def handle_depth(self, timestamp, depth):
bp = depth['buy'][0][0] #price buy
ba = depth['buy'][0][1] #amount buy
sp = depth['sell'][0][0] #price sell
sa = depth['sell'][0][1] #amount sell
self.n_depth_handle += 1
gap = gaps(bp, sp)
if gap > 0.3:
log.dbg("gap=%f low volume, don't operate!"%(gap))
sslot.robot_log("gap=%f low volume, don't operate!"%(gap))
return
indicator = cfg.get_indicator()
if indicator == 'bbands':
self.bbands.ta_signal(timestamp, (bp+sp)/2)
signal = self.stoch.sig
elif indicator == 'macd':
self.macd.ta_signal(timestamp, (bp+sp)/2)
signal = self.macd.sig
elif indicator == 'stoch':
self.stoch.ta_signal(timestamp, (bp+sp)/2)
signal = self.stoch.sig
else:
signal = 'standby'
#log.dbg("get signal! %s"%signal)
self.trade(timestamp, signal, bp, ba, sp, sa)
self.update_profit((bp+sp)/2)
if self.testing == False and self.n_depth_handle%12 == 0:
sslot.robot_status(1)
def signed_request(self, method, api_url, **payload):
"""request a signed url"""
param = ''
payload['access_id'] = cfg.get_cfg('id')
payload['tonce'] = int(time.time()*1000)
if payload:
sort_pay = sorted(payload.items())
for k in sort_pay:
param += '&' + str(k[0]) + '=' + str(k[1])
param = param.lstrip('&')
sig_str = param + '&' + 'secret_key=' + cfg.get_cfg('secret_key')
signature = self.get_signed_md5(sig_str)
r_url = cfg.get_cfg('base_url') + api_url
if method == 'GET' or method == 'DELETE':
if param:
r_url = r_url + '?' + param
log.dbg(r_url)
try:
headers = cfg.get_cfg_header()
headers['authorization'] = signature
#log.dbg(headers)
except:
log.err("Fail load section from config file")
return
try:
r = requests.request(method, r_url, headers = headers, json=payload,timeout=20)
r.raise_for_status()
except requests.exceptions.HTTPError as err:
log.err(err)
log.err(r.text)
if r.status_code == 200:
return r.json()
def testback(self):
self.testing = True
self.trade_history.drop(self.trade_history.index, inplace=True) #clear history
days = 10
kl_1hour = fwk.get_kline(cfg.get_pair(), dtype="1hour", limit=min(days*24, 2000))
if kl_1hour.size > 0:
self.bbands.handle_data(kl_1hour)
self.macd.handle_data(kl_1hour)
self.stoch.handle_data(kl_1hour)
if True:
kl_5min = fwk.get_kline(cfg.get_pair(), dtype="5min", limit=min(days*24*60/5, 2000))
if(kl_5min.size <= 0):
return
p = kl_5min['c']
t = kl_5min['t']
else:
p = kl_1hour['c']
t = kl_1hour['t']
for i in range(t.size):
dummy_depth = {'buy':[[p[i]*0.999, 1000]],'sell':[[p[i]*1.001, 1000]]}
self.handle_depth(t[i], dummy_depth)
log.dbg("test done... user_info:%s"%(self.user_info))
log.dbg("test done... future_position:%s"%(self.future_position))
sslot.trade_history(self.trade_history)
sslot.robot_status(1)
self.testing = False
def stop(self):
if self.running == 1:
log.dbg("robot stopping...")
mkt.unregister_handle('depth', self.handle_depth)
self.bbands.stop()
self.macd.stop()
self.stoch.stop()
self.running = 0
def unregister_handle(self, dtype, func):
log.dbg("unregister_handle %s %s"%(dtype, func))
handles = self.data_handles[dtype]
if func in handles['func']:
handles['func'].remove(func)
handles['reg'] -= 1
if handles['reg'] == 0:
handles['thandle'].cancel()
def unregister_handle(self, dtype, func):
log.dbg("unregister_handle %s %s" % (dtype, func))
handles = self.data_handles[dtype]
if func in handles['func']:
handles['func'].remove(func)
handles['reg'] -= 1
if handles['reg'] == 0:
handles['thandle'].cancel()
def start(self):
if self.running == 0:
log.dbg("robot starting...")
self.running = 1
self.bbands.start()
self.macd.start()
self.stoch.start()
mkt.register_handle('depth', self.handle_depth)
else:
log.dbg("robot already running!")
def register_handle(self, dtype, func):
log.dbg("register_handle %s %s"%(dtype, func))
handles = self.data_handles[dtype]
if func in handles['func']:
log.war(" %s already handled!"%(func))
return
#as kline have long period, the newly obj callback func can't been called immediately.
#so call it when first register.
if dtype == 'kline' and handles['data'].size > 0:
func(handles['data'])
handles['func'].append(func)
handles['reg'] += 1
#print("register_handle", handles)
if handles['reg'] == 1:
handles['thandle'] = threading.Timer(1, handles['tfunc']) #first start timer 1s period
handles['thandle'].start()
def register_handle(self, dtype, func):
log.dbg("register_handle %s %s" % (dtype, func))
handles = self.data_handles[dtype]
if func in handles['func']:
log.war(" %s already handled!" % (func))
return
#as kline have long period, the newly obj callback func can't been called immediately.
#so call it when first register.
if dtype == 'kline' and handles['data'].size > 0:
func(handles['data'])
handles['func'].append(func)
handles['reg'] += 1
#print("register_handle", handles)
if handles['reg'] == 1:
handles['thandle'] = threading.Timer(
1, handles['tfunc']) #first start timer 1s period
handles['thandle'].start()
def signed_request(self, method, api_url, **payload):
"""request a signed url"""
param = ''
payload['access_id'] = cfg.get_cfg('id')
payload['tonce'] = int(time.time() * 1000)
if payload:
sort_pay = sorted(payload.items())
for k in sort_pay:
param += '&' + str(k[0]) + '=' + str(k[1])
param = param.lstrip('&')
sig_str = param + '&' + 'secret_key=' + cfg.get_cfg('secret_key')
signature = self.get_signed_md5(sig_str)
r_url = cfg.get_cfg('base_url') + api_url
if method == 'GET' or method == 'DELETE':
if param:
r_url = r_url + '?' + param
log.dbg(r_url)
try:
headers = cfg.get_cfg_header()
headers['authorization'] = signature
#log.dbg(headers)
except:
log.err("Fail load section from config file")
return
try:
r = requests.request(method,
r_url,
headers=headers,
json=payload,
timeout=20)
r.raise_for_status()
except requests.exceptions.HTTPError as err:
log.err(err)
log.err(r.text)
if r.status_code == 200:
return r.json()
def update_variables(self, trade_param):
if self.trade_history.index.size > 100:
self.trade_history = self.trade_history.drop(0)
self.trade_history.loc[self.trade_history.index.size] = trade_param ##may need use append instead
if self.testing == False:
sslot.trade_history(self.trade_history)
hist.info("%s"%(trade_param))
if self.simulate:
param = self.trade_history.iloc[-1]
a = param['amount'] * (1-0.001) ##take off trans fee
info_contracts = self.user_info[cfg.get_coin1()]['contracts'][0]
position = self.future_position
if param['type'] == 'open_buy':
if cfg.is_future():
oldfund = position['buy_amount'] * position['buy_price_avg']
newfund = a * param['price']
position['buy_amount'] += a
position['buy_available'] += a
position['buy_price_avg'] = (oldfund + newfund) / position['buy_amount']
position['buy_bond'] += a/position['lever_rate']
info_contracts['available'] -= param['amount']/position['lever_rate']
info_contracts['bond'] += a/position['lever_rate']
if param['type'] == 'margin_buy':
if cfg.is_future():
position['buy_amount'] -= param['amount']
position['buy_available'] -= param['amount']
position['buy_bond'] -= param['amount']/position['lever_rate']
info_contracts['available'] += a/position['lever_rate']
info_contracts['bond'] -= param['amount']/position['lever_rate']
profit = (param['price'] - position['buy_price_avg'])/position['buy_price_avg'] * a
info_contracts['profit'] += profit
info_contracts['available'] += profit
self.update_profit(param['price'])
if param['type'] == 'open_sell':
if cfg.is_future():
oldfund = position['sell_amount'] * position['sell_price_avg']
newfund = param['amount'] * param['price']
position['sell_amount'] += a
position['sell_available'] += a
position['sell_price_avg'] = (oldfund + newfund) / position['sell_amount']
position['sell_bond'] += a/position['lever_rate']
info_contracts['available'] -= param['amount']/position['lever_rate']
info_contracts['bond'] += a/position['lever_rate']
if param['type'] == 'margin_sell':
if cfg.is_future():
position['sell_amount'] -= param['amount']
position['sell_available'] -= param['amount']
position['sell_bond'] -= param['amount']/position['lever_rate']
info_contracts['available'] += a/position['lever_rate']
info_contracts['bond'] -= param['amount']/position['lever_rate']
profit = (position['sell_price_avg'] - param['price'])/position['sell_price_avg'] * a
info_contracts['profit'] += profit
info_contracts['available'] += profit
self.update_profit(param['price'])
log.dbg("user_info:%s"%(self.user_info))
log.dbg("future_position:%s"%(self.future_position))
else:
if cfg.get_cfg_plat() == '': #reserve
pass
else:
if cfg.is_future():
self.user_info = fwk.get_user_info()
self.future_position = fwk.get_future_position(cfg.get_pair())
log.dbg("user_info:%s"%(self.user_info))
log.dbg("future_position:%s"%(self.future_position))
else:
pass