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Now capable of retrying
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shads2 committed Jan 22, 2018
1 parent 73b044d commit f5f35fe
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225 changes: 141 additions & 84 deletions app/behaviours/simple_bot.py
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@

import ccxt
import structlog
from tenacity import retry, retry_if_exception_type, stop_after_attempt

class SimpleBotBehaviour():
"""Simple trading bot.
Expand Down Expand Up @@ -46,95 +47,26 @@ def run(self, market_pairs):
else:
market_data = self.exchange_interface.get_exchange_markets()

analytics_data = {}
analytics_sorted_pairs = {}
analyzed_data = {}
analyzed_sorted_pairs = {}
for exchange, markets in market_data.items():
analytics_data[exchange] = {}
analytics_sorted_pairs[exchange] = []
analyzed_data[exchange] = {}
analyzed_sorted_pairs[exchange] = []

for market_pair in markets:
try:
historical_data = self.strategy_analyzer.get_historical_data(
market_data[exchange][market_pair]['symbol'],
exchange,
self.behaviour_config['analysis_timeframe']
)

if self.behaviour_config['strategy'] == 'rsi':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_rsi(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'sma':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_sma(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'ema':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_ema(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'breakout':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_breakout(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'ichimoku':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_ichimoku_cloud(
historical_data,
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'macd':
analytics_data[exchange][market_pair] = self.strategy_analyzer.analyze_macd(
historical_data,
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
else:
self.logger.error("No strategy selected, bailing out.")
exit(1)
historical_data = self.__get_historical_data(
market_data[exchange][market_pair]['symbol'],
exchange
)

except ccxt.NetworkError:
self.logger.warn(
"Read timeout getting data for %s on %s skipping",
market_pair,
exchange
)
continue
analyzed_data[exchange][market_pair] = self.__run_strategy(historical_data)

analytics_sorted_pairs[exchange] = sorted(
analytics_data[exchange],
key=lambda x: (analytics_data[exchange][x]['values'][0])
analyzed_sorted_pairs[exchange] = sorted(
analyzed_data[exchange],
key=lambda x: (analyzed_data[exchange][x]['values'][0])
)

open_orders = self.exchange_interface.get_open_orders()

for exchange in open_orders:
for order in open_orders[exchange]:
order_time = datetime.fromtimestamp(
order['timestamp']
).strftime('%c')

time_to_hold = datetime.now() - timedelta(
hours=self.behaviour_config['open_order_max_hours']
)

if self.behaviour_config['mode'] == 'live':
if time_to_hold > order_time:
self.exchange_interface.cancel_order(
exchange,
order['id']
)
self.__reconcile_open_orders()

current_holdings = self.__get_holdings()

Expand All @@ -146,8 +78,8 @@ def run(self, market_pairs):
self.__update_holdings()
current_holdings = self.__get_holdings()

for exchange, markets in analytics_data.items():
for market_pair in analytics_sorted_pairs[exchange]:
for exchange, markets in analyzed_data.items():
for market_pair in analyzed_sorted_pairs[exchange]:
base_symbol, quote_symbol = market_pair.split('/')

if markets[market_pair]['is_hot']:
Expand Down Expand Up @@ -188,9 +120,121 @@ def run(self, market_pairs):
self.logger.debug(current_holdings)


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def __get_historical_data(self, symbol, exchange):
"""Get the historical data for a given pair.
Decorators:
retry
Args:
symbol (str): The symbol pair that we want to get historical data for.
exchange (str): The exchange id of the exchange we want the historical data for.
Returns:
list: A matrix of historical OHLCV
"""

historical_data = self.strategy_analyzer.get_historical_data(
symbol,
exchange,
self.behaviour_config['analysis_timeframe']
)

return historical_data


def __run_strategy(self, historical_data):
"""Run the selected analyzer over the historical data
Args:
historical_data (list): A matrix of historical OHLCV data.
Returns:
dict: The analyzed results for the historical data.
"""

if self.behaviour_config['strategy'] == 'rsi':
result = self.strategy_analyzer.analyze_rsi(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'sma':
result = self.strategy_analyzer.analyze_sma(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'ema':
result = self.strategy_analyzer.analyze_ema(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'breakout':
result = self.strategy_analyzer.analyze_breakout(
historical_data,
period_count=self.behaviour_config['strategy_period'],
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'ichimoku':
result = self.strategy_analyzer.analyze_ichimoku_cloud(
historical_data,
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
elif self.behaviour_config['strategy'] == 'macd':
result = self.strategy_analyzer.analyze_macd(
historical_data,
hot_thresh=self.behaviour_config['buy']['strategy_threshold'],
cold_thresh=self.behaviour_config['sell']['strategy_threshold']
)
else:
self.logger.error("No strategy selected, bailing out.")
exit(1)

return result


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def __reconcile_open_orders(self):
"""Cancels any orders that have been open for too long.
Decorators:
retry
"""
open_orders = self.exchange_interface.get_open_orders()

for exchange in open_orders:
for order in open_orders[exchange]:
order_time = datetime.fromtimestamp(
order['timestamp']
).strftime('%c')

time_to_hold = datetime.now() - timedelta(
hours=self.behaviour_config['open_order_max_hours']
)

if self.behaviour_config['mode'] == 'live':
if time_to_hold > order_time:
self.exchange_interface.cancel_order(
exchange,
order['id']
)


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def buy(self, base_symbol, quote_symbol, market_pair, exchange, current_holdings):
"""Buy a base currency with a quote currency.
Decorators:
retry
Args:
base_symbol (str): The symbol for the base currency (currency being bought).
quote_symbol (str): The symbol for the quote currency (currency being sold).
Expand Down Expand Up @@ -271,9 +315,13 @@ def buy(self, base_symbol, quote_symbol, market_pair, exchange, current_holdings
self.db_handler.create_transaction(purchase_payload)


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def sell(self, base_symbol, quote_symbol, market_pair, exchange, current_holdings):
"""Sell a base currency for a quote currency.
Decorators:
retry
Args:
base_symbol (str): The symbol for the base currency (currency being sold).
quote_symbol (str): The symbol for the quote currency (currency being bought).
Expand Down Expand Up @@ -365,8 +413,12 @@ def __get_holdings(self):
return holdings


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def __create_holdings(self):
"""Query the users account details to populate the crypto holdings database cache.
Decorators:
retry
"""
for exchange in self.exchange_interface.exchanges:
user_account_markets = self.exchange_interface.get_account_markets(exchange)
Expand All @@ -382,8 +434,12 @@ def __create_holdings(self):
self.db_handler.create_holding(holding_payload)


@retry(retry=retry_if_exception_type(ccxt.NetworkError), stop=stop_after_attempt(3))
def __update_holdings(self):
"""Synchronize the database cache with the crypto holdings from the users account.
Decorators:
retry
"""
holdings_table = self.db_handler.read_holdings()
user_account_markets = {}
Expand All @@ -398,3 +454,4 @@ def __update_holdings(self):
row.volume_total = user_account_markets[row.exchange]['total'][row.symbol]

self.db_handler.update_holding(row)

1 change: 1 addition & 0 deletions app/requirements.txt
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Original file line number Diff line number Diff line change
Expand Up @@ -11,3 +11,4 @@ psycopg2==2.7.3
slackweb==1.0.5
flask==0.12.2
matplotlib==2.1.0
tenacity==4.8.0

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