class StrategyTrading(object):
def __init__(self, config):
self.api = ExchangeAPIManager()
self.configuration = config
self.exchange_depth = {}
PeriodicCallback(self._detect_keepalive, 1000).start()
def _detect_keepalive(self):
self.api.sell('okcoin', 0.01)
self.api.sell('huobi', 0.01)
def _update_exchange_depth(self):
for exchange in self.configuration['exchanges'].keys():
if exchange is 'okcoin' or 'huobi':
try:
self.exchange_depth[exchange] = self.api.market_depth(exchange)['data']['bids'] if type(self.api.market_depth(exchange)) is dict else self.api.market_depth(exchange)[0]['data']['bids']
except :
pass
def _get_asks_for_iceberg_sell(self, exchange_depth, btc_vol):
bids = sorted([(exchange, bid[0], bid[1]) for exchange, bids in exchange_depth.iteritems() for bid in bids], key=lambda v: v[1], reverse=True)
results = {}
for exchange, price, vol in bids:
if btc_vol <= 0:
break
if vol > btc_vol:
vol = btc_vol
if exchange not in results:
results[exchange] = vol
else:
results[exchange] += vol
btc_vol -= vol
return {exchange: round(vol, 4) for exchange, vol in results.iteritems()}
@gen.coroutine
def initialize_exchange_api(self, exchanges=None):
for exchange in exchanges if exchanges else self.configuration['exchanges'].keys():
try:
yield self.api.connect(exchange,
url=self.configuration['exchanges'][exchange]['url'],
access_key=self.configuration['exchanges'][exchange]['access_key'],
secret_key=self.configuration['exchanges'][exchange]['secret_key'],
)
except Exception as e:
print "error : %s " % e
pass
raise gen.Return(None)
def get_btc_vol(self, cny_vol):
self._update_exchange_depth()
results = {}
for exchange, bids in self.exchange_depth.iteritems():
remainder_cny_vol = cny_vol
for bid in bids :
if exchange not in results:
results[exchange] = bid[0]*bid[1]
else:
results[exchange] += bid[0]*bid[1]
remainder_cny_vol -= bid[0]*bid[1]
if remainder_cny_vol <= 0:
results[exchange] = [round((float(cny_vol)/bid[0])*(1+self.configuration['risk_fund_proportion']),4),bid[0]]
break
if remainder_cny_vol >0 :
results[exchange] =[]
return max(results.itervalues())
def iceberg_sell_btc(self, btc_vol):
self._update_exchange_depth()
for exchange, sell_btc_vol in self._get_asks_for_iceberg_sell(self.exchange_depth, btc_vol).iteritems():
self.api.sell(exchange, sell_btc_vol)