def on_update(self, bin_size, strategy):
"""
Register the strategy function
bind functions with webosocket data streams
:param strategy:
"""
logger.info(f"pair: {self.pair}")
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BinanceFuturesWs(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('order', self.__on_update_order)
self.ws.bind('margin', self.__on_update_margin)
self.ws.bind('IndividualSymbolBookTickerStreams', self.__on_update_bookticker)
#todo orderbook
#self.ob = OrderBook(self.ws)
logger.info(f" on_update(self, bin_size, strategy)")
class BinanceFutures:
# Account
account = ''
# Pair
pair = 'BTCUSDT'
# wallet
wallet = None
# Price
market_price = 0
# Order update
order_update = None
# Position
position = None
# Position size
position_size = None
# Entry price
entry_price = None
# Margin
margin = None
# Account information
account_information = None
# Time Frame
bin_size = '1h'
# Binance futures client
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,
'eval_tp_next_candle': False
}
# Round decimals
round_decimals = 2
# 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
# best bid price
best_bid_price = None
# best ask price
best_ask_price = 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.client is not None:
return
api_key = conf['binance_keys'][self.account]['API_KEY']
api_secret = conf['binance_keys'][self.account]['SECRET_KEY']
self.client = Client(api_key=api_key, api_secret=api_secret)
def now_time(self):
"""
current time
"""
return datetime.now().astimezone(UTC)
def get_retain_rate(self):
"""
maintenance margin
:return:
"""
return 0.8
def lot_leverage(self):
"""
get leverage for lot calculation
:return:
"""
return 20
def get_lot(self, round_decimals=3):
"""
lot calculation
:param round_decimals: round decimals
:return:
"""
account_information = self.get_account_information()
return round(
float(account_information['totalMarginBalance']) /
self.get_market_price() * self.lot_leverage(), round_decimals)
def get_balance(self):
"""
get balance
:return:
"""
self.__init_client()
return float(self.get_margin()[0]["balance"])
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.client.futures_account_balance_v2())
return self.margin
def get_leverage(self):
"""
get leverage
:return:
"""
self.__init_client()
return float(self.get_position()["leverage"])
def get_account_information(self):
"""
get account information about all types of margin balances, assets and positions
https://binance-docs.github.io/apidocs/futures/en/#account-information-v2-user_data
"""
self.account_information = retry(
lambda: self.client.futures_account_v2())
return self.account_information
def get_position(self):
"""
get current position
:return:
"""
self.__init_client()
#Unfortunately we cannot rely just on the WebSocket updates (for instance PnL) since binance is not pushing updates for the ACCOUNT_UPDATE stream often enough
#read more here https://binance-docs.github.io/apidocs/futures/en/#event-balance-and-position-update
# if self.position is not None:
# return self.position[0]
# else: # when the WebSocket cant get it
ret = retry(lambda: self.client.futures_position_information())
if len(ret) > 0:
self.position = [
p for p in ret if p["symbol"].startswith(self.pair)
]
return self.position[0]
else:
return None
def get_position_size(self):
"""
get current position size。
:return:
"""
self.__init_client()
if self.position_size is not None: #and self.position_size == 0:
return self.position_size
position = self.get_position()
if position['symbol'] == self.pair:
return float(position['positionAmt'])
else:
return 0
def get_position_avg_price(self):
"""
get average price of the current position
:return:
"""
self.__init_client()
return float(self.get_position()['entryPrice'])
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.client.futures_symbol_ticker(symbol=self.pair))
return float(self.market_price['price'])
def get_pnl(self):
"""
get profit and loss calculation in %
:return:
"""
# PnL calculation in %
pnl = (self.market_price - self.entry_price) * 100 / self.entry_price
return pnl
def get_trail_price(self):
"""
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 0.04 / 100
def cancel_all(self):
"""
cancel all orders
"""
self.__init_client()
res = retry(lambda: self.client.futures_cancel_all_open_orders(
symbol=self.pair))
#for order in orders:
logger.info(f"Cancel all open orders: {res}")
def close_all(self):
"""
market close opened position for this pair
"""
self.__init_client()
position_size = self.get_position_size()
if position_size == 0:
return
side = False if position_size > 0 else True
self.order("Close", side, abs(position_size))
position_size = self.get_position_size()
if position_size == 0:
logger.info(f"Closed {self.pair} position")
else:
logger.info(
f"Failed to close all {self.pair} position, still {position_size} amount remaining"
)
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.client.futures_cancel_order(
symbol=self.pair, origClientOrderId=order['clientOrderId']))
except HTTPNotFound:
return False
logger.info(
f"Cancel Order : (clientOrderId, type, side, quantity, price, stop) = "
f"({order['clientOrderId']}, {order['type']}, {order['side']}, {order['origQty']}, "
f"{order['price']}, {order['stopPrice']})")
return True
def __new_order(self,
ord_id,
side,
ord_qty,
limit=0,
stop=0,
post_only=False,
reduce_only=False,
trailing_stop=0,
activationPrice=0):
"""
create an order
"""
#removes "+" from order suffix, because of the new regular expression rule for newClientOrderId updated as ^[\.A-Z\:/a-z0-9_-]{1,36}$ (2021-01-26)
ord_id = ord_id.replace("+", "k")
if trailing_stop > 0 and activationPrice > 0:
ord_type = "TRAILING_STOP_MARKET"
retry(lambda: self.client.futures_create_order(
symbol=self.pair,
type=ord_type,
newClientOrderId=ord_id,
side=side,
quantity=ord_qty,
activationPrice=activationPrice,
callbackRate=trailing_stop))
elif trailing_stop > 0:
ord_type = "TRAILING_STOP_MARKET"
retry(lambda: self.client.futures_create_order(
symbol=self.pair,
type=ord_type,
newClientOrderId=ord_id,
side=side,
quantity=ord_qty,
callbackRate=trailing_stop))
elif limit > 0 and post_only:
ord_type = "LIMIT"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
price=limit,
timeInForce="GTX"))
elif limit > 0 and stop > 0 and reduce_only:
ord_type = "STOP"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
price=limit,
stopPrice=stop,
reduceOnly="true"))
elif limit > 0 and reduce_only:
ord_type = "LIMIT"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
price=limit,
reduceOnly="true",
timeInForce="GTC"))
elif limit > 0 and stop > 0:
ord_type = "STOP"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
price=limit,
stopPrice=stop))
elif limit > 0:
ord_type = "LIMIT"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
price=limit,
timeInForce="GTC"))
elif stop > 0 and reduce_only:
ord_type = "STOP_MARKET"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
stopPrice=stop,
reduceOnly="true"))
elif stop > 0:
ord_type = "STOP"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty,
stopPrice=stop))
elif post_only: # limit order with post only
ord_type = "LIMIT"
i = 0
while True:
prices = self.get_orderbook_ticker()
limit = float(prices['bidPrice']) if side == "Buy" else float(
prices['askPrice'])
retry(lambda: self.client.futures_create_order(
symbol=self.pair,
type=ord_type,
newClientOrderId=ord_id,
side=side,
quantity=ord_qty,
price=limit,
timeInForce="GTX"))
time.sleep(4)
self.cancel(ord_id)
if float(self.get_position()['positionAmt']) > 0:
break
i += 1
if i > 10:
notify(f"Order retry count exceed")
break
self.cancel_all()
else:
ord_type = "MARKET"
retry(lambda: self.client.futures_create_order(symbol=self.pair,
type=ord_type,
newClientOrderId=
ord_id,
side=side,
quantity=ord_qty))
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
# """
# todo, unfortunately binance ecosystem doesnt provide us with amend order functionality so we have to implement our own mechanism
# 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()
logger.info(f"pos_size: {pos_size}")
if long and pos_size > 0:
return
if not long and pos_size < 0:
return
ord_qty = qty + abs(pos_size)
trailing_stop = 0
activationPrice = 0
self.order(id, long, ord_qty, limit, stop, post_only, reduce_only,
trailing_stop, activationPrice, when)
def order(self,
id,
long,
qty,
limit=0,
stop=0,
post_only=False,
reduce_only=False,
trailing_stop=0,
activationPrice=0,
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
:param trailing_stop: Binance futures built in implementation of trailing stop in %
:param activationPrice: price that triggers Binance futures built in trailing stop
: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
order = self.get_open_order(id)
ord_id = id + ord_suffix(
) #if order is None else order["clientOrderId"]
if order is None:
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only,
reduce_only, trailing_stop, activationPrice)
else:
self.__new_order(ord_id, side, ord_qty, limit, stop, post_only,
reduce_only, trailing_stop, activationPrice)
#self.__amend_order(ord_id, side, ord_qty, limit, stop, post_only)
return
def entry_pyramiding(self,
id,
long,
qty,
limit=0,
stop=0,
trailValue=0,
post_only=False,
reduce_only=False,
cancel_all=False,
pyramiding=2,
when=True):
"""
places an entry order, works as equivalent to tradingview pine script implementation with pyramiding
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 cancell_all: cancell all open order before sending the entry order?
:param pyramiding: number of entries you want in pyramiding
:param when: Do you want to execute the order or not - True for live trading
:return:
"""
# if self.get_margin()['excessMargin'] <= 0 or qty <= 0:
# return
if qty <= 0:
return
if not when:
return
pos_size = self.get_position_size()
if long and pos_size >= pyramiding * qty:
return
if not long and pos_size <= -(pyramiding * qty):
return
if cancel_all:
self.cancel_all()
if long and pos_size < 0:
ord_qty = qty + abs(pos_size)
elif not long and pos_size > 0:
ord_qty = qty + abs(pos_size)
else:
ord_qty = qty
if long and (pos_size + qty > pyramiding * qty):
ord_qty = pyramiding * qty - abs(pos_size)
if not long and (pos_size - qty < -(pyramiding * qty)):
ord_qty = pyramiding * qty - abs(pos_size)
# make sure it doesnt spam small entries, which in most cases would trigger risk management orders evaluation, you can make this less than 2% if needed
if ord_qty < ((pyramiding * qty) / 100) * 2:
return
trailing_stop = 0
activationPrice = 0
self.order(id, long, ord_qty, limit, stop, post_only, reduce_only,
trailing_stop, activationPrice, when)
def get_open_order(self, id):
"""
Get open order by id
:param id: Order id for this pair
:return:
"""
self.__init_client()
open_orders = retry(
lambda: self.client.futures_get_open_orders(symbol=self.pair))
open_orders = [
o for o in open_orders if o["clientOrderId"].startswith(id)
]
if len(open_orders) > 0:
return open_orders[0]
else:
return None
def get_open_orders(self, id):
"""
Get open orders for this pair by id
:param id: Order id
:return:
"""
self.__init_client()
open_orders = retry(
lambda: self.client.futures_get_open_orders(symbol=self.pair))
open_orders = [
o for o in open_orders if o["clientOrderId"].startswith(id)
]
if len(open_orders) > 0:
return open_orders
else:
return None
def get_all_open_orders(self):
"""
Get all open orders for this pair
:param id: Order id
:return:
"""
self.__init_client()
open_orders = retry(
lambda: self.client.futures_get_open_orders(symbol=self.pair))
if len(open_orders) > 0:
return open_orders
else:
return None
def get_orderbook_ticker(self):
orderbook_ticker = retry(
lambda: self.client.futures_orderbook_ticker(symbol=self.pair))
return orderbook_ticker
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,
eval_tp_next_candle=False,
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,
'eval_tp_next_candle': eval_tp_next_candle
}
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 = float(self.get_position()['unRealizedProfit'])
# 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):
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):
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 = float(self.get_position()['positionAmt'])
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 = float(tp_order['origQty'])
is_tp_full_size = origQty == abs(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.cancel(id=tp_order['clientOrderId'])
time.sleep(2)
self.order("TP",
False,
abs(pos_size),
limit=tp_price_long,
reduce_only=True)
else:
self.order("TP",
False,
abs(pos_size),
limit=tp_price_long,
reduce_only=True)
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.cancel(id=tp_order['clientOrderId'])
time.sleep(2)
self.order("TP",
True,
abs(pos_size),
limit=tp_price_short,
reduce_only=True)
else:
self.order("TP",
True,
abs(pos_size),
limit=tp_price_short,
reduce_only=True)
#sl
sl_order = self.get_open_order('SL')
if sl_order is not None:
origQty = float(sl_order['origQty'])
orig_side = sl_order['side'] == "BUY" if True else False
if orig_side == False:
origQty = -origQty
is_sl_full_size = origQty == -pos_size if True else False
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:
time.sleep(2)
self.cancel(id=sl_order['clientOrderId'])
time.sleep(2)
self.order("SL",
False,
abs(pos_size),
stop=sl_price_long,
reduce_only=True)
else:
self.order("SL",
False,
abs(pos_size),
stop=sl_price_long,
reduce_only=True)
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:
time.sleep(2)
self.cancel(id=sl_order['clientOrderId'])
time.sleep(2)
self.order("SL",
True,
abs(pos_size),
stop=sl_price_short,
reduce_only=True)
else:
self.order("SL",
True,
abs(pos_size),
stop=sl_price_short,
reduce_only=True)
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:
if left_time > right_time:
break
logger.info(f"fetching OHLCV data")
left_time_to_timestamp = int(datetime.timestamp(left_time) * 1000)
right_time_to_timestamp = int(
datetime.timestamp(right_time) * 1000)
source = retry(lambda: self.client.futures_klines(
symbol=self.pair,
interval=fetch_bin_size,
startTime=left_time_to_timestamp,
endTime=right_time_to_timestamp,
limit=1500))
if len(source) == 0:
break
source_to_object_list = []
for s in source:
timestamp_to_datetime = datetime.fromtimestamp(
s[6] / 1000).astimezone(UTC)
source_to_object_list.append({
"timestamp": timestamp_to_datetime,
"high": float(s[2]),
"low": float(s[3]),
"open": float(s[1]),
"close": float(s[4]),
"volume": float(s[5])
})
source = to_data_frame(source_to_object_list)
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)
#logger.info(f"start time fetch ohlcv: {start_time}")
#logger.info(f"end time fetch ohlcv: {end_time}")
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 price
"""
if 'c' in instrument:
self.market_price = float(instrument['c'])
position_size = self.position_size
if position_size == None:
#position_size = self.get_position_size()
return
if position_size == 0:
return
# trail price update
if self.position_size > 0 and \
self.market_price > self.get_trail_price():
self.set_trail_price(self.market_price)
if self.position_size < 0 and \
self.market_price < self.get_trail_price():
self.set_trail_price(self.market_price)
#Get PnL calculation in %
self.pnl = self.get_pnl()
def __on_update_wallet(self, action, wallet):
"""
update wallet
"""
self.wallet = wallet #{**self.wallet, **wallet} if self.wallet is not None else self.wallet
def __on_update_order(self, action, order):
"""
Update order status
https://binance-docs.github.io/apidocs/futures/en/#event-order-update
"""
self.order_update = order
# Evaluation of profit and loss
self.eval_exit()
#self.eval_sltp()
def __on_update_position(self, action, position):
"""
Update position
"""
if len(position) > 0:
position = [p for p in position if p["s"].startswith(self.pair)]
# Was the position size changed?
is_update_pos_size = self.get_position_size != float(position[0]['pa'])
# Reset trail to current price if position size changes
if is_update_pos_size and float(position[0]['pa']) != 0:
self.set_trail_price(self.market_price)
if is_update_pos_size:
logger.info(
f"Updated Position\n"
f"Price: {self.position[0]['entryPrice']} => {position[0]['ep']}\n"
f"Qty: {self.position[0]['positionAmt']} => {position[0]['pa']}\n"
f"Balance: {self.get_balance()} USDT")
notify(
f"Updated Position\n"
f"Price: {self.position[0]['entryPrice']} => {position[0]['ep']}\n"
f"Qty: {self.position[0]['positionAmt']} => {position[0]['pa']}\n"
f"Balance: {self.get_balance()} USDT")
self.position[0] = {
"entryPrice": position[0]['ep'],
"marginType": position[0]['mt'],
"positionAmt": position[0]['pa'],
"symbol": position[0]['s'],
"unRealizedProfit": position[0]['up'],
"positionSide": position[0]['ps'],
} if self.position is not None else self.position
self.position_size = float(self.position[0]['positionAmt'])
self.entry_price = float(self.position[0]['entryPrice'])
# Evaluation of profit and loss
self.eval_exit()
self.eval_sltp()
def __on_update_margin(self, action, margin):
"""
Update margin
"""
if self.margin is not None:
self.margin[0] = {
"balance": float(margin['wb']),
"crossWalletBalance": float(margin['cw'])
}
else:
self.get_margin()
def __on_update_bookticker(self, action, bookticker):
"""
best bid and best ask price
"""
self.best_bid_price = float(bookticker['b'])
self.best_ask_price = float(bookticker['a'])
def on_update(self, bin_size, strategy):
"""
Register the strategy function
bind functions with webosocket data streams
:param strategy:
"""
logger.info(f"pair: {self.pair}")
self.bin_size = bin_size
self.strategy = strategy
if self.is_running:
self.ws = BinanceFuturesWs(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('order', self.__on_update_order)
self.ws.bind('margin', self.__on_update_margin)
self.ws.bind('IndividualSymbolBookTickerStreams',
self.__on_update_bookticker)
#todo orderbook
#self.ob = OrderBook(self.ws)
logger.info(f" on_update(self, bin_size, strategy)")
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