def iyo_result_to_mongo_db(coin_name: str, start_time: int, end_time: int):
Global.configure_default_root_logging(should_log_to_file=False,
log_level=logging.CRITICAL)
SharedMongoClient.initialize(should_use_localhost_db=True)
db_client = SharedMongoClient.instance()
# convert epoch time to local_time and log
local_st = Global.convert_epoch_to_local_datetime(start_time,
timezone="kr")
local_et = Global.convert_epoch_to_local_datetime(end_time,
timezone="kr")
# create combination of coin that is injected by validating if the exchange has that coin
rfab_combi_list = Global.get_rfab_combination_tuples(coin_name)
for _combi in rfab_combi_list:
logging.critical(
"[%s-%s-%s] IYO conducting -> start_time: %s, end_time: %s" %
(coin_name.upper(), str(_combi[0]).upper(), str(
_combi[1]).upper(), local_st, local_et))
# draw iyo_config for bal & factor_setting
iyo_config = Global.read_iyo_setting_config(coin_name)
settings = TradeSettingConfig.get_settings(
mm1_name=_combi[0],
mm2_name=_combi[1],
target_currency=coin_name,
start_time=start_time,
end_time=end_time,
division=iyo_config["division"],
depth=iyo_config["depth"],
consecution_time=iyo_config["consecution_time"],
is_virtual_mm=True)
# todo
bal_factor_settings = TradeSettingConfig.get_bal_fact_settings(
iyo_config["krw_seq_end"], iyo_config["coin_seq_end"])
factor_settings = TradeSettingConfig.get_factor_settings(
_combi[0], _combi[1], coin_name,
iyo_config["max_trade_coin_end"], iyo_config["threshold_end"],
iyo_config["appx_unit_coin_price"])
try:
iyo_result = IntegratedYieldOptimizer.run(
settings, bal_factor_settings, factor_settings)
# finally save to mongoDB
if len(iyo_result) > 0:
db_client["statistics"]["iyo"].insert_many(iyo_result)
else:
logging.critical(
"There was no oppty!! Skipping to next combination!")
continue
except TypeError as e:
Global.send_to_slack_channel(
Global.SLACK_BOT_STATUS_URL,
"Something went wrong in IYO Schduler! >> %s" % e)
pass
def run_inner_or_outer_ocat(self, set_point_market: str,
target_currency: str, is_inner_ocat: bool):
if is_inner_ocat:
# create combination of coin that is injected by validating if the exchange has that coin
logging.critical("Set Point Market is: [%s]" %
set_point_market.upper())
inner_ocat_list = Global.get_inner_ocat_combination(
set_point_market, target_currency)
logging.critical("--------Conducting Inner OCAT--------")
ocat_final_result = self.otc_all_combination_by_one_coin(
target_currency, inner_ocat_list)
elif not is_inner_ocat:
logging.critical("--------Conducting Outer OCAT--------")
ocat_final_result = []
for outer_ocat_coin in list(Global.get_avail_coin_in_list()):
logging.warning("Now conducting [%s]" %
outer_ocat_coin.upper())
outer_ocat_list = Global.get_rfab_combination_tuples(
outer_ocat_coin)
ocat_result = self.otc_all_combination_by_one_coin(
outer_ocat_coin, outer_ocat_list)
ocat_final_result.extend(ocat_result)
# save this setting for updating IYO setting in future ref
self.ocat_final_result = ocat_final_result
else:
raise Exception("Please indicate if it is Inner OCAT or not")
descending_order_result = OTCScheduler.sort_by_logest_oppty_time_to_lowest(
ocat_final_result)
top_ten_descend_order_result = descending_order_result[:10]
for result in top_ten_descend_order_result:
new_percent = (result["new"] / self.INITIATION_REWEIND_TIME) * 100
rev_percent = (result["rev"] / self.INITIATION_REWEIND_TIME) * 100
new_spread_strength = result["new_spread_ratio"] * 100
rev_spread_strength = result["rev_spread_ratio"] * 100
logging.warning(
"[%s] NEW: %.2f%%, REV: %.2f%% // NEW_SPREAD_STRENGTH: %.2f%%, REV_SPREAD_STRENGTH: %.2f%%"
% (result["combination"], new_percent, rev_percent,
new_spread_strength, rev_spread_strength))
def otc_all_mm_comb_by_one_coin(coin_name: str, start_time: int,
end_time: int) -> list:
# create combination of coin that is injected by validating if the exchange has that coin
rfab_combi_list = Global.get_rfab_combination_tuples(coin_name)
all_comb_result_by_one_coin = []
for _combi in rfab_combi_list:
logging.critical(
"[%s-%s-%s] OTC conducting -> start_time: %s, end_time: %s" %
(coin_name.upper(), str(_combi[0]).upper(), str(
_combi[1]).upper(), start_time, end_time))
# draw iyo_config for settings
iyo_config = Global.read_iyo_setting_config(coin_name)
settings = TradeSettingConfig.get_settings(
mm1_name=_combi[0],
mm2_name=_combi[1],
target_currency=coin_name,
start_time=start_time,
end_time=end_time,
division=iyo_config["division"],
depth=iyo_config["depth"],
consecution_time=iyo_config["consecution_time"],
is_virtual_mm=True)
try:
otc_result_dict = OpptyTimeCollector.run(settings=settings)
total_dur_dict = OpptyTimeCollector.get_total_duration_time(
otc_result_dict)
total_dur_dict["combination"] = \
"%s-%s-%s" % (coin_name.upper(), str(_combi[0]).upper(), str(_combi[1]).upper())
all_comb_result_by_one_coin.append(total_dur_dict)
except TypeError as e:
logging.error("Something went wrong in OTC scheduler", e)
continue
return all_comb_result_by_one_coin
