def test_subscribe_margin(self):
ws = BitMexWs()
def subscribe(x):
print(x)
self.complete()
ws.bind('margin', subscribe)
self.wait_complete()
ws.close()
def test_subscribe_instrument(self):
ws = BitMexWs()
def subscribe(x):
print(x)
self.complete()
ws.bind('instrument', subscribe)
self.wait_complete()
ws.close()
def test_subscribe_margin(self):
ws = BitMexWs(account=self.account, pair=self.pair)
def subscribe(x):
print(x)
self.complete()
ws.bind('margin', subscribe)
self.wait_complete()
ws.close()
class BitMex:
# Account
account = ''
# Pair
pair = 'XBTUSD'
# Wallet
wallet = None
# Price
market_price = 0
# Position
position = None
# Margin
margin = None
# Time Frame
bin_size = '1h'
# Client for private API
private_client = None
# Client for public API
public_client = None
# Is bot running
is_running = True
# Bar crawler
crawler = None
# Strategy
strategy = None
# Enable log output
enable_trade_log = True
# OHLCV length
ohlcv_len = 100
# OHLCV data
data = None
# Profit target long and short for a simple limit exit strategy
sltp_values = {
'profit_long': 0,
'profit_short': 0,
'stop_long': 0,
'stop_short': 0
}
# Round decimals
round_decimals = 0
# Profit, Loss and Trail Offset
exit_order = {'profit': 0, 'loss': 0, 'trail_offset': 0}
# Trailing Stop
trail_price = 0
# Last strategy execution time
last_action_time = None
def __init__(self, account, pair, demo=False, threading=True):
"""
constructor
:account:
:pair:
:param demo:
:param run:
"""
self.account = account
self.pair = pair
self.demo = demo
self.is_running = threading
def __init_client(self):
"""
initialization of client
"""
if self.private_client is not None and self.public_client is not None:
return
api_key = conf['bitmext_test_keys'][
self.account]['API_KEY'] if self.demo else conf['bitmex_keys'][
self.account]['API_KEY']
api_secret = conf['bitmex_test_keys'][
self.account]['SECRET_KEY'] if self.demo else conf['bitmex_keys'][
self.account]['SECRET_KEY']
self.private_client = bitmex_api(test=self.demo,
api_key=api_key,
api_secret=api_secret)
self.public_client = bitmex_api(test=self.demo)
def now_time(self):
"""
current time
"""
return datetime.now().astimezone(UTC)
def get_retain_rate(self):
"""
maintenance margin
:return:
"""
return 0.8
def get_lot(self):
"""
lot calculation
:return:
"""
margin = self.get_margin()
position = self.get_position()
return math.floor(
(1 - self.get_retain_rate()) * self.get_market_price() *
margin['excessMargin'] / (position['initMarginReq'] * 100000000))
def get_balance(self):
"""
get balance
:return:
"""
self.__init_client()
return self.get_margin()["walletBalance"]
def get_margin(self):
"""
get margin
:return:
"""
self.__init_client()
if self.margin is not None:
return self.margin
else: # when the WebSocket cant get it
self.margin = retry(lambda: self.private_client.User.
User_getMargin(currency="XBt").result())
return self.margin
def get_leverage(self):
"""
get leverage
:return:
"""
self.__init_client()
return self.get_position()["leverage"]
def get_position(self):
"""
get the current position
:return:
"""
self.__init_client()
if self.position is not None:
return self.position
else: # when the WebSocket cant get it
ret = retry(lambda: self.private_client.Position.Position_get(
filter=json.dumps({"symbol": self.pair})).result())
if len(ret) > 0:
self.position = ret[0]
return self.position
def get_position_size(self):
"""
get position size
:return:
"""
self.__init_client()
position_size = self.get_position()
if position_size is not None:
return position_size['currentQty']
else:
return 0
def get_position_avg_price(self):
"""
get average price of the current position
:return:
"""
self.__init_client()
return self.get_position()['avgEntryPrice']
def get_market_price(self):
"""
get current price
:return:
"""
self.__init_client()
if self.market_price != 0:
return self.market_price
else: # when the WebSocket cant get it
self.market_price = retry(
lambda: self.public_client.Instrument.Instrument_get(
symbol=self.pair).result())[0]["lastPrice"]
return self.market_price
def get_trail_price(self):
"""
get Trail Price。
:return:
"""
return self.trail_price
def set_trail_price(self, value):
"""
set Trail Price
:return:
"""
self.trail_price = value
def get_commission(self):
"""
get commission
:return:
"""
return 0.075 / 100
def cancel_all(self):
"""
market close opened position for this pair
"""
self.__init_client()
orders = retry(lambda: self.private_client.Order.Order_cancelAll(
symbol=self.pair).result())
for order in orders:
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Cancel All Order")
def close_all(self):
"""
Close all positions for this pair
"""
self.__init_client()
order = retry(lambda: self.private_client.Order.Order_closePosition(
symbol=self.pair).result())
logger.info(
f"Close Position : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Close All Position")
def cancel(self, id):
"""
Cancel a specific order by id
:param id: id of the order
:return: result
"""
self.__init_client()
order = self.get_open_order(id)
if order is None:
return False
try:
retry(lambda: self.private_client.Order.Order_cancel(orderID=order[
'orderID']).result())[0]
except HTTPNotFound:
return False
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
return True
def __new_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False,
reduce_only=False):
"""
create an order
"""
if limit > 0 and post_only:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(
symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
elif limit > 0 and stop > 0 and reduce_only:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_new(
symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
stopPx=stop,
execInst='LastPrice,Close').result())
elif limit > 0 and reduce_only:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(
symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ReduceOnly').result())
elif limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_new(symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
stopPx=stop).
result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit).
result())
elif stop > 0 and reduce_only:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_new(
symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
stopPx=stop,
execInst='LastPrice,Close').result())
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_new(symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
stopPx=stop).
result())
elif post_only: # limit order with post only loop
ord_type = "Limit"
i = 0
while True:
prices = self.ob.get_prices()
limit = prices[0] if side == "Buy" else prices[1]
retry(lambda: self.private_client.Order.Order_new(
symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
time.sleep(1)
if not self.cancel(ord_id):
break
time.sleep(2)
i += 1
if i > 10:
notify(f"Order retry count exceed")
break
self.cancel_all()
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_new(symbol=self.pair,
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty)
.result())
if self.enable_trade_log:
logger.info(f"========= New Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"New Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def __amend_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False):
"""
Amend order
"""
if limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit, stopPx=stop)
.result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result())
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, stopPx=stop).result())
elif post_only: # market order with post only
ord_type = "Limit"
prices = self.ob.get_prices()
limit = prices[1] if side == "Buy" else prices[0]
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result())
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty).result())
if self.enable_trade_log:
logger.info(f"========= Amend Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"Amend Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def entry(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
reduce_only=False,
when=True):
"""
places an entry order, works as equivalent to tradingview pine script implementation
https://tradingview.com/study-script-reference/#fun_strategy{dot}entry
:param id: Order id
:param long: Long or Short
:param qty: Quantity
:param limit: Limit price
:param stop: Stop limit
:param post_only: Post only
:param reduce_only: Reduce Only means that your existing position cannot be increased only reduced by this order
:param when: Do you want to execute the order or not - True for live trading
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
pos_size = self.get_position_size()
if long and pos_size > 0:
return
if not long and pos_size < 0:
return
ord_qty = qty + abs(pos_size)
self.order(id, long, ord_qty, limit, stop, post_only, reduce_only,
when)
def order(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
reduce_only=False,
allow_amend=True,
when=True):
"""
places an order, works as equivalent to tradingview pine script implementation
https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}order
:param id: Order id
:param long: Long or Short
:param qty: Quantity
:param limit: Limit price
:param stop: Stop limit
:param post_only: Post only
:param reduce only: Reduce Only means that your existing position cannot be increased only reduced by this order by this order
:param allow_amend: Allow amening existing orders
:param when: Do you want to execute the order or not - True for live trading
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
side = "Buy" if long else "Sell"
ord_qty = qty
if allow_amend:
order = self.get_open_order(id)
ord_id = id + ord_suffix() if order is None else order["clOrdID"]
if order is None:
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only,
reduce_only)
else:
self.__amend_order(ord_id, side, ord_qty, limit, stop,
post_only)
else:
ord_id = id + ord_suffix()
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only,
reduce_only)
def get_open_order(self, id):
"""
Get order
:param id: order id
:return:
"""
self.__init_client()
open_orders = retry(lambda: self.private_client.Order.Order_getOrders(
filter=json.dumps({
"symbol": self.pair,
"open": True
})).result())
open_orders = [o for o in open_orders if o["clOrdID"].startswith(id)]
if len(open_orders) > 0:
return open_orders[0]
else:
return None
def exit(self, profit=0, loss=0, trail_offset=0):
"""
profit taking and stop loss and trailing, if both stop loss and trailing offset are set trailing_offset takes precedence
:param profit: Profit (specified in ticks)
:param loss: Stop loss (specified in ticks)
:param trail_offset: Trailing stop price (specified in ticks)
"""
self.exit_order = {
'profit': profit,
'loss': loss,
'trail_offset': trail_offset
}
def sltp(self,
profit_long=0,
profit_short=0,
stop_long=0,
stop_short=0,
round_decimals=2):
"""
simple profit target triggered upon entering a position
:param profit_long: profit target value in % for longs
:param profit_short: profit target value in % for shorts
:param stop_long: stop loss value for long position in %
:param stop_short: stop loss value for short position in %
:param round_decimals: round decimals
"""
self.sltp_values = {
'profit_long': profit_long / 100,
'profit_short': profit_short / 100,
'stop_long': stop_long / 100,
'stop_short': stop_short / 100
}
self.round_decimals = round_decimals
def get_exit_order(self):
"""
get profit take and stop loss and trailing settings
"""
return self.exit_order
def get_sltp_values(self):
"""
get values for the simple profit target/stop loss in %
"""
return self.sltp_values
def eval_exit(self):
"""
evalution of profit target and stop loss and trailing
"""
if self.get_position_size() == 0:
return
unrealised_pnl = self.get_position()['unrealisedPnl']
# trail asset
if self.get_exit_order()['trail_offset'] > 0 and self.get_trail_price(
) > 0:
if self.get_position_size() > 0 and \
self.get_market_price() - self.get_exit_order()['trail_offset'] < self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
elif self.get_position_size() < 0 and \
self.get_market_price() + self.get_exit_order()['trail_offset'] > self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
# stop loss
if unrealised_pnl < 0 and \
0 < self.get_exit_order()['loss'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Loss cut by stop loss: {self.get_exit_order()['loss']}")
self.close_all()
# profit take
if unrealised_pnl > 0 and \
0 < self.get_exit_order()['profit'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Take profit by stop profit: {self.get_exit_order()['profit']}"
)
self.close_all()
# simple TP implementation
def eval_sltp(self):
"""
evaluate simple profit target and stop loss
"""
pos_size = self.get_position_size()
# sl_order = self.get_open_order('SL')
# if pos_size == 0 and sl_order is not None:
# self.cancel(id=sl_order['clOrdID'])
# return
if pos_size == 0:
return
# tp
tp_order = self.get_open_order('TP')
is_tp_full_size = False
is_sl_full_size = False
if tp_order is not None:
origQty = tp_order['orderQty']
is_tp_full_size = origQty == pos_size if True else False
#pos_size = pos_size - origQty
tp_percent_long = self.get_sltp_values()['profit_long']
tp_percent_short = self.get_sltp_values()['profit_short']
avg_entry = self.get_position_avg_price()
# tp execution logic
if tp_percent_long > 0 and is_tp_full_size == False:
if pos_size > 0:
tp_price_long = round(
avg_entry + (avg_entry * tp_percent_long),
self.round_decimals)
if tp_order is not None:
#time.sleep(2)
self.__amend_order(tp_order['clOrdID'],
False,
abs(pos_size),
limit=tp_price_long)
else:
self.order("TP",
False,
abs(pos_size),
limit=tp_price_long,
reduce_only=True,
allow_amend=False)
if tp_percent_short > 0 and is_tp_full_size == False:
if pos_size < 0:
tp_price_short = round(
avg_entry - (avg_entry * tp_percent_short),
self.round_decimals)
if tp_order is not None:
#time.sleep(2)
self.__amend_order(tp_order['clOrdID'],
True,
abs(pos_size),
limit=tp_price_short)
else:
self.order("TP",
True,
abs(pos_size),
limit=tp_price_short,
reduce_only=True,
allow_amend=False)
#sl
sl_order = self.get_open_order('SL')
if sl_order is not None:
origQty = sl_order['orderQty']
is_sl_full_size = origQty == pos_size if True else False
#pos_size = pos_size - origQty
sl_percent_long = self.get_sltp_values()['stop_long']
sl_percent_short = self.get_sltp_values()['stop_short']
# sl execution logic
if sl_percent_long > 0 and is_sl_full_size == False:
if pos_size > 0:
sl_price_long = round(
avg_entry - (avg_entry * sl_percent_long),
self.round_decimals)
if sl_order is not None:
self.cancel(id=sl_order['clOrdID'])
time.sleep(2)
self.order("SL",
False,
abs(pos_size),
stop=sl_price_long,
reduce_only=True,
allow_amend=False)
#self.__amend_order(sl_order['clOrdID'], False, abs(pos_size), stop=sl_price_long)
else:
self.order("SL",
False,
abs(pos_size),
stop=sl_price_long,
reduce_only=True,
allow_amend=False)
if sl_percent_short > 0 and is_sl_full_size == False:
if pos_size < 0:
sl_price_short = round(
avg_entry + (avg_entry * sl_percent_short),
self.round_decimals)
if sl_order is not None:
self.cancel(id=sl_order['clOrdID'])
time.sleep(2)
self.order("SL",
True,
abs(pos_size),
stop=sl_price_short,
reduce_only=True,
allow_amend=False)
#self.__amend_order(sl_order['clOrdID'], True, abs(pos_size), stop=sl_price_short)
else:
self.order("SL",
True,
abs(pos_size),
stop=sl_price_short,
reduce_only=True,
allow_amend=False)
def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
fetch OHLCV data
:param start_time: start time
:param end_time: end time
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
left_time = start_time
right_time = end_time
data = to_data_frame([])
while True:
source = retry(lambda: self.public_client.Trade.Trade_getBucketed(
symbol=self.pair,
binSize=fetch_bin_size,
startTime=left_time,
endTime=right_time,
count=500,
partial=True).result())
if len(source) == 0:
break
source = to_data_frame(source)
data = pd.concat([data, source])
if right_time > source.iloc[-1].name + delta(fetch_bin_size):
left_time = source.iloc[-1].name + delta(fetch_bin_size)
time.sleep(2)
else:
break
return resample(data, bin_size)
def security(self, bin_size):
"""
Recalculate and obtain different time frame data
"""
return resample(self.data, bin_size)[:-1]
def __update_ohlcv(self, action, new_data):
"""
get OHLCV data and execute the strategy
"""
if self.data is None:
end_time = datetime.now(timezone.utc)
start_time = end_time - self.ohlcv_len * delta(self.bin_size)
d1 = self.fetch_ohlcv(self.bin_size, start_time, end_time)
if len(d1) > 0:
d2 = self.fetch_ohlcv(
allowed_range[self.bin_size][0],
d1.iloc[-1].name + delta(allowed_range[self.bin_size][0]),
end_time)
self.data = pd.concat([d1, d2])
else:
self.data = d1
else:
self.data = pd.concat([self.data, new_data])
# exclude current candle data
re_sample_data = resample(self.data, self.bin_size)[:-1]
if self.data.iloc[-1].name == re_sample_data.iloc[-1].name:
self.data = re_sample_data.iloc[-1 * self.ohlcv_len:, :]
if self.last_action_time is not None and \
self.last_action_time == re_sample_data.iloc[-1].name:
return
open = re_sample_data['open'].values
close = re_sample_data['close'].values
high = re_sample_data['high'].values
low = re_sample_data['low'].values
volume = re_sample_data['volume'].values
try:
if self.strategy is not None:
self.strategy(open, close, high, low, volume)
self.last_action_time = re_sample_data.iloc[-1].name
except FatalError as e:
# Fatal Error
logger.error(f"Fatal error. {e}")
logger.error(traceback.format_exc())
notify(f"Fatal error occurred. Stopping Bot. {e}")
notify(traceback.format_exc())
self.stop()
except Exception as e:
logger.error(f"An error occurred. {e}")
logger.error(traceback.format_exc())
notify(f"An error occurred. {e}")
notify(traceback.format_exc())
def __on_update_instrument(self, action, instrument):
"""
Update instrument
"""
if 'lastPrice' in instrument:
self.market_price = instrument['lastPrice']
# trail price update
if self.get_position_size() > 0 and \
self.market_price > self.get_trail_price():
self.set_trail_price(self.market_price)
if self.get_position_size() < 0 and \
self.market_price < self.get_trail_price():
self.set_trail_price(self.market_price)
def __on_update_wallet(self, action, wallet):
"""
update wallet
"""
self.wallet = {
**self.wallet,
**wallet
} if self.wallet is not None else self.wallet
def __on_update_position(self, action, position):
"""
Update position
"""
# Was the position size changed?
is_update_pos_size = self.get_position(
)['currentQty'] != position['currentQty']
# Reset trail to current price if position size changes
if is_update_pos_size and position['currentQty'] != 0:
self.set_trail_price(self.market_price)
if is_update_pos_size:
if 'avgEntryPrice' not in position:
position.update(
{'avgEntryPrice': self.get_position()['avgEntryPrice']})
logger.info(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
notify(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
self.position = {
**self.position,
**position
} if self.position is not None else self.position
# Evaluation of profit and loss
self.eval_exit()
self.eval_sltp()
def __on_update_margin(self, action, margin):
"""
Update margin
"""
self.margin = {
**self.margin,
**margin
} if self.margin is not None else self.margin
def on_update(self, bin_size, strategy):
"""
Register the strategy function
bind functions with webosocket data streams
:param strategy: strategy
"""
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BitMexWs(account=self.account,
pair=self.pair,
test=self.demo)
self.ws.bind(allowed_range[bin_size][0], self.__update_ohlcv)
self.ws.bind('instrument', self.__on_update_instrument)
self.ws.bind('wallet', self.__on_update_wallet)
self.ws.bind('position', self.__on_update_position)
self.ws.bind('margin', self.__on_update_margin)
self.ob = OrderBook(self.ws)
def stop(self):
"""
Stop the crawler
"""
self.is_running = False
self.ws.close()
def show_result(self):
"""
Show results
"""
pass
def plot(self, name, value, color, overlay=True):
"""
Draw the graph
"""
pass
class BitMex:
# wallet
wallet = None
# 価格
market_price = 0
# ポジション
position = None
# マージン
margin = None
# 利用する時間足
bin_size = '1h'
# プライベートAPI用クライアント
private_client = None
# パブリックAPI用クライアント
public_client = None
# 稼働中
is_running = True
# 時間足を取得するクローラ
crawler = None
# 戦略を実施するリスナー
strategy = None
# ログの出力
enable_trade_log = True
# OHLCの長さ
ohlcv_len = 100
# OHLCのキャッシュ
data = None
# 利確損切戦略
exit_order = {'profit': 0, 'loss': 0, 'trail_offset': 0}
# Trailing Stopのためのピン留価格
trail_price = 0
# 最後に戦略を実行した時間
last_action_time = None
def __init__(self, demo=False, threading=True):
"""
コンストラクタ
:param demo:
:param run:
"""
self.demo = demo
self.is_running = threading
def __init_client(self):
"""
初期化関数
"""
if self.private_client is not None and self.public_client is not None:
return
api_key = os.environ.get(
"BITMEX_TEST_APIKEY") if self.demo else os.environ.get(
"BITMEX_APIKEY")
api_secret = os.environ.get(
"BITMEX_TEST_SECRET") if self.demo else os.environ.get(
"BITMEX_SECRET")
self.private_client = bitmex_api(test=self.demo,
api_key=api_key,
api_secret=api_secret)
self.public_client = bitmex_api(test=self.demo)
def now_time(self):
"""
現在の時間
"""
return datetime.now().astimezone(UTC)
def get_retain_rate(self):
"""
証拠金維持率。
:return:
"""
return 0.8
def get_lot(self):
"""
ロットの計算を行う。
:return:
"""
margin = self.get_margin()
position = self.get_position()
return math.floor(
(1 - self.get_retain_rate()) * self.get_market_price() *
margin['excessMargin'] / (position['initMarginReq'] * 100000000))
def get_balance(self):
"""
残高の取得を行う。
:return:
"""
self.__init_client()
return self.get_margin()["walletBalance"]
def get_margin(self):
"""
マージンの取得
:return:
"""
self.__init_client()
if self.margin is not None:
return self.margin
else: # WebSocketで取得できていない場合
self.margin = retry(lambda: self.private_client.User.
User_getMargin(currency="XBt").result())
return self.margin
def get_leverage(self):
"""
レバレッジの取得する。
:return:
"""
self.__init_client()
return self.get_position()["leverage"]
def get_position(self):
"""
現在のポジションを取得する。
:return:
"""
self.__init_client()
if self.position is not None:
return self.position
else: # WebSocketで取得できていない場合
ret = retry(lambda: self.private_client.Position.Position_get(
filter=json.dumps({"symbol": "XBTUSD"})).result())
if len(ret) > 0:
self.position = ret[0]
return self.position
def get_position_size(self):
"""
現在のポジションサイズを取得する。
:return:
"""
self.__init_client()
return self.get_position()['currentQty']
def get_position_avg_price(self):
"""
現在のポジションの平均価格を取得する。
:return:
"""
self.__init_client()
return self.get_position()['avgEntryPrice']
def get_market_price(self):
"""
現在の取引額を取得する。
:return:
"""
self.__init_client()
if self.market_price != 0:
return self.market_price
else: # WebSocketで取得できていない場合
self.market_price = retry(
lambda: self.public_client.Instrument.Instrument_get(
symbol="XBTUSD").result())[0]["lastPrice"]
return self.market_price
def get_trail_price(self):
"""
Trail Priceを取得する。
:return:
"""
return self.trail_price
def set_trail_price(self, value):
"""
Trail Priceを設定する。
:return:
"""
self.trail_price = value
def get_commission(self):
"""
手数料を取得する。
:return:
"""
return 0.075 / 100
def cancel_all(self):
"""
すべての注文をキャンセルする。
"""
self.__init_client()
orders = retry(
lambda: self.private_client.Order.Order_cancelAll().result())
for order in orders:
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Cancel All Order")
def close_all(self):
"""
すべてのポジションを解消する。
"""
self.__init_client()
order = retry(lambda: self.private_client.Order.Order_closePosition(
symbol="XBTUSD").result())
logger.info(
f"Close Position : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Close All Position")
def cancel(self, id):
"""
注文をキャンセルする。
:param id: 注文番号
:return 成功したか:
"""
self.__init_client()
order = self.get_open_order(id)
if order is None:
return False
try:
retry(lambda: self.private_client.Order.Order_cancel(orderID=order[
'orderID']).result())[0]
except HTTPNotFound:
return False
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
return True
def __new_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False):
"""
注文を作成する
"""
if limit > 0 and post_only:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
elif limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_new(symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
stopPx=stop).
result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit).
result())
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_new(symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
stopPx=stop).
result())
elif post_only: # market order with post only
ord_type = "Limit"
i = 0
while True:
prices = self.ob.get_prices()
limit = prices[1] if side == "Buy" else prices[0]
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
time.sleep(1)
if not self.cancel(ord_id):
break
time.sleep(2)
i += 1
if i > 10:
notify(f"Order retry count exceed")
break
self.cancel_all()
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_new(symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty)
.result())
if self.enable_trade_log:
logger.info(f"========= New Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"New Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def __amend_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False):
"""
注文を更新する
"""
if limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit, stopPx=stop)
.result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result())
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, stopPx=stop).result())
elif post_only: # market order with post only
ord_type = "Limit"
prices = self.ob.get_prices()
limit = prices[1] if side == "Buy" else prices[0]
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result())
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty).result())
if self.enable_trade_log:
logger.info(f"========= Amend Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"Amend Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def entry(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
when=True):
"""
注文をする。pineの関数と同等の機能。
https://jp.tradingview.com/study-script-reference/#fun_strategy{dot}entry
:param id: 注文の番号
:param long: ロング or ショート
:param qty: 注文量
:param limit: 指値
:param stop: ストップ指値
:param post_only: ポストオンリー
:param when: 注文するか
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
pos_size = self.get_position_size()
if long and pos_size > 0:
return
if not long and pos_size < 0:
return
ord_qty = qty + abs(pos_size)
self.order(id, long, ord_qty, limit, stop, post_only, when)
def order(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
when=True):
"""
注文をする。pineの関数と同等の機能。
https://jp.tradingview.com/study-script-reference/#fun_strategy{dot}order
:param id: 注文の番号
:param long: ロング or ショート
:param qty: 注文量
:param limit: 指値
:param stop: ストップ指値
:param post_only: ポストオンリー
:param when: 注文するか
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
side = "Buy" if long else "Sell"
ord_qty = qty
order = self.get_open_order(id)
ord_id = id + ord_suffix() if order is None else order["clOrdID"]
if order is None:
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only)
else:
self.__amend_order(ord_id, side, ord_qty, limit, stop, post_only)
def get_open_order(self, id):
"""
注文を取得する。
:param id: 注文番号
:return:
"""
self.__init_client()
open_orders = retry(lambda: self.private_client.Order.Order_getOrders(
filter=json.dumps({
"symbol": "XBTUSD",
"open": True
})).result())
open_orders = [o for o in open_orders if o["clOrdID"].startswith(id)]
if len(open_orders) > 0:
return open_orders[0]
else:
return None
def exit(self, profit=0, loss=0, trail_offset=0):
"""
利確、損切戦略の登録 lossとtrail_offsetが両方設定されたら、trail_offsetが優先される
:param profit: 利益(ティックで指定する)
:param loss: 損切(ティックで指定する)
:param trail_offset: トレーリングストップの価格(ティックで指定)
"""
self.exit_order = {
'profit': profit,
'loss': loss,
'trail_offset': trail_offset
}
def get_exit_order(self):
"""
利確、損切戦略を取得する
"""
return self.exit_order
def eval_exit(self):
"""
利確、損切戦略の評価
"""
if self.get_position_size() == 0:
return
unrealised_pnl = self.get_position()['unrealisedPnl']
# trail assetが設定されていたら
if self.get_exit_order()['trail_offset'] > 0 and self.get_trail_price(
) > 0:
if self.get_position_size() > 0 and \
self.get_market_price() - self.get_exit_order()['trail_offset'] < self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
elif self.get_position_size() < 0 and \
self.get_market_price() + self.get_exit_order()['trail_offset'] > self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
# lossが設定されていたら
if unrealised_pnl < 0 and \
0 < self.get_exit_order()['loss'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Loss cut by stop loss: {self.get_exit_order()['loss']}")
self.close_all()
# profitが設定されていたら
if unrealised_pnl > 0 and \
0 < self.get_exit_order()['profit'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Take profit by stop profit: {self.get_exit_order()['profit']}"
)
self.close_all()
def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
足データを取得する
:param start_time: 開始時間
:param end_time: 終了時間
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
left_time = start_time
right_time = end_time
data = to_data_frame([])
while True:
source = retry(lambda: self.public_client.Trade.Trade_getBucketed(
symbol="XBTUSD",
binSize=fetch_bin_size,
startTime=left_time,
endTime=right_time,
count=500,
partial=False).result())
if len(source) == 0:
break
source = to_data_frame(source)
data = pd.concat([data, source])
if right_time > source.iloc[-1].name + delta(fetch_bin_size):
left_time = source.iloc[-1].name + delta(fetch_bin_size)
time.sleep(2)
else:
break
return resample(data, bin_size)
def security(self, bin_size):
"""
別時間軸データを再計算して、取得する
"""
return resample(self.data, bin_size)[:-1]
def __update_ohlcv(self, action, new_data):
"""
データを取得して、戦略を実行する。
"""
if self.data is None:
end_time = datetime.now(timezone.utc)
start_time = end_time - self.ohlcv_len * delta(self.bin_size)
d1 = self.fetch_ohlcv(self.bin_size, start_time, end_time)
if len(d1) > 0:
d2 = self.fetch_ohlcv(
allowed_range[self.bin_size][0],
d1.iloc[-1].name + delta(allowed_range[self.bin_size][0]),
end_time)
self.data = pd.concat([d1, d2])
else:
self.data = d1
else:
self.data = pd.concat([self.data, new_data])
# 最後の行は不確定情報のため、排除する
re_sample_data = resample(self.data, self.bin_size)[:-1]
if self.data.iloc[-1].name == re_sample_data.iloc[-1].name:
self.data = re_sample_data.iloc[-1 * self.ohlcv_len:, :]
if self.last_action_time is not None and \
self.last_action_time == re_sample_data.iloc[-1].name:
return
open = re_sample_data['open'].values
close = re_sample_data['close'].values
high = re_sample_data['high'].values
low = re_sample_data['low'].values
volume = re_sample_data['volume'].values
try:
if self.strategy is not None:
self.strategy(open, close, high, low, volume)
self.last_action_time = re_sample_data.iloc[-1].name
except FatalError as e:
# 致命的エラー
logger.error(f"Fatal error. {e}")
logger.error(traceback.format_exc())
notify(f"Fatal error occurred. Stopping Bot. {e}")
notify(traceback.format_exc())
self.stop()
except Exception as e:
logger.error(f"An error occurred. {e}")
logger.error(traceback.format_exc())
notify(f"An error occurred. {e}")
notify(traceback.format_exc())
def __on_update_instrument(self, action, instrument):
"""
取引価格を更新する
"""
if 'lastPrice' in instrument:
self.market_price = instrument['lastPrice']
# trail priceの更新
if self.get_position_size() > 0 and \
self.market_price > self.get_trail_price():
self.set_trail_price(self.market_price)
if self.get_position_size() < 0 and \
self.market_price < self.get_trail_price():
self.set_trail_price(self.market_price)
def __on_update_wallet(self, action, wallet):
"""
walletを更新する
"""
self.wallet = {
**self.wallet,
**wallet
} if self.wallet is not None else self.wallet
def __on_update_position(self, action, position):
"""
ポジションを更新する
"""
# ポジションサイズの変更がされたか
is_update_pos_size = self.get_position(
)['currentQty'] != position['currentQty']
# ポジションサイズが変更された場合、トレイル開始価格を現在の価格にリセットする
if is_update_pos_size and position['currentQty'] != 0:
self.set_trail_price(self.market_price)
if is_update_pos_size:
logger.info(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
notify(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
self.position = {
**self.position,
**position
} if self.position is not None else self.position
# 利確損切の評価
self.eval_exit()
def __on_update_margin(self, action, margin):
"""
マージンを更新する
"""
self.margin = {
**self.margin,
**margin
} if self.margin is not None else self.margin
def on_update(self, bin_size, strategy):
"""
戦略の関数を登録する。
:param strategy:
"""
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BitMexWs(test=self.demo)
self.ws.bind(allowed_range[bin_size][0], self.__update_ohlcv)
self.ws.bind('instrument', self.__on_update_instrument)
self.ws.bind('wallet', self.__on_update_wallet)
self.ws.bind('position', self.__on_update_position)
self.ws.bind('margin', self.__on_update_margin)
self.ob = OrderBook(self.ws)
def stop(self):
"""
クローラーを止める。
"""
self.is_running = False
self.ws.close()
def show_result(self):
"""
取引結果を表示する。
"""
pass
def plot(self, name, value, color, overlay=True):
"""
グラフに描画する。
"""
pass
class BitMex:
# wallet
wallet = None
# 가격
market_price = 0
# 포지션
position = None
# 마진
margin = None
# 이용하는 봉시간 단위
bin_size = '1h'
# 개인API사용자
private_client = None
# 공개API사용자
public_client = None
# 기동중
is_running = True
# 봉, 거래량을 취득하는 크롤러
crawler = None
# 전략실시 리스너
strategy = None
# 로그출력
enable_trade_log = True
# OHLC길이
# ohlcv_len = 100
ohlcv_len = 1000
# OHLC캐쉬
data = None
# 이익 확인 손절 구분자
exit_order = {'profit': 0, 'loss': 0, 'trail_offset': 0}
# Trailing Stop 가격 봉의 축가격
trail_price = 0
# 最後に戦略を実行した時間
last_action_time = None
def __init__(self, demo=False, threading=True):
"""
컨스트럭터
:param demo:
:param run:
"""
self.demo = demo
self.is_running = threading
def __init_client(self):
"""
초기화 함수
"""
if self.private_client is not None and self.public_client is not None:
return
# api_key = os.environ.get("BITMEX_TEST_APIKEY") if self.demo else os.environ.get("BITMEX_APIKEY")
# api_secret = os.environ.get("BITMEX_TEST_SECRET") if self.demo else os.environ.get("BITMEX_SECRET")
# tobby2002
# api_key = 'KQW_2f_brKDMjonpBTkBC8nK'
# api_secret = 'NQ2mXkIWNVClJddk0t3ZdO1jV9Ihq39ISV5DLT1pwcU1ZGpt'
# redlee80
api_key = 'NPo11uetPveJeDUMcMW19B_x'
api_secret = 'pcbKMRlLxH_fS3oCyEeDkFNhp1UGmyu8CpxLbwEokOvpd2Ud'
self.private_client = bitmex_api(test=self.demo,
api_key=api_key,
api_secret=api_secret)
self.public_client = bitmex_api(test=self.demo)
def now_time(self):
"""
현재시간
"""
return datetime.now().astimezone(UTC)
def get_retain_rate(self):
"""
증거금 유지율
:return:
"""
return 0.8
def get_lot(self):
"""
수량 계산 및 취득
:return:
"""
margin = self.get_margin()
position = self.get_position()
if margin and position:
return math.floor(
(1 - self.get_retain_rate()) * self.get_market_price() *
margin['excessMargin'] /
(position['initMarginReq'] * 100000000))
else:
# logger.info("Error---> There is no margin or no position.") # 거래내역이 없으면 생기는것 같다.
return 0
def get_balance(self):
"""
잔고 취득
:return:
"""
self.__init_client()
return self.get_margin()["walletBalance"]
def get_margin(self):
"""
마진 취득
:return:
"""
self.__init_client()
if self.margin is not None:
return self.margin
else: # WebSocketで取得できていない場合
self.margin = retry(lambda: self.private_client.User.
User_getMargin(currency="XBt").result())
return self.margin
def get_leverage(self):
"""
레버리지 취득
:return:
"""
self.__init_client()
return self.get_position()["leverage"]
def get_position(self):
"""
현재포지션 취득
:return:
"""
self.__init_client()
if self.position is not None:
return self.position
else: # WebSocketで取得できていない場合
ret = retry(lambda: self.private_client.Position.Position_get(
filter=json.dumps({"symbol": "XBTUSD"})).result())
if len(ret) > 0:
self.position = ret[0]
return self.position
def get_position_size(self):
"""
현재 포지션 사이즈 취득
:return:
"""
self.__init_client()
try:
currentqty = self.get_position()['currentQty']
except Exception as e: # 에러 종류
logger.error(e)
logger.error(traceback.format_exc())
return currentqty
def get_whichpositon(self):
"""
현재 포지션 유무체크
:return:
"""
self.__init_client()
if self.get_position()['currentQty'] > 1:
return 'LONG'
elif self.get_position()['currentQty'] < -1:
return 'SHORT'
elif self.get_position()['currentQty'] == 0:
return None
def get_position_avg_price(self):
"""
현재 포지션 평균가 취득
:return:
"""
self.__init_client()
return self.get_position()['avgEntryPrice']
def get_market_price(self):
"""
현재 시장가 취득
:return:
"""
self.__init_client()
if self.market_price != 0:
return self.market_price
else: # WebSocketで取得できていない場合
self.market_price = retry(
lambda: self.public_client.Instrument.Instrument_get(
symbol="XBTUSD").result())[0]["lastPrice"]
return self.market_price
def get_trail_price(self):
"""
Trail Price 취득
:return:
"""
return self.trail_price
def set_trail_price(self, value):
"""
Trail Price 설정
:return:
"""
self.trail_price = value
def get_commission(self):
"""
수수료 취득
:return:
"""
return 0.075 / 100
def cancel_all(self):
"""
전체 주문 취소
"""
self.__init_client()
orders = retry(
lambda: self.private_client.Order.Order_cancelAll().result())
for order in orders:
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Cancel All Order")
def close_all(self):
"""
전체 포지션 해제
"""
self.__init_client()
order = retry(lambda: self.private_client.Order.Order_closePosition(
symbol="XBTUSD").result())
logger.info(
f"Close Position : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
logger.info(f"Close All Position")
def cancel(self, id):
"""
주문 취소
:param id: 주문번호
:return 성공여부
"""
self.__init_client()
order = self.get_open_order(id)
if order is None:
return False
try:
retry(lambda: self.private_client.Order.Order_cancel(orderID=order[
'orderID']).result())[0]
except HTTPNotFound:
return False
logger.info(
f"Cancel Order : (orderID, orderType, side, orderQty, limit, stop) = "
f"({order['orderID']}, {order['ordType']}, {order['side']}, {order['orderQty']}, "
f"{order['price']}, {order['stopPx']})")
return True
def __new_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False):
"""
주문 작성
"""
try:
if limit > 0 and post_only:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
elif limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
stopPx=stop).result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit).result())
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
stopPx=stop).result())
elif post_only: # market order with post only
ord_type = "Limit"
i = 0
while True:
prices = self.ob.get_prices()
limit = prices[1] if side == "Buy" else prices[0]
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty,
price=limit,
execInst='ParticipateDoNotInitiate').result())
time.sleep(1)
if not self.cancel(ord_id):
break
time.sleep(2)
i += 1
if i > 10:
notify(f"Order retry count exceed")
break
self.cancel_all()
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_new(
symbol="XBTUSD",
ordType=ord_type,
clOrdID=ord_id,
side=side,
orderQty=ord_qty).result())
except Exception as e:
logger.error('Exception: __new_order : %s' % e)
if self.enable_trade_log:
logger.info(f"========= New Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"New Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def __amend_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False):
"""
주문 갱신
"""
try:
if limit > 0 and stop > 0:
ord_type = "StopLimit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id,
orderQty=ord_qty,
price=limit,
stopPx=stop).result())
elif limit > 0:
ord_type = "Limit"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result(
))
elif stop > 0:
ord_type = "Stop"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, stopPx=stop).result(
))
elif post_only: # market order with post only
ord_type = "Limit"
prices = self.ob.get_prices()
limit = prices[1] if side == "Buy" else prices[0]
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty, price=limit).result(
))
else:
ord_type = "Market"
retry(lambda: self.private_client.Order.Order_amend(
origClOrdID=ord_id, orderQty=ord_qty).result())
except Exception as e:
logger.error('Exception: __amend_order : %s' % e)
if self.enable_trade_log:
logger.info(f"========= Amend Order ==============")
logger.info(f"ID : {ord_id}")
logger.info(f"Type : {ord_type}")
logger.info(f"Side : {side}")
logger.info(f"Qty : {ord_qty}")
logger.info(f"Limit : {limit}")
logger.info(f"Stop : {stop}")
logger.info(f"======================================")
notify(
f"Amend Order\nType: {ord_type}\nSide: {side}\nQty: {ord_qty}\nLimit: {limit}\nStop: {stop}"
)
def entry(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
when=True):
"""
주문 엔트리 함수. pine언어와 동등
https://kr.tradingview.com/study-script-reference/#fun_strategy{dot}entry
:param id: 주문번호
:param long: 롱 or 숏
:param qty: 주문수량
:param limit: 제시가
:param stop: 스탑제시가
:param post_only: post only 옵션
:param when: 주문조건
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
pos_size = self.get_position_size()
if long and pos_size > 0:
return
if not long and pos_size < 0:
return
ord_qty = qty + abs(pos_size)
self.order(id, long, ord_qty, limit, stop, post_only, when)
def order(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
when=True):
"""
주문함수. pine언어와 동등
https://kr.tradingview.com/study-script-reference/#fun_strategy{dot}order
:param id: 주문번호
:param long: 롱 or 숏
:param qty: 주문수량
:param limit: 제시가
:param stop: 스탑제시가
:param post_only: post only 옵션
:param when: 주문조건
:return:
"""
self.__init_client()
if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
return
if not when:
return
side = "Buy" if long else "Sell"
ord_qty = qty
order = self.get_open_order(id)
ord_id = id + ord_suffix() if order is None else order["clOrdID"]
if order is None:
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only)
else:
self.__amend_order(ord_id, side, ord_qty, limit, stop, post_only)
def get_open_order(self, id):
"""
주문휘득
:param id: 주문번호
:return:
"""
self.__init_client()
open_orders = retry(lambda: self.private_client.Order.Order_getOrders(
filter=json.dumps({
"symbol": "XBTUSD",
"open": True
})).result())
# print('open_orders:%s' % open_orders)
open_orders = [o for o in open_orders if o["clOrdID"].startswith(id)]
if len(open_orders) > 0:
return open_orders[0]
else:
return None
def exit(self, profit=0, loss=0, trail_offset=0):
"""
익손손절 전략 등록. loss 와 trail_offset 이 둘다 설정되 있으면 trail_offset 가 우선함
:param profit: 이익 (Tick설정)
:param loss: 손익 (Tick설정)
:param trail_offset: Trail Stop 가격 (Tick설정)
"""
self.exit_order = {
'profit': profit,
'loss': loss,
'trail_offset': trail_offset
}
def get_exit_order(self):
"""
익손손절 전략평가 취득
"""
return self.exit_order
def eval_exit(self):
"""
이익, 손익, 손절 전략의 평가후 포지션 정리 함수
"""
if self.get_position_size() == 0:
return
unrealised_pnl = self.get_position()['unrealisedPnl']
# trail asset 이 설정되어 있으면
if self.get_exit_order()['trail_offset'] > 0 and self.get_trail_price(
) > 0:
if self.get_position_size() > 0 and \
self.get_market_price() - self.get_exit_order()['trail_offset'] < self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
elif self.get_position_size() < 0 and \
self.get_market_price() + self.get_exit_order()['trail_offset'] > self.get_trail_price():
logger.info(
f"Loss cut by trailing stop: {self.get_exit_order()['trail_offset']}"
)
self.close_all()
# loss 가 설정되어 있으면
if unrealised_pnl < 0 and \
0 < self.get_exit_order()['loss'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Loss cut by stop loss: {self.get_exit_order()['loss']}")
self.close_all()
# profit 이 설정되어 있으면
if unrealised_pnl > 0 and \
0 < self.get_exit_order()['profit'] < abs(unrealised_pnl / 100000000):
logger.info(
f"Take profit by stop profit: {self.get_exit_order()['profit']}"
)
self.close_all()
def fetch_ohlcv(self, bin_size, start_time, end_time):
"""
봉데이터 취득
:param start_time: 시작시간
:param end_time: 종료시간
:return:
"""
self.__init_client()
fetch_bin_size = allowed_range[bin_size][0]
left_time = start_time
right_time = end_time
data = to_data_frame([])
while True:
source = retry(lambda: self.public_client.Trade.Trade_getBucketed(
symbol="XBTUSD",
binSize=fetch_bin_size,
startTime=left_time,
endTime=right_time,
count=500,
partial=False).result())
if len(source) == 0:
break
source = to_data_frame(source)
data = pd.concat([data, source], sort=True)
if right_time > source.iloc[-1].name + delta(fetch_bin_size):
left_time = source.iloc[-1].name + delta(fetch_bin_size)
time.sleep(2)
else:
break
return resample(data, bin_size)
def security(self, bin_size):
"""
다른 시간축 데이터를 재계산 후, 취득
"""
return resample(self.data, bin_size)[:-1]
def __update_ohlcv(self, action, new_data):
"""
데이터를 취득한 후, 전략을 실행
데이터가 없으면 서버와 접속해서 다운로드를 처음 함, 그 후는 어떻게 할까
"""
if self.data is None:
end_time = datetime.now(timezone.utc)
start_time = end_time - self.ohlcv_len * delta(self.bin_size)
d1 = self.fetch_ohlcv(self.bin_size, start_time, end_time)
if len(d1) > 0:
d2 = self.fetch_ohlcv(
allowed_range[self.bin_size][0],
d1.iloc[-1].name + delta(allowed_range[self.bin_size][0]),
end_time)
self.data = pd.concat([d1, d2], sort=True)
else:
self.data = d1
else:
self.data = pd.concat([self.data, new_data], sort=True)
# 마지막행은 불학정정보이기에 베제한다. (original)
# re_sample_data = resample(self.data, self.bin_size)[:-1]
# 마지막행도 반영한다. (by neo)
re_sample_data = resample(self.data, self.bin_size)[:]
if self.data.iloc[-1].name == re_sample_data.iloc[-1].name:
self.data = re_sample_data.iloc[-1 * self.ohlcv_len:, :]
if self.last_action_time is not None and \
self.last_action_time == re_sample_data.iloc[-1].name:
return
open = re_sample_data['open'].values
close = re_sample_data['close'].values
high = re_sample_data['high'].values
low = re_sample_data['low'].values
volume = re_sample_data['volume'].values
try:
if self.strategy is not None:
self.strategy(open, close, high, low, volume)
self.last_action_time = re_sample_data.iloc[-1].name
except FatalError as e:
# 致命的エラー
logger.error(f"Fatal error. {e}")
logger.error(traceback.format_exc())
notify(f"Fatal error occurred. Stopping Bot. {e}")
notify(traceback.format_exc())
self.stop()
except Exception as e:
logger.error(f"An error occurred. {e}")
logger.error(traceback.format_exc())
notify(f"An error occurred. {e}")
notify(traceback.format_exc())
def __on_update_instrument(self, action, instrument):
"""
거래가격 갱신
"""
if 'lastPrice' in instrument:
self.market_price = instrument['lastPrice']
# trail price 갱신
if self.get_position_size() > 0 and \
self.market_price > self.get_trail_price():
self.set_trail_price(self.market_price)
if self.get_position_size() < 0 and \
self.market_price < self.get_trail_price():
self.set_trail_price(self.market_price)
def __on_update_wallet(self, action, wallet):
"""
wallet 갱신
"""
self.wallet = {
**self.wallet,
**wallet
} if self.wallet is not None else self.wallet
def __on_update_position(self, action, position):
"""
포지션 갱신
"""
# 포지션 사이즈 변경이 있었는지 체크
is_update_pos_size = self.get_position(
)['currentQty'] != position['currentQty']
# 포지션 사이즈가 변경된 경우, Trail 개시가격을 현재의 가격에 리셋한다.
if is_update_pos_size and position['currentQty'] != 0:
self.set_trail_price(self.market_price)
if is_update_pos_size:
logger.info(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
notify(
f"Updated Position\n"
f"Price: {self.get_position()['avgEntryPrice']} => {position['avgEntryPrice']}\n"
f"Qty: {self.get_position()['currentQty']} => {position['currentQty']}\n"
f"Balance: {self.get_balance()/100000000} XBT")
self.position = {
**self.position,
**position
} if self.position is not None else self.position
# 익손절의 평가
self.eval_exit()
def __on_update_margin(self, action, margin):
"""
마진 갱신
"""
self.margin = {
**self.margin,
**margin
} if self.margin is not None else self.margin
def on_update(self, bin_size, strategy):
"""
전략함수 등록
:param strategy:
"""
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BitMexWs(test=self.demo)
self.ws.bind(allowed_range[bin_size][0], self.__update_ohlcv)
self.ws.bind('instrument', self.__on_update_instrument)
self.ws.bind('wallet', self.__on_update_wallet)
self.ws.bind('position', self.__on_update_position)
self.ws.bind('margin', self.__on_update_margin)
self.ob = OrderBook(self.ws)
def stop(self):
"""
크롤러 정지
"""
self.is_running = False
self.ws.close()
def show_result(self):
"""
거래결과보기
"""
pass
def plot(self, name, value, color, overlay=True):
"""
그래프 그리기。
"""
pass