def on_update(self, bin_size, strategy):
"""
Register function of strategy.
:param strategy:
"""
def __override_strategy(open, close, high, low, volume):
new_open_orders = []
if self.get_position_size() > 0 and low[-1] > self.get_trail_price(
):
self.set_trail_price(low[-1])
if self.get_position_size(
) < 0 and high[-1] < self.get_trail_price():
self.set_trail_price(high[-1])
for _, order in enumerate(self.open_orders):
id = order["id"]
long = order["long"]
qty = order["qty"]
limit = order["limit"]
stop = order["stop"]
post_only = order["post_only"]
if limit > 0 and stop > 0:
if (long and high[-1] > stop and close[-1] < limit) or (
not long and low[-1] < stop and close[-1] > limit):
self.commit(id, long, qty, limit, False)
continue
elif (long and high[-1] > stop) or (not long
and low[-1] < stop):
new_open_orders.append({
"id": id,
"long": long,
"qty": qty,
"limit": limit,
"stop": 0
})
continue
elif limit > 0:
if (long and low[-1] < limit) or (not long
and high[-1] > limit):
self.commit(id, long, qty, limit, False)
continue
elif stop > 0:
if (long and high[-1] > stop) or (not long
and low[-1] < stop):
self.commit(id, long, qty, stop, False)
continue
new_open_orders.append(order)
self.open_orders = new_open_orders
strategy(open, close, high, low, volume)
self.eval_exit()
BitMex.on_update(self, bin_size, __override_strategy)
class Bot:
# Parameters
params = {}
# Account
account = None
# Exchange
exchange_arg = None
# Time Frame
bin_size = '1h'
# Pair
pair = 'BTCUSDT'
# periods
periods = 20
# run on test net?
test_net = False
# Back test?
back_test = False
# Stub Test?
stub_test = False
# parameter search?
hyperopt = False
def __init__(self, bin_size):
"""
constructor
:param bin_size: time_frame
:param periods: period
"""
self.bin_size = bin_size
def options(self):
"""
Function to obtain value for searching for a parameter.
"""
pass
def ohlcv_len(self):
"""
The length of the OHLC to the strategy
"""
return 100
def input(self, title, type, defval):
"""
function to get param
:param title: title of the parm
:param defval: default value
:return value
"""
p = {} if self.params is None else self.params
if title in p:
return type(p[title])
else:
return defval
def strategy(self, open, close, high, low, volume):
"""
Strategy function, when creating a bot please inherit this and implement this fn.
:param open: open price
:param close: close price
:param high: high price
:param low: low price
:param volume: volume
"""
pass
def params_search(self):
"""
˜ function to search params
"""
def objective(args):
logger.info(f"Params : {args}")
try:
if self.exchange_arg == "bitmex":
self.params = args
self.exchange = BitMexBackTest(account=self.account, pair=self.pair)
self.exchange.on_update(self.bin_size, self.strategy)
profit_factor = self.exchange.win_profit/self.exchange.lose_loss
logger.info(f"Profit Factor : {profit_factor}")
ret = {
'status': STATUS_OK,
'loss': 1/profit_factor
}
if self.exchange_arg == 'binance':
self.params = args
self.exchange = BinanceFuturesBackTest(account=self.account, pair=self.pair)
self.exchange.on_update(self.bin_size, self.strategy)
profit_factor = self.exchange.win_profit/self.exchange.lose_loss
logger.info(f"Profit Factor : {profit_factor}")
ret = {
'status': STATUS_OK,
'loss': 1/profit_factor
}
except Exception as e:
ret = {
'status': STATUS_FAIL
}
return ret
trials = Trials()
best_params = fmin(objective, self.options(), algo=tpe.suggest, trials=trials, max_evals=200)
logger.info(f"Best params is {best_params}")
logger.info(f"Best profit factor is {1/trials.best_trial['result']['loss']}")
def run(self):
"""
˜ Function to run the bot
"""
if self.hyperopt:
logger.info(f"Bot Mode : Hyperopt")
self.params_search()
return
elif self.stub_test:
logger.info(f"Bot Mode : Stub")
if self.exchange_arg == "binance":
self.exchange = BinanceFuturesStub(account=self.account, pair=self.pair)
elif self.exchange_arg == "bitmex":
self.exchange = BitMexStub(account=self.account, pair=self.pair)
else:
logger.info(f"--exchange argument missing or invalid")
return
elif self.back_test:
logger.info(f"Bot Mode : Back test")
if self.exchange_arg == "binance":
self.exchange = BinanceFuturesBackTest(account=self.account, pair=self.pair)
elif self.exchange_arg == "bitmex":
self.exchange = BitMexBackTest(account=self.account, pair=self.pair)
else:
logger.info(f"--exchange argument missing or invalid")
return
else:
logger.info(f"Bot Mode : Trade")
if self.exchange_arg == "binance":
self.exchange = BinanceFutures(account=self.account, pair=self.pair, demo=self.test_net)
elif self.exchange_arg == "bitmex":
self.exchange = BitMex(account=self.account, pair=self.pair, demo=self.test_net)
else:
logger.info(f"--exchange argument missing or invalid")
return
self.exchange.ohlcv_len = self.ohlcv_len()
self.exchange.on_update(self.bin_size, self.strategy)
logger.info(f"Starting Bot")
logger.info(f"Strategy : {type(self).__name__}")
logger.info(f"Balance : {self.exchange.get_balance()}")
notify(f"Starting Bot\n"
f"Strategy : {type(self).__name__}\n"
f"Balance : {self.exchange.get_balance()}")
self.exchange.show_result()
def stop(self):
"""
˜ Function that stops the bot and cancel all trades.
"""
if self.exchange is None:
return
logger.info(f"Stopping Bot")
self.exchange.stop()
self.exchange.cancel_all()
sys.exit()
class Bot:
# 파라메타
params = {}
# 거래소
exchange = None
# 봉단위
bin_size = '1h'
# 봉기간
periods = 20
# ohlcv = 1440
ohlcv = 8000
# 테스트넷 옵션
test_net = False
# 벡테스트 옵션
back_test = False
# 스터브 옵션
stub_test = False
# 하이퍼 옵션
hyperopt = False
def __init__(self, bin_size):
"""
컨스트럭터
:param bin_size: 봉단위
:param periods: 봉기간
"""
self.bin_size = bin_size
def options(self):
"""
하이퍼옵션 파라메타탐색 값 취득 함수
"""
pass
def resolution(self):
"""
봉기간 사이즈
"""
return self.bin_size
def ohlcv_len(self):
"""
strategy 전략함수에 넘기는 OHLC 길이
"""
# return 100
return self.ohlcv
def input(self, title, type, defval):
"""
하이퍼옵션에 넘겨지는 파라메타 및 속성설정
:param title: 파라메타명
:param defval: 디폴트값
:return: 値
"""
p = {} if self.params is None else self.params
if title in p:
return type(p[title])
else:
return defval
def strategy(self, open, close, high, low, volume):
"""
전략함수로 봇을 작성할때 이 함수를 오버라이드해서 사용
:param open: 시가
:param close: 종가
:param high: 고가
:param low: 저가
:param volume: 거래량
"""
pass
def params_search(self):
"""
˜ 파라메타 탐색 함수
"""
def objective(args):
logger.info(f"Params : {args}")
try:
self.params = args
self.exchange = BitMexBackTest()
self.exchange.on_update(self.bin_size, self.strategy)
profit_factor = self.exchange.win_profit / self.exchange.lose_loss
logger.info(f"Profit Factor : {profit_factor}")
ret = {'status': STATUS_OK, 'loss': 1 / profit_factor}
except Exception as e:
ret = {'status': STATUS_FAIL}
return ret
trials = Trials()
best_params = fmin(objective,
self.options(),
algo=tpe.suggest,
trials=trials,
max_evals=200)
logger.info(f"Best params is {best_params}")
logger.info(
f"Best profit factor is {1/trials.best_trial['result']['loss']}")
def run(self):
"""
˜ Bot 기동
"""
if self.hyperopt:
logger.info(f"Bot Mode : Hyperopt")
self.params_search()
return
elif self.stub_test:
logger.info(f"Bot Mode : Stub")
self.exchange = BitMexStub()
elif self.back_test:
logger.info(f"Bot Mode : Back test")
self.exchange = BitMexBackTest()
else:
logger.info(f"Bot Mode : Trade")
self.exchange = BitMex(demo=self.test_net)
self.exchange.ohlcv_len = self.ohlcv_len()
self.exchange.on_update(self.bin_size, self.strategy)
logger.info(f"Starting Bot")
logger.info(f"Strategy : {type(self).__name__}")
logger.info(f"Resolution : {self.resolution()}")
logger.info(f"Balance : {self.exchange.get_balance()}")
notify(f"Starting Bot\n"
f"Strategy : {type(self).__name__}\n"
f"Resolution : {self.resolution()}\n"
f"Balance : {self.exchange.get_balance()/100000000} XBT")
self.exchange.show_result()
def stop(self):
"""
˜ Bot 정지 및 Open되어 있는 주문을 취소
"""
if self.exchange is None:
return
logger.info(f"Stopping Bot")
self.exchange.stop()
self.exchange.cancel_all()
sys.exit()
class Bot:
# パラメータ
params = {}
# 取引所
exchange = None
# 時間足
bin_size = '1h'
# 足の期間
periods = 20
# テストネットを利用するか
test_net = False
# バックテストか
back_test = False
# スタブ取引か
stub_test = False
# パラメータ探索か
hyperopt = False
def __init__(self, bin_size):
"""
コンストラクタ。
:param bin_size: 時間足
:param periods: 期間
"""
self.bin_size = bin_size
def options(self):
"""
パレメータ探索用の値を取得する関数。
"""
pass
def ohlcv_len(self):
"""
戦略にわたすOHLCの長さ
"""
return 100
def input(self, title, type, defval):
"""
パレメータを取得する関数。
:param title: パレメータ名
:param defval: デフォルト値
:return: 値
"""
p = {} if self.params is None else self.params
if title in p:
return type(p[title])
else:
return defval
def strategy(self, open, close, high, low):
"""
戦略関数。Botを作成する際は、この関数を継承して実装してください。
:param open: 始値
:param close: 終値
:param high: 高値
:param low: 安値
"""
pass
def params_search(self):
"""
˜ パラメータ検索を行う関数。
"""
def objective(args):
logger.info(f"Params : {args}")
try:
self.params = args
self.exchange = BitMexBackTest()
self.exchange.on_update(self.bin_size, self.strategy)
profit_factor = self.exchange.win_profit / self.exchange.lose_loss
logger.info(f"Profit Factor : {profit_factor}")
ret = {'status': STATUS_OK, 'loss': 1 / profit_factor}
except Exception as e:
ret = {'status': STATUS_FAIL}
return ret
trials = Trials()
best_params = fmin(objective,
self.options(),
algo=tpe.suggest,
trials=trials,
max_evals=200)
logger.info(f"Best params is {best_params}")
logger.info(
f"Best profit factor is {1/trials.best_trial['result']['loss']}")
def run(self):
"""
˜ Botを起動する関数。
"""
logger.info(f"Starting Bot")
logger.info(f"Strategy : {type(self).__name__}")
if self.hyperopt:
logger.info(f"Bot Mode : Hyperopt")
self.params_search()
return
elif self.stub_test:
logger.info(f"Bot Mode : Stub")
self.exchange = BitMexStub()
elif self.back_test:
logger.info(f"Bot Mode : Back test")
self.exchange = BitMexBackTest()
else:
logger.info(f"Bot Mode : Trade")
self.exchange = BitMex(demo=self.test_net)
self.exchange.ohlcv_len = self.ohlcv_len()
self.exchange.on_update(self.bin_size, self.strategy)
self.exchange.show_result()
def stop(self):
"""
˜ Botを停止する関数。Openしている注文は、キャンセルする。
"""
if self.exchange is None:
return
logger.info(f"Stopping Bot")
self.exchange.stop()
self.exchange.cancel_all()
sys.exit()