def __init__(self,
target_currency: str,
target_interval_in_sec: int = 5,
should_db_logging: bool = True,
is_backtesting: bool = False,
start_time: int = None,
end_time: int = None):
# init virtual mm when backtesting
v_mm1 = VirtualMarketManager(Market.VIRTUAL_CO, 0.001, 4000000, 0.04,
target_currency)
v_mm2 = VirtualMarketManager(Market.VIRTUAL_GP, 0.00075, 400000, 0.4,
target_currency)
super().__init__(v_mm1, v_mm2, target_currency, target_interval_in_sec,
should_db_logging, is_backtesting, start_time,
end_time)
self.COIN_TRADING_UNIT = 0.0005
self.NEW_SPREAD_THRESHOLD = 0
self.REV_SPREAD_THRESHOLD = 0
self.MARGIN_KRW_THRESHOLD = 0
self.SLIPPAGE_HEDGE = 0 # 향후에 거래량을 보고 결정할 parameter, 0.01로 거래한다는 가정하에 0.03으로 설정
self.REV_FACTOR = 1
# init mongo related
self.mm1_data_col = SharedMongoClient.get_coinone_db()[
self.target_currency + "_orderbook"]
self.mm2_data_col = SharedMongoClient.get_gopax_db()[
self.target_currency + "_orderbook"]
self.mm1_buy_coin_trading_unit = self.mm1.calc_actual_coin_need_to_buy(
self.COIN_TRADING_UNIT)
self.mm2_buy_coin_trading_unit = self.mm2.calc_actual_coin_need_to_buy(
self.COIN_TRADING_UNIT)
def __init__(self,
target_currency: str,
target_interval_in_sec: int = 5,
should_db_logging: bool = True,
is_backtesting: bool = False,
is_init_setting_opt: bool = False,
start_time: int = None,
end_time: int = None):
if not is_backtesting:
mm1 = CoinoneMarketManager()
mm2 = GopaxMarketManager()
else:
mm1 = VirtualMarketManager(Market.VIRTUAL_CO, 0.001, 5000000, 0.5,
target_currency)
mm2 = VirtualMarketManager(Market.VIRTUAL_GP, 0.00075, 500000, 5,
target_currency)
super().__init__(mm1, mm2, target_currency, target_interval_in_sec,
should_db_logging, is_backtesting, start_time,
end_time)
self.MAX_COIN_TRADING_UNIT = 1
self.MIN_COIN_TRADING_UNIT = 0
self.MAX_OB_INDEX_NUM = 1
self.NEW_SPREAD_THRESHOLD = 0
self.REV_SPREAD_THRESHOLD = 0
self.NEW_FACTOR = 1
self.REV_FACTOR = 1
self.mm1_data_cur = None
self.mm2_data_cur = None
self.trade_new = 0
self.trade_rev = 0
# init mongo related
self.mm1_data_col = SharedMongoClient.get_coinone_db()[
self.target_currency + "_orderbook"]
self.mm2_data_col = SharedMongoClient.get_gopax_db()[
self.target_currency + "_orderbook"]
self.is_init_setting_opt = is_init_setting_opt