def __init__(self, bot: TradingBot, bars: list):
self.bars: List[Bar] = bars
self.bot = bot
self.bot.prepare(SilentLogger(), self)
self.market_slipage_percent = 0.15
self.maker_fee = -0.00025
self.taker_fee = 0.00075
self.symbol: Symbol = Symbol(symbol="XBTUSD",
isInverse=True,
tickSize=0.5,
lotSize=1,
makerFee=-0.00025,
takerFee=0.00075)
self.account: Account = None
self.initialEquity = 100 # BTC
self.hh = self.initialEquity
self.maxDD = 0
self.max_underwater = 0
self.underwater = 0
self.maxExposure = 0
self.lastHHPosition = 0
self.current_bars = []
self.reset()
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr: binance_f.model.exchangeinformation.ExchangeInformation = self.client.get_exchange_information(
)
for symb in instr.symbols:
if symb.symbol == symbol:
baseLength = len(symb.baseAsset)
lotSize = 1
tickSize = 1
for filterIt in symb.filters:
if filterIt['filterType'] == 'LOT_SIZE':
lotSize = float(filterIt['stepSize'])
if filterIt['filterType'] == 'PRICE_FILTER':
tickSize = float(filterIt['tickSize'])
return Symbol(
symbol=symb.symbol,
isInverse=symb.baseAsset != symb.symbol[:baseLength],
lotSize=lotSize,
tickSize=tickSize,
makerFee=0.02,
takerFee=0.04,
pricePrecision=symb.pricePrecision,
quantityPrecision=symb.quantityPrecision)
return None
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instrument = self.bitmex.instrument(symbol)
symbolInfo: Symbol = Symbol(symbol=instrument['symbol'],
isInverse=instrument['isInverse'],
lotSize=instrument['lotSize'],
tickSize=instrument['tickSize'],
makerFee=instrument['makerFee'],
takerFee=instrument['takerFee'])
return symbolInfo
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr = self._execute(self.bybit.Symbol.Symbol_get())
for entry in instr:
if entry['name'] == symbol:
return Symbol(symbol=entry['name'],
isInverse=True, # all bybit is inverse
lotSize=entry['lot_size_filter']['qty_step'],
tickSize=entry['price_filter']['tick_size'],
makerFee=entry['maker_fee'],
takerFee=entry['taker_fee'])
return None
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr = self._execute(self.bybit.Symbol.Symbol_get())
for entry in instr:
if entry['name'] == symbol:
return Symbol(symbol=entry['name'],
isInverse=True, # all bybit is inverse
lotSize=float(entry['lot_size_filter']['qty_step']),
tickSize=float(entry['price_filter']['tick_size']),
makerFee=float(entry['maker_fee']),
takerFee=float(entry['taker_fee']),
pricePrecision=entry['price_scale'],
quantityPrecision=0) # hardcoded full dollars
return None
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
instr = self._execute(self.bybit.Symbol.Symbol_get())
for entry in instr:
if entry['name'] == symbol:
return Symbol(symbol=entry['name'],
isInverse=entry["quote_currency"] != "USDT", # USDT is linear
lotSize=float(entry['lot_size_filter']['qty_step']),
tickSize=float(entry['price_filter']['tick_size']),
makerFee=float(entry['maker_fee']),
takerFee=float(entry['taker_fee']),
pricePrecision=entry['price_scale'],
quantityPrecision=3 if entry["quote_currency"] == "USDT" else 0) # hardcoded 5 digits FIXME!
return None
def __init__(self,
bot: TradingBot,
bars: list,
funding: dict = None,
symbol: Symbol = None,
market_slipage_percent=0.15):
self.bars: List[Bar] = bars
self.funding = funding
self.firstFunding = 9999999999
self.lastFunding = 0
if funding is not None:
for key in funding.keys():
self.firstFunding = min(self.firstFunding, key)
self.lastFunding = max(self.lastFunding, key)
self.logger = bot.logger
self.bot = bot
self.bot.prepare(SilentLogger(), self)
self.market_slipage_percent = market_slipage_percent
self.maker_fee = -0.00025
self.taker_fee = 0.00075
if symbol is not None:
self.symbol = symbol
else:
self.symbol: Symbol = Symbol(symbol="XBTUSD",
isInverse=True,
tickSize=0.5,
lotSize=1,
makerFee=-0.00025,
takerFee=0.00075)
self.account: Account = None
self.initialEquity = 100 # BTC
self.hh = self.initialEquity
self.maxDD = 0
self.max_underwater = 0
self.underwater = 0
self.maxExposure = 0
self.lastHHPosition = 0
self.current_bars: List[Bar] = []
self.reset()
def get_instrument(self, symbol=None):
if symbol is None:
symbol = self.symbol
api_symb = self.client.query_products()
for symb in api_symb["data"]:
if symb['symbol'] == symbol:
settle = symb['settlementCurrency']
self.priceScale = pow(10, symb['priceScale'])
self.valueScale = pow(10, symb['valueScale'])
self.ratioScale = pow(10, symb['ratioScale'])
return Symbol(
symbol=symb['symbol'],
isInverse=True if symbol[:len(settle)] else False,
lotSize=float(symb['lotSize']),
tickSize=float(symb['tickSize']),
makerFee=symb['makerFeeRateEr'] / self.ratioScale,
takerFee=symb['takerFeeRateEr'] / self.ratioScale)
return None
#bars_m = load_bars(30 * 12, 240,0,'bitmex')
#bars_b = load_bars(30 * 12, 60,0,'bybit')
#bars_m = load_bars(30 * 24, 60,0,'bitmex')
#bars1= load_bars(24)
#bars2= process_low_tf_bars(m1_bars, 240, 60)
#bars3= process_low_tf_bars(m1_bars, 240, 120)
#bars4= process_low_tf_bars(m1_bars, 240, 180)
symbol = None
if pair == "BTCUSD":
symbol = Symbol(symbol="BTCUSD",
isInverse=True,
tickSize=0.5,
lotSize=1.0,
makerFee=-0.025,
takerFee=0.075,
quantityPrecision=2,
pricePrecision=2)
elif pair == "XRPUSD":
symbol = Symbol(symbol="XRPUSD",
isInverse=True,
tickSize=0.0001,
lotSize=0.01,
makerFee=-0.025,
takerFee=0.075,
quantityPrecision=2,
pricePrecision=4)
elif pair == "ETHUSD":
symbol = Symbol(symbol="ETHUSD",
isInverse=True,
#bars1= load_bars(24)
#bars2= process_low_tf_bars(m1_bars, 240, 60)
#bars3= process_low_tf_bars(m1_bars, 240, 120)
#bars4= process_low_tf_bars(m1_bars, 240, 180)
#runOpti(bars_m,[1],[63],[1])
#checkDayFilterByDay(bars_m)
runOpti(bars_n,
[0,0 ,0 ,10,8 ,5 ,-10],
[1,10,2 ,20,16,30, 10],
[1,1 ,0.5,2 ,2 ,5 , 2],
symbol=Symbol(symbol="BTCUSDT", isInverse=False, tickSize=0.001,
lotSize=0.00001, makerFee=0.02,
takerFee=0.04),
randomCount=500)
'''
bot=MultiStrategyBot(logger=logger, directionFilter= 0)
bot.add_strategy(KuegiStrategy(
...
)
bot.add_strategy(SfpStrategy(
...
)
b= BackTest(bot, bars_b).run()
#bars_p = load_bars(30 * 12, 240,0,'phemex') #bars_n = load_bars(30 * 12, 240,0,'binance') #bars_ns = load_bars(30 * 24, 240,0,'binanceSpot') bars_b = load_bars(30 * 18, 240,0,'bybit',"ETHUSD") #bars_m = load_bars(30 * 12, 240,0,'bitmex') #bars_b = load_bars(30 * 12, 60,0,'bybit') #bars_m = load_bars(30 * 24, 60,0,'bitmex') #bars1= load_bars(24) #bars2= process_low_tf_bars(m1_bars, 240, 60) #bars3= process_low_tf_bars(m1_bars, 240, 120) #bars4= process_low_tf_bars(m1_bars, 240, 180) symbol=Symbol(symbol="ETHUSD", isInverse=True, tickSize=0.05, lotSize=1.0, makerFee=-0.025,takerFee=0.075, quantityPrecision=2,pricePrecision=2) #symbol=Symbol(symbol="BTCUSD", isInverse=True, tickSize=0.5, lotSize=1.0, makerFee=-0.025,takerFee=0.075, quantityPrecision=2,pricePrecision=2) #for binance #symbol=Symbol(symbol="BTCUSDT", isInverse=False, tickSize=0.001, lotSize=0.00001, makerFee=0.02, takerFee=0.04, quantityPrecision=5) bars_full= bars_b oos_cut=int(len(bars_full)/4) bars= bars_full[oos_cut:] bars_oos= bars_full[:oos_cut] ''' checkDayFilterByDay(bars,symbol=symbol) #'''
