SvangBot/trading_bot.py at master · themorlock/SvangBot · GitHub

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from datetime import datetime, timedelta
import asyncio
import sys

from ccxt import bitmex

sys.path.append("indicators")
import ichimoku

class Bot:
	def __init__(self, config: dict, logger=None, client=None):
		self._config = config
		self._logger = logger

		self._symbol = config["symbol"]

		self._ichimoku_tenkan_sen_period = config["ichimoku_tenkan_sen_period"]
		self._ichimoku_kijun_sen_period = config["ichimoku_kijun_sen_period"]
		self._ichimoku_senkou_span_b_period = config["ichimoku_senkou_span_b_period"]
		self._ichimoku_displacement_period = config["ichimoku_displacement_period"]
		self._data_period = config["data_period"]

		self._leverage = config["leverage"]
		self._n_multiplier = config["n_multiplier"]

		self._seconds_per_cycle = config["seconds_per_cycle"]

		if client:
			self._client = client
		else:
			self._client = bitmex({
				"test": config["test"],
				"apiKey": config["apiKey"],
				"secret": config["secret"]
			})

	def _get_current_price(self) -> float:
		return [self._client.fetch_ticker(self._symbol)["high"], self._client.fetch_ticker(self._symbol)["close"]]

	def _get_free_balance(self) -> float:
		return self._client.fetch_balance()[self._symbol[:self._symbol.index("/")]]["free"]

	def _ichimoku_calculate_purchase_size(self, hits):
		n = self._n_multiplier
		return self._leverage * ((n**hits) / (1 + n + n**2 + n**3))


	async def start(self):
		previous_ichimokus = []

		current_price = self._get_current_price()

		free_balance = self._get_free_balance()
		usd_free_balance_low = free_balance * current_price[0]
		usd_free_balance_high = free_balance * current_price[1]

		self._logger.info("----------------------------------------")
		self._logger.info("The initial balance is {} BTC.".format(round((((usd_free_balance_low + usd_free_balance_high) / 2) / ((current_price[0] + current_price[1]) / 2)), 6)))

		bulls = 0
		bears = 0

		buy_orders = 0
		sell_orders = 0

		buys = 0
		sells = 0

		buy_order_prices = []
		sell_order_prices = []

		while True:
			current_price = self._get_current_price()
			usd_free_balance_low = self._get_free_balance() * current_price[0]
			usd_free_balance_high = self._get_free_balance() * current_price[1]


			previous_ichimokus.append(ichimoku.get(self._client, self._symbol, self._data_period, self._ichimoku_tenkan_sen_period, self._ichimoku_kijun_sen_period,
									self._ichimoku_senkou_span_b_period, self._ichimoku_displacement_period))

			self._logger.info(previous_ichimokus[len(previous_ichimokus) - 1])

			if len(previous_ichimokus) >= 2:
				ichimoku_signals = ichimoku.signal(previous_ichimokus)

				current_bulls = 0
				current_bears = 0
				for ichimoku_signal in ichimoku_signals:
					signal = ichimoku_signal[1]
					if signal == "Bullish":
						current_bulls += 1
						bulls += 1
					elif signal == "Bearish":
						current_bears += 1
						bears += 1

				signal_names = ""
				for i in range(0, len(ichimoku_signals) - 1):
					signal_names += ichimoku_signals[i][0] + "-" + ichimoku_signals[i][1] + ", "
				if len(ichimoku_signals) > 0:
					signal_names += ichimoku_signals[len(ichimoku_signals) - 1][0] + "-" + ichimoku_signals[len(ichimoku_signals) - 1][1]

				if signal_names != "":
					self._logger.info("The following trends were indentified: {}.".format(signal_names))
				else:
					self._logger.info("No trends were identified.")

				current_buy_position = current_bulls - current_bears
				if current_buy_position > 0 and (len(sell_order_prices) == 0 or current_price[0] < (sum(sell_order_prices) / len(sell_order_prices))):
					current_order_size = int(usd_free_balance_low * self._ichimoku_calculate_purchase_size(abs(current_buy_position)))
					self._logger.info("Buying {} contracts at ${}.".format(current_order_size, current_price[0]))
					try:
						#self._client.create_order(self._symbol, 'limit', amount=(current_order_size + sells), price=current_price)
						#self._client.create_order(symbol=self._symbol, type="limit", amount=(current_order_size + buys), price=current_price)
						#self._client.create_market_buy_order(symbol=self._symbol, amount=(current_order_size + sells))
						self._client.create_limit_buy_order(self._symbol, (current_order_size + sells), current_price[0])
						buy_orders += 1
						self._logger.info("Bought {} contracts at ${}.".format(current_order_size, current_price[0]))
						sell_order_prices = [order_price for order_price in sell_order_prices if order_price > current_price[0]]
						buy_order_prices.append(current_price[0])

						sells = 0
						buys += current_order_size
					except Exception:
						self._logger.info("Order Failed.")
				elif current_buy_position < 0 and (len(buy_order_prices) == 0 or current_price[1] > (sum(buy_order_prices) / len(buy_order_prices))):
					current_order_size = int(usd_free_balance_high * self._ichimoku_calculate_purchase_size(abs(current_buy_position)))
					self._logger.info("Selling {} contracts at ${}.".format(current_order_size, current_price[1]))
					try:
						#self._client.create_order(self._symbol, 'limit', amount=-(current_order_size + sells), price=current_price)
						#self._client.create_order(symbol=self._symbol, type="limit", amount=-(current_order_size + buys), price=current_price)
						#self._client.create_market_sell_order(symbol=self._symbol, amount=(current_order_size + buys))
						self._client.create_limit_sell_order(self._symbol, (current_order_size + sells), current_price[1])
						sell_orders += 1
						self._logger.info("Sold {} contracts at ${}.".format(current_order_size, current_price[1]))
						buy_order_prices = [order_price for order_price in buy_order_prices if order_price < current_price[1]]
						sell_order_prices.append(current_price[1])

						buys = 0
						sells += current_order_size
					except Exception:
						self._logger.info("Order Failed.")
				else:
					self._logger.info("No viable trade present.")

				bulls_to_bears = round((bulls / bears), 2) if bears > 0 else bulls
				self._logger.info("Bulls to Bears ratio is {}.".format(bulls_to_bears))
				buys_to_sells = round((buy_orders / sell_orders), 2) if sell_orders > 0 else buy_orders
				self._logger.info("Actual Buys to Sells ratio is {}.".format(buys_to_sells))
			else:
				self._logger.info("Waiting until enough data is present to make predictions.")

			self._logger.info("----------------------------------------")

			await asyncio.sleep(self._seconds_per_cycle - 1)