def load_bars(days_in_history,
wanted_tf,
start_offset_minutes=0,
exchange='bitmex'):
knownfiles = {"bitmex": 45, "bybit": 14, "binance": 6, "binanceSpot": 28}
end = knownfiles[exchange]
start = max(0, end - int(days_in_history * 1440 / 50000))
m1_bars = []
logger.info("loading " + str(end - start) + " history files from " +
exchange)
for i in range(start, end + 1):
with open('history/' + exchange + '/M1_' + str(i) + '.json') as f:
m1_bars += json.load(f)
logger.info("done loading files, now preparing them")
subbars: List[Bar] = []
for b in m1_bars:
if exchange == 'bybit':
if b['open'] is None:
continue
subbars.append(ByBitInterface.barDictToBar(b))
elif exchange == 'bitmex':
if b['open'] is None:
continue
subbars.append(BitmexInterface.barDictToBar(b, wanted_tf))
elif exchange in ['binance', 'binanceSpot']:
subbars.append(BinanceInterface.barArrayToBar(b))
subbars.reverse()
return process_low_tf_bars(subbars, wanted_tf, start_offset_minutes)
def load_bars(days_in_history,
wanted_tf,
start_offset_minutes=0,
exchange='bybit',
symbol='BTCUSD'):
#empty symbol is legacy and means btcusd
end = known_history_files[exchange + "_" + symbol]
start = max(0, end - int(days_in_history * 1440 / 50000))
m1_bars_temp = []
logger.info("loading " + str(end - start) + " history files from " +
exchange)
for i in range(start, end + 1):
with open(history_file_name(i, exchange, symbol)) as f:
m1_bars_temp += json.load(f)
logger.info("done loading files, now preparing them")
start = max(0, len(m1_bars_temp) - (days_in_history * 1440))
m1_bars = m1_bars_temp[start:]
subbars: List[Bar] = []
for b in m1_bars:
if exchange == 'bybit':
if b['open'] is None:
continue
subbars.append(ByBitInterface.barDictToBar(b))
elif exchange == 'bitmex':
if b['open'] is None:
continue
subbars.append(BitmexInterface.barDictToBar(b, wanted_tf))
elif exchange in ['binance', 'binanceSpot']:
subbars.append(BinanceInterface.barArrayToBar(b))
elif exchange == 'phemex':
subbars.append(PhemexInterface.barArrayToBar(b, 10000))
subbars.reverse()
return process_low_tf_bars(subbars, wanted_tf, start_offset_minutes)
def __init__(self, settings, trading_bot: TradingBot):
self.settings = settings
self.id = self.settings.id
self.last_tick = 0
self.logger = log.setup_custom_logger(
name=settings.id,
log_level=settings.LOG_LEVEL,
logToConsole=settings.LOG_TO_CONSOLE,
logToFile=settings.LOG_TO_FILE)
self.logger.info("#############################")
self.logger.info("############ Start LiveTrading " + settings.id +
" on " + settings.EXCHANGE + " #################")
self.exchange: ExchangeInterface = None
if settings.EXCHANGE == 'bitmex':
self.exchange = BitmexInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'bybit':
self.exchange = ByBitInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'binance':
self.exchange = BinanceInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
else:
self.logger.error("unkown exchange: " + settings.EXCHANGE)
self.alive = False
return
self.alive = True
if self.exchange.is_open():
self.logger.info(" Starting Live Trading Engine for %s " %
self.exchange.symbol)
self.symbolInfo: Symbol = self.exchange.get_instrument()
self.bot: TradingBot = trading_bot
self.bot.prepare(self.logger, self)
# init market data dict to be filled later
self.bars: List[Bar] = []
self.update_bars()
self.account: Account = Account()
self.update_account()
self.bot.reset()
else:
self.alive = False
def __init__(self, settings, telegram: TelegramBot,
trading_bot: TradingBot):
self.settings = settings
self.id = self.settings.id
self.last_tick = 0
self.logger = log.setup_custom_logger(
name=settings.id,
log_level=settings.LOG_LEVEL,
logToConsole=settings.LOG_TO_CONSOLE,
logToFile=settings.LOG_TO_FILE)
self.telegram_bot = telegram
self.logger.info("#############################")
self.logger.info("############ Start LiveTrading " + settings.id +
" on " + settings.EXCHANGE + " #################")
self.exchange: ExchangeInterface = None
if settings.EXCHANGE == 'bitmex':
self.exchange = BitmexInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'bybit':
self.exchange = ByBitInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'binance':
self.exchange = BinanceInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'phemex':
self.exchange = PhemexInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
else:
self.logger.error("unkown exchange: " + settings.EXCHANGE)
self.alive = False
return
self.alive = True
if self.exchange.is_open():
self.logger.info(" Starting Live Trading Engine for %s " %
self.exchange.symbol)
self.symbolInfo: Symbol = self.exchange.get_instrument()
self.bot: TradingBot = trading_bot
self.bot.prepare(self.logger, self)
# init market data dict to be filled later
self.bars: List[Bar] = []
self.update_bars()
self.account: Account = Account()
self.update_account()
self.bot.reset()
if self.telegram_bot is not None:
pos = "no pos"
if self.account.open_position is not None and self.account.open_position.avgEntryPrice is not None:
pos = "%.2f @ %.2f" % (
self.account.open_position.quantity,
self.account.open_position.avgEntryPrice)
self.telegram_bot.send_log(
"%s loaded, ready to go with %.2f in wallet and pos %s" %
(self.id, self.account.equity, pos))
else:
self.alive = False
class LiveTrading(OrderInterface):
def __init__(self, settings, trading_bot: TradingBot):
self.settings = settings
self.id = self.settings.id
self.last_tick = 0
self.logger = log.setup_custom_logger(
name=settings.id,
log_level=settings.LOG_LEVEL,
logToConsole=settings.LOG_TO_CONSOLE,
logToFile=settings.LOG_TO_FILE)
self.logger.info("#############################")
self.logger.info("############ Start LiveTrading " + settings.id +
" on " + settings.EXCHANGE + " #################")
self.exchange: ExchangeInterface = None
if settings.EXCHANGE == 'bitmex':
self.exchange = BitmexInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'bybit':
self.exchange = ByBitInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
elif settings.EXCHANGE == 'binance':
self.exchange = BinanceInterface(settings=settings,
logger=self.logger,
on_tick_callback=self.on_tick)
else:
self.logger.error("unkown exchange: " + settings.EXCHANGE)
self.alive = False
return
self.alive = True
if self.exchange.is_open():
self.logger.info(" Starting Live Trading Engine for %s " %
self.exchange.symbol)
self.symbolInfo: Symbol = self.exchange.get_instrument()
self.bot: TradingBot = trading_bot
self.bot.prepare(self.logger, self)
# init market data dict to be filled later
self.bars: List[Bar] = []
self.update_bars()
self.account: Account = Account()
self.update_account()
self.bot.reset()
else:
self.alive = False
def on_tick(self, fromAccountAction: bool = True):
if fromAccountAction:
delay = 2
else:
delay = 0
self.last_tick = max(self.last_tick, time.time() + delay)
self.logger.info("got tick " + str(fromAccountAction))
def print_status(self):
"""Print the current status."""
self.logger.info("Current Contract Position: %d" %
self.exchange.get_position())
"""TODO: open orders"""
###
# Order handling
###
def send_order(self, order: Order):
if order.amount == 0:
self.logger.error("trying to send order without amount")
return
order.tstamp = self.bars[0].tstamp
if order not in self.account.open_orders: # bot might add it himself temporarily.
self.account.open_orders.append(order)
self.exchange.send_order(order)
def update_order(self, order: Order):
self.exchange.update_order(order)
def cancel_order(self, order: Order):
order.active = False # already mark it as cancelled, so not to mess up next loop
self.exchange.cancel_order(order)
###
# Sanity
##
def sanity_check(self):
"""Perform checks before placing orders."""
# Ensure market is still open.
self.exchange.check_market_open()
###
# Running
###
def update_account(self):
self.exchange.update_account(self.account)
orders = self.exchange.get_orders()
prevOpenIds = []
for o in self.account.open_orders:
prevOpenIds.append(o.id)
self.account.open_orders = []
for o in orders:
if o.active:
self.account.open_orders.append(o)
elif len(o.id) > 0 and o.id in prevOpenIds:
self.logger.info(
"order %s got %s @ %s" %
(o.id,
("executed" if o.executed_amount != 0 else "canceled"),
("%.1f" % o.executed_price)
if o.executed_price is not None else None))
self.account.order_history.append(o)
def update_bars(self):
"""get data from exchange"""
if len(self.bars) < 10:
self.bars = self.exchange.get_bars(self.settings.MINUTES_PER_BAR,
0)
else:
new_bars = self.exchange.recent_bars(self.settings.MINUTES_PER_BAR,
0)
for b in reversed(new_bars):
if b.tstamp < self.bars[0].tstamp:
continue
elif b.tstamp == self.bars[0].tstamp:
# merge?
if b.subbars[-1].tstamp == self.bars[0].subbars[-1].tstamp:
self.bars[0] = b
else:
# merge!
first = self.bars[0].subbars[-1]
newBar = Bar(tstamp=b.tstamp,
open=first.open,
high=first.high,
low=first.low,
close=first.close,
volume=first.volume,
subbars=[first])
for sub in reversed(self.bars[0].subbars[:-1]):
if sub.tstamp < b.subbars[-1].tstamp:
newBar.add_subbar(sub)
else:
break
for sub in reversed(b.subbars):
if sub.tstamp > newBar.subbars[0].tstamp:
newBar.add_subbar(sub)
else:
continue
newBar.bot_data = self.bars[
0].bot_data # merge bot data to not loose it
self.bars[0] = newBar
else: # b.tstamp > self.bars[0].tstamp
self.bars.insert(0, b)
def check_connection(self):
"""Ensure the WS connections are still open."""
return self.exchange.is_open()
def exit(self):
if not self.alive:
return
self.logger.info(
"Shutting down. open orders are not touched! Close manually!")
try:
self.exchange.exit()
except errors.AuthenticationError as e:
self.logger.info("Was not authenticated; could not cancel orders.")
except Exception as e:
self.logger.info("Unable to exit exchange: %s" % e)
traceback.print_exc()
self.alive = False
def handle_tick(self):
try:
self.update_bars()
self.update_account()
self.bot.on_tick(self.bars, self.account)
for bar in self.bars:
bar.did_change = False
except Exception as e:
self.logger.error("Exception in handle_tick: " +
traceback.format_exc())
raise e
def run_loop(self):
if self.alive:
self.bot.init(bars=self.bars,
account=self.account,
symbol=self.symbolInfo,
unique_id=self.settings.id)
last = 0
while self.alive:
current = time.time()
# execute if last execution is to long ago
# or there was a tick since the last execution but the tick is more than debounce ms ago (to prevent race condition of account updates etc.)
if current - last > self.settings.LOOP_INTERVAL or \
(last < self.last_tick < current):
last = time.time()
if not self.check_connection():
self.logger.error(
"Realtime data connection unexpectedly closed, exiting."
)
self.exit()
else:
self.handle_tick()
sleep(0.5)
def prepare_plot(self):
self.logger.info("running timelines")
time = list(map(lambda b: datetime.fromtimestamp(b.tstamp), self.bars))
open = list(map(lambda b: b.open, self.bars))
high = list(map(lambda b: b.high, self.bars))
low = list(map(lambda b: b.low, self.bars))
close = list(map(lambda b: b.close, self.bars))
self.logger.info("creating plot")
fig = go.Figure(data=[
go.Candlestick(x=time,
open=open,
high=high,
low=low,
close=close,
name="XBTUSD")
])
self.logger.info("adding bot data")
self.bot.add_to_plot(fig, self.bars, time)
fig.update_layout(xaxis_rangeslider_visible=False)
return fig