def test_get_sell_amount(self):
session = mommy.make(Session)
trader = Trader(session_id=session.id)
amount = trader.get_sell_amount()
assert amount == 59408221
def test_get_buy_amount(self):
session = mommy.make(Session)
trader = Trader(session_id=session.id)
amount = trader.get_buy_amount(7500)
assert amount == 1333333333333
def execute(self, job):
t = Trader(job.conf['trader'])
d = t.balance()
for b in d:
for (k, v) in b.items():
print(k + ':' + str(v)).encode('utf-8')
return 0
def main(argv):
parser = argparse.ArgumentParser()
parser.add_argument("api_key")
args = parser.parse_args()
api_key = args.api_key
trader = Trader(api_key, "aapl")
trader.train()
def __init__(self, config):
# Assign random session ID for logs, etc
self.session_id = str(uuid.uuid4())
self.config = config
self.log_file = open("logs/" + self.session_id + ".txt", "w")
self.logger = Logger(self.message_queue)
self.scraper = DataInput(self.article_queue, self.logger, self.config)
self.processes.append(Process(target=self.scraper.run))
for num in range(config["data_analysis"]["num_workers"]):
obj = DataAnalysis(self.config, self.logger, self.article_queue,
self.result_queue)
self.processes.append(Process(target=obj.run))
self.trader = Trader(self.result_queue, self.logger, self.config)
self.processes.append(Process(target=self.trader.run))
self.gui = tk.Tk()
self.gui.geometry("1080x720")
tk.Tk.wm_title(self.gui, "Algo Trading Bot")
container = tk.Frame(self.gui)
container.pack(side="top", fill="both", expand=True)
container.grid_rowconfigure(0, weight=1)
container.grid_columnconfigure(0, weight=1)
menu = tk.Menu(container)
viewmenu = tk.Menu(menu, tearoff=0)
menu.add_cascade(label="View", menu=viewmenu)
viewmenu.add_command(label="Control",
command=lambda: self.show_frame(MainPage))
viewmenu.add_command(label="Stats",
command=lambda: self.show_frame(StatsPage))
tk.Tk.config(self.gui, menu=menu)
self.frames = {}
for frameType in (MainPage, StatsPage):
frame = frameType(container, self)
self.frames[frameType] = frame
frame.grid(row=0, column=0, sticky="nsew")
self.show_frame(MainPage)
self.gui.after(10, self.poll_messages)
self.gui.after(10, self.prune_databases)
self.gui.after(10, self.sell_positions)
self.gui.after(10, self.check_processes)
self.gui.after(1, self.start)
while True:
try:
self.gui.mainloop()
except UnicodeDecodeError:
pass
def __init__(self, **kwargs):
try:
Trader.__init__(self, **kwargs)
self.account = Bittrex(kwargs.get('api_key'),
kwargs.get('api_secret'))
self._exchange = 'BITTREX'
self.streamer = HandleSocket()
self.streamer.authenticate(kwargs.get('api_key'),
kwargs.get('api_secret'))
self.active_symbols = [
] #list of symbols that are currently trading {'symbol': 'BTC-USDT', 'buy_price':xxx, 'order_id': xxx, 'latest_price': xxx}
logger.info('Bittrex trader successfully booted')
self.streamer.trader = self
except Exception as e:
logger.exception(e)
def execute(self, job):
t = Trader.get_instance(job['trader'])
entrusts = t.check_available_cancels()
entrust_to_cancle = []
for invest in job.result[:]:
for e in entrusts:
if e.iotype == 'sell' and e.stock_code == invest.code:
if e.entrust_price == invest.price:
job.result.remove(invest)
else:
entrust_to_cancle.append(e.entrust_no)
if len(entrust_to_cancle):
ret = t.cancel_entrusts(','.join(entrust_to_cancle))
job.notice(str(ret))
job.trade(str(ret))
#不要过于频繁操作
time.sleep(1)
position = t.position()
for i, v in enumerate(job.result):
#找到该股的持仓数据
v_position = ''
for p in position:
if p.stock_code == v.code:
v_position = p
#没有持仓
if v_position == '':
continue
#设置卖出参数
job.result[i].amount = v_position.enable_amount
return 0
def execute(self, job):
t = Trader.get_instance(job['trader'])
entrusts = t.check_available_cancels()
entrust_to_cancle = []
for invest in job.result[:]:
for e in entrusts:
if e.iotype == 'buy' and e.stock_code == invest.code:
if e.entrust_price == invest.price:
job.result.remove(invest)
else:
entrust_to_cancle.append(e.entrust_no)
if len(entrust_to_cancle):
ret = t.cancel_entrusts(','.join(entrust_to_cancle))
job.notice(str(ret))
job.trade(str(ret))
#不要过于频繁操作
time.sleep(1)
for invest in job.result:
if invest.amount == 0:
continue
ret = t.buy(invest.code, invest.price, invest.amount)
job.notice(str(ret))
job.trade(str(ret))
#不要过于频繁操作
time.sleep(1)
return 0
def test_get_sell_max_value(self):
session = mommy.make(Session)
trader = Trader(session_id=session.id)
settings.EXCHANGES['BL3P']['max_sell_value'] = {
'LTCEUR': 1,
'BTCEUR': 1
}
amount = trader.get_sell_amount()
settings.EXCHANGES['BL3P']['max_sell_value'] = {
'LTCEUR': -1,
'BTCEUR': -1
}
assert amount == 1
def test_get_buy_min_value(self):
session = mommy.make(Session)
trader = Trader(session_id=session.id)
settings.EXCHANGES['BL3P']['min_buy_value'] = {
'BTCEUR': 10000000,
'LTCEUR': 10000000
}
amount = trader.get_buy_amount(100000000)
settings.EXCHANGES['BL3P']['max_buy_value'] = {
'BTCEUR': 10000000,
'LTCEUR': 5000000
}
assert amount == 100000000
class TraderSimulation:
def __init__(self, data, predictions, config, initial_balance=1000, fee=0.001, uncertainty=0):
self.data = data
predictor = SimulatedPredictor(predictions, data, uncertainty)
wallet = SimulatedWallet(initial_balance, fee)
self.trader = Trader(config, wallet, predictor)
def run(self):
logging.info("Simulation Started")
for i in range(0, self.data[list(self.data.keys())[0]].shape[0]):
for coin in self.data.keys():
self.trader.process_data(coin, self.data[coin].iloc[i])
if i % 10000 == 0:
logging.info("Simulation Progress %f%%" % ((i/self.data[coin].shape[0])*100))
logging.info("Simulation Ended")
return self.trader.wallet.get_net_worth()
async def run_traders(self):
account = await oanda.api.OandaApi().account(
account_id=oanda.config.OANDA_ACCOUNT_ID)
asyncio.ensure_future(self.listen_on_transactions(account))
instruments = ["USD_PLN", "EUR_USD"]
for trader in [
Trader(account=account, instrument=instrument)
for instrument in instruments
]:
asyncio.ensure_future(trader.run_forever())
def execute(self, job):
q = Quotation()
hgt = q.get_hgt_capital()
hgt_estimate = estimate_to_close(hgt)
#沪港通指标
buy = 0
if hgt > self.HGT_LIM:
buy = 1
if get_exchange_time(
) > 30 * 60 and hgt_estimate > self.HGT_ESTIMATE_LIM:
buy = 1
if buy == 0:
job.status = 0
job.result.clear()
return 0
if buy == 1:
job.status = 1
t = Trader.get_instance(job['trader'])
position = t.position()
balance = t.balance()
enable_balance = balance[0].enable_balance
codes = []
for i, v in enumerate(job.result):
codes.append(v.code)
quotes = q.get_realtime_quotes(codes)
temp_result = copy.copy(job.result)
job.result.clear()
for i, v in enumerate(temp_result):
#找到该股的持仓数据
v_position = ''
for p in position:
if p.stock_code == v.code:
v_position = p
#达到持仓上限
if v_position != '' and v_position.current_amount >= v.amount:
continue
#设置买入参数
v.price = quotes[v.code].buy
if get_turnover_brokerage(v.price * v.amount) > enable_balance:
continue
enable_balance -= get_turnover_brokerage(v.price * v.amount)
job.result.append(v)
return 0
def execute(self, job):
t = Trader.get_instance(job['trader'])
balance = t.balance()
enable_balance = balance[0].enable_balance
q = Quotation()
quote = q.get_realtime_quotes([self.GC001, self.R001])
for (k,v) in quote.items():
string = v.__str__()
print string.encode('utf-8')
if quote[self.GC001].buy > quote[self.R001].buy and enable_balance >= self.GC001_UNIT * self.HAND:
amount=int(enable_balance/self.HAND/self.GC001_UNIT)*self.GC001_UNIT
ret = t.sell(self.GC001, price=quote[self.GC001].buy, amount=int(enable_balance/self.HAND/self.GC001_UNIT)*self.GC001_UNIT)
job.notice(str(ret))
job.trade(str(ret))
quote = q.get_realtime_quotes([self.GC001, self.R001])
amount=int(enable_balance/self.HAND/self.R001_UNIT)*self.R001_UNIT
ret = t.sell(self.R001, price=quote[self.R001].buy, amount=amount)
job.notice(str(ret))
job.trade(str(ret))
#t = Trader.get_instance(job['trader'])
#d = t.position()
##d = t.entrust()
##d = t.buy('601288', price=3.1, amount=100)
##d = t.sell('601288', price=3.5, amount=100)
##d = t.entrust()
##d = t.check_available_cancels()
##d = t.cancel_all_entrust()
##d = t.cancel_entrust('500', '601288')
##d = t.get_deal('2017-04-11')
#job.notice(str(d))
#job.trade(str(d))
return 0
def run():
websocket.enableTrace(True)
session = Session.objects.create(
status=Session.RUNNING,
ma1=settings.BOT_DATA_SAMPLE_MA1,
ma2=settings.BOT_DATA_SAMPLE_MA2,
ma3=settings.BOT_DATA_SAMPLE_MA3,
data_range=settings.BOT_DATA_SAMPLE_RANGE,
data_group=settings.BOT_DATA_SAMPLE_GROUP,
data_interval=settings.BOT_TICKER_INTERVAL,
pair=settings.BOT_DEFAULT_PAIR,
)
trader = Trader(session_id=session.id)
session.start()
logger.log('session', 'Session #{} created'.format(session.id))
logger.log('start', 'Bot running')
ws = Bl3pWebSocket(get_trades_path(session.pair),
on_message=on_message,
on_error=on_error)
ws.session = session
ws.trader = trader
ws.run_forever()
def execute(self, job):
t = Trader.get_instance(job['trader'])
balance = t.balance()
enable_balance = balance[0].enable_balance
q = Quotation()
quote = q.get_realtime_quotes([self.GC001, self.R001])
#for (k,v) in quote.items():
# string = v.__str__()
# print string.encode('utf-8')
#job.result.invest = []
job.result.clear()
if quote[self.GC001].buy > quote[self.R001].buy and enable_balance >= self.GC001_UNIT * self.HAND:
amount=int(enable_balance/self.HAND/self.GC001_UNIT)*self.GC001_UNIT
#invest = Invest({'name':'GC001', 'code':self.GC001, 'amount':amount, 'price':quote[self.GC001].buy})
invest = {'name':'GC001', 'code':self.GC001, 'amount':amount, 'price':quote[self.GC001].buy}
job.result.append(invest)
enable_balance = enable_balance - amount * self.HAND
quote = q.get_realtime_quotes([self.GC001, self.R001])
amount=int(enable_balance/self.HAND/self.R001_UNIT)*self.R001_UNIT
#invest = Invest({'name':'R001', 'code':self.R001, 'amount':amount, 'price':quote[self.R001].buy})
invest = {'name':'R001', 'code':self.R001, 'amount':amount, 'price':quote[self.R001].buy}
job.result.append(invest)
#q = Quotation()
#quote = q.get_realtime_quotes([self.GC001, self.R001])
#for (k,v) in quote.items():
# string = v.__str__()
# print string.encode('utf-8')
#if quote[self.GC001].buy > quote[self.R001].buy and enable_balance >= self.GC001_UNIT * self.HAND:
# amount=int(enable_balance/self.HAND/self.GC001_UNIT)*self.GC001_UNIT
# ret = t.sell(self.GC001, price=quote[self.GC001].buy, amount=int(enable_balance/self.HAND/self.GC001_UNIT)*self.GC001_UNIT)
# job.notice(str(ret))
# job.trade(str(ret))
##不要过于频繁操作
#time.sleep(2)
#balance = t.balance()
#enable_balance = balance[0].enable_balance
#quote = q.get_realtime_quotes([self.GC001, self.R001])
#amount=int(enable_balance/self.HAND/self.R001_UNIT)*self.R001_UNIT
#ret = t.sell(self.R001, price=quote[self.R001].buy, amount=amount)
#job.notice(str(ret))
#job.trade(str(ret))
#t = Trader.get_instance(job['trader'])
#d = t.position()
##d = t.entrust()
##d = t.buy('601288', price=3.1, amount=100)
##d = t.sell('601288', price=3.5, amount=100)
##d = t.entrust()
##d = t.check_available_cancels()
##d = t.cancel_all_entrust()
##d = t.cancel_entrust('500', '601288')
##d = t.get_deal('2017-04-11')
#job.notice(str(d))
#job.trade(str(d))
return 0
def __init__(self, data, predictions, config, initial_balance=1000, fee=0.001, uncertainty=0):
self.data = data
predictor = SimulatedPredictor(predictions, data, uncertainty)
wallet = SimulatedWallet(initial_balance, fee)
self.trader = Trader(config, wallet, predictor)
def execute(self, job):
q = Quotation()
hgt = q.get_hgt_capital()
hgt_estimate = estimate_to_close(hgt)
#沪港通指标
sell = 0
if hgt < self.HGT_LIM:
sell = 1
if get_exchange_time(
) > 30 * 60 and hgt_estimate < self.HGT_ESTIMATE_LIM:
sell = 1
if hgt < self.HGT_KEEP_LIM:
sell = 2
if get_exchange_time(
) > 30 * 60 and hgt_estimate < self.HGT_KEEP_ESTIMATE_LIM:
sell = 2
if sell == 0:
job.status = 0
job.result.clear()
return 0
if sell != 0:
job.status = 1
t = Trader.get_instance(job['trader'])
position = t.position()
codes = []
for i, v in enumerate(job.result):
codes.append(v.code)
quotes = q.get_realtime_quotes(codes)
temp_result = copy.copy(job.result)
job.result.clear()
for i, v in enumerate(temp_result):
#找到该股的持仓数据
v_position = ''
for p in position:
if p.stock_code == v.code:
v_position = p
#没有持仓
if v_position == '':
continue
#盈利卖出
if sell == 1:
v.price = max(
quotes[v.code].buy,
round(
v_position.keep_cost_price *
(1 + self.INCOME_RATION_LIM), 2))
#保本卖出
elif sell == 2:
v.price = v_position.keep_cost_price
#设置卖出参数
v.amount = v_position.enable_amount
job.result.append(v)
return 0
# @@Author: [email protected] # @CreateDate: 2016-05-19 00:46 # @ModifyDate: 2016-05-19 00:46 # Copyright ? 2016 Baidu Incorporated. All rights reserved. #***************************************************************# import sys from apscheduler.schedulers.blocking import BlockingScheduler from apscheduler.schedulers.background import BackgroundScheduler from apscheduler.jobstores.memory import MemoryJobStore from apscheduler.executors.pool import ThreadPoolExecutor, ProcessPoolExecutor from trader.trader import Trader import utils.const as CT import yaml t = Trader('xq') def my_job(conf): print conf global t #d = t.sell('131810', price=1, amount=20) d = t.balance() print d for b in d: for (k,v) in b.items(): print (k + ':' + str(v)).encode('utf-8') def add_job(sched): #sched.add_job(my_job, 'interval', seconds=5) #sched.add_job(my_job, 'cron', second='*/30', args = [CT.CONF_DIR + 'trader/ht.json']) #sched.add_job(my_job, 'cron', minute = 10, hour = 13, args = [CT.CONF_DIR + 'trader/ht.json'])
def main():
api_config = Path(os.path.join('.', 'API_key.json'))
with api_config.open('rt') as handle:
config = json.load(handle)
global trader
trader = Trader(config['api_key'], config['secret_key'], config['account_id'])
def test_balance(self):
t = Trader.get_instance('yh')
d = t.balance()
self.assertEqual(d[0].status, 'ok')
self.assertGreater(d[0].enable_balance, 0)
class Bot:
# Start pyvirtualdisplay for headless runs
display = Display(visible=0, size=(800, 800))
display.start()
# Process variables
scraper = None
trader = None
processes = []
# Queues to be delegated to sub-processes
message_queue = Queue()
article_queue = Queue()
result_queue = Queue()
running = False
# Initializes all of the processes
def __init__(self, config):
# Assign random session ID for logs, etc
self.session_id = str(uuid.uuid4())
self.config = config
self.log_file = open("logs/" + self.session_id + ".txt", "w")
self.logger = Logger(self.message_queue)
self.scraper = DataInput(self.article_queue, self.logger, self.config)
self.processes.append(Process(target=self.scraper.run))
for num in range(config["data_analysis"]["num_workers"]):
obj = DataAnalysis(self.config, self.logger, self.article_queue,
self.result_queue)
self.processes.append(Process(target=obj.run))
self.trader = Trader(self.result_queue, self.logger, self.config)
self.processes.append(Process(target=self.trader.run))
self.gui = tk.Tk()
self.gui.geometry("1080x720")
tk.Tk.wm_title(self.gui, "Algo Trading Bot")
container = tk.Frame(self.gui)
container.pack(side="top", fill="both", expand=True)
container.grid_rowconfigure(0, weight=1)
container.grid_columnconfigure(0, weight=1)
menu = tk.Menu(container)
viewmenu = tk.Menu(menu, tearoff=0)
menu.add_cascade(label="View", menu=viewmenu)
viewmenu.add_command(label="Control",
command=lambda: self.show_frame(MainPage))
viewmenu.add_command(label="Stats",
command=lambda: self.show_frame(StatsPage))
tk.Tk.config(self.gui, menu=menu)
self.frames = {}
for frameType in (MainPage, StatsPage):
frame = frameType(container, self)
self.frames[frameType] = frame
frame.grid(row=0, column=0, sticky="nsew")
self.show_frame(MainPage)
self.gui.after(10, self.poll_messages)
self.gui.after(10, self.prune_databases)
self.gui.after(10, self.sell_positions)
self.gui.after(10, self.check_processes)
self.gui.after(1, self.start)
while True:
try:
self.gui.mainloop()
except UnicodeDecodeError:
pass
def poll_messages(self):
try:
msg = self.message_queue.get(True)
if msg is not None:
self.print_to_screen(msg)
print(msg)
self.log_file.write(msg + "\n")
self.log_file.flush()
self.gui.after(100, self.poll_messages)
else:
self.gui.after(100, self.poll_messages)
except Exception as e:
self.logger.log("Main", "error",
"Error polling messages: " + str(e))
self.gui.after(100, self.poll_messages)
def prune_databases(self):
try:
self.logger.log("Main", "informative", "Triggering db prune...")
self.scraper.prune_databases()
except Exception as e:
self.logger.log("Main", "error",
"Error pruning databases: " + str(e))
self.gui.after(600000, self.prune_databases) # Prune every 10 mins
def sell_positions(self):
try:
self.logger.log("Main", "informative",
"Triggering position sell-off...")
self.trader.sell_positions()
except Exception as e:
self.logger.log("Main", "error",
"Error selling positions: " + str(e))
self.gui.after(600000, self.sell_positions) # Sell every 10 mins
def check_processes(self):
try:
self.logger.log("Main", "informative", "Checking processes...")
for process in self.processes:
proc = psutil.Process(process.pid)
if not proc.is_running():
self.logger.log("Main", "error",
"Process crashed! Exiting program.")
self.stop(
) # We can't trust the program after a process crashes.
self.logger.log("Main", "informative", "Processes OK!")
except Exception as e:
self.logger.log("Main", "error",
"Error checking processes: " + str(e))
self.stop(
) # Stop here sinc a process probably died, causing this error
self.gui.after(100, self.check_processes) # Check again in 100ms
# Starts the processes
def start(self):
self.running = True
self.print_to_screen('Starting bot...')
for process in self.processes:
process.start()
# Shuts down the program
def stop(self):
self.running = False
self.trader.quit()
for process in self.processes:
process.terminate()
exit()
def print_trade(self, str):
self.frames[MainPage].print_trade(str)
def print_to_screen(self, str):
self.frames[MainPage].print(str)
def show_frame(self, cont):
frame = self.frames[cont]
frame.tkraise()
