def test_1_exec_sell_order(self): with patch('main.exchange.sell', side_effect='mocked_order_id') as api_mock: trade = Trade(pair='BTC_ETH', btc_amount=1.00, open_rate=0.50, amount=10.00, exchange=Exchange.BITTREX, open_order_id='mocked') profit = trade.exec_sell_order(1.00, 10.00) api_mock.assert_called_once_with('BTC_ETH', 1.0, 10.0) self.assertEqual(profit, 100.0) self.assertEqual(trade.close_rate, 1.0) self.assertEqual(trade.close_profit, profit) self.assertIsNotNone(trade.close_date)
def test_backtest(self): trades = [] with patch.dict('main._CONF', self.conf): for pair in self.pairs: with open('test/testdata/'+pair+'.json') as data_file: data = json.load(data_file) with patch('analyze.get_ticker', return_value=data): with patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00')): ticker = analyze_ticker(pair) # for each buy point for index, row in ticker[ticker.buy == 1].iterrows(): trade = Trade( open_rate=row['close'], open_date=arrow.get(row['date']).datetime, amount=1, ) # calculate win/lose forwards from buy point for index2, row2 in ticker[index:].iterrows(): if should_sell(trade, row2['close'], arrow.get(row2['date']).datetime): current_profit = (row2['close'] - trade.open_rate) / trade.open_rate trades.append((pair, current_profit, index2 - index)) break labels = ['currency', 'profit', 'duration'] results = DataFrame.from_records(trades, columns=labels) print('====================== BACKTESTING REPORT ================================') for pair in self.pairs: print('For currency {}:'.format(pair)) print_results(results[results.currency == pair]) print('TOTAL OVER ALL TRADES:') print_results(results)
def create_trade(stake_amount: float, _exchange: exchange.Exchange) -> Optional[Trade]: """ Checks the implemented trading indicator(s) for a randomly picked pair, if one pair triggers the buy_signal a new trade record gets created :param stake_amount: amount of btc to spend :param _exchange: exchange to use """ logger.info('Creating new trade with stake_amount: %f ...', stake_amount) whitelist = _CONF[_exchange.name.lower()]['pair_whitelist'] # Check if btc_amount is fulfilled if exchange.get_balance(_CONF['stake_currency']) < stake_amount: raise ValueError( 'stake amount is not fulfilled (currency={}'.format(_CONF['stake_currency']) ) # Remove currently opened and latest pairs from whitelist trades = Trade.query.filter(Trade.is_open.is_(True)).all() latest_trade = Trade.query.filter(Trade.is_open.is_(False)).order_by(Trade.id.desc()).first() if latest_trade: trades.append(latest_trade) for trade in trades: if trade.pair in whitelist: whitelist.remove(trade.pair) logger.debug('Ignoring %s in pair whitelist', trade.pair) if not whitelist: raise ValueError('No pair in whitelist') # Pick pair based on StochRSI buy signals for _pair in whitelist: if get_buy_signal(_pair): pair = _pair break else: return None open_rate = exchange.get_ticker(pair)['ask'] amount = stake_amount / open_rate order_id = exchange.buy(pair, open_rate, amount) # Create trade entity and return message = '*{}:* Buying [{}]({}) at rate `{:f}`'.format( _exchange.name, pair.replace('_', '/'), exchange.get_pair_detail_url(pair), open_rate ) logger.info(message) telegram.send_msg(message) return Trade(pair=pair, btc_amount=stake_amount, open_rate=open_rate, open_date=datetime.utcnow(), amount=amount, exchange=_exchange, open_order_id=order_id, is_open=True)
def create_trade(stake_amount: float, exchange): """ Creates a new trade record with a random pair :param stake_amount: amount of btc to spend :param exchange: exchange to use """ logger.info('Creating new trade with stake_amount: %f ...', stake_amount) whitelist = CONFIG[exchange.name.lower()]['pair_whitelist'] # Check if btc_amount is fulfilled if api_wrapper.get_balance(CONFIG['stake_currency']) < stake_amount: raise ValueError('stake amount is not fulfilled (currency={}'.format( CONFIG['stake_currency'])) # Remove currently opened and latest pairs from whitelist trades = Trade.query.filter(Trade.is_open.is_(True)).all() latest_trade = Trade.query.filter(Trade.is_open.is_(False)).order_by( Trade.id.desc()).first() if latest_trade: trades.append(latest_trade) for trade in trades: if trade.pair in whitelist: whitelist.remove(trade.pair) logger.debug('Ignoring %s in pair whitelist', trade.pair) if not whitelist: raise ValueError('No pair in whitelist') # Pick pair based on StochRSI buy signals for p in whitelist: if get_buy_signal(p): pair = p break else: raise ValueError('No buy signal from pairs: {}'.format( ', '.join(whitelist))) open_rate = api_wrapper.get_ticker(pair)['ask'] amount = stake_amount / open_rate exchange = exchange order_id = api_wrapper.buy(pair, open_rate, amount) # Create trade entity and return message = '*{}:* Buying [{}]({}) at rate `{:f}`'.format( exchange.name, pair.replace('_', '/'), api_wrapper.get_pair_detail_url(pair), open_rate) logger.info(message) TelegramHandler.send_msg(message) return Trade(pair=pair, btc_amount=stake_amount, open_rate=open_rate, amount=amount, exchange=exchange, open_order_id=order_id)
def close_trade_if_fulfilled(trade: Trade) -> bool: """ Checks if the trade is closable, and if so it is being closed. :param trade: Trade :return: True if trade has been closed else False """ # If we don't have an open order and the close rate is already set, # we can close this trade. if trade.close_profit and trade.close_date and trade.close_rate and not trade.open_order_id: trade.is_open = False Session.flush() return True return False
def execute_sell(trade: Trade, current_rate: float) -> None: # Get available balance currency = trade.pair.split('_')[1] balance = api_wrapper.get_balance(currency) profit = trade.exec_sell_order(current_rate, balance) message = '*{}:* Selling [{}]({}) at rate `{:f} (profit: {}%)`'.format( trade.exchange.name, trade.pair.replace('_', '/'), api_wrapper.get_pair_detail_url(trade.pair), trade.close_rate, round(profit, 2) ) logger.info(message) TelegramHandler.send_msg(message)
def close_trade_if_fulfilled(trade: Trade) -> bool: """ Checks if the trade is closable, and if so it is being closed. :param trade: Trade :return: True if trade has been closed else False """ # If we don't have an open order and the close rate is already set, # we can close this trade. if trade.close_profit is not None \ and trade.close_date is not None \ and trade.close_rate is not None \ and trade.open_order_id is None: trade.is_open = False logger.info('No open orders found and trade is fulfilled. Marking %s as closed ...', trade) return True return False
def execute_sell(trade: Trade, current_rate: float) -> None: """ Executes a sell for the given trade and current rate :param trade: Trade instance :param current_rate: current rate :return: None """ # Get available balance currency = trade.pair.split('_')[1] balance = exchange.get_balance(currency) profit = trade.exec_sell_order(current_rate, balance) message = '*{}:* Make It Rain!!!! with [{}]({}) for `{:f} (profit: {}%)`'.format( trade.exchange.name, trade.pair.replace('_', '/'), exchange.get_pair_detail_url(trade.pair), trade.close_rate, round(profit, 2)) logger.info(message) telegram.send_msg(message)
def handle_trade(trade: Trade) -> None: """ Sells the current pair if the threshold is reached and updates the trade record. :return: None """ try: if not trade.is_open: raise ValueError( 'attempt to handle closed trade: {}'.format(trade)) logger.debug('Handling open trade %s ...', trade) # Get current rate current_rate = api_wrapper.get_ticker(trade.pair)['bid'] current_profit = 100 * ( (current_rate - trade.open_rate) / trade.open_rate) # Get available balance currency = trade.pair.split('_')[1] balance = api_wrapper.get_balance(currency) for duration, threshold in sorted(CONFIG['minimal_roi'].items()): duration, threshold = float(duration), float(threshold) # Check if time matches and current rate is above threshold time_diff = (datetime.utcnow() - trade.open_date).total_seconds() / 60 if time_diff > duration and current_rate > ( 1 + threshold) * trade.open_rate: # Execute sell profit = trade.exec_sell_order(current_rate, balance) message = '*{}:* Selling [{}]({}) at rate `{:f} (profit: {}%)`'.format( trade.exchange.name, trade.pair.replace('_', '/'), api_wrapper.get_pair_detail_url(trade.pair), trade.close_rate, round(profit, 2)) logger.info(message) TelegramHandler.send_msg(message) return else: logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', current_profit) except ValueError: logger.exception('Unable to handle open order')
def execute_sell(trade: Trade, current_rate: float) -> None: """ Executes a sell for the given trade and current rate :param trade: Trade instance :param current_rate: current rate :return: None """ # Get available balance currency = trade.pair.split('_')[1] balance = exchange.get_balance(currency) whitelist = _CONF[trade.exchange.name.lower()]['pair_whitelist'] profit = trade.exec_sell_order(current_rate, balance) whitelist.append(trade.pair) message = '*{}:* Selling [{}]({}) at rate `{:f} (profit: {}%)`'.format( trade.exchange.name, trade.pair.replace('_', '/'), exchange.get_pair_detail_url(trade.pair), trade.close_rate, round(profit, 2) ) logger.info(message) telegram.send_msg(message)