-
Notifications
You must be signed in to change notification settings - Fork 3
/
Copy pathengines.py
executable file
·394 lines (362 loc) · 22.4 KB
/
engines.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
#!/usr/local/bin/python3
# This file contains all of the trading logic
import time
from math import floor
import slack
from statistics import mean
import bitmex
import requests
from binance.client import Client as binance_client
import robin_stocks as r
from bravado.exception import HTTPServiceUnavailable, HTTPBadRequest, HTTPTooManyRequests
import alpaca_trade_api as tradeapi
import configparser
import pymysql
Config = configparser.ConfigParser()
Config.read("config.ini") # load api_keys
API_KEY = "PK9NQMLQ6JQIUVEHNMLR"
API_SECRET = "t9bh74YO5jPhKbo3EA0yQoLYfaedU/2Jg79NTzqS"
APCA_API_BASE_URL = "https://paper-api.alpaca.markets"
class AlpacaTrader():
def __init__(self):
self.auth_client_alpaca = tradeapi.REST(Config.get('Alpaca', 'api_key'), Config.get('Alpaca','api_secret'),APCA_API_BASE_URL, api_version='v2') # or use ENV Vars shown below
self.account = self.auth_client_alpaca.get_account()
self.equity = float(self.account.equity)
def buy_long(self, asset):
try:
self.auth_client_alpaca.submit_order(symbol=asset,qty=10,side='buy',type='market',time_in_force='gtc')
except Exception as e:
print (str(e))
finally:
print ('buying 10 ' + str(asset) + ' on ALPACA')
def sell_short(self, asset):
try:
self.auth_client_alpaca.submit_order(symbol=asset,qty=10,side='sell',type='market',time_in_force='gtc')
except Exception as e:
print (str(e))
finally:
print ('selling 10 ' + str(asset) + ' on ALPACA')
class BitmexTrader():
def __init__(self, trade, leverage, tp, test, ord_type):
self.bitmex_api_key = Config.get('Bitmex', 'api_key')
self.bitmex_api_secret = Config.get('Bitmex', 'api_secret')
self.bitmex_api_key_t = Config.get('Bitmex-Testnet', 'api_key')
self.bitmex_api_secret_t = Config.get('Bitmex-Testnet', 'api_secret')
self.slack_api = Config.get("Slack", 'api_key')
self.trade = trade
self.long = False
self.type = 'GoodTillCancel'
self.ord_type = ord_type
self.short = False
print('sending trades? ' + str(self.trade))
self.leverage = leverage
self.take_profit = tp
self.stop_loss = 0.1 # 10%
self.slips = []
if test and 1==2:
self.auth_client_bitmex = bitmex.bitmex(
test=True, api_key=self.bitmex_api_key_t, api_secret=self.bitmex_api_secret_t)
print('testnet')
elif 1==2:
self.auth_client_bitmex = bitmex.bitmex(
test=False, api_key=self.bitmex_api_key, api_secret=self.bitmex_api_secret)
print('LIVE')
try:
self.auth_client_bitmex.Position.Position_updateLeverage(
symbol='XBTUSD', leverage=leverage).result()
self.last_bal = float(self.auth_client_bitmex.User.User_getMargin().result()[0]['marginBalance'] / 100000000)
except:
pass
self.channel = 'tradeupdates'
self.channel_trades = 'trades'
self.client = slack.WebClient(self.slack_api, timeout=30)
self.trade_template = {'signal_price':0.0, 'fill_price':0.0, 'quantity':0.0, 'leverage':1, 'side':'', 'timestamp':''}
def db(self):
## TRADE = {'signal_price':float, 'fill_price':float, 'quantity':float, 'leverage':int, 'side',string, 'timestamp':string}
connection = pymysql.connect(host='localhost',
user='root',
password='Starluna1',
db='trades',
cursorclass=pymysql.cursors.DictCursor)
try:
with connection.cursor() as cursor:
sql = "INSERT INTO `trades_raw` (`signal_price`, `fill_price`, `quantity`, `leverage`, `side`, `timestamp`) VALUES (%s, %s, %s, %s, %s, %s)"
cursor.execute(sql, (str(self.trade_template['signal_price']), str(self.trade_template['fill_price']), str(self.trade_template['quantity']), str(self.trade_template['leverage']), str(self.trade_template['side']), str(self.trade_template['timestamp'])))
connection.commit()
finally:
connection.close()
self.trade_template = {'signal_price':0.0, 'fill_price':0.0, 'quantity':0.0, 'leverage':1, 'side':'', 'timestamp':''}
def buy_long(self, ex, pair, ind, pric, risk):
if self.trade:
self.client.chat_postMessage(channel=self.channel, text='BUY:BITMEX:XBTUSD')
self.auth_client_bitmex.Order.Order_cancelAll().result()
if self.short:
if self.ord_type == 'Limit':
print('trying long' + str(pric))
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Limit', execInst='Close', price=pric, timeInForce=self.type).result()
time.sleep(1)
runs = 1
while close[0]['ordStatus'] != 'Filled':
self.auth_client_bitmex.Order.Order_cancelAll().result()
print('trying ' + str(pric-(5-runs*0.5)))
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Limit', execInst='Close', price=pric-(5-runs*0.5), timeInForce=self.type).result()
runs += 1
time.sleep(1)
else:
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Market', execInst='Close').result()
time.sleep(2)
self.short = False
self.trade_template['signal_price'] = pric
self.trade_template['fill_price'] = float(close[0]['price'])
self.trade_template['quantity'] = float(close[0]['orderQty'])
self.trade_template['leverage'] = self.leverage
self.trade_template['side'] = 'close'
self.trade_template['timestamp'] = str(close[0]['timestamp'])
self.db()
new_bal = float(self.auth_client_bitmex.User.User_getMargin().result()[0]['marginBalance'] / 100000000)
try:
self.client.chat_postMessage(channel=self.channel_trades, text='closed short at ' + str(close[0]['price']) + '. profit: $' + str(round((new_bal - self.last_bal) * self.last_risk * float(requests.get("https://www.bitmex.com/api/v1/orderBook/L2?symbol=xbt&depth=1").json()[1]['price']), 3)))
self.last_bal = float(self.auth_client_bitmex.User.User_getMargin().result()[0]['marginBalance'] / 100000000)
except:
pass
bal = self.auth_client_bitmex.User.User_getMargin().result()[0]['availableMargin'] / 100000000
price = float(requests.get("https://www.bitmex.com/api/v1/orderBook/L2?symbol=xbt&depth=1").json()[1]['price'])
order_q = floor(bal * risk * self.leverage * price) - 10
try:
if self.ord_type == 'Limit':
print('trying long: ' + str(pric))
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q, price=pric, timeInForce=self.type).result()
time.sleep(5)
runs = 1
while order[0]['ordStatus'] != 'Filled':
self.auth_client_bitmex.Order.Order_cancelAll().result()
print('trying: ' + str(pric-(runs*0.5)))
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q, price=pric+(runs*0.5), timeInForce=self.type).result()
runs += 1
time.sleep(5)
else:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q).result()
except HTTPServiceUnavailable as e:
self.client.chat_postMessage(channel=self.channel_trades, text='error: ' + str(e) + ' retrying...')
ord = ''
while ord != 'Filled':
time.sleep(0.6)
try:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q).result()
except HTTPServiceUnavailable:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q).result()
ord = order[0]['ordStatus']
except HTTPBadRequest or HTTPTooManyRequests as r:
time.sleep(5)
try:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=order_q-10).result()
except:
self.client.chat_postMessage(channel=self.channel_trades, text='error: ' + str(r) + ' FATAL!!! order not placed')
finally:
self.slips.append(float(abs(ind-float(order[0]['price']))/0.5))
print('bought long on bitmex: ' + str(order[0]['orderQty']) + ' @ ' + str(order[0]['price']), 'slip: $' + str(abs(ind-float(order[0]['price']))), 'ticks: ' + str((ind-float(order[0]['price']))/0.5), 'average tick slip: ' + str(mean(self.slips)))
try:
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='MarketIfTouched', stopPx=floor(price * (1 + self.take_profit / self.leverage) * 0.5) / 0.5, orderQty=-order_q).result()
except HTTPServiceUnavailable:
print('503 retrying...')
time.sleep(0.6)
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='MarketIfTouched', stopPx=floor(price * (1 + self.take_profit / self.leverage) * 0.5) / 0.5, orderQty=-order_q).result()
finally:
#print('placed tp at: ' + str(floor(price * (1 + self.take_profit / self.leverage) * 0.5) / 0.5))
pass
try:
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Stop', stopPx=floor((price - (price * self.stop_loss / self.leverage)) * 0.5) / 0.5, orderQty=-order_q).result()
except HTTPServiceUnavailable:
print('503 retrying...')
time.sleep(0.6)
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Stop', stopPx=floor((price - (price * self.stop_loss / self.leverage)) * 0.5) / 0.5, orderQty=-order_q).result()
finally:
#print('placed sl at: ' + str(floor((price - (price * self.stop_loss / self.leverage)) * 0.5) / 0.5))
pass
if order[0]['ordStatus'] == 'Filled':
self.last_risk = risk
self.client.chat_postMessage(channel=self.channel_trades, text='bought: ' + str(round(float(order[0]['orderQty']) / self.leverage, 3)) + ' XBT with ' + str(self.leverage) + ' X leverage at $' + str(order[0]['price']) + ' risk: ' + str(round(risk, 6)))
self.long = True
self.trade_template['signal_price'] = pric
self.trade_template['fill_price'] = float(order[0]['price'])
self.trade_template['quantity'] = float(order[0]['orderQty'])
self.trade_template['leverage'] = self.leverage
self.trade_template['side'] = 'BUY'
self.trade_template['timestamp'] = str(order[0]['timestamp'])
self.db()
def sell_short(self, ex, pair, ind, pric, risk):
print(str(pric) + '\n')
if self.trade:
self.client.chat_postMessage(channel=self.channel, text='SELL:BITMEX:XBTUSD')
self.auth_client_bitmex.Order.Order_cancelAll().result()
if self.long:
if self.ord_type == 'Limit':
print('trying ' + str(pric))
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Limit', execInst='Close', price=pric).result()
time.sleep(5)
runs = 1
while close[0]['ordStatus'] != 'Filled':
self.auth_client_bitmex.Order.Order_cancelAll().result()
print('trying ' + str(pric+(5-runs*0.5)))
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Limit', execInst='Close', price=pric+(5-runs*0.5), timeInForce=self.type).result()
runs += 1
time.sleep(5)
else:
close = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Market', execInst='Close').result()
time.sleep(1)
self.long = False
self.trade_template['signal_price'] = pric
self.trade_template['fill_price'] = float(close[0]['price'])
self.trade_template['quantity'] = float(close[0]['orderQty'])
self.trade_template['leverage'] = self.leverage
self.trade_template['side'] = 'close'
self.trade_template['timestamp'] = str(close[0]['timestamp'])
self.db()
new_bal = float(self.auth_client_bitmex.User.User_getMargin().result()[0]['marginBalance'] / 100000000)
try:
self.client.chat_postMessage(channel=self.channel_trades, text='closed long at ' + str(close[0]['price']) + '. profit: $' + str(round((new_bal - self.last_bal) * self.last_risk * float(requests.get("https://www.bitmex.com/api/v1/orderBook/L2?symbol=xbt&depth=1").json()[1]['price']), 3)))
self.last_bal = float(self.auth_client_bitmex.User.User_getMargin().result()[0]['marginBalance'] / 100000000)
except:
pass
price = float(requests.get("https://www.bitmex.com/api/v1/orderBook/L2?symbol=xbt&depth=1").json()[1]['price'])
bal = self.auth_client_bitmex.User.User_getMargin().result()[0]['availableMargin'] / 100000000
try:
if self.ord_type == 'Limit':
print('trying... ' + str(pric))
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=-floor(bal * risk * self.leverage * price) + 10, price=pric, timeInForce=self.type).result()
time.sleep(5)
runs = 1
while order[0]['ordStatus'] != 'Filled':
self.auth_client_bitmex.Order.Order_cancelAll().result()
print('trying... ' + str(pric+(runs*0.5)))
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=-floor(bal * risk * self.leverage * price) + 10, price=pric-(runs*0.5), timeInForce=self.type).result()
runs += 1
time.sleep(5)
else:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=-floor(bal * risk * self.leverage * price) + 10).result()
except HTTPServiceUnavailable as e:
print(str(e) + ' retrying...')
self.client.chat_postMessage(channel=self.channel_trades, text='error: ' + str(e) + ' retrying...')
ord = ''
while ord != 'Filled':
time.sleep(0.6)
try:
bal = self.auth_client_bitmex.User.User_getMargin().result()[0]['availableMargin'] / 100000000
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=-floor(bal * risk * self.leverage * price) + 15).result()
except HTTPServiceUnavailable:
order = self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', orderQty=-floor(bal * risk * self.leverage * price) + 15).result()
ord = order[0]['ordStatus']
except HTTPBadRequest or HTTPTooManyRequests as r:
time.sleep(5)
print('short: ' + str(-floor(bal * risk * self.leverage * price) + 15))
self.client.chat_postMessage(channel=self.channel_trades, text='error: ' + str(r) + ' FATAL!!! order not placed')
finally:
self.slips.append(float(abs(ind-float(order[0]['price']))/0.5))
print('sold short on bitmex: ' + str(order[0]['orderQty']) + ' @ ' + str(order[0]['price']), 'slip: $' + str(abs(ind-float(order[0]['price']))), 'ticks: ' + str((ind-float(order[0]['price']))/0.5), 'average tick slip: ' + str(mean(self.slips)))
try:
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='MarketIfTouched', stopPx=floor(price * (1 - self.take_profit / self.leverage) * 0.5) / 0.5, orderQty=floor(bal * self.leverage * price) + 15).result()
except HTTPServiceUnavailable:
print('503 retrying...')
time.sleep(0.6)
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='MarketIfTouched', stopPx=floor(price * (1 - self.take_profit / self.leverage) * 0.5) / 0.5, orderQty=floor(bal * self.leverage * price) + 15).result()
finally:
#print('placed tp at: ' + str(floor(price *(1 - self.take_profit / self.leverage) * 0.5) / 0.5))
pass
try:
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Stop', stopPx=floor((price + (price * self.stop_loss / self.leverage)) * 0.5) / 0.5, orderQty=floor(bal * self.leverage * price) + 15).result()
except HTTPServiceUnavailable:
print('503 retrying...')
time.sleep(0.6)
self.auth_client_bitmex.Order.Order_new(symbol='XBTUSD', ordType='Stop', stopPx=floor((price + (price * self.stop_loss / self.leverage)) * 0.5) / 0.5, orderQty=floor(bal * self.leverage * price) + 15).result()
finally:
#print('placed sl at: ' + str(floor((price + (price *self.stop_loss / self.leverage)) * 0.5) / 0.5))
pass
if order[0]['ordStatus'] == 'Filled':
self.last_risk = risk
self.client.chat_postMessage(channel=self.channel_trades, text='shorted: ' + str(round(float(-order[0]['orderQty']), 3) / self.leverage) + ' XBT with ' + str(self.leverage) + ' X leverage at $' + str(order[0]['price']) + ' risk: ' + str(round(risk, 6)))
self.short = True
self.trade_template['signal_price'] = pric
self.trade_template['fill_price'] = float(order[0]['price'])
self.trade_template['quantity'] = float(order[0]['orderQty'])
self.trade_template['leverage'] = self.leverage
self.trade_template['side'] = 'SELL'
self.trade_template['timestamp'] = str(order[0]['timestamp'])
self.db()
class BinanceTrader():
def __init__(self):
self.binance_api_key = Config.get('Binance', 'api_key')
self.binance_api_secret = Config.get('Binance', 'api_secret')
self.auth_client_binance = binance_client(
self.binance_api_key, self.binance_api_secret)
data = self.auth_client_binance.get_symbol_info('BNBUSDT')['filters']
data = data[5]
self.min_size = data['minQty']
self.max_size = data['maxQty']
self.step = data['stepSize']
def buy_long(self):
balance = float(
self.auth_client_binance.get_asset_balance(asset='USDT')['free'])
if floor(balance / float(requests.get("https://api.binance.com/api/v3/ticker/price?symbol=BNBUSDT").json()['price']) / 0.01) * 0.01 - 0.01 == 0:
print('unable to but must sell first')
else:
print('qty: ' + str(floor(balance / float(requests.get(
"https://api.binance.com/api/v3/ticker/price?symbol=BNBUSDT").json()['price']) / 0.01) * 0.01 - 0.01))
order = self.auth_client_binance.order_market_buy(symbol='BNBUSDT', quantity=floor(
balance / float(requests.get("https://api.binance.com/api/v3/ticker/price?symbol=BNBUSDT").json()['price']) / 0.01) * 0.01 - 0.01)
if order['status'] == 'FILLED':
print('bought ' + str(order['origQty']) +
' at ' + str(order['fills'][0]['price']))
else:
print('not confirmed but bought ' + str(floor(balance / float(requests.get(
"https://api.binance.com/api/v3/ticker/price?symbol=BNBUSDT").json()['price']) / 0.01) * 0.01 - 0.01) + ' at market price')
print('bought BNB on Binance')
def sell_short(self):
if float(self.auth_client_binance.get_asset_balance(asset='BNB')['free']) > 1:
selling_power = floor(
float(self.auth_client_binance.get_asset_balance(asset='BNB')['free']))
elif float(self.auth_client_binance.get_asset_balance(asset='BNB')['free']) > 0.01:
selling_power = floor(float(self.auth_client_binance.get_asset_balance(
asset='BNB')['free']) / 0.01) * 0.01
else:
selling_power = 0
if selling_power != 0:
order = self.auth_client_binance.order_market_sell(
symbol='BNBUSDT', quantity=selling_power)
if order['status'] == 'FILLED':
print('sold ' + str(order['origQty']) +
' at ' + str(order['fills'][0]['price']))
else:
print('not confirmed but sold ' +
str(selling_power) + ' at market price')
else:
print('unable to sell, must buy first')
print('sold BNB on Binance')
class RobinhoodTrader():
def __init__(self):
self.em = Config.get("Robinhood", "email")
self.pas = Config.get("Robinhood", 'password')
r.login(self.em, self.pas)
self.my_stocks = r.build_holdings()
def buy_long(self, stock):
buying_power = float(r.profiles.load_account_profile()[
'margin_balances']['day_trade_buying_power'])
if not self.my_stocks:
try:
qty = floor(buying_power /
float(r.stocks.get_latest_price(stock)[0]))
r.order_buy_market(stock, qty)
print('bought ' + str(qty) + ' : ' + stock)
self.my_stocks = r.build_holdings()
except Exception as e:
print(e)
def sell_short(self, stock):
if self.my_stocks:
try:
for i in self.my_stocks:
if i == stock:
bal = float(i['quantity'])
r.order_sell_market(stock, bal)
print('sold ' + str(bal) + ' : ' + stock)
self.my_stocks = r.build_holdings()
except Exception as e:
print(e)