def get_timeframe():
timeframe = SettingValue.query.filter_by(
slug=slugs['timeframe']).one_or_none()
if not timeframe:
timeframe = '1d'
logger(description="timeframe не найден, установленно значание 1d")
SettingValue.create('timeframe', '1d')
else:
timeframe = timeframe.value
return timeframe
def _analysis(klines):
klines = klines[:len(klines) - int(not USE_OPEN_CANDLES)]
closes = [float(x[4]) for x in klines]
high = [float(x[2]) for x in klines]
low = [float(x[3]) for x in klines]
# Скользящая средняя
sma_5 = ta.SMA(closes, 5)
sma_100 = ta.SMA(closes, 100)
ema_5 = ta.EMA(closes, 5)
ema_100 = ta.EMA(closes, 100)
enter_points = 0
if ema_5[-1] > ema_100[-1] and sma_5[-1] > sma_100[-1]:
# Быстрая EMA выше медленной и быстрая SMA выше медленной, считаем, что можно входить
enter_points += 1
macd, macdsignal, macdhist = ta.MACD(closes, 12, 26, 9)
if macd[-1] > macdsignal[-1] and macdhist[-1] > 0:
# Линия макд выше сигнальной и на гистограмме они выше нуля
enter_points += 1.3
rsi_9 = ta.RSI(closes, 9)
rsi_14 = ta.RSI(closes, 14)
rsi_21 = ta.RSI(closes, 21)
if rsi_9[-1] < 70 and rsi_14[-1] < 70 and rsi_21[-1] < 70:
# RSI не показывает перекупленности
enter_points += 2
fast, slow = ta.STOCH(high, low, closes, 5, 3, 3)
if fast[-1] > slow[-1]:
# Быстрая линия стохастика выше медленной, вход
enter_points += 1.5
fast, slow = ta.STOCHRSI(closes, 14, 3, 3)
if fast[-1] > slow[-1]:
# Быстрая линия STOCHRSI выше медленной, вход
enter_points += 1.8
upper, middle, lower = ta.BBANDS(closes, ma_period=21)
if high[-1] > upper[-1]:
# Свеча пробила верхнюю полосу Боллинджера
enter_points += 3
points_to_enter = get_points_to_enter()
log_data = {
'description': f"Свеча набрала {enter_points} баллов, минимум {points_to_enter}",
'log_type': 'debug',
}
logger(**log_data)
return enter_points < points_to_enter
def get_setting_value(slug, default, value_type):
value = SettingValue.query.filter_by(slug=slug).one_or_none()
if not value:
value = value_type(default)
logger(
description=f"{slug} не найден, установленно значание {default}")
SettingValue.create(f"{slug}", f"{default}")
return value
else:
value = value_type(value.value)
return value
def get_points_to_enter():
points_to_enter = SettingValue.query.filter_by(
slug=slugs['points_to_enter']).one_or_none()
if points_to_enter:
points_to_enter = float(points_to_enter.value)
else:
points_to_enter = 7
logger(
description="points_to_enter не найден, установленно значание 7")
SettingValue.create('points_to_enter', '7')
return points_to_enter
def get_klines_limits():
klines_limits = SettingValue.query.filter_by(
slug=slugs['klines_limits']).one_or_none()
if klines_limits:
klines_limits = int(klines_limits.value)
else:
klines_limits = 200
logger(
description="klines_limits не найден, установленно значание 200")
SettingValue.create('klines_limits', '200')
return klines_limits
def create_order(self, side, recvWindow, quantity, price=0.):
quantity = float(quantity)
new_order = api.createOrder(
symbol=self.pair,
recvWindow=recvWindow,
side=side,
type='MARKET',
quantity="{quantity:0.{precision}f}".format(
quantity=quantity,
precision=self.get_limit()['baseAssetPrecision']),
newOrderRespType='FULL')
if 'orderId' in new_order:
if side.lower() == 'buy':
self.order_id = new_order['orderId']
logger(description=
f"Создан ордер на покупку id:{new_order['orderId']} \
price: {price},quantity: {quantity}",
log_type='info')
order = Order(order_type='buy',
pair=self.pair,
buy_order_id=new_order['orderId'],
buy_amount=quantity,
buy_price=price)
session.add(order)
session.commit()
self.update_rate(method='buy')
elif side.lower() == 'sell':
logger(
description=f"Создан ордер на продажу по рынку {new_order}",
log_type='info',
)
session.query(Order).filter_by(
buy_order_id=self.order_id).update({
'order_type':
side.lower(),
'sell_finished':
datetime.datetime.utcnow(),
'sell_created':
datetime.datetime.utcnow(),
'sell_order_id':
new_order['orderId'],
'sell_amount':
quantity,
'sell_price':
price
})
session.commit()
self.update_rate(method='sell')
else:
raise Exception('error order doesn\'t create')
return new_order
def calc_sell_avg_rate(order_trades, log):
sold = 0
got = 0
fee = 0
for trade in order_trades:
sold += trade.trade_amount
got += trade.trade_amount * trade.trade_rate
fee += trade.trade_fee
logger(description='По ордеру была сделка {id} на продажу {am:0.8f} по курсу {r:0.8f}, комиссия {fee:0.8f} {f_a}'.format(
id=trade.trade_id,
am=trade.trade_amount,
r=trade.trade_rate,
fee=trade.trade_fee,
f_a=trade.fee_type
),
log_type='debug',)
try:
avg_rate = got / sold
except ZeroDivisionError:
logger(description='Не удалось посчитать средневзвешенную цену, деление на 0',
log_type='debug',)
avg_rate = 0
logger(description='Средневзвешенная цена {ar:0.8f}'.format(ar=avg_rate),
log_type='debug',)
return avg_rate
def calc_buy_avg_rate(order_trades, log):
bought = 0
spent = 0
fee = 0
avg_rate = 0
for trade in order_trades:
bought += trade.trade_amount
spent += trade.trade_amount * trade.trade_rate
fee += trade.trade_fee
try:
logger(description='По ордеру была сделка {id} на покупку {am:0.8f} по курсу {r:0.8f}, комиссия {fee:0.8f} {f_a}'.format(
id=trade.trade_id,
am=trade.trade_amount,
r=trade.trade_rate,
fee=trade.trade_fee,
f_a=trade.fee_type
),
log_type='debug',)
avg_rate = spent / bought
except ZeroDivisionError:
logger(description='Не удалось посчитать средневзвешенную цену, деление на 0',
log_type='debug',)
avg_rate = 0
logger(
description='Средневзвешенная цена {ar:0.8f}'.format(ar=avg_rate),
log_type='debug',
)
return avg_rate
def sync_time(bot, log, pause):
while True:
try:
# Получаем ограничения торгов по всем парам с биржи
limits = bot.exchangeInfo()
local_time = int(time.time())
server_time = int(limits['serverTime']) // 1000
# Бесконечный цикл программы
shift_seconds = server_time - local_time
if local_time + shift_seconds != server_time:
bot.set_shift_seconds(shift_seconds)
logger(
description="""
Текущее время: {local_time_d} {local_time_u}
Время сервера: {server_time_d} {server_time_u}
Разница: {diff:0.8f} {warn}
Бот будет работать, как будто сейчас: {fake_time_d} {fake_time_u}
""".format(
local_time_d=datetime.fromtimestamp(local_time), local_time_u=local_time,
server_time_d=datetime.fromtimestamp(server_time), server_time_u=server_time,
diff=abs(local_time - server_time),
warn="ТЕКУЩЕЕ ВРЕМЯ ВЫШЕ" if local_time > server_time else '',
fake_time_d=datetime.fromtimestamp(local_time + shift_seconds),
fake_time_u=local_time + shift_seconds
),
log_type='debug',
)
except:
log.exception('sync_time error')
if pause:
time.sleep(10000)
else:
break
def analysis_apo(klines):
sma_p = get_setting_value(slugs['apo_sma_p'], 17, int)
NUM_PERIODS_FAST = get_setting_value(slugs['APO_NUM_PERIODS_FAST'], 6, int)
NUM_PERIODS_SLOW = get_setting_value(slugs['APO_NUM_PERIODS_SLOW'], 24, int)
APO_VALUE_FOR_BUY_ENTRY = get_setting_value(slugs['APO_VALUE_FOR_BUY_ENTRY'], -5, int)
closes = [float(x[4]) for x in klines]
timestamp_open_list = [float(x[1]) for x in klines]
timestamp_close_list = [float(x[6]) for x in klines]
high_list = [float(x[2]) for x in klines]
low_list = [float(x[3]) for x in klines]
data = []
for op, close, high, low in zip(timestamp_open_list, closes, high_list, low_list):
data.append({'open': op, 'close': close, 'high': high, 'low': low})
data = pd.DataFrame(data, index=timestamp_close_list)
price_history = []
K_FAST = 2 / (NUM_PERIODS_FAST + 1)
ema_fast = 0
ema_fast_values = []
K_SLOW = 2 / (NUM_PERIODS_SLOW + 1)
ema_slow = 0
ema_slow_values = []
apo_valus = []
stdev_factors = []
close = data['close']
for close_price in close:
price_history.append(close_price)
if len(price_history) > sma_p:
del price_history[0]
sma = stat.mean(price_history)
variance = 0
for hist_price in price_history:
variance = variance + ((hist_price - sma) ** 2)
stdev = math.sqrt(variance / len(price_history))
stdev_factor = stdev / 15
if stdev_factor == 0:
stdev_factor = 1
stdev_factors.append(stdev_factor)
if ema_fast == 0:
ema_fast = close_price
ema_slow = close_price
else:
ema_fast = (close_price - ema_fast) * K_FAST * stdev_factor + ema_fast
ema_slow = (close_price - ema_slow) * K_SLOW * stdev_factor + ema_slow
ema_fast_values.append(ema_fast)
ema_slow_values.append(ema_slow)
apo = ema_fast - ema_slow
apo_valus.append(apo)
apo = apo_valus[-1]
stdev_factor = stdev_factors[-1]
trand = ema_slow_values[-1] > ema_slow_values[-2] > ema_slow_values[-3]
buy = apo < APO_VALUE_FOR_BUY_ENTRY * stdev_factor and trand
log_data = {
'description': f"trand {trand} and {apo} < {APO_VALUE_FOR_BUY_ENTRY * stdev_factor}, res:{buy}",
'log_type': 'debug',
}
logger(**log_data)
return buy
def main_flow():
while True:
time.sleep(request_pause())
if not run():
logger(description='no run', log_type='no')
continue
open_orders = get_running_orders()
all_pairs = get_pairs()
if open_orders:
for order in open_orders:
order_trade_data = api.orderInfo(symbol=order.pair,
orderId=order.order_id)
if 'status' not in order_trade_data:
logger(
description=
'\'status\' not in order_trade_data, pair={order.pair}, orderId={order.order_id}',
log_type='warning')
continue
order_status = order_trade_data['status']
order_type = order.order_type
pair = order.pair
profit_markup = all_pairs[
order_trade_data['symbol']]['profit_markup']
sell_verified = order.obj.sell_verified
use_stop_loss = all_pairs[pair]['use_stop_loss']
stop_loss = all_pairs[pair]['stop_loss']
order_process = OrderProcess(
order_id=order.order_id,
pair=order.pair,
order_data=order_trade_data,
)
if order.order_type == 'buy':
if not order.verified:
order_process.update_rate(method='buy')
if order_status == 'FILLED':
got_qty = order_process.get_qty()
bit_price = order_process.get_bit_price()
price_change = order_process.price_change(
bit_price, order.obj.buy_price)
logger(
description=
f"Цена изменилась на {price_change}%, процент для продажи {all_pairs[pair]['profit_markup']}",
log_type='info')
if price_change >= profit_markup:
order_process.create_order(side='SELL',
recvWindow=5000,
quantity=got_qty)
if order_type == 'sell' and not sell_verified:
order_process.update_rate(method='sell')
if use_stop_loss and order_status == 'FILLED' and order_type == 'buy':
curr_rate = float(api.tickerPrice(symbol=pair)['price'])
buy_price = order.obj.buy_price,
if (1 - curr_rate / buy_price[0]) * 100 >= stop_loss:
logger(
description=
f"{pair} Цена упала до стоплосс (покупали по {buy_price}, сейчас {curr_rate}),\
пора продавать, процент для продажи {stop_loss}",
log_type='info')
buy_amount = order_process.get_qty()
order_process.create_order(side='SELL',
quantity=buy_amount,
recvWindow=15000)
for order in get_running_orders():
del all_pairs[order.pair]
if all_pairs:
logger(
description=
f'Найдены пары, по которым нет неисполненных ордеров: {all_pairs.keys()}',
log_type='debug')
for pair, pair_obj in all_pairs.items():
timeframe = get_timeframe()
klines_limits = get_klines_limits()
klines = api.klines(symbol=pair.upper(),
interval=timeframe,
limit=klines_limits)
order_process = OrderProcess(
order_id=None,
pair=pair,
order_data=None,
)
spend_sum = pair_obj['spend_sum']
base_currency = pair_obj['base']
top_price = order_process.get_ask_price()
CURR_LIMITS = order_process.get_limit()
stepSize = CURR_LIMITS['filters'][2]['stepSize']
minQty = CURR_LIMITS['filters'][2]['minQty']
minNotional = CURR_LIMITS['filters'][3]['minNotional']
if not analysis(klines=klines):
continue
balances = {
balance['asset']: float(balance['free'])
for balance in api.account()['balances'] if
balance['asset'] in [pair_obj['base'], pair_obj['quote']]
}
logger(description=f"Баланс {balances}", log_type='debug')
if balances[base_currency] >= spend_sum:
my_amount = adjust_to_step(spend_sum / top_price, stepSize)
if my_amount < float(stepSize) or my_amount < float(
minQty):
logger(
description=
"Покупка невозможна, выход. Увеличьте размер ставки",
log_type='warning')
continue
trade_am = top_price * my_amount
if trade_am < float(minNotional):
raise Exception(
"""меньше допустимого по паре {min_am:0.8f}. минимальная сумма торгов {incr}"""
.format(trade_am=trade_am,
min_am=float(minNotional),
incr=minNotional))
order_process.create_order(recvWindow=5000,
side='BUY',
quantity=my_amount,
price=top_price)
