def __init__(self, exchange, symbol, leverage=None, api_key=None, api_secret=None, testnet=True, dry_run=False,
candle_limit=None, candle_period=None):
"""
:param exchange: 거래소이름. bitmex, bithumb..
:param symbol: 심볼페어. XBTUSD, BTC/USD
:param dry_run: 참일 경우 실제 주문 api를 호출하지 않는다.
:param candle_limit: 저장할 최대 캔들갯수.
:param candle_period: 봉주기. Bitmex는 4가지만 지원한다. 1m, 5m, 1h, 1d
"""
self.candle_handler = None
raw_symbol = symbol.replace('/', '')
self.api = utils.ccxt_exchange(exchange, api_key=api_key, api_secret=api_secret, is_async=False, opt={'test':testnet})
if api_key and api_secret and self.api and leverage is not None:
self.api.private_post_position_leverage({'symbol': raw_symbol, 'leverage': leverage})
logger.info('>>candle_period>> %s',candle_period)
# 웹소켓 처리기.
self.ws = BitmexWS(raw_symbol, candle_period,
api_key=api_key,
api_secret=api_secret,
testnet=testnet)
if candle_limit and candle_period:
period_in_second = 0
if candle_period == '1m':
period_in_second = 60
elif candle_period == '5m':
period_in_second = 300
elif candle_period == '1h':
period_in_second = 3600
elif candle_period == '1d':
period_in_second = 3600 * 24
since = datetime.datetime.now().timestamp() - period_in_second * candle_limit
since = since * 1000
self.candle_handler = CandleHandler(self.api, symbol, period=candle_period, history=candle_limit, since=since)
def test_bitmex_data_ingest(self):
exchange = utils.ccxt_exchange('bitmex', is_async=True)
markets = asyncio.get_event_loop().run_until_complete(
exchange.load_markets())
#exchange, symbols, start_date, end_date, periods
base_dir, filepath = asyncio.get_event_loop().run_until_complete(
data_ingest.ingest_data(exchange, 'XBT/USD',
datetime(2019, 1, 1, 0, 0, 0),
datetime(2019, 1, 1, 12, 0, 0), '5m', 12))
logger.debug('filepath > %s', filepath)
def __init__(self, exchange, symbol, leverage, candle_limit, candle_period,
test_start, test_end):
self.candle_handler = None
self.symbol = symbol
self.leverage = leverage
self.api = utils.ccxt_exchange(exchange, is_async=True)
self.candle_limit = candle_limit
self.candle_period = candle_period
self.test_start = test_start
self.test_end = test_end
def test_ohlcv(self):
api = utils.ccxt_exchange('bitmex', is_async=True)
async def go(symbol, timeframe, limit):
m = await api.load_markets()
new_data = await api.fetch_ohlcv(symbol=symbol,
timeframe=timeframe,
limit=limit)
print(new_data)
await api.close()
utils.test_async(go('XBT/USD', '1m', 10))
if test_start:
test_start = datetime.strptime(test_start, '%Y-%m-%d %H:%M:%S%z')
if test_end:
test_end = datetime.strptime(test_end, '%Y-%m-%d %H:%M:%S%z')
leverage = 1
candle_limit = 20
api_key = os.getenv('API_KEY')
api_secret = os.getenv('API_SECRET')
telegram_bot_token = os.getenv('TELEGRAM_BOT_TOKEN')
telegram_chat_id = os.getenv('TELEGRAM_CHAT_ID')
testnet = os.getenv('TESTNET') == 'True'
dry_run = os.getenv('DRY_RUN') == 'True'
api = utils.ccxt_exchange(exchange,
api_key=api_key,
api_secret=api_secret,
is_async=False,
testnet=testnet)
api.private_post_position_leverage({
'symbol': symbol,
'leverage': leverage
})
ws = BitmexWS(symbol,
candle_period,
api_key=api_key,
api_secret=api_secret,
testnet=testnet)
bot = Bot(api,
ws,
symbol=symbol,
def test_zigzag(self):
api = utils.ccxt_exchange('bitmex', is_async=True)
asyncio.get_event_loop().run_until_complete(api.load_markets())
_, filepath = asyncio.get_event_loop().run_until_complete(
ingest_data(api,
symbol='XBT/USD',
start_date=datetime(2019,
1,
24,
5,
0,
0,
tzinfo=timezone(
timedelta(hours=9))),
end_date=datetime(2019,
1,
26,
19,
59,
59,
tzinfo=timezone(timedelta(hours=9))),
interval='5m',
history=0,
reload=False))
print('filepath > ', filepath)
data = pd.read_csv(
filepath,
index_col='Index',
parse_dates=True,
date_parser=lambda x: datetime.fromtimestamp(int(x) / 1000),
usecols=['Index', 'Open', 'High', 'Low', 'Close', 'Volume'])
# 조작시작.
# data = data[300:500]
plt.plot(data.Close)
# z = zigzag(data, deviation=0.05)
# plt.plot(z, 'ro')
zz_high, zz_low = zigzag2(data, deviation=0.03, spread=1)
plt.plot(zz_high, 'go')
plt.plot(zz_low, 'ro')
# 알고리즘.
# 1. 저점이 올라가면 상승추세. 이전 고점 경신하면
# 2. 고점이 내려오면 하락추세. 이전 저점 깨지면..
# prev_high = None
# my_index = []
# for i, v in zz_high.items():
# # print(i, v, prev_high)
# if prev_high is not None:
# if v < prev_high:
# my_index.append((i, 'D'))
# prev_high = v
#
# prev_low = None
# for i, v in zz_low.items():
# # print(i, v, prev_low)
# if prev_low is not None:
# if v > prev_low:
# my_index.append((i, 'U'))
# prev_low = v
#
# my_index.sort()
#
# prev_ts = None
# prev_type = None
# for tup in my_index:
# print(tup)
# ts = tup[0]
# type = tup[1]
#
# if prev_ts is None and prev_type is None:
# prev_ts = ts
# prev_type = type
# else:
# if type != prev_type:
# plt.axvspan(prev_ts, ts, facecolor='g' if prev_type == 'U' else 'r', alpha=0.5)
# prev_ts = ts
# prev_type = type
# print(my_index)
ax = plt.gca()
xfmt = md.DateFormatter('%Y-%m-%d %H:%M:%S')
ax.xaxis.set_major_formatter(xfmt)
plt.xticks(rotation=30)
plt.subplots_adjust(bottom=0.2)
plt.grid(True)
fig = plt.gcf()
fig.set_size_inches(16, 5)
plt.show()
def test_heikin(self):
api = utils.ccxt_exchange('bitmex', is_async=True)
asyncio.get_event_loop().run_until_complete(api.load_markets())
_, filepath = asyncio.get_event_loop().run_until_complete(
ingest_data(api,
symbol='XBT/USD',
start_date=datetime(2019,
1,
28,
12,
0,
0,
tzinfo=timezone(
timedelta(hours=9))),
end_date=datetime(2019,
1,
29,
12,
0,
0,
tzinfo=timezone(timedelta(hours=9))),
interval='1m',
history=0,
reload=False))
print('filepath > ', filepath)
data = pd.read_csv(
filepath,
index_col='Index',
parse_dates=True,
date_parser=lambda x: datetime.fromtimestamp(int(x) / 1000),
usecols=['Index', 'Open', 'High', 'Low', 'Close', 'Volume'])
ha = heikinashi(data)
prev_diff = 0
pprev_diff = 0
trade = 0
entry_idx = None
long_entry = None
short_entry = None
total_pnl = 0
r_index = []
r_value = []
N = 3 # 3개의 연속 가격을 확인하여 익절.
for diff, ha_close, close, idx in zip(ha.HA_Diff, ha.HA_Close,
data.Close, data.index):
pnl = 0
# plt.axvspan(prev_ts, ts, facecolor='g' if prev_type == 'U' else 'r', alpha=0.5)
# 갯수가 될때까지 기다린다.
if short_entry is not None:
# 숏 청산.
if diff > 0 or self.great_or_eq(
ha.HA_Close, N) or abs(short_entry - close) >= 1:
pnl = short_entry - close
total_pnl += pnl
elapsed = idx - entry_idx
r_index.append(idx)
r_value.append(total_pnl)
trade += 1
logger.info(
'[%s] TOTAL_PNL[%s] PNL[$%s] SEC[%s] Price[%s->%s] Time[%s~%s]',
trade, total_pnl, pnl, elapsed.seconds, short_entry,
close, entry_idx, idx)
short_entry = None
elif long_entry is not None:
if diff < 0 or self.less_or_eq(
ha.HA_Close, N) or abs(long_entry - close) >= 1:
pnl = close - long_entry
total_pnl += pnl
elapsed = idx - entry_idx
r_index.append(idx)
r_value.append(total_pnl)
trade += 1
logger.info(
'[%s] TOTAL_PNL[%s] PNL[$%s] SEC[%s] Price[%s->%s] Time[%s~%s]',
trade, total_pnl, pnl, elapsed.seconds, long_entry,
close, entry_idx, idx)
long_entry = None
# 청산하고 바로 다시 진입도 가능하다.
if long_entry is None and short_entry is None:
if diff > 0 and prev_diff > 0 and pprev_diff < 0:
# 가격이 높아지는 추세.
if prev_diff + diff >= 2:
# 롱 진입.
long_entry = close
entry_idx = idx
trade += 1
elif diff < 0 and prev_diff < 0 and pprev_diff > 0:
# 가격이 낮아지는 추세.
if prev_diff + diff <= -2:
# 숏 진입.
short_entry = close
entry_idx = idx
trade += 1
pprev_diff = prev_diff
prev_diff = diff
fig = plt.figure()
ax1 = fig.add_subplot(2, 1, 1)
ax2 = fig.add_subplot(2, 1, 2)
# 차트1
ax1.plot(data.Close)
# 차트2
pnl_series = pd.Series(data=r_value, index=r_index)
ax2.plot(pnl_series, 'ro')
ax = plt.gca()
xfmt = md.DateFormatter('%Y-%m-%d %H:%M:%S')
ax.xaxis.set_major_formatter(xfmt)
plt.xticks(rotation=30)
plt.subplots_adjust(bottom=0.2)
plt.grid(True)
fig = plt.gcf()
fig.set_size_inches(16, 7)
plt.show()