def get_position(bybit, margin_rate):
while True:
try:
pos = bybit.rest.inverse.private_position_list(symbol='BTCUSD')
pos = pos.json()['result']
break
except Exception as e:
message = 'Get pos failed.:' + str(e)
discord_Notify(message)
time.sleep(2)
continue
while True:
try:
tic = bybit.rest.inverse.public_tickers(symbol='BTCUSD')
tic = tic.json()['result'][0]
break
except Exception as e:
message = 'Get tic failed.:' + str(e)
discord_Notify(message)
time.sleep(2)
continue
side = str(pos['side'])
size = int(pos['size'])
price = float(tic['mark_price'])
wallet_balance = float(pos['wallet_balance'])
leverage = int(pos['leverage'])
order_lot = int(price * wallet_balance * leverage * margin_rate + size)
return side, size, order_lot
def limit_order(bybit, side, order_lot, delta=5):
while True:
try:
if side == "Sell":
coef = 1
if side == "Buy":
coef = -1
# bybit.rest.inverse.private_order_cancelall("BTCUSD")
tic = bybit.rest.inverse.public_tickers("BTCUSD")
tic = tic.json()['result']
price = float(tic[0]["last_price"])
res = bybit.rest.inverse.private_order_create(
side=side,
symbol='BTCUSD',
price=str(price + delta * coef),
order_type='Limit',
qty=str(order_lot),
time_in_force='PostOnly')
res = res.json()
break
except Exception as e:
print(e)
message = side + ' order failed.'
discord_Notify(message)
time.sleep(5)
continue
if res['ret_msg'] != 'OK':
message = side + ' order failed. msg:' + res['ret_msg']
else:
message = side + ' order completed. order_lot:' + str(
order_lot) + " price: " + str(price)
return message
def prediction(df, feats, send=True):
p = df["prediction_rule"].values[-1]
#p = np.random.randn()
if send:
message = f"prediction : {p}"
print(message)
discord_Notify(message)
# aaaaaaaaaaaaaaa
p = p > 0.5
return p
def get_btc_ohlcv():
print("get btc ohlcv...")
dfs = []
for k in range(4):
t = int(
(datetime.datetime.now() -
datetime.timedelta(days=k * 365)).timestamp()) // 86400 * 86400
f = int(
(datetime.datetime.now() - datetime.timedelta(days=(k + 1) * 365)
).timestamp()) // 86400 * 86400
MEX_UDF_URL = 'https://www.bitmex.com/api/udf/history'
mex_param = {
'symbol': 'XBTUSD',
'resolution': '1D',
'from': str(f),
'to': str(t)
}
while True:
try:
res_mex = requests.get(MEX_UDF_URL, mex_param)
res_mex.raise_for_status()
break
except Exception as e:
message = 'Get xbt ohlcv failed.:' + str(e)
discord_Notify(message)
time.sleep(2)
continue
ohlcv = res_mex.json()
data = pd.DataFrame(index=ohlcv['t'], columns=[])
data['open'] = pd.DataFrame(ohlcv['o'], index=ohlcv['t'])
data['high'] = pd.DataFrame(ohlcv['h'], index=ohlcv['t'])
data['low'] = pd.DataFrame(ohlcv['l'], index=ohlcv['t'])
data['close'] = pd.DataFrame(ohlcv['c'], index=ohlcv['t'])
data['volume'] = pd.DataFrame(ohlcv['v'], index=ohlcv['t'])
data = data.reset_index().rename(columns={"index": "time"})
data["time"] = data["time"].apply(datetime.datetime.fromtimestamp)
dfs.append(data)
# data = data[:len(data)-1]
data = pd.concat(dfs, axis=0)
data.rename
data = data.sort_values(by="time").reset_index(drop=True)
data = data[:-1]
return data
def limit_multi_order(bybit, side, now_size, order_lot):
while True:
try:
# bybit.rest.inverse.private_order_cancelall("BTCUSD")
# deltas = [5] + [delta * 2 ** (k) for k in range(num)]
deltas = [5, 100, 250]
if side == "Sell":
coef = 1
if side == "Buy":
coef = -1
print(deltas)
for i, delta in enumerate(deltas):
tic = bybit.rest.inverse.public_tickers("BTCUSD")
tic = tic.json()['result']
price = float(tic[0]["last_price"])
if i == 0:
lot = now_size + order_lot
else:
lot = order_lot
print(delta, price, lot, side)
res = bybit.rest.inverse.private_order_create(
side=side,
symbol='BTCUSD',
price=str(price + delta * coef),
order_type='Limit',
qty=str(lot),
time_in_force='GoodTillCancel')
res = res.json()
time.sleep(5)
break
except Exception as e:
print(e)
message = side + ' order failed.'
discord_Notify(message)
time.sleep(5)
continue
if res['ret_msg'] != 'OK':
message = side + ' order failed. msg:' + res['ret_msg']
discord_Notify(message)
else:
message = side + ' order completed. order_lot:' + str(
order_lot) + " price: " + str(price)
discord_Notify(message)
return message
def limit_order_perf(bybit, pred, margin_rate):
delta = 0.5
while True:
time.sleep(60)
side, size, order_lot = get_position(bybit, margin_rate)
bybit.rest.inverse.private_order_cancelall("BTCUSD") ## cancel
if pred > 0:
## Buy
if side != 'Buy':
message = limit_order(bybit, 'Buy', order_lot, delta=delta)
else:
message = 'No change. Side:' + str(side) + ' lot:' + str(size)
discord_Notify(message)
break
else:
## Sell
if side != 'Sell':
message = limit_order(bybit, 'Sell', order_lot, delta=delta)
else:
message = 'No change. Side:' + str(side) + ' lot:' + str(size)
discord_Notify(message)
break
discord_Notify(message)
def market_order(bybit, side, order_lot):
while True:
try:
res = bybit.rest.inverse.private_order_create(
side=side,
symbol='BTCUSD',
order_type='Market',
qty=order_lot,
time_in_force='GoodTillCancel')
res = res.json()
break
except Exception as e:
print(e)
message = side + ' order failed.'
discord_Notify(message)
time.sleep(5)
continue
if res['ret_msg'] != 'OK':
message = side + ' order failed. msg:' + res['ret_msg']
discord_Notify(message)
else:
message = side + ' order completed. order_lot:' + str(order_lot)
discord_Notify(message)
return message
import json
import time
import datetime
import requests
import pybybit
import numpy as np
import pandas as pd
from sklearn.linear_model import LinearRegression, Ridge
import importlib
from config import get_config
from logic_funcs import feature_engineering, get_model, logic
from data_get_funcs import get_btc_ohlcv, get_depth, get_data
from bybit_funcs import get_position, market_order, limit_order, limit_multi_order
from utils import discord_Notify
import argparse
from distutils.util import strtobool
config = get_config()
discord_url = config['discord_url']
apis = [config['api'], config['secret']]
bybit = pybybit.API(*apis, testnet=config['testnet'])
discord_Notify(f"start!!! {datetime.datetime.now()}")