def __init__(self, exchange, symbol, leverage=None, api_key=None, api_secret=None, testnet=True, dry_run=False,
candle_limit=None, candle_period=None):
"""
:param exchange: 거래소이름. bitmex, bithumb..
:param symbol: 심볼페어. XBTUSD, BTC/USD
:param dry_run: 참일 경우 실제 주문 api를 호출하지 않는다.
:param candle_limit: 저장할 최대 캔들갯수.
:param candle_period: 봉주기. Bitmex는 4가지만 지원한다. 1m, 5m, 1h, 1d
"""
self.candle_handler = None
raw_symbol = symbol.replace('/', '')
self.api = utils.ccxt_exchange(exchange, api_key=api_key, api_secret=api_secret, is_async=False, opt={'test':testnet})
if api_key and api_secret and self.api and leverage is not None:
self.api.private_post_position_leverage({'symbol': raw_symbol, 'leverage': leverage})
logger.info('>>candle_period>> %s',candle_period)
# 웹소켓 처리기.
self.ws = BitmexWS(raw_symbol, candle_period,
api_key=api_key,
api_secret=api_secret,
testnet=testnet)
if candle_limit and candle_period:
period_in_second = 0
if candle_period == '1m':
period_in_second = 60
elif candle_period == '5m':
period_in_second = 300
elif candle_period == '1h':
period_in_second = 3600
elif candle_period == '1d':
period_in_second = 3600 * 24
since = datetime.datetime.now().timestamp() - period_in_second * candle_limit
since = since * 1000
self.candle_handler = CandleHandler(self.api, symbol, period=candle_period, history=candle_limit, since=since)
def enter(self, df, hei):
# 포지션이 없을때만
if self.s['current_qty'] == 0:
if hei.HA_Diff.iloc[-1] > 0 and hei.HA_Diff.iloc[-2] > 0:
# 이전 5개 봉중에 diff>0 인 봉이 다른 색일 경우, 진입가능.
allowed = False
for i in range(5):
if abs(hei.HA_Diff.iloc[-2 - i]) > 0:
allowed = hei.HA_Diff.iloc[-2 - i] < 0
break
# 가격이 높아지는 추세.
if allowed and abs(hei.HA_Diff.iloc[-1] + hei.HA_Diff.iloc[-2]) >= 1:
# 롱 진입.
self.s['order'] += 1
logger.info('롱 진입요청 %s XBT@%s', self.amount, self.s['bid1'])
self.send_telegram('Enter Long Req {} XBT@{}'.format(self.amount, self.s['bid1']))
self.buy_orderbook1(self.amount)
elif hei.HA_Diff.iloc[-1] < 0 and hei.HA_Diff.iloc[-2] < 0:
allowed = False
for i in range(5):
if abs(hei.HA_Diff.iloc[-2 - i]) > 0:
allowed = hei.HA_Diff.iloc[-2 - i] < 0
break
# 가격이 낮아지는 추세.
if allowed and abs(hei.HA_Diff.iloc[-1] + hei.HA_Diff.iloc[-2]) >= 1:
# 숏 진입.
self.s['order'] += 1
logger.info('숏 진입요청 %s XBT@%s', self.amount, self.s['ask1'])
self.send_telegram('Enter Short Req {} XBT@{}'.format(self.amount, self.s['ask1']))
self.sell_orderbook1(self.amount)
def leave(self, df, hei):
N = 3 # 3개의 연속 가격을 확인하여 익절.
close = hei.HA_Close.iloc[-1]
if self.s['current_qty'] < 0:
# 숏 청산.
tobe_pnl = self.s['entry_price'] - close
if hei.HA_Diff.iloc[-1] > 0 \
or self.great_or_eq(hei.HA_Close, N) \
or tobe_pnl >= self.takeprofit \
or -tobe_pnl >= self.losscut:
# takeprofit=익절. losscut=손절.
self.s['order'] += 1
logger.info('숏 청산요청 @%s tobe_pnl[%s]', self.s['bid1'], tobe_pnl)
self.send_telegram(
'End Short Req{} XBT@{} tobe_pnl[{}]'.format(abs(self.s['current_qty']), self.s['bid1'], tobe_pnl))
self.buy_orderbook1(self.s['current_qty'], reduce_only=True)
elif self.s['current_qty'] > 0:
# 롱 청산.
tobe_pnl = close - self.s['entry_price']
if hei.HA_Diff.iloc[-1] < 0 \
or self.less_or_eq(hei.HA_Close, N) \
or tobe_pnl >= self.takeprofit \
or -tobe_pnl >= self.losscut:
self.s['order'] += 1
logger.info('롱 청산요청 @%s tobe_pnl[%s]', self.s['ask1'], tobe_pnl)
self.send_telegram(
'End Long Req {} XBT@{} tobe_pnl[{}]'.format(abs(self.s['current_qty']), self.s['ask1'], tobe_pnl))
self.sell_orderbook1(self.s['current_qty'], reduce_only=True)
def update_position(self, position):
logger.debug('update_position > %s', position)
self.s['current_qty'] = position['currentQty']
current_qty = self.s['current_qty']
if current_qty == 0:
# 포지션이 닫힌 경우.
if 'isOpen' in position and not position['isOpen']:
prevPnl = position['prevRealisedPnl']
logger.info('Position Closed. pnl[%s%s]', prevPnl, position['currency'])
self.send_telegram('Position Closed. pnl[{} {}]'.format(prevPnl, position['currency']))
# stop모두 취소.
for order in self.data['order']:
if order['ordType'] == 'Stop':
order_id = order['orderID']
self.api.cancel_order(id=order_id, symbol=symbol)
return
if 'avgEntryPrice' in position:
if position['avgEntryPrice']:
## entry_price가 대부분 안들어온다. 포지션이 수정될때만 들어옴. 봇을 리스타트시 안들어옴.
self.s['entry_price'] = position['avgEntryPrice']
if current_qty > 0:
# 롱 포지션은 아래쪽에 Sell을 예약한다.
stop_price = round(self.s['entry_price'] - self.stoploss)
found = False
for order in self.data['order']:
# limit 주문만 수정. stop은 손절주문이므로 수정하지 않으며, update_position에서 수정함.
if order['ordType'] == 'Stop' and order['side'] == 'Sell':
if order['stopPx'] != stop_price:
order_id = order['orderID']
self.api.edit_order(id=order_id, symbol=symbol, type='Stop', side='Buy',
amount=abs(current_qty),
params={'execInst': 'Close,LastPrice', 'stopPx': stop_price})
found = True
break
if not found:
self.api.create_order(symbol, type='Stop', side='Sell',
amount=abs(current_qty),
params={'execInst': 'Close,LastPrice', 'stopPx': stop_price})
elif current_qty < 0:
# 숏 포지션은 위쪽에 Buy를 예약한다.
stop_price = round(self.s['entry_price'] + self.stoploss)
found = False
for order in self.data['order']:
# limit 주문만 수정. stop은 손절주문이므로 수정하지 않으며, update_position에서 수정함.
if order['ordType'] == 'Stop' and order['side'] == 'Buy':
if order['stopPx'] != stop_price:
order_id = order['orderID']
self.api.edit_order(id=order_id, symbol=symbol, type='Stop', side='Sell',
amount=abs(current_qty),
params={'execInst': 'Close,LastPrice', 'stopPx': stop_price})
found = True
break
if not found:
self.api.create_order(symbol, type='Stop', side='Buy',
amount=abs(current_qty),
params={'execInst': 'Close,LastPrice', 'stopPx': stop_price})
async def connect(self):
self.websocket = await websockets.connect(
self.url, extra_headers=self.__get_auth())
self.connected = True
logger.info('Connected! websocket > %s...', self.websocket)
if self.websocket:
text = utils.json_dumps(self.topic_request)
await self.websocket.send(text)
def load(self):
logger.info(f'Load data: {os.path.abspath(self.filepath)}')
self._data = pd.read_csv(self.filepath, index_col='time',
usecols=['time', 'open', 'high', 'low', 'close', 'volume'],
parse_dates=['time'],
date_parser=lambda epoch: pd.to_datetime(epoch, unit='s')
)
self._size = len(self._data.index)
async def start(self):
try:
if self.candle_handler:
# await
self.candle_handler.start()
else:
logger.info('candle_handler 를 사용하지 않습니다.')
except:
utils.print_traceback()
async def start(self):
if not self.candle_handler:
logger.error('Nexus mock is not loaded yet!')
return
logger.info('Backtest start timer!')
while True:
df = await self._update_candle()
if df is None:
break
async def _run_server(self):
try:
app = web.Application()
app.add_routes([
web.get('/', self._handle_info),
])
runner = web.AppRunner(app)
await runner.setup()
site = web.TCPSite(runner, '0.0.0.0', self.http_port)
await site.start()
logger.info('HTTP server bind port %s', self.http_port)
except Exception as e:
logger.error('_run_server error %s', e)
async def send_telegram(telegram_bot_token, telegram_chat_id, text):
if telegram_bot_token and telegram_chat_id:
logger.info('Telegram %s [%s] [%s]', text, telegram_chat_id,
telegram_bot_token)
url = f'https://api.telegram.org/bot{telegram_bot_token}/sendMessage'
data = {
'chat_id': telegram_chat_id,
'text': text,
}
async with aiohttp.ClientSession() as session:
async with session.post(url, data=data) as response:
resp = await response.text()
return resp
async def load(self):
try:
# await
self.api.load_markets()
if self.candle_handler:
# await
self.candle_handler.load()
else:
logger.info('candle_handler 를 사용하지 않습니다.')
await self.ws.connect()
except:
utils.print_traceback()
def __init__(self, params):
self.symbol = params['symbol']
self.amount = int(params['amount']) # 계약 갯수.
self.stoploss = int(params['stoploss']) # 자동손절범위. 강제청산피하기. 달러.
self.losscut = int(params['losscut']) # 손해발생시 반대주문을 낼 범위. 달러
self.takeprofit = int(params['takeprofit']) # 익절범위. 달러.
logger.info('%s created!', self.__class__.__name__)
# 상태.
self.s = {
'current_qty': 0,
'entry_price': 0,
'order': 0,
'bid1': 0,
'ask1': 0,
}
def handle_topic(topic, action, data):
print(topic, action, data)
if topic == 'margin':
if action == 'partial':
self.margin = data
elif action == 'update':
self.margin.update(data)
used_margin = self.margin['maintMargin']
avail_margin = self.margin['availableMargin']
logger.debug(
f'[Margin] used_margin[{used_margin}], avail_margin[{avail_margin}]'
)
elif topic == 'order':
# for order in data:
if action == 'partial' or action == 'insert':
if data:
order_id = data['orderID']
self.orders[order_id] = data
else:
if data and 'orderID' in data:
order_id = data['orderID']
working_indicator = data['workingIndicator']
if working_indicator:
self.orders[order_id].update(data)
else:
del self.orders[order_id]
print(self.orders)
print('--------------------')
elif topic == 'position':
if action == 'partial':
self.position = data
else:
self.position.update(data)
# 필수.
currentQty = self.position['currentQty']
currency = self.position['currency']
markPrice = self.position['markPrice']
timestamp = self.position['timestamp']
liquidationPrice = self.position['liquidationPrice']
logger.info('%s %s current_qty[%s]', topic, action, currentQty)
def __get_auth(self):
'''Return auth headers. Will use API Keys if present in settings.'''
if self.api_key:
logger.info("BitMEX websocket is authenticated with API Key.")
# To auth to the WS using an API key, we generate a signature of a nonce and
# the WS API endpoint.
expires = generate_nonce()
return {
'api-expires':
str(expires),
'api-signature':
generate_signature(self.api_secret, 'GET', '/realtime',
expires, ''),
'api-key':
self.api_key,
}
else:
logger.warn("BitMEX websocket is not authenticated.")
return {}
def __init__(self, api, symbol, candle_limit, candle_period=None):
"""
:param symbol: 심볼페어. XBTUSD, BTC/USD
:param candle_limit: 저장할 최대 캔들갯수.
:param candle_period: 봉주기. Bitmex는 4가지만 지원한다. 1m, 5m, 1h, 1d
"""
self.candle_handler = None
self.api = api
self.cb_update_candle = None
logger.info(f'Nexus symbol[{symbol}] period[{candle_period}]')
if candle_limit and candle_period:
period_in_second = 0
if candle_period == '1m':
period_in_second = 60
elif candle_period == '5m':
period_in_second = 300
elif candle_period == '10m':
period_in_second = 600
elif candle_period == '15m':
period_in_second = 600
elif candle_period == '1h':
period_in_second = 3600
elif candle_period == '4h':
period_in_second = 3600 * 4
elif candle_period == '1d':
period_in_second = 3600 * 24
ts = datetime.datetime.utcnow().timestamp(
) - period_in_second * candle_limit
since = datetime.datetime.utcfromtimestamp(ts).strftime(
'%Y-%m-%d %H:00:00')
logger.info(
f'Get Candle since {since}, ts[{ts}] candle_limit[{candle_limit}]'
)
# 현재시각에서 since를 뺀 날짜를 string으로 만든다.
self.candle_handler = CandleHandler(
self.api,
symbol,
period=candle_period,
since=since,
_update_notify=self._update_candle)
def ccxt_exchange(exchange,
api_key=None,
api_secret=None,
is_async=True,
opt={}):
if api_key is not None and api_secret is not None:
opt.update({
'apiKey': api_key,
'secret': api_secret,
})
logger.info('exchange_id >>> %s', exchange)
if is_async:
api = getattr(ccxt_async, exchange)(opt)
else:
api = getattr(ccxt, exchange)(opt)
api.substituteCommonCurrencyCodes = False
return api
def __init__(self,
api,
symbol,
candle_limit,
candle_period=None,
dry_run=True):
"""
:param symbol: 심볼페어. XBTUSD, BTC/USD
:param dry_run: 참일 경우 실제 주문 api를 호출하지 않는다.
:param candle_limit: 저장할 최대 캔들갯수.
:param candle_period: 봉주기. Bitmex는 4가지만 지원한다. 1m, 5m, 1h, 1d
"""
self.candle_handler = None
self.api = api
self.cb_update_candle = None
self.dry_run = dry_run
logger.info(
f'Nexus symbol[{symbol}] period[{candle_period}] dry_run[{dry_run}]'
)
if candle_limit and candle_period:
period_in_second = 0
if candle_period == '1m':
period_in_second = 60
elif candle_period == '5m':
period_in_second = 300
elif candle_period == '1h':
period_in_second = 3600
elif candle_period == '1d':
period_in_second = 3600 * 24
ts = datetime.datetime.now().timestamp(
) - period_in_second * candle_limit
since = datetime.datetime.fromtimestamp(ts).strftime('%Y-%m-%d')
# 현재시각에서 since를 뺀 날짜를 string으로 만든다.
self.candle_handler = CandleHandler(self.api,
symbol,
period=candle_period,
since=since)
def send_telegram(self, text):
coro = utils.send_telegram(self.telegram_bot_token,
self.telegram_chat_id, text)
logger.info('Telegram %s [%s] [%s]', text, self.telegram_chat_id,
self.telegram_bot_token)
asyncio.get_event_loop().create_task(coro)
def run(self, algo):
self.nexus.callback(update_orderbook=algo.update_orderbook,
update_candle=algo.update_candle,
update_order=algo.update_order,
update_position=algo.update_position)
# ccxt api 연결.
algo.api = self.nexus.api
algo.data = self.nexus.ws.data
algo.send_telegram = self.send_telegram
loop = asyncio.get_event_loop()
try:
logger.info('SYMBOL: %s', self.symbol)
logger.info('CANDLE_PERIOD: %s', self.candle_period)
logger.info('NOW: %s', datetime.now())
logger.info('UCT: %s', datetime.utcnow())
logger.info('ENV[TZ]: %s', os.getenv("TZ"))
logger.info('LOGLEVEL: %s', os.getenv("LOGLEVEL"))
logger.info('TZNAME: %s', time.tzname)
ip_address = requests.get('http://ip.42.pl/raw').text
logger.info('IP: %s', ip_address)
logger.info('Loading...')
self.send_telegram(
'Futuremaker Bot started.. {}'.format(ip_address))
loop.run_until_complete(self.nexus.load())
nexus_start = loop.create_task(self.nexus.start())
loop.run_until_complete(self.init())
scheduled_task = loop.create_task(self.schedule())
if self.http_port and not self.backtest:
server_task = loop.create_task(self._run_server())
async def go():
await nexus_start
loop.run_until_complete(go())
except KeyboardInterrupt:
pass
finally:
loop.stop()
def update_candle(self, df, candle):
logger.info('update_candle %s > %s : %s', df.index[-1], df.iloc[-1],
candle)
price = df.Close[-1]
m, u, l = indicators.bollinger_bands(df.Close, n=20, stdev=1.5)
high = round(u[-1], 2)
low = round(l[-1], 2)
logger.info('BBands high[%s] price[%s] low[%s]', high, price, low)
df = indicators.RSI(df, period=14)
rsi2 = ta.RSI(df.Close.values)
rsi = df.RSI[-1]
rsi = round(rsi, 2)
rsi2 = round(rsi2[-1], 2)
logger.info('RSI[%s] RSI2[%s]', rsi, rsi2)
score = 0
if price >= high:
logger.info('BBands Upper touched! price[%s] >= bbhigh[%s]', price,
high)
score += 1
elif price <= low:
logger.info('BBands Lower touched! price[%s] <= bblow[%s]', price,
low)
score -= 1
if rsi >= 60:
logger.info('RSI[%s] >= 60.', rsi)
score += 1
elif rsi <= 40:
logger.info('RSI[%s] <= 40.', rsi)
score -= 1
order_qty = 10
if score >= 2:
# 질문 메시지
text = f'주문타입: <b>BUY</b>\n' \
f'가격: {df.Close[-1]}\n' \
f'수량: {order_qty}\n' \
f'이유: {self.symbol} Too much buy! price[{price}] >= bbhigh[{high}] AND RSI[{rsi}] >= 60\n'\
f'<a href="https://www.bitmex.com/chartEmbed?symbol=XBTUSD">차트열기</a> \n' \
f'<a href="https://www.bitmex.com/app/trade/XBTUSD">거래소열기</a> \n'
self.telegram_bot.send_question(question_text=text,
yes_name="BUY",
yes_func=self.order,
yes_param={
"df": df,
"qty": order_qty
},
no_name="CANCEL")
elif score <= -2:
text = f'주문타입: <b>SELL</b>\n' \
f'가격: {df.Close[-1]}\n' \
f'수량: {-order_qty}\n' \
f'이유: {self.symbol} Too much sell! price[{price}] <= bblow[{low}] AND RSI[{rsi}] <= 40\n' \
f'<a href="https://www.bitmex.com/chartEmbed?symbol=XBTUSD">차트열기</a> \n' \
f'<a href="https://www.bitmex.com/app/trade/XBTUSD">거래소열기</a> \n'
self.telegram_bot.send_question(question_text=text,
yes_name="SELL",
yes_func=self.order,
yes_param={
"df": df,
"qty": -order_qty
},
no_name="CANCEL")
def update_candle(self, df, candle):
# logger.info('update_candle %s > %s : %s', df.index[-1], df.iloc[-1], candle)
logger.info(
'>> %s >> %s', datetime.fromtimestamp(df.index[-1] / 1000),
f'O:{candle.Open} H:{candle.High} L:{candle.Low} C:{candle.Close} V:{candle.Volume}'
)
price = df.Close.iloc[-1]
m, u, l = indicators.bollinger_bands(df.Close, n=20, stdev=1.5)
high = round(u.iloc[-1], 2)
low = round(l.iloc[-1], 2)
logger.info('BBands high[%s] price[%s] low[%s]', high, price, low)
df = indicators.RSI(df, period=14)
rsi = df.RSI.iloc[-1]
rsi = round(rsi, 2)
logger.info('RSI[%s]', rsi)
score = 0
if price >= high:
logger.info('BBands Upper touched! price[%s] >= bbhigh[%s]', price,
high)
score += 1
elif price <= low:
logger.info('BBands Lower touched! price[%s] <= bblow[%s]', price,
low)
score -= 1
if rsi >= 60:
logger.info('RSI[%s] >= 60.', rsi)
score += 1
elif rsi <= 40:
logger.info('RSI[%s] <= 40.', rsi)
score -= 1
if score >= 2:
self.send_telegram(
f'{self.symbol} Too much buy! price[{price}] >= bbhigh[{high}] AND RSI[{rsi}] >= 60'
)
elif score <= -2:
self.send_telegram(
f'{self.symbol} Too much sell! price[{price}] <= bblow[{low}] AND RSI[{rsi}] <= 40'
)
sys.exit(0)
def update_order(self, order):
logger.info('update_order > %s', order)
def update_position(self, position):
logger.info('update_position > %s', position)
def update_position(self, position):
logger.info('update_position > %s', position)
try:
price = position["avgEntryPrice"]
self.avg_entry_price = position["avgEntryPrice"]
except KeyError:
logger.debug("시정 평균가가 변동이 없습니다.")
price = self.avg_entry_price
current_qty = 0 if position["currentQty"] is None else position["currentQty"] * -1
if position['currentQty'] > 0:
self.position = "BOT"
price = price + self.limit_tick
elif position['currentQty'] < 0:
self.position = "SLD"
price = price - self.limit_tick
else:
self.position = "NTL"
logger.info(f"규모: {current_qty}, 시장평균가: {price}")
if position["currentQty"] != 0:
# 포지션을 가지고 있을 경우
if self.limit_order is None:
# 익절 주문.
self.limit_order = self.nexus.api.put_order(order_qty=current_qty,
price=price,
stop_price=price,
type="LimitIfTouched")
elif self.limit_order is not None \
and self.is_order_request \
and self.limit_order["orderQty"] != current_qty:
# 기존 주문 가격, 규모 수정.
self.limit_order = self.nexus.api.amend_order(order=self.limit_order,
order_qty=current_qty,
price=price,
stop_price=price,
type="LimitIfTouched")
self.is_order_request = False
else:
# 포지션이 없을때.
pass
if self.count % 2 == 0:
return
try:
last_price = position["lastPrice"]
except KeyError:
return
order_list = self.nexus.api.get_order()
cancel_orders = []
remove_orders = []
for pare_order in self.pare_orders:
high_price = abs(pare_order["price"]) + (0.5 * 10)
low_price = abs(pare_order["price"]) - (0.5 * 10)
# 가격 범위가 넘은 경우
if last_price > high_price or low_price > last_price:
cancel_orders.append(pare_order)
# 대기 중이 아닌경우
is_deplay = False
for order in order_list:
if pare_order["limit_order"]["orderID"] == order["orderID"]:
is_deplay = True
break
if not is_deplay:
remove_orders.append(pare_order)
# 취소처리
for cancel_order in cancel_orders:
remove_orders.append(cancel_order)
try:
self.nexus.api.cancel_order(cancel_order["limit_order"])
except ExchangeError:
pass
try:
self.nexus.api.cancel_order(cancel_order["stop_limit_order"])
except ExchangeError:
pass
# 저장된 데이터 제거
for remove_order in remove_orders:
for pare_order in self.pare_orders:
if remove_order["limit_order"]["orderID"] == pare_order["limit_order"]["orderID"]:
self.pare_orders.remove(pare_order)
break
def ingest_data(api,
symbol,
start_date,
end_date,
interval,
history=0,
reload=False):
"""
데이터를 받아서 csv파일로 저장한다.
만약 파일이 존재한다면 스킵한다.
:return: 해당 파일이 존재하는 디렉토리 경로.
"""
dir = tempfile.gettempdir()
timer_start = timeit.default_timer()
tz = start_date.tzinfo
# 값, 단위 분리
interval_num, interval_unit = split_interval(interval)
interval = interval.lower()
interval_unit = interval_unit.lower()
base_dir, filepath = ingest_filepath(dir, api, symbol, start_date,
end_date, interval, history)
logger.debug('file_path=%s', filepath)
# 강제 리로드 요청이 없고, 파일이 존재하고, 사이즈도 0보다 크면, 그냥 사용.
if not reload and os.path.exists(
filepath) and os.path.getsize(filepath) > 0:
logger.debug('# [{}] CandleFile Download Passed. {}'.format(
symbol, filepath))
return base_dir, filepath
prepare_date = get_prepare_date(start_date, interval, history)
delta = (end_date - prepare_date)
# 나누어 받을때 다음번 루프의 시작시점이 된다.
next_delta = 0
if interval_unit == 'm':
length = (delta.days * 24 * 60 + delta.seconds // 60) // interval_num
next_delta = timedelta(minutes=interval_num).total_seconds()
elif interval_unit == 'h':
length = (delta.days * 24 + delta.seconds // 3600) // interval_num
next_delta = timedelta(hours=interval_num).total_seconds()
elif interval_unit == 'd':
length = (delta.days) // interval_num
next_delta = timedelta(days=interval_num).total_seconds()
since = int(prepare_date.timestamp()) * 1000
logger.info('Ingest time range: %s ~ %s', prepare_date, end_date)
logger.info('Ingest candle length[%s] of [%s] since[%s]', length,
interval_unit, since)
params = {}
if api.id == 'bitmex':
max_limit = 750
# params = { 'partial': 'true' }
elif api.id == 'binance':
max_limit = 1000
with open(filepath, 'w', encoding='utf-8', newline='') as f:
wr = csv.writer(f)
wr.writerow(
['Datetime', 'Index', 'Open', 'High', 'Low', 'Close', 'Volume'])
seq = 0
while length > 0:
if seq > 0:
time.sleep(api.rateLimit / 1000) # time.sleep wants seconds
limit = min(length, max_limit)
logger.debug('#### fetch_ohlcv request [%s / %s]', limit, length)
# candles = await
candles = fetch_ohlcv(api, symbol, interval, since, limit, params)
# 읽은 갯수만큼 빼준다.
length -= limit
logger.debug('#### fetch_ohlcv remnant [%s]', length)
logger.debug('#### fetch_ohlcv response [%s] >> \n%s',
len(candles), candles)
if len(candles) == 0:
logger.warn('candle data rows are empty!')
break
last_candle = None
for candle in candles:
wr.writerow([
datetime.fromtimestamp(
int(candle[0] / 1000),
tz=tz).strftime('%Y-%m-%d %H:%M:%S'),
int(candle[0]),
'{:.8f}'.format(candle[1]),
'{:.8f}'.format(candle[2]),
'{:.8f}'.format(candle[3]),
'{:.8f}'.format(candle[4]),
'{:.2f}'.format(candle[5]),
])
last_candle = candle
# 다음번 루프는 마지막 캔들부터 이어서 내려받는다.
logger.debug('>>> last_candle >>> %s', last_candle)
since = last_candle[0] + next_delta
seq += 1
timer_end = timeit.default_timer()
logger.debug('# {} Downloaded CandleFile. elapsed: {}'.format(
symbol, str(timer_end - timer_start)))
return base_dir, filepath
def update_candle(self, df, candle):
logger.info('>> %s >> %s', datetime.fromtimestamp(df.index[-1] / 1000),
f"O:{candle['open']} H:{candle['high']} L:{candle['low']} C:{candle['close']} V:{candle['volume']}")
logger.info('orders > %s', self.data['order'])
logger.info('self.s > %s', self.s)
# 다음 캔들이 도착할때까지 체결못하면 수정 또는 취소.
for order in self.data['order']:
# limit 주문만 수정. stop은 손절주문이므로 수정하지 않으며, update_position에서 수정함.
if order['ordType'] == 'Limit' and order['leavesQty'] > 0:
price = order['price']
order_id = order['orderID']
if order['side'] == 'Sell':
if abs(self.s['ask1'] - price) >= 1: # 3틱이상 밀리면 취소.
# 1달러보다 벌어지면 취소.
self.api.cancel_order(id=order_id, symbol=symbol)
elif order['side'] == 'Buy':
if abs(self.s['bid1'] - price) >= 1: # 3틱이상 밀리면 취소.
self.api.cancel_order(id=order_id, symbol=symbol)
hei = heikinashi(df)
logger.info('Enter..')
self.enter(df, hei)
logger.info('Leave..')
self.leave(df, hei)
logger.info('Done..')
def update_candle(self, df, candle):
logger.info(f"시장가격: {df.Close[-1]}")
if self.count < 5:
self.count += 1
return
self.count = 0
diff_sum = sum(df.Close - df.Open)
add_qty = 0
logger.info(f"포지션: {self.position}, 차이가격: {diff_sum}")
if diff_sum > 0:
if self.position == "SLD":
# SLD 포지션이면 정리.
for pare_order in self.pare_orders:
try:
self.nexus.api.cancel_order(pare_order["limit_order"])
except ExchangeError:
logger.debug("<ignore> 없어진 요청.")
try:
self.nexus.api.cancel_order(pare_order["stop_limit_order"])
except ExchangeError:
logger.debug("<ignore> 없어진 요청.")
add_qty = self.limit_order["orderQty"]
self.limit_order = None
self.pare_orders = []
# 매수
order = self.nexus.api.put_order(order_qty=(self.order_qty + add_qty),
# side="Buy",
price=df.Close[-1] - 0.5
)
if order["ordStatus"] == "New":
stop_limit_order = self.nexus.api.put_order(order_qty=-(self.order_qty + add_qty),
# side="Sell",
price=df.Close[-1] - 0.5 - self.stop_limit_tick,
stop_price=df.Close[-1] - 0.5 - self.stop_limit_tick,
type="StopLimit")
self.pare_orders.append({
"price": df.Close[-1],
"position": "BOT",
"limit_order": order,
"stop_limit_order": stop_limit_order
})
self.is_order_request = True
elif diff_sum < 0:
if self.position == "BOT":
# BOT 포지션이면 정리.
for pare_order in self.pare_orders:
try:
self.nexus.api.cancel_order(pare_order["limit_order"])
except ExchangeError:
logger.debug("<ignore> 없어진 요청.")
try:
self.nexus.api.cancel_order(pare_order["stop_limit_order"])
except ExchangeError:
logger.debug("<ignore> 없어진 요청.")
add_qty = self.limit_order["orderQty"]
self.limit_order = None
self.pare_orders = []
# 매도
order = self.nexus.api.put_order(order_qty=-(self.order_qty + add_qty),
# side="Sell",
price=df.Close[-1] + 0.5)
if order["ordStatus"] == "New":
stop_limit_order = self.nexus.api.put_order(order_qty=(self.order_qty + add_qty),
# side="Buy",
price=df.Close[-1] + 0.5 + self.stop_limit_tick,
stop_price=df.Close[-1] + 0.5 + self.stop_limit_tick,
type="StopLimit")
self.pare_orders.append({
"price": df.Close[-1],
"position": "SLD",
"limit_order": order,
"stop_limit_order": stop_limit_order
})
self.is_order_request = True
def restart():
logger.info("Restarting the marketmaker...")
cmd = [sys.executable] + sys.argv
logger.info("Restarting cmd >> %s", cmd)
os.execv(sys.executable, cmd)
async def run(self, algo):
self.nexus.callback(update_candle=algo._update_candle)
algo.api = self.api
algo.local_tz = self.local_tz
algo.send_message = self.send_message
algo.backtest = self.backtest
try:
logger.info('SYMBOL: %s', self.symbol)
logger.info('CANDLE_PERIOD: %s', self.candle_period)
logger.info('UCT: %s', datetime.utcnow())
logger.info('ENV[TZ]: %s', os.getenv("TZ"))
logger.info('TIMEZONE: %s', self.timezone)
logger.info('LocalTime: %s', utils.localtime(datetime.utcnow(), self.local_tz))
logger.info('LOGLEVEL: %s', os.getenv("LOGLEVEL"))
logger.info('TZNAME: %s', time.tzname)
ip_address = requests.get('https://api.ipify.org?format=json').json()['ip']
logger.info('IP: %s', ip_address)
self.send_message(f'{algo.get_name()} Bot started.. {ip_address}')
logger.info('Loading...')
# 봇 상태로드
algo.load_status()
# ready 구현체가 있다면 호출.
algo.ready()
if not self.backtest:
t = threading.Thread(target=self.start_sched, daemon=True)
t.start()
await self.nexus.load()
logger.info('Start!')
await self.nexus.start()
except KeyboardInterrupt:
pass
async def run(self, algo):
self.nexus.callback(update_orderbook=algo.update_orderbook,
update_candle=algo.update_candle,
update_order=algo.update_order,
update_position=algo.update_position)
# ccxt api 연결.
# algo.api = self.nexus.api
# algo.data = self.nexus.api.data
algo.send_telegram = self.send_telegram
try:
logger.info('SYMBOL: %s', self.symbol)
logger.info('CANDLE_PERIOD: %s', self.candle_period)
logger.info('NOW: %s', datetime.now())
logger.info('UCT: %s', datetime.utcnow())
logger.info('ENV[TZ]: %s', os.getenv("TZ"))
logger.info('LOGLEVEL: %s', os.getenv("LOGLEVEL"))
logger.info('TZNAME: %s', time.tzname)
ip_address = requests.get('https://api.ipify.org?format=json').json()['ip']
logger.info('IP: %s', ip_address)
await self.send_telegram(f'{algo.get_name()} Bot started.. {ip_address}')
logger.info('Loading...')
await self.nexus.load()
await self.nexus.wait_ready()
await self.nexus.start()
except KeyboardInterrupt:
pass