def order(self, body):
with BitFlyer.__urlopen("POST", "/v1/me/sendchildorder",
data=body) as res:
html = res.read().decode("utf-8")
applog.info(html)
child_order_acceptance_id = json.loads(
html)["child_order_acceptance_id"]
retry_count = 0
while True:
if retry_count > 3:
assert ("failed order")
time.sleep(3)
retry_count += 1
with BitFlyer.__urlopen("GET",
"/v1/me/getchildorders",
param={
"child_order_acceptance_id":
child_order_acceptance_id
}) as res:
html = res.read().decode("utf-8")
if len(json.loads(html)) > 0:
applog.info(html)
commission = json.loads(html)[0]["total_commission"]
break
return [child_order_acceptance_id, commission]
def __urlopen(method, path, *, param=None, data={}):
paramtext = ""
body = ""
if method == "POST":
body = json.dumps(data)
else:
if (param):
paramtext = "?" + urllib.parse.urlencode(param)
timestamp = str(time.time())
text = timestamp + method + path + paramtext + body
applog.info(text)
sign = hmac.new(bytes(bitflyer_api_secret.encode('ascii')),
bytes(text.encode('ascii')),
hashlib.sha256).hexdigest()
headers = {
'user-agent':
'Mozilla/5.0 (Windows NT 6.1) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/63.0.3239.132 Safari/537.36',
'ACCESS-KEY': bitflyer_api_key,
'ACCESS-TIMESTAMP': timestamp,
'ACCESS-SIGN': sign,
'Content-Type': 'application/json'
}
if method == "POST":
req = urllib.request.Request(url=BitFlyer.__api_endpoint + path +
paramtext,
data=json.dumps(data).encode("utf-8"),
headers=headers)
else:
req = urllib.request.Request(url=BitFlyer.__api_endpoint + path +
paramtext,
headers=headers)
return fetch_url(req)
def health_check(self, dryrun):
if dryrun:
return True
with BitFlyer.__urlopen_public("GET", "/v1/getboardstate") as res:
html = res.read().decode("utf-8")
j = json.loads(html)
if j["state"] == "RUNNING" and j["health"] in [
"NORMAL", "BUSY", "VERY BUSY"
]:
applog.info("Bitflyer API status:" + j["state"] + ", health:" +
j["health"])
return True
else:
applog.warning("Bitflyer API has problem.")
applog.warning("state:" + j["state"] + ", health:" + j["health"])
applog.warning(
"watch:https://lightning.bitflyer.jp/docs?lang=ja&_ga=2.27791676.1496421283.1524886778-454668974.1522570784#%E6%9D%BF%E3%81%AE%E7%8A%B6%E6%85%8B"
)
return False
def run(self, run_mode, is_binance, is_poloniex):
applog.init(self.__prepare_dir(self.log_dir + "/app.log"))
if run_mode == "RealTrade":
dryrun = False
else:
dryrun = True
mailer = Mailer()
if mailer.is_use():
if not mailer.checkmailer():
applog.error("mailer not activation!")
sys.exit()
applog.info("========================================")
applog.info("Start Triangular Arbitrage. RunMode = " + run_mode)
applog.info("binance.comission_fee: %0.8f" %
self.binance.comission_fee)
applog.info("profit_lower_limit: %0.8f" % self.profit_lower_limit)
applog.info("expected_final_profit_lower_btc_limit: %0.8f" %
self.expected_final_profit_lower_btc_limit)
applog.info("risk_hedge_of_target_currency_price: %d" %
self.risk_hedge_of_target_currency_price)
applog.info("========================================")
self.binance.refresh_exchange_info()
try:
self.main_loop(dryrun, is_binance, is_poloniex)
except Exception as e:
applog.error(traceback.format_exc())
mailer.sendmail(traceback.format_exc(),
"Assertion - Daryl Triangular")
def make_final_order(self, _orders, base_currency_name, route_type,
risk_hedge):
if self.__get_asset_lot(base_currency_name) == 0:
print("You are no money. " + base_currency_name)
return None
via_symbol = _orders[1]["symbol"]
via_currency_name = self.__get_basename_from_symbol(via_symbol)
final_orders = []
for order in _orders:
symbol = order["symbol"]
depth = self.binance.depth(symbol)
lot = 0.0
for ask in depth["asks" if order["side"] == "BUY" else "bids"]:
price = float(ask[0])
lot = lot + float(ask[1])
if lot * price / risk_hedge > self.__get_lower_limit(
self.__get_basename_from_symbol(symbol), True):
break
final_orders.append({
"symbol": order["symbol"],
"side": order["side"],
"price": price,
"lot": lot,
})
if route_type == "BUY_BUY_SELL":
final_orders[0][
"base_lot"] = final_orders[0]["price"] * final_orders[0]["lot"]
final_orders[1]["base_lot"] = final_orders[1][
"price"] * final_orders[1]["lot"] * final_orders[0]["price"]
final_orders[2][
"base_lot"] = final_orders[2]["price"] * final_orders[2]["lot"]
elif route_type == "BUY_SELL_SELL":
final_orders[0][
"base_lot"] = final_orders[0]["price"] * final_orders[0]["lot"]
final_orders[1]["base_lot"] = final_orders[1][
"price"] * final_orders[1]["lot"] * final_orders[2]["price"]
final_orders[2][
"base_lot"] = final_orders[2]["price"] * final_orders[2]["lot"]
elif route_type == "BUY_SELL_BUY":
final_orders[0][
"base_lot"] = final_orders[0]["price"] * final_orders[0]["lot"]
final_orders[1]["base_lot"] = final_orders[1][
"price"] * final_orders[1]["lot"] / final_orders[2]["price"]
final_orders[2]["base_lot"] = final_orders[2]["lot"]
elif route_type == "SELL_BUY_SELL":
final_orders[0]["base_lot"] = final_orders[0]["lot"]
final_orders[1]["base_lot"] = final_orders[1][
"price"] * final_orders[1]["lot"] / final_orders[0]["price"]
final_orders[2][
"base_lot"] = final_orders[2]["price"] * final_orders[2]["lot"]
raw_min_base_lot = min([
final_orders[0]["base_lot"], final_orders[1]["base_lot"],
final_orders[2]["base_lot"]
])
min_base_lot = raw_min_base_lot / risk_hedge
min_base_lot = min(min_base_lot,
self.__get_asset_lot(base_currency_name))
if min_base_lot < self.__get_lower_limit(base_currency_name, True):
applog.info(
"Total must be at latest %f%s. (min_base_lot = %0.8f)" %
(self.__get_lower_limit(base_currency_name, True),
base_currency_name, min_base_lot))
return None
if route_type == "BUY_BUY_SELL":
final_orders[0]["final_lot"] = self.binance.lot_filter(
final_orders[0]["lot"] * min_base_lot /
final_orders[0]["base_lot"],
final_orders[0]["symbol"]) # via lot
final_orders[1]["final_lot"] = self.binance.lot_filter(
final_orders[0]["final_lot"] / final_orders[1]["price"],
final_orders[1]["symbol"],
final_orders[2]["symbol"]) # target lot
final_orders[2]["final_lot"] = final_orders[1][
"final_lot"] # target lot
elif route_type == "BUY_SELL_SELL":
final_orders[0]["final_lot"] = self.binance.lot_filter(
final_orders[0]["lot"] * min_base_lot /
final_orders[0]["base_lot"], final_orders[0]["symbol"],
final_orders[1]["symbol"]) # target lot
final_orders[1]["final_lot"] = final_orders[0][
"final_lot"] # target lot
final_orders[2]["final_lot"] = self.binance.lot_filter(
final_orders[1]["final_lot"] * final_orders[1]["price"],
final_orders[2]["symbol"]) # via lot
elif route_type == "BUY_SELL_BUY":
final_orders[0]["final_lot"] = self.binance.lot_filter(
final_orders[0]["lot"] * min_base_lot /
final_orders[0]["base_lot"], final_orders[0]["symbol"],
final_orders[1]["symbol"]) # target lot
final_orders[1]["final_lot"] = final_orders[0][
"final_lot"] # target lot
final_orders[2]["final_lot"] = self.binance.lot_filter(
final_orders[1]["final_lot"] * final_orders[0]["price"],
final_orders[0]["symbol"]) # base lot
elif route_type == "SELL_BUY_SELL":
final_orders[0]["final_lot"] = self.binance.lot_filter(
final_orders[0]["lot"] * min_base_lot /
final_orders[0]["base_lot"],
final_orders[0]["symbol"]) # base lot
final_orders[1]["final_lot"] = self.binance.lot_filter(
final_orders[0]["final_lot"] / final_orders[2]["price"],
final_orders[1]["symbol"],
final_orders[2]["symbol"]) # target lot
final_orders[2]["final_lot"] = final_orders[1][
"final_lot"] # target lot
via_lot = final_orders[1]["final_lot"] * final_orders[1]["price"]
if via_lot < self.__get_lower_limit(via_currency_name, False):
applog.info("Total must be at latest %f%s. (via_lot = %0.8f)" %
(self.__get_lower_limit(via_currency_name, False),
via_currency_name, via_lot))
return None
return final_orders
def trade_binance(self, triangle_order, dryrun):
start_t = datetime.now()
mailer = Mailer()
route = triangle_order[2]
base_currency_name = route[:3]
viasymbole = triangle_order[8].split(":")[0]
via_currency_name = viasymbole[len(viasymbole) - 3:]
route_type = triangle_order[16]
pre_orders = [
{
"symbol": triangle_order[4].split(":")[0],
"side": triangle_order[4].split(":")[1],
"price": float(triangle_order[5]),
"lot": float(triangle_order[6]),
"base_lot": float(triangle_order[7]),
},
{
"symbol": triangle_order[8].split(":")[0],
"side": triangle_order[8].split(":")[1],
"price": float(triangle_order[9]),
"lot": float(triangle_order[10]),
"base_lot": float(triangle_order[11]),
},
{
"symbol": triangle_order[12].split(":")[0],
"side": triangle_order[12].split(":")[1],
"price": float(triangle_order[13]),
"lot": float(triangle_order[14]),
"base_lot": float(triangle_order[15]),
},
]
orders = self.make_final_order(pre_orders, base_currency_name,
route_type, 2)
if orders is None:
return False
applog.info("")
order_count = 0
for order in orders:
pre_order = pre_orders[order_count]
applog.info("%s(%s)" % (order["symbol"], order["side"]))
applog.info(
"price: %5.8f => %5.8f %s" %
(pre_order["price"], order["price"],
"" if pre_order["price"] == order["price"] else "(%+0.8f)" %
(order["price"] - pre_order["price"])))
applog.info(
"lot: %5.8f => %5.8f %s" %
(pre_order["lot"], order["lot"],
"" if pre_order["lot"] == order["lot"] else "(%+0.8f)" %
(order["lot"] - pre_order["lot"])))
applog.info(
"base_lot: %5.8f => %5.8f %s" %
(pre_order["base_lot"], order["base_lot"], "" if
pre_order["base_lot"] == order["base_lot"] else "(%+0.8f)" %
(order["base_lot"] - pre_order["base_lot"])))
applog.info("final_lot: => %5.8f" % order["final_lot"])
order_count += 1
applog.info("")
if route_type == "BUY_SELL_BUY":
expected_profit = orders[2][
"final_lot"] - orders[0]["final_lot"] * orders[0]["price"]
expected_fee = (lambda x: x - x *
(1 - self.binance.comission_fee)**3)(
orders[2]["final_lot"])
elif route_type == "SELL_BUY_SELL":
expected_profit = orders[2]["final_lot"] * orders[2][
"price"] - orders[0]["final_lot"]
expected_fee = (lambda x: x - x *
(1 - self.binance.comission_fee)**3)(
orders[2]["final_lot"] * orders[2]["price"])
else:
expected_profit = orders[2]["final_lot"] * orders[2][
"price"] - orders[0]["final_lot"] * orders[0]["price"]
expected_fee = (lambda x: x - x *
(1 - self.binance.comission_fee)**3)(
orders[2]["final_lot"] * orders[2]["price"])
expected_final_profit = expected_profit - expected_fee
if expected_final_profit < self.expected_final_profit_lower_btc_limit:
applog.info(
"Situation has changed. expected_final_revenue = %0.8f < %0.8f"
% (expected_final_profit,
self.expected_final_profit_lower_btc_limit))
return False
msgs = [""]
msgs.append("[beta] %d JPY" % ((expected_final_profit) * 1000000))
msgs.append("Expected Final Profit:%0.8f%s" %
(expected_final_profit, base_currency_name))
msgs.append("Expected fee:%0.8f%s" %
(expected_fee, base_currency_name))
msgs.append(
"Expected Profit:%0.8f%s 1st lot(%0.8f(%0.8f%s)) => 3rd lot(%0.8f(%0.8f%s))"
% (
expected_profit,
base_currency_name,
orders[0]["final_lot"],
orders[0]["final_lot"] * orders[0]["price"],
base_currency_name,
orders[2]["final_lot"],
orders[2]["final_lot"] * orders[2]["price"],
base_currency_name,
))
msgs.append("")
msgs.append(
"1st order:%s(%s), price:%0.8f, lot:%0.8f, base_lot:%0.8f, final_lot:%0.8f"
%
(orders[0]["symbol"], orders[0]["side"], orders[0]["price"],
orders[0]["lot"], orders[0]["base_lot"], orders[0]["final_lot"]))
msgs.append(
"2nd order:%s(%s), price:%0.8f, lot:%0.8f, base_lot:%0.8f, final_lot:%0.8f"
%
(orders[1]["symbol"], orders[1]["side"], orders[1]["price"],
orders[1]["lot"], orders[1]["base_lot"], orders[1]["final_lot"]))
msgs.append(
"3rd order:%s(%s), price:%0.8f, lot:%0.8f, base_lot:%0.8f, final_lot:%0.8f"
%
(orders[2]["symbol"], orders[2]["side"], orders[2]["price"],
orders[2]["lot"], orders[2]["base_lot"], orders[2]["final_lot"]))
for msg in msgs:
applog.info(msg)
mailer.sendmail("\n".join(msgs),
"%s - Create order - Daryl Triangular" % route)
if not dryrun:
order_count = 0
final_status = ""
for order in orders:
r = self.binance.order(
order["symbol"],
order["side"],
binance.client.Client.ORDER_TYPE_LIMIT,
binance.client.Client.TIME_IN_FORCE_GTC,
order["final_lot"],
"%0.8f" % order["price"],
)
applog.info("binance.create_order" + str(r))
i = 0
while True:
try:
r = self.binance.get_order(r["symbol"], r["orderId"])
except BinanceAPIException as e:
if e.status_code == -2013: # NO_SUCH_ORDER
applog.info(
"BinanceAPIException: Order does not exist. (%d)"
% i)
if i < 30:
time.sleep(0.001)
else:
time.sleep(10)
i += 1
continue
if r["status"] == binance.client.Client.ORDER_STATUS_FILLED:
applog.info("filled.")
order_count += 1
break
elif r["status"] in [
binance.client.Client.ORDER_STATUS_NEW,
binance.client.Client.
ORDER_STATUS_PARTIALLY_FILLED,
]:
applog.info(
"%s,%s,order_count:%d,price:%s,lot:%s,status:%s(%d)"
% (r["symbol"], r["side"], order_count, r["price"],
r["origQty"], r["status"], i))
if i < 30:
time.sleep(0.001)
elif i < 100:
if order_count == 0 and r[
"status"] == binance.client.Client.ORDER_STATUS_NEW:
applog.warning(
"Skip triangular arbitrage. status=" +
r["status"])
cancel_result = self.binance.cancel_order(
r["symbol"], r["orderId"])
applog.info("Canceled. result=" +
str(cancel_result))
mailer.sendmail(
"%s,%s" % (r["symbol"], r["orderId"]),
"Canceled - Daryl Triangular")
final_status = "cancel"
break
time.sleep(0.01)
else:
time.sleep(10)
i += 1
else:
# binance.client.Client.ORDER_STATUS_CANCELED
# binance.client.Client.ORDER_STATUS_EXPIRED
# binance.client.Client.ORDER_STATUS_PENDING_CANCEL
# binance.client.Client.ORDER_STATUS_REJECTED
if order_count == 0:
applog.warning(
"Skip triangular arbitrage. status=" +
r["status"])
cancel_result = self.binance.cancel_order(
r["symbol"], r["orderId"])
applog.info("Canceled. result=" +
str(cancel_result))
mailer.sendmail(
"%s,%s" % (r["symbol"], r["orderId"]),
"Canceled - Daryl Triangular")
final_status = "cancel"
break
else:
applog.error(
"Failed triangular arbitrage. status=" +
r["status"])
mailer.sendmail(
"%s,%s" % (r["symbol"], r["orderId"]),
"Failed - Daryl Triangular")
final_status = "failed"
break
if final_status in ["cancel", "failed"]:
break
if order_count == 3:
mailer.sendmail(route, "Successful - Daryl Triangular")
final_status = "successful"
self.trade_log(start_t, "Binance", route, expected_final_profit,
final_status)
return True