def test__007(self):
ob_js = {
"uid": "71e689f5d4884dddb17f3f3b660b40f1",
"created__long": 1503543603464,
"modified__long": 1503543603468,
"exchange": "gdax",
"product": "eth-usd",
"asks": [
{
"price__num": 316.19,
"size__num": 25.86,
"num_orders__int": 1.0
},
{
"price__num": 316.2,
"size__num": 8.8439152,
"num_orders__int": 1.0
},
{
"price__num": 316.25,
"size__num": 7.45,
"num_orders__int": 2.0
}
]
}
ob = OrderBookModel.parse(ob_js)
shares = 40.0
usd = helpers.compute_usd_spent(shares, ob)
direct_calculation = 316.19 * 25.86 + 316.2 * 8.8439152 + 316.25 * (shares - 25.86 - 8.8439152)
assert usd == direct_calculation
def test__004(self):
timestamp = epoch.to_long('2017-08-23 20:00:00 PDT')
shares = 25.86
trading_acc1 = BacktestingTradingAccount(None, 'gdax')
ob = trading_acc1.get_order_book(ticker='eth-usd', timestamp=timestamp)
usd = helpers.compute_usd_spent(shares, ob)
direct_calculation = 316.19 * 25.86
assert usd == direct_calculation
def _buy_eth(self, shares, ob):
amount = helpers.compute_usd_spent(shares, ob)
# update account
account = self.get_account()
account.js['usd__num'] = account.js['usd__num'] - amount
account.js['eth__num'] = account.js['eth__num'] + shares
account.db_save(es)
return amount
def _buy_ticker(self, ticker, shares, timestamp=-1):
if timestamp == -1:
raise NotImplementedError() # safety
ob = self.get_order_book(ticker=ticker, timestamp=timestamp)
amount = helpers.compute_usd_spent(shares, ob)
# update account
account = self.get_account()
account.js['usd__num'] = account.js['usd__num'] - amount
account.js['eth__num'] = account.js['eth__num'] + shares
account.db_save(es)
return amount
def trade_result(amount, holding_period, timestamp,
gdax_trading_account, cex_trading_account):
"""
- trade an amount
- max out on the number of eth
- sell after the holding_period
- how much did it made
holding_period in Minutes
"""
# print gdax_ob
# print cex_ob
t0 = timestamp
t1 = timestamp + holding_period * 60 * 1000
gdax_ob_t0 = gdax_trading_account.get_order_book(ticker='eth', timestamp=t0)
cex_ob_t1 = cex_trading_account.get_order_book(ticker='eth', timestamp=t1)
shares = helpers.compute_buy(amount, gdax_ob_t0)
money_used = helpers.compute_usd_spent(shares, gdax_ob_t0)
money_gotten = helpers.compute_usd_made(shares, cex_ob_t1)
diff = money_gotten - money_used
return diff / amount
def get_results_for_a_mock_strategy(check_window, check_interval, amount, holding_period, threshold_delta,
gdax_trading_account, cex_trading_account):
"""
keep track of how we we are doing with one trade at a time
"""
window = tuple(epoch.to_long(x) for x in check_window)
interval = MILLIS_IN_MINUTE * check_interval
x = []
y1 = []
y2 = []
# Use the strategy to calculate deltas
strategy001 = Strat1(None, None, [gdax_trading_account, cex_trading_account])
n = (window[1] - window[0]) / interval
ONE_DAY_IN_MINUTES =1440
cash = amount
eth = 0.0
waiting_liquidate_ticks = 0
waiting_capital_ticks = ONE_DAY_IN_MINUTES
# def signal__has_eth():
# return eth > 0.0
timestamp = window[0]
for i in range(n):
waiting_liquidate_ticks += check_interval
waiting_capital_ticks += check_interval
withdraw_signal = strategy001.get_signal__withdraw_delta(timestamp)
withdraw_delta = withdraw_signal['withdraw_delta']
# handling gdax
if withdraw_delta >= threshold_delta and eth == 0.0 and waiting_capital_ticks >= ONE_DAY_IN_MINUTES:
gdax_ob = gdax_trading_account.get_order_book(ticker='eth', timestamp=timestamp)
shares = helpers.compute_buy(amount, gdax_ob)
usd_used = helpers.compute_usd_spent(shares, gdax_ob)
# accounting
cash = cash - usd_used
eth = eth + shares * (1 - 0.003) # Including fees
waiting_liquidate_ticks = 0
waiting_capital_ticks = 0
# x.append(timestamp)
# y1.append(cash)
# y2.append(eth)
if eth > 0.0 and waiting_liquidate_ticks >= holding_period:
cex_ob = cex_trading_account.get_order_book(ticker='eth', timestamp=timestamp)
shares = eth
usd_gotten = helpers.compute_usd_made(shares, cex_ob) * (1 - 0.002) # Including fees
# accounting
cash = cash + usd_gotten
eth = 0
x.append(timestamp)
y1.append(cash)
y2.append(eth)
print i, epoch.to_str(timestamp)
print "cash: {} | eth: {}".format(str(cash), str(eth))
print "capital tick: {} | liquidate tick: {}".format(waiting_capital_ticks, waiting_liquidate_ticks)
# next timestamp
timestamp += interval
# checking progress
# print i, epoch.to_str(timestamp)
# print "cash: {} | eth: {}".format(str(cash), str(eth))
# print "capital tick: {} | liquidate tick: {}".format(waiting_capital_ticks, waiting_liquidate_ticks)
if i % 50 == 0:
print i, epoch.to_str(timestamp)
print "cash: {} | eth: {}".format(str(cash), str(eth))
print "capital tick: {} | liquidate tick: {}".format(waiting_capital_ticks, waiting_liquidate_ticks)
x_index = pd.to_datetime(x, unit='ms')
ds1 = pd.Series(index=x_index, data=y1)
ds2 = pd.Series(index=x_index, data=y2)
logger.info(check_window)
logger.info(window)
logger.info(ds1.head())
return ds1, ds2
