def entry_market_order(self, side, size):
if self.ac.order_side == '':
self.ac.update_order(side, 0, 0, size, '', 10, '')
ltp = TickData.get_ltp()
res, size, price, order_id = Trade.market_order_wait_till_execution3(
side, size)
if res == 0:
print(side + ' entry market order has been executed.' +
'price=' + str(price) + ', size=' + str(size))
self.ac.update_holding(side, price, size, order_id)
self.ac.sync_position_order()
self.ac.calc_collateral_change()
self.ac.calc_pl(TickData.get_ltp())
self.ac.add_order_exec_price_gap(price, ltp, side)
print(
'holding_side={},holding_price={},holding_size={},total_pl={},collateral={},collateral_change={},realized_pl={}'
.format(self.ac.holding_side, self.ac.holding_price,
self.ac.holding_size, self.ac.total_pl,
self.ac.collateral, self.ac.collateral_change,
self.ac.realized_pl))
LogMaster.add_log(
'Market order entry has been executed. ' + ' side=' +
side + ' size=' + str(size) + ' price=' + str(price),
self.prediction[0], self.ac)
else:
LogMaster.add_log(
'Market order has been failed.' + ' side=' + side + ' ' +
str(size), self.prediction[0], self.ac)
print('market order failed!')
self.ac.initialize_order()
else:
print('Entry market order - order is already exitst!')
LogMaster.add_log('Entry market order - order is already exitst!',
self.prediction[0], self.ac)
def entry_price_tracing_order(self, side, size):
ltp = TickData.get_ltp()
res, order_sizes, price, order_ids, total_executed = Trade.price_tracing_order(
side, size) # round(sum(exec_size), 2), ave_p, order_id
if res == 0:
print(side + ' entry price tracing order has been executed.' +
'price=' + str(price) + ', size=' + str(total_executed))
self.ac.add_orders(order_ids, order_sizes)
self.ac.add_order_exec_price_gap(price, ltp, side)
self.ac.calc_pl(side, price, total_executed)
print(
'holding_side={},holding_price={},holding_size={},total_pl={},collateral={},collateral_change={},realized_pl={}'
.format(self.ac.holding_side, self.ac.holding_price,
self.ac.holding_size, self.ac.total_pl,
self.ac.collateral, self.ac.collateral_change,
self.ac.realized_pl))
LogMaster.add_log(
'Price tracing order entry has been executed. ' + ' side=' +
side + ' size=' + str(size) + ' price=' + str(price),
self.prediction, self.ac)
else:
LogMaster.add_log(
'Limit order has been failed.' + ' side=' + side + ' ' +
str(total_executed), self.prediction, self.ac)
print('etnry price tracing order failed!')
def exit_order(self):
if self.ac.holding_side != '':
print('quick exit order')
side = 'buy' if self.ac.holding_side == 'sell' else 'sell'
ltp = TickData.get_ltp()
res, order_sizes, price, order_ids, total_executed = Trade.price_tracing_order(
side, self.ac.holding_size
) #return 0, round(sum(exec_size), 2), ave_p, order_id
if res == 0:
print(side + ' exit price tracing order has been executed.' +
'price=' + str(price) + ', size=' + str(total_executed))
self.ac.add_orders(order_ids, order_sizes)
self.ac.add_order_exec_price_gap(price, ltp, side)
self.ac.calc_pl(side, price, total_executed)
LogMaster.add_log('exit order completed!', self.prediction,
self.ac)
return 0
else:
print(side + ' exit price tracing order has been failed.' +
'price=' + str(price) + ', size=' + str(total_executed))
self.ac.add_orders(order_ids, order_sizes)
self.ac.add_order_exec_price_gap(price, ltp, side)
self.ac.calc_pl(side, price, total_executed)
LogMaster.add_log('exit order failed!', self.prediction,
self.ac)
return -1
def check_and_do_lc(self):
if self.ac.holding_side != '':
if self.ac.holding_side == 'buy' and TickData.get_ltp(
) - self.ac.holding_price <= -self.ls:
print('hit loss cut kijun')
LogMaster.add_log('hit loss cut kijun', self.prediction,
self.ac)
LineNotification.send_error('hit loss cut kijun')
self.flg_loss_cut = True
self.exit_order()
self.cancel_pt_order()
elif self.ac.holding_side == 'sell' and self.ac.holding_price - TickData.get_ltp(
) <= -self.ls:
print('hit loss cut kijun')
LogMaster.add_log('hit loss cut kijun', self.prediction,
self.ac)
LineNotification.send_error('hit loss cut kijun')
self.flg_loss_cut = True
self.exit_order()
self.cancel_pt_order()
def get_current_asset(cls):
try:
cls.num_private_access += 1
res = cls.bf.fetch_balance()
except Exception as e:
print('error i get_current_asset ' + e)
LogMaster.add_log('action_message - Trade-get current asset error! ' + str(e),0,None)
LineNotification.send_error('action_message - Trade-get current asset error! ' + str(e))
if cls.check_exception(e) == 'ok':
pass
finally:
return res['total']['BTC'] * TickData.get_ltp() + res['total']['JPY']
def calc_opt_size(self):
collateral = Trade.get_collateral()['collateral']
if TickData.get_1m_std() > 10000:
multiplier = 0.5
print('changed opt size multiplier to 0.5')
LogMaster.add_log(
'action_message - changed opt size multiplier to 0.5',
self.prediction[0], self.ac)
LineNotification.send_error('changed opt size multiplier to 0.5')
else:
multiplier = 1.5
size = round((multiplier * collateral * self.margin_rate) /
TickData.get_ltp() * 1.0 / self.leverage, 2)
return size
def __update_ohlc(
self): #should download ohlc soon after when it finalized
if self.last_ohlc_min < datetime.now(
self.JST).minute or (self.last_ohlc_min == 59
and datetime.now(self.JST).minute == 0):
flg = True
num_conti = 0
num_max_trial = 10
time.sleep(1)
omd = TickData.get_ohlc()
if omd is not None:
for i in range(len(omd.unix_time)):
if OneMinMarketData.ohlc.unix_time[-1] < omd.unix_time[i]:
OneMinMarketData.ohlc.add_and_pop(
omd.unix_time[i], omd.dt[i], omd.open[i],
omd.high[i], omd.low[i], omd.close[i], omd.size[i])
flg = False
LogMaster.add_log(
'updated ws ohlc at ' + str(datetime.now(self.JST)),
self.prediction[0], self.ac)
else:
while flg:
res, omd = CryptowatchDataGetter.get_data_after_specific_ut(
OneMinMarketData.ohlc.unix_time[-1])
if res == 0 and omd is not None:
if len(omd.unix_time) > 0:
omd.cut_data(
len(omd.unix_time
)) #remove first data to exclude after ut
for i in range(len(omd.unix_time)):
if OneMinMarketData.ohlc.unix_time[
-1] < omd.unix_time[i]:
OneMinMarketData.ohlc.add_and_pop(
omd.unix_time[i], omd.dt[i],
omd.open[i], omd.high[i], omd.low[i],
omd.close[i], omd.size[i])
flg = False
if flg == False:
print('data download dt=' +
str(datetime.now(self.JST)))
LogMaster.add_log(
'updated ohlc at ' +
str(datetime.now(self.JST)),
self.prediction[0], self.ac)
num_conti += 1
time.sleep(1)
if num_conti >= num_max_trial:
print('data can not be downloaded from cryptowatch.')
LogMaster.add_log('ohlc download error',
self.prediction[0], self.ac)
break
if flg == False:
self.last_ohlc_min = datetime.now(self.JST).minute
OneMinMarketData.update_for_bot()
df = OneMinMarketData.generate_df_for_bot()
pred_x = self.model.generate_bot_pred_data(df)
#self.prediction = self.cbm.predict(Pool(pred_x))
self.prediction = self.model.prediction2(self.bst, pred_x)
if len(self.prediction) > 1:
print('prediction length error!')
print(self.prediction)
self.pred_side = str(int(self.prediction[0])).translate(
str.maketrans({
'0': 'no',
'1': 'buy',
'2': 'sell',
'3': 'both'
}))
self.ac.sync_position_order()
self.ac.calc_pl(TickData.get_ltp())
print('dt={}, open={},high={},low={},close={}'.format(
OneMinMarketData.ohlc.dt[-1], OneMinMarketData.ohlc.open[-1],
OneMinMarketData.ohlc.high[-1], OneMinMarketData.ohlc.low[-1],
OneMinMarketData.ohlc.close[-1]))
print(
'total_pl={}, pl per min={}, collateral change={},num_trade={},win_rate={},prediction={},holding_side={},holding_price={},holding_size={},ltp={}'
.format(self.ac.total_pl, self.ac.total_pl_per_min,
self.ac.collateral_change, self.ac.num_trade,
self.ac.win_rate, self.prediction[0],
self.ac.holding_side, self.ac.holding_price,
self.ac.holding_size, TickData.get_ltp()))
print('private access per 300sec={}'.format(
Trade.total_access_per_300s))
LogMaster.add_log(
'private access per 300sec = ' +
str(Trade.total_access_per_300s), self.prediction[0], self.ac)
LineNotification.send_notification(
LogMaster.get_latest_performance())
def start_flyer_bot(self, num_term, window_term, pl_kijun, future_period,
zero_three_exit_when_loss,
zero_three_exit_when_profit):
self.__bot_initializer(num_term, window_term, pl_kijun, future_period)
self.start_time = time.time()
self.fixed_order_size = 0.1
while SystemFlg.get_system_flg():
self.__check_system_maintenance(num_term, window_term,
future_period, pl_kijun)
self.__update_ohlc()
if self.ac.holding_side == '' and self.ac.order_side == '': #no position no order
if self.prediction[0] == 1 or self.prediction[0] == 2:
self.entry_market_order(self.pred_side,
self.fixed_order_size)
elif self.ac.holding_side != '' and self.ac.order_side == '': #holding position and no order
self.entry_pl_order()
elif (self.ac.holding_side == 'buy' and
(self.prediction[0]
== 2)) or (self.ac.holding_side == 'sell' and
(self.prediction[0]
== 1)): # ポジションが判定と逆の時にexit, もしplがあればキャンセル。。
if self.ac.order_status != '':
self.cancel_order() #最初にキャンセルしないとexit order出せない。
self.entry_market_order(self.pred_side, self.ac.holding_size)
self.entry_market_order(self.pred_side, self.fixed_order_size)
#elif self.ac.holding_side != '' and self.ac.order_side != '':#sleep until next ohlc update when prediction is same as
# time.sleep(1)
if self.ac.holding_side != '' and zero_three_exit_when_loss and (
self.prediction[0] == 0 or self.prediction[0] == 3):
pl = self.ac.holding_price - TickData.get_ltp(
) if self.ac.holding_side == 'sell' else TickData.get_ltp(
) - self.ac.holding_price
if pl < -500:
if self.ac.order_side != '':
self.cancel_order()
self.entry_market_order(
'sell' if self.ac.holding_side == 'buy' else 'buy',
self.ac.holding_size)
print('exit zero_three_exit_loss')
LineNotification.send_error('exit zero_three_exit_loss')
if self.ac.holding_side != '' and zero_three_exit_when_profit and (
self.prediction[0] == 0 or self.prediction[0] == 3):
pl = self.ac.holding_price - TickData.get_ltp(
) if self.ac.holding_side == 'sell' else TickData.get_ltp(
) - self.ac.holding_price
if pl > 100:
if self.ac.order_side != '':
self.cancel_order()
self.entry_market_order(
'sell' if self.ac.holding_side == 'buy' else 'buy',
self.ac.holding_size)
print('exit zero_three_exit_when_profit')
LineNotification.send_error(
'exit zero_three_exit_when_profit')
if self.ac.order_side != '' and abs(self.ac.order_price -
TickData.get_ltp()) <= 5000:
res = self.ac.check_execution()
if res != '':
LogMaster.add_log(res, self.prediction[0], self.ac)
if Trade.flg_api_limit:
time.sleep(60)
print('Bot sleeping for 60sec due to API access limitation')
else:
time.sleep(0.1)
def calc_holding_pnl(self):
if self.holding_side != '':
self.open_pnl = (TickData.get_ltp() - self.holding_price) * self.holding_size if self.holding_side == 'buy' else (self.holding_price - TickData.get_ltp()) * self.holding_size
self.open_pnl = int(self.open_pnl)
def __update_ohlc(
self): #should download ohlc soon after when it finalized
if self.last_ohlc_min < datetime.now(
self.JST).minute or (self.last_ohlc_min == 59
and datetime.now(self.JST).minute == 0):
flg = True
self.flg_loss_cut = False
num_conti = 0
num_max_trial = 10
time.sleep(1)
if TickData.ws_down_flg == False:
omd = TickData.get_ohlc()
if omd is not None:
for i in range(len(omd.unix_time)):
if OneMinMarketData.ohlc.unix_time[-1] < omd.unix_time[
i]:
OneMinMarketData.ohlc.add_and_pop(
omd.unix_time[i], omd.dt[i], omd.open[i],
omd.high[i], omd.low[i], omd.close[i],
omd.size[i])
flg = False
LogMaster.add_log(
'updated ws ohlc at ' + str(datetime.now(self.JST)),
self.prediction, self.ac)
else:
while flg:
res, omd = CryptowatchDataGetter.get_data_after_specific_ut(
OneMinMarketData.ohlc.unix_time[-1])
if res == 0 and omd is not None:
if len(omd.unix_time) > 0:
omd.cut_data(
len(omd.unix_time)
) #remove first data to exclude after ut
for i in range(len(omd.unix_time)):
if OneMinMarketData.ohlc.unix_time[
-1] < omd.unix_time[i]:
OneMinMarketData.ohlc.add_and_pop(
omd.unix_time[i], omd.dt[i],
omd.open[i], omd.high[i],
omd.low[i], omd.close[i],
omd.size[i])
flg = False
if flg == False:
print('data download dt=' +
str(datetime.now(self.JST)))
LogMaster.add_log(
'updated ohlc at ' +
str(datetime.now(self.JST)),
self.prediction, self.ac)
num_conti += 1
time.sleep(1)
if num_conti >= num_max_trial:
print(
'data can not be downloaded from cryptowatch.')
LogMaster.add_log('ohlc download error',
self.prediction, self.ac)
break
else:
TickData.ws_down_flg = False
self.__overwrite_one_min_data(self.num_term, self.window_term)
LogMaster.add_log('overwrite one min data', self.prediction,
self.ac)
print('overwrite one min data')
LineNotification.send_error('overwrite one min data')
if flg == False:
self.last_ohlc_min = datetime.now(self.JST).minute
OneMinMarketData.update_for_bot()
df = OneMinMarketData.generate_df_for_bot()
pred_x = self.lgb.generate_bsp_data_for_bot(df)
self.prediction = self.lgb.prediction(self.model_buy,
self.model_sell, pred_x,
self.upper_kijun,
self.lower_kijun)
print('prediction=', self.prediction)
self.pred_side = {
0: 'no',
1: 'buy',
-1: 'sell'
}[self.prediction]
#self.ac.sync_position_order()
self.ac.calc_holding_pnl()
print('dt={}, open={},high={},low={},close={}'.format(
OneMinMarketData.ohlc.dt[-1], OneMinMarketData.ohlc.open[-1],
OneMinMarketData.ohlc.high[-1], OneMinMarketData.ohlc.low[-1],
OneMinMarketData.ohlc.close[-1]))
print(
'total_pl={}, pl per min={}, num_trade={},win_rate={},prediction={},holding_side={},holding_price={},holding_size={},ltp={}'
.format(self.ac.total_pl, self.ac.total_pl_per_min,
self.ac.num_trade, self.ac.win_rate, self.prediction,
self.ac.holding_side, self.ac.holding_price,
self.ac.holding_size, TickData.get_ltp()))
print('private access per 300sec={}'.format(
Trade.total_access_per_300s))
LogMaster.add_log(
'private access per 300sec = ' +
str(Trade.total_access_per_300s), self.prediction, self.ac)
LineNotification.send_notification(
LogMaster.get_latest_performance())
while datetime.now().second >= 59:
time.sleep(0.1)
async def __add_log(cls, log_message, prediction, ac):
jst = pytz.timezone('Asia/Tokyo')
d = ''
if ac is not None:
d = {
'dt':
datetime.now(jst),
'message':
log_message,
'prediction':
prediction,
'ltp':
TickData.get_ltp(),
'posi_side':
ac.holding_side,
'posi_price':
ac.holding_price,
'posi_size':
ac.holding_size,
'pt_order_side':
ac.pt_side,
'pt_order_price':
ac.pt_price,
'pt_order_outstanding_size':
ac.pt_outstanding_size,
'pt_order_id':
ac.pt_order_id,
'total_pl':
ac.total_pl,
'total_pl_per_min':
ac.total_pl_per_min,
'num_trade':
ac.num_trade,
'win_rate':
ac.win_rate,
'execution gap':
sum(ac.order_exec_price_gap) /
float(len(ac.order_exec_price_gap))
}
cls.latest_pl_log = d
else:
d = {
'dt': datetime.now(jst),
'message': log_message,
'prediction': prediction,
'ltp': TickData.get_ltp(),
'posi_side': '',
'posi_price': 0,
'posi_size': 0,
'pt_order_side': '',
'pt_order_price': 0,
'pt_order_outstanding_size': 0,
'pt_order_id': '',
'total_pl': 0,
'total_pl_per_min': 0,
'num_trade': 0,
'win_rate': 0,
'execution gap': 0
}
with cls.lock:
cls.log_list.append(d)
if len(cls.log_list) > 1000:
cls.log_list.pop(0)
await cls.__add_log_to_csv()
