Merge pull request #15 from askmike/develop

Merge

core/tools/candleLoader.js

@@ -78,7 +78,7 @@ const handleCandles = (err, data) => {
     util.die('Encountered an error..')
   }
 
-  if(_.size(data) && _.last(data).start >= toUnix)
+  if(_.size(data) && _.last(data).start >= toUnix || iterator.from.unix() >= toUnix)
     DONE = true;
 
   batcher.write(data);
@@ -97,4 +97,4 @@ const handleCandles = (err, data) => {
 
 const handleBatchedCandles = candle => {
   result.push(candle);
-}
+}

core/util.js

@@ -120,7 +120,8 @@ var util = {
       tools: ROOT + 'core/tools/',
       workers: ROOT + 'core/workers/',
       web: ROOT + 'web/',
-      config: ROOT + 'config/'
+      config: ROOT + 'config/',
+      broker: ROOT + 'exchange/'
     }
   },
   inherit: function(dest, source) {

core/workers/loadCandles/child.js

@@ -21,4 +21,8 @@ process.send('ready');
 process.on('message', (m) => {
   if(m.what === 'start')
     start(m.config, m.candleSize, m.daterange);
-});
+});
+
+process.on('disconnect', function() {
+  process.exit(0);
+})

core/workers/loadCandles/parent.js

@@ -56,7 +56,7 @@ module.exports = (config, callback) => {
 
     // else we are done and have candles!
     done(null, m);
-    child.kill('SIGINT');
+    this.disconnect();
   });
 
   child.on('exit', code => {

docs/internals/events.md

@@ -12,7 +12,7 @@ Note that all events from Gekko come from a plugin (with the exception of the `c
 
 - [candle](#candle-event): Every time Gekko calculates a new one minute candle from the market.
 - [stratWarmupCompleted](#stratWarmupCompleted-event): When the strategy is done warming up.
-- [advice](#advice-event): Every time the trading strategy is fed a new candle.
+- [advice](#advice-event): Every time the trading strategy has a new trading signal.
 - [stratUpdate](#stratUpdate-event): Every time the strategy has processed a new strat candle.
 - [stratNotification](#stratNotification-event): Every time the strategy emit new strategy notification.
 - [tradeInitiated](#tradeInitiated-event): Every time a trading plugin (either the live trader or the paper trader) is going to start a new trade (buy or sell).
@@ -25,8 +25,11 @@ trader) has NOT acted on new advice (due to unsufficiant funds or a similar reas
 - [portfolioValueChange](#portfolioValueChange-event): Every time value of the portfolio has changed.
 - [performanceReport](#performanceReport-event): Every time the profit report was updated.
 - [roundtrip](#roundtrip-event): Every time a new roundtrip has been completed.
+- [triggerCreated](#triggerCreated-event): Every time a trader has created a new trigger.
+- [triggerFired](#triggerFired-event): Every time a created trigger has fired.
+- [triggerAborted](#triggerAborted-event): Every time a created trigger has been aborted due to new advice.
 
-Beside those there are also two additional market events that are only emitted when Gekko is running in either realtime or importing mode (NOT during a backtest for performance reasons).
+Beside those there are also two additional market events that are only emitted when Gekko is running in realtime mode (NOT during a backtest for performance reasons).
 
 - [marketStart](#marketStart-event): Once, when the market just started.
 - [marketUpdate](#marketUpdate-event): Whenever the market has fetched new raw market data.
@@ -123,7 +126,11 @@ and will start signaling advice.
       {
         recommendation: [position to take, either long or short],
         date: [moment object of this advice],
-        id: [string identifying this unique trade]
+        id: [string identifying this unique trade],
+        trigger: {
+          type: [type of trigger, currently always "trailingStop"],
+          // optional parameters per type of trigger
+        }
       }
 
 ### tradeInitiated event
@@ -297,6 +304,44 @@ and will start signaling advice.
         profit: -0.2320439659276161,
       }
 
+### triggerCreated event
+
+- What: A summary of a created trigger.
+- When: After a buy advice that includes a stop.
+- Subscribe: You can subscribe to this event by registering the `processTriggerCreated` method.
+- Example:
+      {
+        id: [string identifying this trigger],
+        date: Moment<'2017-03-25 19:41:00'>,
+        type: type: "trailingStop",
+        properties: {
+          initialPrice: 100,
+          trail: 10
+        }
+      }
+
+### triggerFired event
+
+- What: A message indicating a created trigger has fired
+- When: As soon as the trigger fired
+- Subscribe: You can subscribe to this event by registering the `processTriggerFired` method.
+- Example:
+      {
+        id: [string identifying this trigger],
+        date: Moment<'2017-03-25 19:41:00'>
+      }
+
+### triggerAborted event
+
+- What: A message indicating a created trigger has been aborted
+- When: After an advice signal indicating a sell
+- Subscribe: You can subscribe to this event by registering the `processTriggerAborted` method.
+- Example:
+      {
+        id: [string identifying this trigger],
+        date: Moment<'2017-03-25 19:41:00'>
+      }
+
 ### marketStart event
 
 - What: A moment object describing the first date of the market data.

docs/strategies/creating_a_strategy.md

@@ -77,13 +77,21 @@ Most strategies need to warmup before the trading strategy can be started. For e
 
 If you find out in the check function that you want to give new advice to the trader you can use the advice function:
 
-    this.advice('short');
-    // or
-    this.advice('long');
+    this.advice({
+      direction: 'long' // or short
+      trigger: { // ignored when direction is not "long"
+        type: 'trailingStop',
+        trailPercentage: 5
+        // or:
+        // trailValue: 100
+      }
+    });
+
+The trigger is optional, if the direction is long and the trigger is specified as a trailingStop this will request the trader to create a trail stop trigger.
 
 ### candle variable
 
-The following list of candle variables will be available when writing strategies:
+The following list of candle variables will be available when writing strategies, they are part of the candle object which is given to your `update` and `check` functions (it's also accessable through `this.candle`).
 
  - candle.close: the closing price of the candle
  - candle.high: the highest price of the candle

exchange/gekkoBroker.js

@@ -14,10 +14,13 @@ const errors = require('./exchangeErrors');
 const Portfolio = require('./portfolioManager');
 // const Market = require('./market');
 const orders = require('./orders');
+const Trigger = require('./trigger');
 const exchangeUtils = require('./exchangeUtils');
 const bindAll = exchangeUtils.bindAll;
 const isValidOrder = exchangeUtils.isValidOrder;
 
+
+
 class Broker {
   constructor(config) {
     this.config = config;
@@ -157,6 +160,15 @@ class Broker {
 
     return order;
   }
+
+  createTrigger({type, onTrigger, props}) {
+    return new Trigger({
+      api: this.api,
+      type,
+      onTrigger,
+      props
+    });
+  }
 }
 
 module.exports = Broker;

exchange/trigger.js

@@ -0,0 +1,80 @@
+// wraps around a low level trigger and feeds
+// it live market data.
+
+const _ = require('lodash');
+
+const exchangeUtils = require('./exchangeUtils');
+const bindAll = exchangeUtils.bindAll;
+
+const triggers = require('./triggers');
+
+// @param api: a gekko broker wrapper instance
+// @param type: type of trigger to wrap
+// @param props: properties to feed to trigger
+class Trigger {
+  constructor({api, type, props, onTrigger}) {
+    this.onTrigger = onTrigger;
+    this.api = api;
+
+    this.isLive = true;
+
+    // note: we stay on the safe side and trigger
+    // as soon as the bid goes below trail.
+    this.tickerProp = 'bid';
+
+    if(!_.has(triggers, type)) {
+      throw new Error('Gekko Broker does not know trigger ' + type);
+    }
+
+    this.CHECK_INTERVAL = this.api.interval * 10;
+
+    bindAll(this);
+    this.trigger = new triggers[type]({
+      onTrigger: this.propogateTrigger,
+      ...props
+    })
+
+    this.scheduleFetch();
+  }
+
+  scheduleFetch() {
+    this.timout = setTimeout(this.fetch, this.CHECK_INTERVAL);
+  }
+
+  fetch() {
+    if(!this.isLive) {
+      return;
+    }
+    this.api.getTicker(this.processTicker)
+  }
+
+  processTicker(err, ticker) {
+    if(!this.isLive) {
+      return;
+    }
+
+    if(err) {
+      return console.log('[GB/trigger] failed to fetch ticker:', err);
+    }
+
+    this.price = ticker[this.tickerProp];
+
+    this.trigger.updatePrice(this.price);
+    this.scheduleFetch();
+  }
+
+  cancel() {
+    this.isLive = false;
+    clearTimeout(this.timout);
+  }
+
+  propogateTrigger(payload) {
+    if(!this.isLive) {
+      return;
+    }
+    this.isLive = false;
+    this.onTrigger(payload);
+  }
+}
+
+module.exports = Trigger;

exchange/triggers/index.js

@@ -0,0 +1,3 @@
+const trailingStop = require('./trailingStop');
+
+module.exports = { trailingStop };

exchange/triggers/trailingStop.js

@@ -0,0 +1,62 @@
+const EventEmitter = require('events');
+
+// Note: as of now only supports trailing the price going up (after 
+// a buy), on trigger (when the price moves down) you should sell.
+
+
+// @param initialPrice: initial price, preferably buy price
+// @param trail: fixed offset from the price
+// @param onTrigger: fn to call when the stop triggers
+class TrailingStop extends EventEmitter {
+  constructor({trail, initialPrice, onTrigger}) {
+    super();
+
+    this.trail = trail;
+    this.isLive = true;
+    this.onTrigger = onTrigger;
+
+    this.previousPrice = initialPrice;
+    this.trailingPoint = initialPrice - this.trail;
+  }
+
+  updatePrice(price) {
+    if(!this.isLive) {
+      return;
+    }
+
+    if(price > this.trailingPoint + this.trail) {
+      this.trailingPoint = price - this.trail;
+    }
+
+    this.previousPrice = price;
+
+    if(price <= this.trailingPoint) {
+      this.trigger();
+    }
+  }
+
+  updateTrail(trail) {
+    if(!this.isLive) {
+      return;
+    }
+
+    this.trail = trail;
+    this.trailingPoint = this.previousPrice - this.trail;
+    // recheck whether moving the trail triggered.
+    this.updatePrice(this.previousPrice);
+  }
+
+  trigger() {
+    if(!this.isLive) {
+      return;
+    }
+
+    this.isLive = false;
+    if(this.onTrigger) {
+      this.onTrigger(this.previousPrice);
+    }
+    this.emit('trigger', this.previousPrice);
+  }
+}
+
+module.exports = TrailingStop;

exchange/wrappers/binance.js

@@ -307,6 +307,7 @@ Trader.prototype.isValidPrice = function(price) {
 }
 
 Trader.prototype.isValidLot = function(price, amount) {
+  console.log('isValidLot', this.market.minimalOrder.order, amount * price >= this.market.minimalOrder.order)
   return amount * price >= this.market.minimalOrder.order;
 }