def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'chbtc'
self.tick_url = 'http://api.chbtc.com/data/ticker'
self.depth_url = 'http://api.chbtc.com/data/depth'
self.trade_url = 'http://api.chbtc.com/data/getTrades'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {}, {}, {})'''
def __init__(self,
global_model,
T,
T_max,
t_max=1000,
states_to_prime=1000,
summary_writer=None,
data=DATA):
self.previous = None # for testing if input is the same
self.t = tf.Variable(initial_value=1, trainable=False)
self.T = T
self.T_max = T_max
self.t_max = t_max
self.global_model = global_model
# Redundant
self.deep_model = not global_model.naive
self.naive = global_model.naive
self.states_to_prime = states_to_prime
#self.model = Model(**global_model.get_params()) # build model based on global model params
# For now, just interface with main model
self.model = self.global_model
self.summary_writer = summary_writer
# Each worker has an exchange; can be reset to any state
self.exchange = Exchange(data,
time_interval=1,
game_length=self.t_max,
naive_price_history=self.model.input_size,
naive_inputs=self.model.inputs_per_time_step)
def __init__(self):
Exchange.__init__(self)
self.name = 'Bitfinex'
self.trading_fee = 0.0015
self.transfer_fee = 0
self.logger = logging.getLogger('BitBot.Bitfinex')
def handler_exchanges_after_call(self, probability, messages_queue_fast):
exchange_name = self.status.split("_")[1]
mess = Message(self)
if probability == self.player.skill_book and self.player.book.get_quantity(
) == 0:
mess.set_text(message_book_empty)
return mess.get_message()
tiredness = self.player.is_tired()
if tiredness[0]:
if tiredness[1] is None:
mess.set_text(message_tired_2)
return mess.get_message()
mess.set_text(message_tired_1.format(tiredness[1]))
return mess.get_message()
mess_timer = Message(self)
mess_timer.set_text("✅ Ты готов к заключению новых сделок!")
messages_queue_fast.add_message(mess_timer.get_message(),
self.player.rest_time)
if probability == self.player.skill_book:
self.player.book.make_call()
keyboard = VkKeyboard(one_time=False)
keyboard.add_button(button_exchange_random,
color=VkKeyboardColor.DEFAULT)
keyboard.add_line()
keyboard.add_button(button_exchange_book.format(
self.player.book.get_quantity()),
color=VkKeyboardColor.DEFAULT)
keyboard.add_line()
keyboard.add_button(button_exchange_buy_book,
color=VkKeyboardColor.POSITIVE)
keyboard.add_line()
keyboard.add_button(button_go_back, color=VkKeyboardColor.PRIMARY)
keyboard.add_button(button_go_to_menu, color=VkKeyboardColor.PRIMARY)
mess.set_keyboard(keyboard)
if success(probability):
exchange = Exchange(exchange_name)
message_success, commission, exp = exchange.new_deal(self.player)
mess.set_text(message_success)
self.player.money += commission
message_level = self.player.level.add_exp(exp)
mess.add_text(message_level)
self.player.update_last_time_deal('success')
return mess.get_message()
else:
mess.set_text(message_lost)
self.player.update_last_time_deal('lost')
return mess.get_message()
def on_enter_Exchange(self, event):
# TODO: обработать биржу
print('Желаете торговать на бирже (y/n)? ==> ')
exchange = Exchange()
while exchange.state != 'End':
exchange.step()
self.is_crisis = True
def __init__(self):
"""
"""
self.config = Util.read_config()
self.exchange = Exchange("binance", self.config["binance_api_key"],
self.config["binance_api_secret"])
def __init__(self):
Exchange.__init__(self)
self.name = 'Bitfinex'
self.trading_fee = 0.0015
self.transfer_fee = 0
self.logger = logging.getLogger('BitBot.Bitfinex')
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'okcoin'
self.tick_url = 'https://www.okcoin.com/api/ticker.do?symbol={}'
self.depth_url = 'https://www.okcoin.com/api/depth.do?symbol={}'
self.trade_url = 'https://www.okcoin.com/api/trades.do?symbol={}'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {}, {}, {})'''
def main(script):
exchange = Exchange()
pairs = []
for k in exchange.get_markets():
if k['symbol'] is not None:
pairs.append(k['symbol'])
for pair in pairs:
#print(pair)
result = db.get_last_row_timestamp(pair)
if result is None:
last_row_timestamp = BINANCE_OPEN_DATE
else:
last_row_dt = result[1]
last_row_dt = last_row_dt + datetime.timedelta(minutes=1)
#print('Last row datetime = {}'.format(last_row_dt))
last_row_timestamp = int(time.mktime(
last_row_dt.timetuple())) * 1000
try:
data = exchange.get_ticker_history(pair, '1m', last_row_timestamp)
except Exception as e:
logger.error(e)
df = parse_ticker_dataframe(data)
db.write_market_data(df, pair)
def __init__(self, period):
self.period = period
self.statistics = Statistics(default="USDT")
self.exchange = Exchange(default="USDT")
self.current_asset_symbol = None
self.buyPrice = 0
def Main():
config = readConfig()
exchange = Exchange(config)
pairs = config['exchange']['pair_list']
exchange.ValidatePairs(pairs)
store = Store()
telegram = Telegram(config)
while True:
for pair in pairs:
print(f"Get {pair} {timeframe}")
df = exchange.fetchOHLCV(pair, timeframe, f"{size} hours ago")
if not df.empty:
df_old = store.load_data(pair,timeframe)
df = calculate_gainer(df)
if not df_old.empty:
df_old.append(df)
else:
df_old = df
store.store_data(pair=pair,timeframe=timeframe,data=df_old)
print(f"Returned {pair} {df.size} lines")
else:
print(f"Returned {pair} Empty!")
class BitfinexExchange():
def __init__(self):
self.exchange = ccxt.bitfinex() # 创建交易所，此处为okex交易所
self.exchange.apiKey = apikey.bitfinex_apiKey_ro # 此处加上自己的apikey和secret，都需要开通交易权限
self.exchange.secret = apikey.bitfinex_secret_ro
self.source_exchange = Exchange(self.exchange)
def fetch_ticker(self, symbol):
return self.source_exchange.fetch_ticker(symbol)
def fetch_trades(self, symbol, since, limit):
trades = self.source_exchange.fetch_trades(symbol,
since=since,
limit=limit)
for t in trades:
t['symbol'] = t['symbol']
t['price'] = t['info']['price']
t['amount'] = t['info']['amount']
t['side'] = t['info']['type']
return trades
def fetch_last_price(self, symbol):
ticker = self.source_exchange.fetch_ticker(symbol)
return float(ticker['info']['last_price'])
def fetch_order_book(self, symbol, limit):
return self.source_exchange.fetch_order_book(symbol, limit)
class BestAsset:
def __init__(self, period):
self.period = period
self.statistics = Statistics(default="USDT")
self.exchange = Exchange(default="USDT")
self.currentAssetSymbol = None
def best_asset(self):
try:
ticker_range = ["BTC", "ETH", "NEO", "BNB", "LTC", "BCH"]
best_asset_symbol = self.statistics.get_best_asset(
self.period, ticker_range)
if best_asset_symbol != self.currentAssetSymbol:
# Print on console best asset
print("Best Asset: %s" % best_asset_symbol)
# Sell all assets
self.exchange.sell_all_assets()
# Buy best asset
self.exchange.buy_asset(best_asset_symbol)
# Set new current asset
self.currentAssetSymbol = best_asset_symbol
except Exception as e:
print(e)
pass
def run(self):
print("Strategy Best Asset %s" % self.period.value)
while True:
self.best_asset()
time.sleep(10) # Sleep 10 seconds
def profileFunction():
cur = 'ETH'
priceStep = 10
ex = Exchange(debug=True,
startTime=1554681601,
hours=12,
stepTime=priceStep)
# Price stat variables to feed our neural network.
avgTime = 600 # 600 second (10 minute) moving average.
movAvg = None
prePrices = []
maxPrePrices = int(avgTime / priceStep)
while True:
# Get a new price list.
ex.updatePrices()
curPrice = ex.getPriceUSD('ETH')
if curPrice == None:
break
prePrices.append(curPrice)
if len(prePrices) > maxPrePrices:
prePrices.pop(0)
if len(prePrices) == maxPrePrices:
movAvg = helpers.expMovingAvg(prePrices, .5)
print('Done.')
def __init__(self):
Exchange.__init__(self, "KRAKEN")
self.conn = Connection()
self.api = API()
self.price_decimals = dict()
self.lot_decimals = dict()
self.api.load_key('kraken.keys')
self.pair_name_map = {}
with open('kraken_info.json') as f:
self.tickers = json.loads(f.read())['result'].items()
self.symbols = [
'USD', 'BTC', 'ETH', 'LTC', 'BCH', 'XMR', 'XRP', 'XLM', 'ADA',
'ATOM'
]
for pair, info in self.tickers:
if '.' in pair: # some duplicate entries have a period, unsure why
continue
token = symbol_from_kraken(info['base'])
currency = symbol_from_kraken(info['quote'])
if token in self.symbols and currency in self.symbols:
uniform_ticker = "%s-%s" % (token, currency)
self.pair_name_map[uniform_ticker] = pair
self.fees[uniform_ticker] = FEES[self.name].taker
self.price_decimals[uniform_ticker] = info['pair_decimals']
self.lot_decimals[uniform_ticker] = info['lot_decimals']
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'bitstamp'
self.tick_url = 'https://www.bitstamp.net/api/ticker/'
self.depth_url = 'https://www.bitstamp.net/api/order_book/'
self.trade_url = 'http://www.bitstamp.net/api/transactions?time=minute'
self.tick_interval = 2
self.depth_interval = 20
def __init__(self, manager):
Exchange.__init__(self, manager)
self.trade_interval = 10
self.depth_interval = 10
self.name = 'btcchina'
self.tick_url = 'https://data.btcchina.com/data/ticker?market={}'
self.depth_url = 'https://data.btcchina.com/data/orderbook?market={}'
self.trade_url = 'http://data.btcchina.com/data/historydata?market={}'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {}, {}, {})'''
def open(self):
print("opening local websocket")
self.snapshots = {"bitfinex": []}
self.subscribed = False #becomes true when snapshots are recieved from both exchanges
self.coinbase = Exchange(self, "wss://ws-feed-public.sandbox.gdax.com",
"coinbase")
self.bitfinex = Exchange(self, "wss://api.bitfinex.com/ws", "bitfinex")
def __init__(self, agents, update_when_receiving=False):
self.agents = agents
self.last_market_price = 0.5
self.market_price = 0.5
self.best_belief = 0.5
self.idx_agent_receiving_evidence = -1 #This is always set to the last agent to receive evidence
self.god = Agent()
self.exchange = Exchange()
self.update_when_receiving = update_when_receiving #Whlie receiving evidence, does the agent update belief based on change in market price?
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'mtgox'
self.tick_url = 'http://data.mtgox.com/api/1/{}/ticker'
self.depth_url = 'http://data.mtgox.com/api/2/{}/money/depth/fetch'
self.trade_url = 'https://data.mtgox.com/api/2/{}/money/trades'
self.depth_query = '''INSERT IGNORE INTO {} (ticker, requested, received, timestamp, bid, ask, bids, asks)
VALUES ('{}', {}, {}, {}, {}, {}, '{}', '{}')'''
self.depth_interval = 15
def __init__(self, manager):
Exchange.__init__(self, manager)
self.depth_interval = 10
self.name = 'bitfinex'
self.tick_url = 'https://api.bitfinex.com/v1/ticker/{}'
self.depth_url = 'https://api.bitfinex.com/v1/book/{}'
self.trade_url = 'https://api.bitfinex.com/v1/trades/{}'
self.tick_query= '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, timestamp, bid, ask, last) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {})'''
self.last_trade_query = '''SELECT MAX(timestamp) FROM {} WHERE ticker = '{}' '''
def test_run():
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.add_client(SimpleAlgo(order_gen))
for i in range(100):
print 'Round: ', i
exchange.do_trading()
trades = exchange.match_orders()
print exchange.last_trade()
def session(self):
exgs = self.wccxt.getallexchanges()
df = pd.DataFrame()
for exg in exgs:
exchange = Exchange(exg)
order_book = exchange.fetch_order_book()
df.append(order_book)
order_bookdf = pd.DataFrame(order_book)
print("aa")
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'fxbtc'
self.depth_interval = 15
self.tick_interval = 2
self.tick_url = 'https://data.fxbtc.com/api?op=query_ticker&symbol={}'
self.depth_url = 'https://data.fxbtc.com/api?op=query_depth&symbol={}'
self.trade_url = 'https://data.fxbtc.com/api?op=query_history_trades&symbol={}'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol)
def x_get_candlesticks(self,
timeframe="1h",
size="5m",
dateOffset="now()"):
self.timeframe = timeframe
self.cssize = size
points = self.influxdb.raw_query(
"""select LAST(basevolume) as basevolume, LAST(volume) as volume, FIRST(last) as open, LAST(last) as closed, MAX(last) as high, MIN(last) as low FROM "market_summary" WHERE marketname='{0}' and time < {1} and time > {1} - {2} group by time({3})"""
.format(self.market, dateOffset, timeframe, size)).get_points()
cs = self.clear_candlesticks()
psize = 0
for point in points:
psize += 1
cs["low"].extend([point["low"]])
cs["high"].extend([point["high"]])
cs["closed"].extend([point["closed"]])
cs["open"].extend([point["open"]])
cs["volume"].extend([point["volume"]])
cs["basevolume"].extend([point["basevolume"]])
cs["time"].extend([point["time"]])
if psize == 0:
raise Exception("no market data for {} at {}".format(
self.market, dateOffset))
def fix_gaps(lst):
for idx, val in enumerate(lst):
if val == None:
if idx > 0:
lst[idx] = lst[idx - 1]
if idx == 0:
lst[idx] = 0
fix_gaps(cs["low"])
fix_gaps(cs["high"])
fix_gaps(cs["closed"])
fix_gaps(cs["open"])
fix_gaps(cs["volume"])
fix_gaps(cs["basevolume"])
fix_gaps(cs["time"])
self.cs = {
"low": numpy.array(cs["low"]),
"high": numpy.array(cs["high"]),
"closed": numpy.array(cs["closed"]),
"volume": numpy.array(cs["volume"]),
"basevolume": numpy.array(cs["basevolume"]),
"open": numpy.array(cs["open"]),
"time": cs["time"]
}
Exchange.getInstance().set_market_value(self.market,
self.cs["closed"][-1])
return self.cs
def __init__(self):
Exchange.__init__(self, 'BITFLYER')
with open('bitflyer.keys') as secrets_file:
secrets = json.load(secrets_file)
self.api = API(str(secrets['key']),
str(secrets['secret']),
timeout=5)
self.symbols = ['USD', 'BTC']
self.fees['BTC-USD'] = FEES[self.name].taker
def setUp(self):
self.stock_100 = quick_mock_stock(100)
self.stock_105 = quick_mock_stock(105)
self.stock_110 = quick_mock_stock(110)
self.stock_200 = quick_mock_stock(200)
# basic stocks and exchange combo for tests
self.basic_stocks = {"100": self.stock_100, "105": self.stock_105}
self.basic_exchange = Exchange("TESTEX", self.basic_stocks)
async def tasks_main():
#yapf:disable
exchange = await Endpoints().send_to('myfoo',Exchange("poko",{'foo': 'bar','pon': {'puu': 'poo'}}))
exchange = await Endpoints().send_to('myfoo',Exchange("poko",{'foo': 'bar','pon': {'puu': 'poo'}}))
gathering_exchange = await Endpoints().send_to('gathering', Exchange('boo'))
#yapf:enable
if exchange:
print(exchange.get_body())
if gathering_exchange:
#expect: boo bon boo poyo
print('gathered:', gathering_exchange.get_body())
class BestAssetTest:
def __init__(self, period):
self.period = period
self.statistics = Statistics(default="USDT")
self.exchange = Exchange(default="USDT")
self.current_asset_symbol = None
self.buyPrice = 0
def best_asset(self):
try:
ticker_range = ["BTC", "ETH", "NEO", "BNB", "LTC", "BCH"]
best_asset_symbol = self.statistics.get_best_asset(
self.period, ticker_range)
if best_asset_symbol != self.current_asset_symbol:
if self.current_asset_symbol is not None:
current_price = self.exchange.get_asset_price(
self.current_asset_symbol)
print(current_price)
percentage = (float(current_price) - float(
self.buyPrice)) / float(self.buyPrice) * 100
print(
"Selling asset %s at %s with percentage %s" %
(self.current_asset_symbol, current_price, percentage))
file_name = "output_%s.csv" % self.period.value
file = open(file_name, 'a')
try:
writer = csv.writer(file)
writer.writerow(
(self.current_asset_symbol, self.buyPrice,
current_price, percentage))
finally:
file.close()
if best_asset_symbol is not None:
self.buyPrice = self.exchange.get_asset_price(
best_asset_symbol)
print("Buying asset %s at %s" %
(best_asset_symbol, self.buyPrice))
# Set new current asset
self.current_asset_symbol = best_asset_symbol
except Exception as e:
print(e)
pass
def run(self):
print("[TEST] Strategy Best Asset %s" % self.period.value)
while True:
self.best_asset()
time.sleep(10) # Sleep 10 seconds
def __init__(self, name, addr, balance, base_cur, desired_cur):
self.name = name
self.exchange = Exchange(name, addr, balance)
self.book = OrderBook(base_cur, desired_cur)
self.exchange.book = self.book
self.graph = Graph(self.exchange)
self.traders = {}
self.html = ''
self.display_graph = False
self.clearing_price = np.random.uniform(20, 50)
self.first_time = True
async def exchange_amount(message: types.Message):
try:
float(message.text)
except:
await message.reply(
'The entered value must be numeric, please try again', reply=False)
else:
Exchange.put_numeric(message.text)
await message.reply('To exchange select the base currency',
reply=False,
reply_markup=keyboard2)
def test_no_current_orders(self):
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.do_trading()
# check order prices and volumes
self.assertEqual(len(exchange.order_book()), 2)
expected_offer = exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN/2)
expected_bid = exchange.OPEN_DEFAULT_PRICE * (1 - MarketMaker.MARGIN/2)
self.assertEqual(exchange.buy_order_book()[0].price, expected_bid)
self.assertEqual(exchange.sell_order_book()[0].price, expected_offer)
self.assertEqual(exchange.buy_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
self.assertEqual(exchange.sell_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
def __init__(self, api_key, api_secret):
# 取引所インスタンスへAPIキー・SECRETをセット
self.exchange = Exchange(api_key=api_key, api_secret=api_secret)
self.exchange.product_code = 'FX_BTC_JPY'
self.exchange.minute_to_expire = 1
# タスクの設定及びイベントループの開始
loop = asyncio.get_event_loop()
tasks = asyncio.gather(
self.exchange.subscribe(self.realtime),
self.trade(),
)
loop.run_until_complete(tasks)
def __init__(self, data, cash=10000, commission=0.0005, fast=30, slow=90):
self.sma1 = []
self.sma2 = []
self._data = data
self._cash = cash
self._commission = commission
self._fast = fast
self._slow = slow
self._results = {}
# Define and initialize objects of Exchange and SmaCross.
self._broker = Exchange(data, cash, commission)
self._strategy = SmaCross(self._broker, data, fast, slow)
self.values = self._broker.values
def test_all_share_index_realistic(self):
# More realistic case, spread of stock values
stocks = {
"100": self.stock_100,
"105": self.stock_105,
"110": self.stock_110,
"200": self.stock_200
}
exchange = Exchange("TESTEX", stocks)
all_share_index = exchange.calculate_all_share_index()
self.assertAlmostEqual(all_share_index, 123.283,
places=3) # note rounding.
def index():
title = "Download CSV HMRC Exchange Rates"
view_base = 'index/'
x = Exchange()
years = range(x.earliest_year, x.latest_year + 1)
currencies = x.available_currencies()
return render_template(view_base + 'main.html',
title=title,
years=years,
currencies=currencies)
def __init__(self):
self.exchange = Exchange(exchange_id=config.API_DETAILS['EXCHANGE_ID'],
api_key=config.API_DETAILS['API_KEY'],
api_secret=config.API_DETAILS['API_SECRET'])
self.order_id = ""
self.market = config.OPTIONS["SYMBOL"]
self.type = "sell"
self.starting_price = float(config.OPTIONS["STARTING_PRICE"])
self.percentage = float(config.OPTIONS["PERCENTAGE"])
self.interval = 1
self.running = False
self.stoploss = self.initialize_stop()
self.amount = self.exchange.get_balance(self.market.split("/")[0])
def __init__(self):
Exchange.__init__(self, 'ITBIT')
with open('itbit.keys') as secrets_file:
secrets = json.load(secrets_file)
self.api = itBitApiConnection(secrets['key'], secrets['secret'],
secrets['userId'])
self.symbols = ['USD', 'BTC', 'ETH']
self.fees['BTC-USD'] = FEES[self.name].taker
self.fees['ETH-USD'] = FEES[self.name].taker
wallets = self.api.get_all_wallets().json()
assert (len(wallets) == 1)
self.wallet_id = self.api.get_all_wallets().json()[0]['id']
def __init__(self):
Exchange.__init__(self, 'GDAX')
with open('gdax.keys') as secrets_file:
secrets = json.load(secrets_file)
self.api = gdax.AuthenticatedClient(secrets['key'],
secrets['secret'],
secrets['passphrase'])
self.symbols = ['USD', 'BTC', 'ETH', 'LTC', 'BCH']
for ticker in PAIRS:
if ticker.startswith('LTC') or ticker.startswith('ETH'):
self.fees[ticker] = Decimal('0.003')
else:
self.fees[ticker] = FEES[self.name].taker
class Backtest:
def __init__(self, data, cash=10000, commission=0.0005, fast=30, slow=90):
self.sma1 = []
self.sma2 = []
self._data = data
self._cash = cash
self._commission = commission
self._fast = fast
self._slow = slow
self._results = {}
# Define and initialize objects of Exchange and SmaCross.
self._broker = Exchange(data, cash, commission)
self._strategy = SmaCross(self._broker, data, fast, slow)
self.values = self._broker.values
def run(self):
"""
Simulate the transaction with the price data "Close";
-- Get the price of current tick by broker;
-- Calculate with the strategy at current tick.
"""
# Initialize the strategy to get sma1 and sma2.
self._strategy.init()
self.sma1 = self._strategy.sma1
self.sma2 = self._strategy.sma2
# specify the start and end point of the simulation process.
start = self._slow + 1
end = len(self._broker.values)
# Increase the tick by one at each iteration.
for i in range(start, end):
# Update the value of tick and get current price.
self._broker.next(i)
# Execute the strategy.
self._strategy.next(i)
# Record computing results in a dictionary.
self._results['Commission:'] = self._commission
self._results['SMA1 window size:'] = self._fast
self._results['SMA2 window size:'] = self._slow
self._results['Initial value:'] = self._broker.initial_cash
self._results['Final value:'] = self._broker.market_value
self._results['Transaction frequency:'] = self._strategy.count
self._results[
'Profit:'] = self._broker.market_value - self._broker.initial_cash
return self._results
def print_results(self):
for k, v in self._results.items():
print(' ', k, v)
def main() -> None:
"""
Create an exchange and a trading bot with a strategy.
Run the strategy once on a particular symbol.
"""
# create the exchange and connect to it
exchange = Exchange()
exchange.connect()
# create the trading strategy
trading_strategy = MinMaxTradingStrategy(min_price=31000, max_price=34000)
# create the trading bot and run the bot once
bot = TradingBot(exchange, trading_strategy)
bot.run("BTC/USD")
def test_market_maker_price(self):
# scenario: check that marker maker prices are based on order book prices
exchange = Exchange()
# given an order book with a buy order with price 10.0
exchange.current_client = 99
exchange.submit_order(Order('buy',100,10.0))
# and the market maker is a client of the exchange
exchange.add_client(MarketMaker())
# when do_trading is called
exchange.do_trading()
# the order book contains a buy order with price 10.0 - MARGIN/2
# and the original buy at 10.0
self.assertEqual(exchange.buy_order_book(),
[Order('buy',100,10.0),
Order('buy',100,10.0 * (1 - MarketMaker.MARGIN/2))])
# and a sell order with price 10 + MARGIN/2
self.assertEqual(exchange.sell_order_book(),
[Order('sell',100,10.0 * (1 + MarketMaker.MARGIN/2))])
def __init__(self):
self.ex = Exchange()
self.positions = self.ex.position[
"symbols"] # format = [{"symbol": "DD", "position": N}, ]
self.company_info = {}
self.value = self.ex.position["cash"]
for entry in self.positions:
self.company_info[entry["symbol"]] = {
"position": int(entry["position"]),
"total": 0
}
def __init__(self):
Exchange.__init__(self)
self.name = 'Btce'
self.trading_fee = 0.002
self.transfer_fee = 0.001
self.nonce = 1
self.logger = logging.getLogger('BitBot.BTCE')
#Find the correct nonce parameter
print 'Computing correct nonce parameter'
params = {
'method' : 'getInfo',
'nonce' : self.nonce
}
params = urllib.urlencode(params)
H = hmac.new(keys.BTCE_API_SECRET_KEY, digestmod=hashlib.sha512)
H.update(params)
sign = H.hexdigest()
headers = {
'Content-type' : 'application/x-www-form-urlencoded',
'Key' : keys.BTCE_API_KEY,
'Sign' : sign
}
req = urllib2.Request(BTCE.private_url, params, headers)
res = urllib2.urlopen(req)
res = json.load(res)
error = res['error']
error = error.split(' ')
for word in error:
if 'key' in word:
n = word.replace('key', '')
n = n.replace(':', '')
n = n.replace(',', '')
self.nonce = int(n)
def test_trade_placed_each_time_algo_is_called(self):
# Given an algo object
exchange = Exchange()
algo = SimpleAlgo(order_gen)
exchange.add_client(algo)
# When it is executed
exchange.do_trading()
# A trade is added to the order book
self.assertEqual(len(exchange.order_book()), 1)
def __init__(self):
Exchange.__init__(self)
self.cbx_extern = CampBX(keys.CAMPBX_LOGIN, keys.CAMPBX_PASS)
self.cbx_extern.debug_mode(True)
self.name = "CampBX"
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = '796'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {}, {}, {})'''
self.depth_interval = 10
from exchange import Exchange
if __name__ == '__main__':
app = Exchange()
app.run("127.0.0.1", 8888)
"""
app = Exchange()
router = app.Router()
router.post("/login", loginRouter)
router.get("/Submit", submitRouter)
app.use(router)
app.staticDir(__name__)
app.use(CSRFMiddle, "middleware")
app.run("127.0.0.1", 8888)
"""
#!/usr/bin/python
import gc
from exchange import Exchange
import logging
from settings import ENDPOINT_LIST, EVENT_ENDPOINT, BALANCE_TO, LOG_LEVEL
if __name__ == '__main__':
logging.basicConfig(
level=LOG_LEVEL,
format='%(asctime)-15s %(levelname)s %(message)s')
x = Exchange(ENDPOINT_LIST , EVENT_ENDPOINT, BALANCE_TO)
x.start()
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'huobi'
self.btc_url = 'http://market.huobi.com/staticmarket/detail.html'
self.ltc_url = 'http://market.huobi.com/staticmarket/detail_ltc.html'
self.tick_query = '''INSERT IGNORE INTO bitcoin_ticker (exchange, ticker, requested, received, bid, ask, low, high, last, vol) VALUES ('{}', '{}', {}, {}, {}, {}, {}, {}, {}, {})'''
def test_market_maker_trade_completed(self):
# This test is too complicated!
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.do_trading()
# Should be two orders at this point
self.assertEqual(len(exchange.order_book()), 2)
exchange.submit_order(Order('buy',100,exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN)))
self.assertEqual(len(exchange.order_book()), 3)
trades = exchange.match_orders()
self.assertEqual(len(trades), 1)
exchange.do_trading()
# price should have gone up
price, volume = exchange.last_trade()
self.assertEqual(price, exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN/2))
# old mm orders should have been removed
# new mm offers should be based on new price
# check order prices and volumes
self.assertEqual(len(exchange.order_book()), 2)
expected_offer = price * (1 + MarketMaker.MARGIN/2)
expected_bid = price * (1 - MarketMaker.MARGIN/2)
self.assertEqual(exchange.buy_order_book()[0].price, expected_bid)
self.assertEqual(exchange.sell_order_book()[0].price, expected_offer)
self.assertEqual(exchange.buy_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
self.assertEqual(exchange.sell_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
class Bot:
def __init__(self):
self.ex = Exchange()
self.positions = self.ex.position[
"symbols"] # format = [{"symbol": "DD", "position": N}, ]
self.company_info = {}
self.value = self.ex.position["cash"]
for entry in self.positions:
self.company_info[entry["symbol"]] = {
"position": int(entry["position"]),
"total": 0
}
def buy_to_even(self):
for k, ex in self.company_info.items():
if ex["position"] < 0 and self.determine_fp_confidence(ex) > 50:
fair_price = self.determine_fair_price(ex)
buy_price = int(fair_price - 5)
number = abs(ex["position"])
expected_cost = number * buy_price
self.ex.trade("BUY", k, buy_price, number)
self.company_info[k]["position"] = 0
self.value -= expected_cost
def buy_below_fp(self, limit=100000):
for k, ex in self.company_info.items():
fair_price = self.determine_fair_price(ex)
buy_price = int(fair_price - 10)
number = randint(1, 10)
expected_cost = number * buy_price
if abs(self.value - expected_cost) < limit:
print("buy", k, "for", buy_price)
self.ex.trade("BUY", k, buy_price, number)
self.company_info[k]["position"] += number
self.company_info[k]["total"] +=
self.value -= buy_price
def determine_fp_confidence(self, company_dict):
if "sell" not in company_dict or "buy" not in company_dict:
return -1
return len(company_dict["sell"]) + len(company_dict["buy"])
def determine_fair_price(self, company_dict):
# total_buy_price = sum(o[0] * o[1] for o in company_dict["buy"])
# total_buy_shares = sum(o[1] for o in company_dict["buy"])
# total_sell_price = sum(o[0] * o[1] for o in company_dict["sell"])
# total_sell_shares = sum(o[1] for o in company_dict["sell"]
if "sell" not in company_dict or "buy" not in company_dict:
return -1
min_sell = min(o[0] for o in company_dict["sell"])
max_buy = max((o[0] for o in company_dict["buy"]), default=0)
return (max_buy + min_sell) / 2
def sell_everything(self):
for k, dic in self.company_info.items():
fair_price = int(self.determine_fair_price(dic))
if dic["position"] > 0 and fair_price != -1:
self.ex.trade("SELL", k, fair_price, dic["position"])
self.company_info[k]["position"] = 0
def run(self):
loop_counter = 0
while True:
line = self.ex.get_next()
if "type" in line and line["type"] == "book":
sym = line["symbol"]
if sym not in self.company_info or "buy" not in self.company_info[sym]:
self.company_info[sym]["buy"] = []
self.company_info[sym]["sell"] = []
self.company_info[sym]["buy"] += line["buy"]
self.company_info[sym]["sell"] += line["sell"]
else:
print(line)
if loop_counter % 10 == 0:
# self.buy_to_even()
self.buy_below_fp()
# self.sell_everything()
loop_counter += 1
time.sleep(0.1)
def __init__(self):
Exchange.__init__(self, exchange='exchange-001', type='fanout')
self.bind()
def __init__(self, manager):
Exchange.__init__(self, manager)
self.name = 'btce'
self.tick_url = 'https://btc-e.com/api/2/{}/ticker'
self.depth_url = 'http://btc-e.com/api/2/{}/depth'
self.trade_url = 'http://btc-e.com/api/2/{}/trades'
def __init__(self):
Exchange.__init__(self, exchange='exchange_001', type='direct')
self.routing = sys.argv[1]
self.bind()
import time
from exchange import Exchange
from config import config
def queue_callback(message, is_redelivered):
print '================================================'
print '================================================'
print 'message received'
print '================================================'
print message
time.sleep(config['PROCESS_EXEC_TIME'])
response = {}
response['success'] = config['PROCESS_EXEC_RETURN']
return response
if __name__ == '__main__':
exConfig = {}
exConfig['DEFAULT_EXCHANGE'] = 'test.exchange'
requeueOnFailure = config['REQUEUE_ON_FAILURE']
exchange = Exchange(config['URL'],
config['LISTEN_QUEUE'],
queue_callback,
requeueOnFailure,
config)
exchange.run()