def test_binance2btrx(self):
self.assertEqual(aux.binance2btrx({'symbol': 'TIETABTC',
'askPrice': '12',
'bidPrice': '11',
'count': '333',
'highPrice': '15',
'lastPrice': '11.5',
'lowPrice': '10',
'quoteVolume': '1000',
'volume': '100'})
,{'MarketName': 'TIETABTC',
'Ask': 12.0,
'BaseVolume': 1000.0,
'Bid': 11.0,
'Count': 333.0,
'High': 15.0,
'Last': 11.5,
'Low': 10.0,
'Volume': 100.0})
def realtime(exchanges,
entry_funcs,
exit_funcs,
interval=var.default_interval,
smas=var.default_smas,
emas=var.default_volume_emas,
refresh_interval=10,
simulation=True,
main_coins=("BTC", "USDT"),
log_level=1):
'''
Bot using realtime data, doesn't need DB or csv files to work.
Args:
exchanges(list): list of exchanges.
entry_funcs(list): list of entry functions to test.
exit_funcs(list): list of entry functions to test.
markets(string): list with markets to backtest or empty to run all available markets.
interval(string): time between measures.
smas(list): list of SMA values to use.
emas(list): list of EMA values to use.
refresh_interval(int): Data refresh rate.
simulation(bool): Defines if it's running as a simulation or real money mode.
main_coins(tuple): tuple of main coins.
'''
#log_level:
# 0 - Only presents total.
# 1 - Writes logs to file.
# 2 - Writes logs to file and prints on screen.
# Default is 2.
#var.global_log_level = log_level
signal.signal(signal.SIGINT, signal_handler)
validate = smas[-1] + 5
nr_exchanges = len(exchanges)
if not isinstance(exchanges, list): exchanges = [exchanges]
if not isinstance(entry_funcs, list): entry_funcs = [entry_funcs]
if not isinstance(exit_funcs, list): exit_funcs = [exit_funcs]
portfolio = {} # Owned coins list.
coins = {}
# Bittrex exchange
if "bittrex" in exchanges:
if simulation:
bt = Bittrex('', '')
print(f"Starting Bot with Bittrex")
else:
try:
bt = RiskManagement(var.ky, var.sct)
except Exception as e:
print(f"[Error] Couldn't connect to Bittrex: {e}")
nr_exchanges -= 1
# Binance exchange
if "binance" in exchanges:
if simulation:
# T E M P
try:
bnb = Binance.set('', '')
print("Starting Bot with Binance")
except Exception as e:
print(f"[Error] Couldn't connect to Binance: {e}")
else:
print(
f"Can't use Binance exchange in real scenario, just simulation."
)
sys.exit(1)
#try:
# bnb = RiskManagement(var.ky, var.sct)
#except Exception as e:
# print("[Error] Couldn't connect to Binance", 0, log_level)
# nr_exchanges -=1
if not nr_exchanges:
sys.exit(1)
while True:
start_time = time()
markets = bt.get_market_summaries()['result']
markets += bnb.get_ticker()
for market in markets:
# Needed to pass unicode to string.
# Binance
if 'MarketName' in market:
market_name = 'BT_' + str(market['MarketName'])
elif 'symbol' in market:
market = binance2btrx(market)
market_name = 'BN_' + market['MarketName']
# Checks if pair is included in main coins.
if (market_name.startswith('BT_') and market_name.split('-')[0]) or \
(market_name.startswith('BN_') and market_name.endswith(main_coins)):
# Checks if market already exists in analysed coins.
if market_name in coins:
# Checks if has enough data to analyse.
if coins[market_name] == validate:
locals()[market_name] = pd.DataFrame.append(
locals()[market_name], [market]).tail(validate)
# If not, adds data and keep going.
else:
locals()[market_name] = pd.DataFrame.append(
locals()[market_name], [market])
coins[market_name] += 1
continue
# If not adds coin to system.
else:
locals()[market_name] = pd.DataFrame([market])
coins[market_name] = 1
continue
if '-' in market_name:
# Renames OpenBuy and OpenSell in Bittrex
data = locals()[market_name].rename(index=str,
columns={
"OpenBuyOrders":
"OpenBuy",
"OpenSellOrders":
"OpenSell"
})
else:
data = locals()[market_name]
# Checks if coin is in portfolio and looks for a sell opportunity.
if market_name in portfolio:
# Needed to make use of stop loss and trailing stop loss functions.
if portfolio[market_name]['max_price'] < data.Bid.iloc[-1]:
portfolio[market_name]['max_price'] = data.Bid.iloc[-1]
if is_time_to_exit(
data,
exit_funcs,
bought_at=portfolio[market_name]['bought_at'],
max_price=portfolio[market_name]['max_price'],
count=portfolio[market_name]['count']):
# implementar binance
if not simulation:
#REAL
sell_res = bt.sell(
market_name,
portfolio[market_name]['quantity'],
data.Bid.iloc[-1])
# M U D A R
sold_at = sell_res
print(f'[SELL]@ {sold_at} > {market_name}')
res = ((sold_at - portfolio[market_name]['bought_at'])/\
portfolio[market_name]['bought_at'])*100
print(f'[P&L] {market_name}> {res:.2f}%.')
# implementar binance
else:
#SIMULATION
#print('> https://bittrex.com/Market/Index?MarketName=' + market_name)
print(
f'[SELL]@ {data.Bid.iloc[-1]} > {market_name}')
res = ((data.Bid.iloc[-1] - portfolio[market_name]['bought_at'])/\
portfolio[market_name]['bought_at'])*100
print(f'[P&L] {market_name} > {res:.2f}%.')
locals()[market_name].to_csv('df_' + market_name +
'.csv')
del locals()[market_name]
del portfolio[market_name]
coins.pop(market_name)
#if not time to exit, increment count.
else:
portfolio[market_name]['count'] += 1
# if the coin is not on portfolio, checks if is time to buy.
else:
if is_time_to_buy(data, entry_funcs):
if not simulation:
#REAL
sucs, msg = bt.buy(market,
data.Ask.iloc[-1] * 1.01)
if sucs:
portfolio[market_name] = {}
portfolio[market_name]['bought_at'] = msg[0]
portfolio[market_name]['max_price'] = msg[0]
portfolio[market_name]['quantity'] = msg[1]
portfolio[market_name]['count'] = 0
print(f'[BUY]@ {msg[0]} > {market_name}')
else:
print(
f"[XXXX] Could not buy @ {data.Ask.iloc[-1] * 1.01} \
[MSG>] {msg}")
else:
#SIMULATION
portfolio[market_name] = {}
portfolio[market_name][
'bought_at'] = data.Ask.iloc[-1]
portfolio[market_name][
'max_price'] = data.Ask.iloc[-1]
portfolio[market_name]['quantity'] = 1
portfolio[market_name]['count'] = 0
#print('> https://bittrex.com/Market/Index?MarketName='+market_name)
print(f'[BUY]@{data.Ask.iloc[-1]} > {market_name}')
# In case of processing time is bigger than *refresh_interval* doesn't sleep.
if refresh_interval - (time() - start_time) > 0:
sleep(refresh_interval - (time() - start_time))
def realtime(exchanges,
entry_funcs,
exit_funcs,
trading_markets=None,
interval=var.default_interval,
smas=var.default_smas,
emas=var.default_volume_emas,
refresh_interval=10,
simulation=True,
main_coins=("BTC", "USDT")):
"""
Bot using realtime data, doesn't need DB or csv files to work.
Args:
exchanges(list): list of exchanges.
entry_funcs(list): list of entry functions to test.
exit_funcs(list): list of entry functions to test.
trading_markets(string): list with markets to backtest or empty
to run all available markets.
interval(string): time between measures.
smas(list): list of SMA values to use.
emas(list): list of EMA values to use.
refresh_interval(int): Data refresh rate.
simulation(bool): Defines if it's running as a simulation or real money mode.
main_coins(tuple): tuple of main coins.
"""
markets = []
if trading_markets is None:
trading_markets = []
signal.signal(signal.SIGINT, signal_handler)
validate = smas[-1] + 5
nr_exchanges = len(exchanges)
if not isinstance(exchanges, list):
exchanges = [exchanges]
if not isinstance(entry_funcs, list):
entry_funcs = [entry_funcs]
if not isinstance(exit_funcs, list):
exit_funcs = [exit_funcs]
portfolio = {} # Owned coins list.
coins = {}
res_abs = 0
# Bittrex exchange
if "bittrex" in exchanges:
log.debug("Starting Bot with Bittrex")
if simulation:
log.debug("[MODE] Simulation")
bt = Bittrex('', '')
nr_exchanges -= 1
else:
log.debug("[MODE] Simulation")
try:
bt = Btr(var.btr_ky, var.btr_sct)
except Exception as e:
log.error(f"Unable to connect to Bittrex: {e}")
return 1
# Binance exchange
if "binance" in exchanges:
log.debug("Starting Bot with Binance")
if simulation:
log.debug("[MODE] Simulation")
try:
bnb = Binance('', '')
nr_exchanges -= 1
except Exception as e:
log.error(f"Unable to connect to Binance: {e}")
else:
log.debug("[MODE] Real Money")
if var.desktop_info:
desktop_notification({
'type': 'info',
'title': 'Crypto Algo Trading',
'message': '[MODE] Real Money'
})
try:
bnb = Bnb()
except Exception as e:
log.error(f"Unable to connect to Binance - {e}")
return 1
if not nr_exchanges:
log.error('sin exchanges Jose')
sys.exit(1)
while True:
start_time = time()
if "bittrex" in exchanges:
markets += bt.get_market_summaries()['result']
if "binance" in exchanges:
markets += bnb.get_ticker()
for market in markets:
if 'MarketName' in market:
market_name = 'BT_' + str(market['MarketName'])
elif 'symbol' in market:
market = binance2btrx(market)
market_name = 'BN_' + market['MarketName']
global_market_name = str(market['MarketName'])
# Check if it's on of the trading pairs.
if len(trading_markets) > 0:
if market_name not in trading_markets:
continue
# Checks if pair is included in main coins.
if (market_name.startswith('BT_') and market_name.split('-')[0] in main_coins) or \
(market_name.startswith('BN_') and market_name.endswith(main_coins)):
# Checks if market already exists in analysed coins.
if market_name in coins:
# Checks if has enough data to analyse.
if coins[market_name] == validate:
locals()[market_name] = pd.DataFrame.append(
locals()[market_name], [market]).tail(validate)
# If not, adds data and keep going.
else:
locals()[market_name] = pd.DataFrame.append(
locals()[market_name], [market])
coins[market_name] += 1
continue
# If not adds coin to system.
else:
locals()[market_name] = pd.DataFrame([market])
coins[market_name] = 1
continue
if '-' in market_name:
# Renames OpenBuy and OpenSell in Bittrex
data = locals()[market_name].rename(index=str,
columns={
"OpenBuyOrders":
"OpenBuy",
"OpenSellOrders":
"OpenSell"
})
else:
data = locals()[market_name]
# Checks if coin is in portfolio and looks for a sell opportunity.
if market_name in portfolio:
# Needed to make use of stop loss and trailing stop loss functions.
if portfolio[market_name]['max_price'] < data.Bid.iloc[-1]:
portfolio[market_name]['max_price'] = data.Bid.iloc[-1]
if is_time_to_exit(
data,
exit_funcs,
smas,
bought_at=float(
portfolio[market_name]['bought_at']),
max_price=float(
portfolio[market_name]['max_price']),
count=portfolio[market_name]['count'],
stop=var.stop_type):
if not simulation:
# Binance market
if market_name.startswith('BN_'):
# Market Sell
success, sell_res = bnb.sell(
market_name.replace('BN_', ''))
# portfolio[market_name]['quantity']
# data.Bid.iloc[-1])
if success:
sold_at = float(
sell_res['fills'][0]['price'])
# Bittrex market
elif market_name.startswith('BT_'):
success, sell_res = bt.sell(
market_name.replace('BT_', ''),
portfolio[market_name]['quantity'],
data.Bid.iloc[-1])
if success:
sold_at = sell_res
if not success:
log.error(f'[ERROR] {sell_res}')
continue
log.info(
f'[SELL] {global_market_name} @ {sold_at}')
if var.desktop_info:
desktop_notification({
'type':
'sell',
'title':
global_market_name,
'message':
f'Sold @ {sold_at}'
})
res_abs = (float(sell_res['cummulativeQuoteQty']) /
float(sell_res['executedQty']) -
portfolio[market_name]['bought_at']
) * float(sell_res['executedQty'])
res = (
(sold_at - portfolio[market_name]['bought_at'])
/ portfolio[market_name]['bought_at']) * 100
# SIMULATION
else:
log.info(
f'[SELL] {global_market_name} @ {data.Bid.iloc[-1]}'
)
res = ((data.Bid.iloc[-1] -
portfolio[market_name]['bought_at']) /
portfolio[market_name]['bought_at']) * 100
if var.commission:
res -= var.bnb_commission
log.info(f'[P&L] {global_market_name} > {res:.2f}%')
# Hard coded to USDT
log.debug(
f"[ {'+' if res>0 else '-'} ] {res_abs:.2f} {sell_res['fills'][-1]['commissionAsset']}"
)
if var.desktop_info:
desktop_notification({
'type':
'P&L',
'profit%':
res,
'profit':
res_abs,
'title':
global_market_name,
'message':
f"P&L = {res:.2f}% | {res_abs} {sell_res['fills'][-1]['commissionAsset']}"
})
locals()[market_name].to_csv(
f"df_{market_name}-{ctime(time())}.csv")
del locals()[market_name]
del portfolio[market_name]
coins.pop(market_name)
# If it's not time to exit, increment count.
else:
portfolio[market_name]['count'] += 1
# If the coin is not on portfolio, checks if it's time to buy.
else:
if is_time_to_buy(data, entry_funcs, smas):
# REAL
if not simulation:
# Binance
if market_name.startswith('BN_'):
# Limit buy
# success, msg = bnb.buy(market, data.Ask.iloc[-1]*1.01)
# Market buy
success, ret = bnb.buy(
market_name.replace('BN_', ''))
# Bittrex
elif market_name.startswith('BT_'):
success, ret = bt.buy(
market_name.replace('BT_', ''),
data.Ask.iloc[-1] * 1.01)
if success:
# TODO - Implement portfolio for Bittrex
portfolio[market_name] = {
'bought_at':
float(ret['fills'][0]['price']),
'max_price':
float(ret['fills'][0]['price']),
'quantity': float(ret['executedQty']),
'count': 0
}
log.info(
f"[BUY] {global_market_name} @ {portfolio[market_name]['bought_at']}"
)
if var.desktop_info:
desktop_notification({
'type':
'buy',
'title':
global_market_name,
'message':
f"Buy @ {portfolio[market_name]['bought_at']}"
})
elif 'error' in ret:
log.info(
f"[ERROR] Unable to buy {global_market_name} @ {data.Ask.iloc[-1]}"
)
log.info(f" [MSG] {ret['error']}")
# SIMULATION
else:
portfolio[market_name] = {
'bought_at': data.Ask.iloc[-1],
'max_price': data.Ask.iloc[-1],
'quantity': 1,
'count': 0
}
log.info(
f'[BUY] {global_market_name} @ {data.Ask.iloc[-1]}'
)
del markets
markets = []
# In case of processing time is bigger than *refresh_interval* doesn't sleep.
if refresh_interval - (time() - start_time) >= 0:
sleep(refresh_interval - (time() - start_time))