def calc_change_percent(sess, ticker, start_time, now, peak=True):
if peak:
start = Ticker.peak(sess, ticker, start_time=start_time, now=now)
else:
start = Ticker.current_ask(sess, ticker, start_time)
current = Ticker.current_ask(sess, ticker, now)
if current is None or start is None:
log.debug(f"Could not get current/start for {ticker} at s={start_time} n={now}: c={current}, p={start}")
return 0, current
return round(100 * (current - start) / start, 2), current
def get_allowed_diff(self, sess, coin):
if coin == 'BTC':
return BTC_DIFF_THRESH
now = datetime.datetime.utcnow()
current = Ticker.current_ask(sess, coin, now)
if current is None:
current = 1
return BTC_DIFF_THRESH / current # in terms of the coin
def account_value_btc(sess, account, now):
# TODO: remove this duplicate
btc = account.balance('BTC')
for coin in account.coins:
if coin == 'BTC':
continue # BTC is priced in USD, everything else in BTC
units = account.balance(coin)
unit_price = Ticker.current_ask(sess, coin, now)
btc += units * unit_price
return btc
def close_alt_positions(sess, account, period):
for coin in account.coins:
if coin == 'BTC':
continue
price = Ticker.current_ask(sess, coin, period)
assert price is not None, f"no price for {coin} at {period}"
proceeds = account.trade(coin, -account.balance(coin), price, period)
assert proceeds >= 0, f"got {proceeds} when selling {coin}"
current = account.balance('BTC')
assert current >= 0, f"negative BTC in account"
current += proceeds
account.balances['BTC'] = current
def value_btc(self, sess, now=None):
btc = self.balance('BTC')
self.values_in_btc['BTC'] = btc
for coin in self.coins:
if coin == 'BTC':
continue # BTC is priced in USD, everything else in BTC
units = self.balance(coin)
unit_price = Ticker.current_ask(sess, coin, now)
if not unit_price:
continue
value = units * unit_price
self.values_in_btc[coin] = value
btc += value
return btc
def calculate_strengths(self, now, ticker, allow_missing=False):
if self.prices.get(ticker) is None:
self.fetch_data(ticker, now)
hour_avgs = self.avg_by_hour(now, ticker, allow_missing)
if hour_avgs is None:
return None
log.debug("Averages by hour: {}".format(hour_avgs))
current_price = Ticker.current_ask(self.sess, ticker, now)
if current_price is None or hour_avgs.get(1) is None:
log.debug("No price for {} @ {}".format(ticker, now))
return None
return current_price, [hour_avgs[hour] / current_price
for hour in self.HOURS[1:]]
def buy_and_hold(interval, coins, db_loc, step, balances):
start, stop = interval
account = Account(balances)
# one share of each alt, one share of BTC
btc_per_coin = account.balance('BTC') / (len(coins) + 1)
with_fees = btc_per_coin - (btc_per_coin * 0.0025)
db = create_db(db_loc)
sess = new_session(db)
for coin in coins:
price = Ticker.current_ask(sess, coin, now=start)
if not price:
continue
to_buy = with_fees / price
cost = account.trade(coin, to_buy, price, start)
account.update('BTC', cost, start)
start_value = account_value_btc(sess, account, now=start)
finish_value = account_value_btc(sess, account, stop)
low = min(start_value, finish_value)
high = max(start_value, finish_value)
results = BacktestResult(start,
stop,
step,
start_value,
finish_value,
account.fees,
account.txns,
gain_txns=[],
loss_txns=[],
out_of_btc=0,
hit_coin_limit=0,
high=high,
low=low)
log.debug("\nBuy and hold\n")
results.print_results()
return results