def strategy(self, open, close, high, low, volume):
lot = self.exchange.get_lot()
length = self.input('length', int, 9)
up = last(highest(high, length))
dn = last(lowest(low, length))
self.exchange.plot('up', up, 'b')
self.exchange.plot('dn', dn, 'r')
self.exchange.entry("Long", True, round(lot / 2), stop=up)
self.exchange.entry("Short", False, round(lot / 2), stop=dn)
def strategy(self, open, close, high, low, volume):
lot = self.exchange.get_lot()
length = self.input("length", int, 9)
up = last(highest(high, length))
dn = last(lowest(low, length))
self.exchange.plot("up", up, "b")
self.exchange.plot("dn", dn, "r")
self.exchange.entry("Long", True, round(lot / 2), stop=up)
self.exchange.entry("Short", False, round(lot / 2), stop=dn)
def strategy(self, open, close, high, low, volume):
self.start += 1
lot = self.exchange.get_lot()
# for test lot
lot = int(round(lot / 10))
bitmex = BitMex(threading=False)
price = bitmex.get_market_price()
sma_base_l = self.input('sma_short_len', int, 200)
resolution = self.input(
defval=1, title="resolution", type=int
) # defval 변경, 예) 5분 --> 5, 'm' or 1시간 1, 'h', 1Day 1, 'd'
source = self.exchange.security(str(resolution) +
'h') # def __init__ 비교
logger.info('source: %s' % source)
series_high = source['high'].values
series_low = source['low'].values
fb100 = last(highest(series_high, 1)) # 1시간 1, 1D의 경우는 resolution도 변경
fb0 = last(lowest(series_low, 1))
logger.info('resolution: %s' % resolution)
logger.info('fb100_resol: %s' % fb100)
logger.info('fb0_resol: %s' % fb0)
# for test
# fb100 = price + 15
# fb0 = price - 15
# 최근 1시간을 본봉단위로 획득
# fibo_l = self.input('length', int, 1440) # 1Day = 60min * 24hr
# fibo_l = self.input('length', int, 60) # 1Day = 60min * 24hr
# fibo100 = last(highest(high, fibo_l))
# fibo0 = last(lowest(low, fibo_l))
fb62 = math.ceil((fb100 - fb0) * 0.618 + fb0)
fb38 = math.ceil((fb100 - fb0) * 0.382 + fb0)
fb50 = math.ceil((fb100 - fb0) / 2 + fb0)
fb200 = math.ceil((fb100 - fb0) * 1.0 + fb100)
fb162 = math.ceil((fb100 - fb0) * 0.618 + fb100)
fb138 = math.ceil((fb100 - fb0) * 0.382 + fb100)
fb038 = math.ceil(fb0 - (fb100 - fb0) * 0.382)
fb062 = math.ceil(fb0 - (fb100 - fb0) * 0.618)
fb0100 = math.ceil(fb0 - (fb100 - fb0) * 1.00)
logger.info('self.start: %s' % self.start)
if self.start == 1:
# short position
self.exchange.order("Short200",
False,
lot * 3,
limit=fb200,
post_only=True)
self.exchange.order("Short162",
False,
lot * 2,
limit=fb162,
post_only=True)
self.exchange.order("Short138",
False,
lot * 1,
limit=fb138,
post_only=True)
self.exchange.order("Short100",
False,
lot * 1,
limit=fb100,
post_only=True)
# long position
self.exchange.order("Long0",
True,
lot * 1,
limit=fb0,
post_only=True)
self.exchange.order("Long038",
True,
lot * 1,
limit=fb038,
post_only=True)
self.exchange.order("Long062",
True,
lot * 2,
limit=fb062,
post_only=True)
self.exchange.order("Long0100",
True,
lot * 3,
limit=fb0100,
post_only=True)
Long0 = bitmex.get_open_order("Long0")
Long038 = bitmex.get_open_order("Long038")
Long062 = bitmex.get_open_order("Long062")
Long0100 = bitmex.get_open_order("Long0100")
Short200 = bitmex.get_open_order("Short200")
Short162 = bitmex.get_open_order("Short162")
Short138 = bitmex.get_open_order("Short138")
Short100 = bitmex.get_open_order("Short100")
#
#
# logger.info('Long0: %s' % Long0)
# logger.info('Long038: %s' % Long038)
# logger.info('Long062: %s' % Long062)
# logger.info('Long0100: %s' % Long0100)
# logger.info('Short200: %s' % Short200)
# logger.info('Short162: %s' % Short162)
# logger.info('Short138: %s' % Short138)
# logger.info('Short100: %s' % Short100)
#
# logger.info('(Long0 is None): %s' % (Long0 is None))
# entry order
# long position
self.exchange.order("Long0",
True,
lot * 1,
limit=fb0,
when=(Long0 is None),
post_only=True)
self.exchange.order("Long038",
True,
lot * 1,
limit=fb038,
when=(Long038 is None),
post_only=True)
self.exchange.order("Long062",
True,
lot * 2,
limit=fb062,
when=(Long0100 is None),
post_only=True)
self.exchange.order("Long0100",
True,
lot * 3,
limit=fb0100,
when=(Long0100 is None),
post_only=True)
# short position
self.exchange.order("Short200",
False,
lot * 3,
limit=fb200,
when=(Short200 is None),
post_only=True)
self.exchange.order("Short162",
False,
lot * 2,
limit=fb162,
when=(Short162 is None),
post_only=True)
self.exchange.order("Short138",
False,
lot * 1,
limit=fb138,
when=(Short138 is None),
post_only=True)
self.exchange.order("Short100",
False,
lot * 1,
limit=fb100,
when=(Short100 is None),
post_only=True)
# win order
if price <= fb0:
self.exchange.order("Long0_w",
False,
lot * 1,
limit=fb38,
stop=fb0)
logger.info('rice <= fb0: %s' % fb0)
if price <= fb038:
self.exchange.order("Long038_w",
False,
lot * 1,
limit=fb0,
stop=fb038)
if price <= fb062:
self.exchange.order("Long062_w",
False,
lot * 2,
limit=fb038,
stop=fb062)
if price <= fb0100:
self.exchange.order("Long0100_w",
False,
lot * 3,
limit=fb062,
stop=fb0100)
if price >= fb100:
logger.info('price >= fb100: %s' % fb100)
self.exchange.order("Short100_w",
True,
lot * 1,
limit=fb62,
stop=fb100)
if price >= fb138:
self.exchange.order("Short138_w",
True,
lot * 1,
limit=fb100,
stop=fb138)
if price >= fb162:
self.exchange.order("Short162_w",
True,
lot * 2,
limit=fb138,
stop=fb162)
if price >= fb200:
self.exchange.order("Short200_w",
True,
lot * 3,
limit=fb162,
stop=fb200)
# logger.info('bitmex.get_margin():%s' % bitmex.get_margin())
# logger.info('bitmex.get_position():%s' % bitmex.get_position())
# for debug
# logger.info('fb200: %s' % fb200)
# logger.info('fb162: %s' % fb162)
# logger.info('fb138: %s' % fb138)
# logger.info('fb100: %s' % fb100)
# logger.info('fb62: %s' % fb62)
# logger.info('fb50: %s' % fb50)
# logger.info('fb38: %s' % fb38)
# logger.info('fb0: %s' % fb0)
# logger.info('fb038: %s' % fb038)
# logger.info('fb062: %s' % fb062)
# logger.info('fb0100: %s' % fb0100)
diff = (abs(bitmex.get_balance() - abs(self.prebalance)))
realised_pnl = bitmex.get_margin()['realisedPnl']
logger.info('prebalance():%s' % self.prebalance)
logger.info('bitmex.get_balance():%s' % bitmex.get_balance())
logger.info('diff:%s' % diff)
logger.info('realised_pnl:%s' % realised_pnl)
logger.info('--------------------------------------------------')