else:
buy(symb1)
sell(symb2)
else:
if zone_index >= 0:
sell(symb1)
sell(symb2)
else:
buy(symb1)
buy(symb2)
tick_count = 0
zones, stops = calculate_zones(h_level, l_level, nb_zones, stop_size)
past_prices = {
symb1: float(api.ticker_price(symbol=symb1)['price']),
symb2: float(api.ticker_price(symbol=symb2)['price'])
}
balance['sum'] = past_prices[symb1] * balance[symb1] + past_prices[
symb2] * balance[symb2] + balance['usd']
log.info('Start balance: {b:0.2f} USD'.format(b=balance['sum']))
model_desc = {
'pair_1': symb1,
'pair_2': symb2,
'period': period,
symb1: balance[symb1],
symb2: balance[symb2],
'USD': balance['usd'],
'sum_balance': balance['sum'],
# parameters
symb1 = 'BTCUSDT'
symb2 = 'BCCUSDT'
period = '1m'
arbitrage_sum = True
eps, mu, std = 0., 0., 0.
limit = 1000
stop_size = 0.8 # of zones
max_orders = 4
fees = 0.005
start_usd = 300
balance = {
symb1: 1 / float(api.ticker_price(symbol=symb1)['price']) * start_usd,
symb2: 1 / float(api.ticker_price(symbol=symb2)['price']) * start_usd,
'usd': start_usd,
'sum': 0.0
}
lot = {
symb1: balance[symb1]*0.1,
symb2: balance[symb2]*0.1,
'usd': balance['usd']*0.1
}
tick_count = 0
zones = [-2., 0., 2.]
stops = [zones[0] - stop_size, zones[2] + stop_size]
opened_orders = []
history = []