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brain_trader.py
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brain_trader.py
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# -*- coding: utf-8 -*-
"""
Created on Sun Aug 13 08:07:30 2017
@author: nick
"""
import pickle
import time
import pandas as pd
import numpy as np
from poloniex import Poloniex
from datetime import date, timedelta, datetime
from hist_service import HistWorker
from crypto_evolution import CryptoFolio
from random import randint, shuffle
import requests
# Local
import neat.nn
import _pickle as pickle
from pureples.shared.substrate import Substrate
from pureples.shared.visualize import draw_net
from pureples.es_hyperneat.es_hyperneat import ESNetwork
#polo = Poloniex('key', 'secret')
key = ""
secret = ""
class LiveTrader:
params = {"initial_depth": 0,
"max_depth": 4,
"variance_threshold": 0.03,
"band_threshold": 0.3,
"iteration_level": 1,
"division_threshold": 0.3,
"max_weight": 5.0,
"activation": "tanh"}
# Config for CPPN.
config = neat.config.Config(neat.genome.DefaultGenome, neat.reproduction.DefaultReproduction,
neat.species.DefaultSpeciesSet, neat.stagnation.DefaultStagnation,
'config_trader')
def __init__(self, ticker_len, target_percent):
self.polo = Poloniex(key, secret)
self.currentHists = {}
self.hist_shaped = {}
self.coin_dict = {}
self.ticker_len = ticker_len
self.end_ts = datetime.now()+timedelta(seconds=(ticker_len*55))
file = open("es_trade_god_cppn.pkl",'rb')
self.cppn = pickle.load(file)
file.close()
self.tickers = self.polo.returnTicker()
self.bal = self.polo.returnBalances()
self.target = self.bal['BTC']*target_percent
self.pull_polo()
self.inputs = self.hist_shaped.shape[0]*(self.hist_shaped[0].shape[1]-1)
self.outputs = self.hist_shaped.shape[0]
self.multiplier = self.inputs/self.outputs
def make_shapes(self):
self.in_shapes = []
self.out_shapes = []
sign = 1
for ix in range(self.outputs):
sign = sign *-1
self.out_shapes.append((sign*ix, 1))
for ix2 in range(len(self.hist_shaped[0][0])-1):
self.in_shapes.append((sign*ix, (1+ix2)*.1))
def pull_polo(self):
tickLen = '7200'
start = datetime.today() - timedelta(1)
start = str(int(start.timestamp()))
ix = 0
for coin in self.tickers:
if coin[:3] == 'BTC':
hist = requests.get('https://poloniex.com/public?command=returnChartData¤cyPair='+coin+'&start='+start+'&end=9999999999&period='+tickLen)
try:
df = pd.DataFrame(hist.json())
#df.rename(columns = lambda x: col_prefix+'_'+x, inplace=True)
as_array = np.array(df)
#print(len(as_array))
self.currentHists[coin] = df
self.hist_shaped[ix] = as_array
self.coin_dict[ix] = coin
ix += 1
except:
print("error reading json")
self.hist_shaped = pd.Series(self.hist_shaped)
self.end_idx = len(self.hist_shaped[0])-1
def get_one_bar_input_2d(self):
active = []
misses = 0
for x in range(0, self.outputs):
try:
sym_data = self.hist_shaped[x][self.end_idx]
for i in range(len(sym_data)):
if (i != 1):
active.append(sym_data[i].tolist())
except:
self.outputs -= 1
self.inputs -= self.multiplier
print('error')
#print(active)
self.make_shapes()
return active
def closeOrders(self):
orders = self.polo.returnOpenOrders()
for o in orders:
if orders[o] != []:
try:
ordnum = orders[o][0]['orderNumber']
self.polo.cancelOrder(ordnum)
except:
print('error closing')
def sellCoins(self, coinlist, currency):
balances = self.polo.returnBalances()
for b in balances:
bal = balances[b]*.99
def buy_coin(self, coin, price):
amt = self.target
if(self.bal['BTC'] > self.target):
try:
self.polo.buy(coin, price, amt, fillOrKill=1)
print("buying: ", coin)
except:
print('error buying', coin)
return
def sell_coin(self, coin, price):
amt = self.bal[coin[4:]]
try:
self.polo.sell(coin, price, amt, fillOrKill=1)
except:
print('error selling: ', coin)
return
def reset_tickers(self):
self.tickers = self.polo.returnTicker()
return
def get_price(self, coin):
return self.tickers[coin]['last']
def poloTrader(self):
end_prices = {}
active = self.get_one_bar_input_2d()
sub = Substrate(self.in_shapes, self.out_shapes)
network = ESNetwork(sub, self.cppn, self.params)
net = network.create_phenotype_network()
net.reset()
for n in range(network.activations):
out = net.activate(active)
#print(len(out))
rng = len(out)
#rng = iter(shuffle(rng))
for x in np.random.permutation(rng):
sym = self.coin_dict[x]
#print(out[x])
try:
if(out[x] < -.5):
print("selling: ", sym)
self.sell_coin(sym, self.get_price(sym), )
elif(out[x] > .5):
print("buying: ", sym)
self.buy_coin(sym, self.get_price(sym))
except:
print('error', sym)
#skip the hold case because we just dont buy or sell hehe
end_prices[sym] = self.get_price(sym)
if datetime.now() >= self.end_ts:
return
else:
time.sleep(self.ticker_len)
self.reset_tickers
self.pull_polo()
self.poloTrader()
class PaperTrader:
params = {"initial_depth": 0,
"max_depth": 4,
"variance_threshold": 0.03,
"band_threshold": 0.3,
"iteration_level": 1,
"division_threshold": 0.3,
"max_weight": 5.0,
"activation": "tanh"}
# Config for CPPN.
config = neat.config.Config(neat.genome.DefaultGenome, neat.reproduction.DefaultReproduction,
neat.species.DefaultSpeciesSet, neat.stagnation.DefaultStagnation,
'config_trader')
def __init__(self, ticker_len, start_amount):
self.polo = Poloniex()
self.currentHists = {}
self.hist_shaped = {}
self.coin_dict = {}
self.ticker_len = ticker_len
self.end_ts = datetime.now()+timedelta(seconds=(ticker_len*24))
self.start_amount = start_amount
file = open("es_trade_god_cppn.pkl",'rb')
self.cppn = pickle.load(file)
file.close()
self.pull_polo()
self.inputs = self.hist_shaped.shape[0]*(self.hist_shaped[0].shape[1]-1)
self.outputs = self.hist_shaped.shape[0]
self.multiplier = self.inputs/self.outputs
self.folio = CryptoFolio(start_amount, self.coin_dict)
def make_shapes(self):
self.in_shapes = []
self.out_shapes = []
sign = 1
for ix in range(self.outputs):
sign = sign *-1
self.out_shapes.append((sign*ix, 1))
for ix2 in range(len(self.hist_shaped[0][0])-1):
self.in_shapes.append((sign*ix, (1+ix2)*.1))
def pull_polo(self):
try:
self.coins = self.polo.returnTicker()
except:
time.sleep(10)
self.pull_polo()
tickLen = '7200'
start = datetime.today() - timedelta(1)
start = str(int(start.timestamp()))
ix = 0
for coin in self.coins:
if coin[:3] == 'BTC':
hist = requests.get('https://poloniex.com/public?command=returnChartData¤cyPair='+coin+'&start='+start+'&end=9999999999&period='+tickLen)
try:
df = pd.DataFrame(hist.json())
#df.rename(columns = lambda x: col_prefix+'_'+x, inplace=True)
as_array = np.array(df)
#print(len(as_array))
self.currentHists[coin] = df
self.hist_shaped[ix] = as_array
self.coin_dict[ix] = coin
ix += 1
except:
print("error reading json")
self.hist_shaped = pd.Series(self.hist_shaped)
self.end_idx = len(self.hist_shaped[0])-1
def get_current_balance(self):
self.pull_polo()
c_prices = {}
for s in self.folio.ledger.keys():
if s != 'BTC':
c_prices[s] = self.currentHists[s]['close'][len(self.currentHists[s]['close'])-1]
return self.folio.get_total_btc_value_no_sell(c_prices)
def get_one_bar_input_2d(self):
active = []
misses = 0
for x in range(0, self.outputs):
try:
sym_data = self.hist_shaped[x][self.end_idx]
for i in range(len(sym_data)):
if (i != 1):
active.append(sym_data[i].tolist())
except:
self.outputs -= 1
self.inputs -= self.multiplier
print('error')
#print(active)
self.make_shapes()
return active
def poloTrader(self):
end_prices = {}
active = self.get_one_bar_input_2d()
sub = Substrate(self.in_shapes, self.out_shapes)
network = ESNetwork(sub, self.cppn, self.params)
net = network.create_phenotype_network()
net.reset()
for n in range(network.activations):
out = net.activate(active)
#print(len(out))
rng = len(out)
#rng = iter(shuffle(rng))
for x in np.random.permutation(rng):
sym = self.coin_dict[x]
#print(out[x])
try:
if(out[x] < -.5):
print("selling: ", sym)
self.folio.sell_coin(sym, self.currentHists[sym]['close'][self.end_idx])
elif(out[x] > .5):
print("buying: ", sym)
self.folio.buy_coin(sym, self.currentHists[sym]['close'][self.end_idx])
except:
print('error', sym)
#skip the hold case because we just dont buy or sell hehe
end_prices[sym] = self.hist_shaped[x][len(self.hist_shaped[x])-1][2]
if datetime.now() >= self.end_ts:
port_info = self.folio.get_total_btc_value(end_prices)
print("total val: ", port_info[0], "btc balance: ", port_info[1])
return
else:
print(self.get_current_balance())
for t in range(3):
time.sleep(self.ticker_len/4)
p_vals = self.get_current_balance()
print("current value: ", p_vals[0], "current btc holdings: ", p_vals[1])
#print(self.folio.ledger)
time.sleep(self.ticker_len/4)
self.pull_polo()
self.poloTrader()
live = LiveTrader(7200, .1)
live.poloTrader()