tradeTime = currentTime + timedelta(days=1)
tradeTime = tradeTime.replace(hour=12, minute=0, second=0, microsecond=0)
else:
tradeTime = currentTime.replace(hour=12, minute=0, second=0, microsecond=0)
tradeTime = datetime.now()
while True:
if datetime.now() < tradeTime:
sleep(60)
else:
# TO DO
os.system("Do thing")
tradeTime = tradeTime + timedelta(days=1)
# First, we cancel all remaining orders.
client.futures_cancel_all_open_orders()
## Trading Logic ##
# The trading logic returns two lists:
# One with the symbols to be longed,
# One with the symbols to be shorted.
priceDict = {}
tradingData = pd.DataFrame(
columns=["asset", "momentum_1d", "momentum_7d"])
for symbol in symbols:
priceData = client.get_historical_klines(
f"{symbol}USDT", client.KLINE_INTERVAL_1HOUR, "169 hours ago")
try:
currentPrice = float(priceData[-1][4])
open1Day = float(priceData[144][3])
open1Week = float(priceData[0][3])
except IndexError:
class BinanceAPI:
def __init__(self, api_key, api_secret):
API_KEY = api_key
API_SECRET = api_secret
self.client = Client(API_KEY, API_SECRET)
def get_ticker(self, pair):
try:
value = self.client.get_ticker(symbol=pair)
return value
except Exception as e:
print("Exception : " + str(e))
def get_current_price(self, pair):
try:
ticker = self.client.get_symbol_ticker(symbol=pair)
value = ticker["price"]
return float(value)
except Exception as e:
print("Exception : " + str(e))
def get_klines(self, pair, number):
try:
klines = pd.DataFrame(
self.client.get_klines(symbol=pair,
interval=Client.KLINE_INTERVAL_30MINUTE,
limit=number),
columns=[
"OpenTime", "Open", "High", "Low", "Close", "Volume",
"CloseTime", "QuoteVolume", "TradeCount", "TakerVolume",
"TakerQuoteVolume", "Ignore"
])
value = klines[[
"OpenTime", "Close", "High", "Low", "Volume", "QuoteVolume",
"TakerVolume", "TakerQuoteVolume", "TradeCount"
]].copy()
value.loc[:, "OpenTime"] = pd.to_datetime(value["OpenTime"].apply(
lambda x: datetime.fromtimestamp(int(x / 1000))))
value = value.set_index("OpenTime")
return value
except Exception as e:
print("Exception : " + str(e))
def get_historical_klines(self, pair, start, end):
try:
klines = pd.DataFrame(self.client.get_historical_klines(
start_str=start,
end_str=end,
symbol=pair,
interval=Client.KLINE_INTERVAL_30MINUTE,
limit=500),
columns=[
"OpenTime", "Open", "High", "Low",
"Close", "Volume", "CloseTime",
"QuoteVolume", "TradeCount",
"TakerVolume", "TakerQuoteVolume",
"Ignore"
])
value = klines[[
"OpenTime", "Close", "High", "Low", "Volume", "QuoteVolume",
"TakerVolume", "TakerQuoteVolume", "TradeCount"
]].copy()
value.loc[:, "OpenTime"] = pd.to_datetime(value["OpenTime"].apply(
lambda x: datetime.fromtimestamp(int(x / 1000))))
value = value.set_index("OpenTime")
return value
except Exception as e:
print("Exception : " + str(e))
def get_balance(self, symbol):
try:
value = self.client.get_asset_balance(asset=symbol)
return value
except Exception as e:
print('Exception : {}'.format(e))
def get_free_balance(self, symbol):
try:
value = self.client.get_asset_balance(asset=symbol)
return float(value["free"])
except Exception as e:
print('Exception : {}'.format(e))
def get_futures_balance(self, symbol):
try:
value = self.client.futures_account_balance()
balance = [
balance["balance"] for balance in value
if balance["asset"] == symbol
]
return float(str(*balance))
except Exception as e:
print('Exception : {}'.format(e))
def create_limit_order(self, symbol, price, quantity, side_str):
try:
if side_str == "BUY":
side = self.client.SIDE_BUY
elif side_str == "SELL":
side = self.client.SIDE_SELL
order = self.client.order_limit(
symbol=symbol,
side=side,
timeInForce=self.client.TIME_IN_FORCE_IOC,
price=price,
quantity=quantity)
print(order)
print(
"buy order created.\nSymbol:{0:5}\nPrice:{1:5}\nQuantity:{2:5}",
symbol, price, quantity)
except Exception as e:
print("Exception : " + str(e))
def create_market_order(self, symbol, quantity, side_str):
try:
if side_str == "BUY":
side = self.client.SIDE_BUY
elif side_str == "SELL":
side = self.client.SIDE_SELL
order = self.client.order_market(symbol=symbol,
side=side,
quantity=quantity)
print(order)
print(
"buy order created.\nSymbol:{0:5}\nPrice:{1:5}\nQuantity:{2:5}",
symbol, price, quantity)
except Exception as e:
print("Exception : " + str(e))
def create_test_order(self, symbol, quantity, side_str):
try:
if side_str == "BUY":
side = self.client.SIDE_BUY
elif side_str == "SELL":
side = self.client.SIDE_SELL
order = self.client.create_test_order(
symbol=symbol,
side=side,
type=self.client.ORDER_TYPE_MARKET,
quantity=quantity)
print(order)
print("buy order created.\nSymbol:{0:5}\nQuantity:{1:5}".format(
symbol, quantity))
except Exception as e:
print("Exception : " + str(e))
def create_futures_order(self, symbol, quantity, side_str):
try:
if side_str == "BUY":
side = self.client.SIDE_BUY
elif side_str == "SELL":
side = self.client.SIDE_SELL
order = self.client.futures_create_order(
symbol=symbol,
side=side,
type=self.client.ORDER_TYPE_MARKET,
quantity=quantity)
#print(order)
print("order created.\nSymbol:{0:5}\nQuantity:{1:5}".format(
symbol, quantity))
except Exception as e:
print("Exception : " + str(e))
def create_futures_stoploss_order(self, symbol, quantity, side_str, price):
if side_str == "BUY":
side = self.client.SIDE_BUY
elif side_str == "SELL":
side = self.client.SIDE_SELL
order = self.client.futures_create_order(symbol=symbol,
stopPrice=price,
side=side,
type="STOP_MARKET",
quantity=quantity)
#print(order)
#print("order created.\nSymbol:{0:5}\nQuantity:{1:5}".format(symbol,quantity))
def cancel_futures_orders(self, symbol):
for i in range(0, 50):
try:
self.client.futures_cancel_all_open_orders(symbol=symbol)
except Exception as e:
print("Exception : " + str(e))
continue
break
def get_open_futures_orders(self, symbol):
try:
result = self.client.futures_get_open_orders(symbol=symbol)
return result
except Exception as e:
print("Exception : " + str(e))
def get_base_asset(self, symbol):
try:
return self.client.get_symbol_info(symbol)["baseAsset"]
except Exception as e:
print("Exception : " + str(e))
def get_quote_asset(self, symbol):
try:
return self.client.get_symbol_info(symbol)["quoteAsset"]
except Exception as e:
print("Exception : " + str(e))
def get_all_tickers(self):
try:
return self.client.get_all_tickers()
except Exception as e:
print("Exception : " + str(e))
def get_all_orders(self):
try:
return self.client.get_all_orders()
except Exception as e:
print("Exception : " + str(e))
def get_trades_data(self, symbol, start, end):
try:
data = []
value = self.client.get_aggregate_trades(symbol=symbol,
startTime=start,
endTime=end)
value_max = [-float('inf'), -float('inf')]
value_min = [float('inf'), float('inf')]
#price = self.client.get_historical_klines(start_str = start, end_str = start + 60000, symbol=symbol, interval=Client.KLINE_INTERVAL_1MINUTE, limit=1)[0][1]
for i in value:
if len(data) == const.IMG_LENGTH:
break
data.append(
[float(i["p"]),
float(i["q"]), 0.3 if i["m"] else 0.6])
if len(data) < const.IMG_LENGTH:
data += [[0.0, 0.0, 0.0]] * (const.IMG_LENGTH - len(data))
data = data[:const.IMG_LENGTH]
data = pd.DataFrame(data)
data = (data - data.min()) / (data.max() - data.min())
data = (data - data.mean()) / data.std()
data = (data - data.min()) / (data.max() - data.min())
return data.values.tolist()
except Exception as e:
print("Exception : " + str(e))
data = []
data += [[0.0, 0.0, 0.0]] * (const.IMG_LENGTH)
return data
