_rate']
bandwidth = config['bandwidth']
pitch_adjusting_rate = config['pitch_adjusting_rate']
iters = config['iters']
best_harmony = harmony_search(func_wrap.func, func_wrap.bounds, n_harmonies,
hm_considering_rate, bandwidth, pitch_adjusting_rate, iters,
starting_xs=starting_xs,
post_processing_func=func_wrap.post_processing_func)
best_conf = func_wrap.xs_to_config(best_harmony)
print('best conf')
print(best_conf)
return
