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only respect dataframes younger than 10 minutes

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This commit is contained in:
gcarq 2017-05-25 01:11:35 +02:00
parent b7f2a144e4
commit 4d6897eb70
1 changed files with 24 additions and 11 deletions
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35
analyze.py
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@ -21,7 +21,7 @@ def get_ticker_dataframe(pair):
:param pair: pair as str in format BTC_ETH or BTC-ETH :param pair: pair as str in format BTC_ETH or BTC-ETH
:return: StockDataFrame :return: StockDataFrame
""" """
minimum_date = arrow.now() - timedelta(hours=12) minimum_date = arrow.now() - timedelta(hours=6)
url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks' url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks'
headers = { headers = {
'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/58.0.3029.110 Safari/537.36', 'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/58.0.3029.110 Safari/537.36',
@ -42,12 +42,13 @@ def get_ticker_dataframe(pair):
'high': t['H'], 'high': t['H'],
'low': t['L'], 'low': t['L'],
'date': t['T'], 'date': t['T'],
} for t in data['result'] if arrow.get(t['T']) > minimum_date] } for t in sorted(data['result'], key=lambda k: k['T']) if arrow.get(t['T']) > minimum_date]
dataframe = StockDataFrame(json_normalize(data)) dataframe = StockDataFrame(json_normalize(data))
# calculate StochRSI # calculate StochRSI
rsi = dataframe['rsi_{}'.format(14)] window = 14
rolling = rsi.rolling(window=14, center=False) rsi = dataframe['rsi_{}'.format(window)]
rolling = rsi.rolling(window=window, center=False)
low = rolling.min() low = rolling.min()
high = rolling.max() high = rolling.max()
dataframe['stochrsi'] = (rsi - low) / (high - low) dataframe['stochrsi'] = (rsi - low) / (high - low)
@ -60,9 +61,15 @@ def populate_trends(dataframe):
:param dataframe: StockDataFrame :param dataframe: StockDataFrame
:return: StockDataFrame with populated trends :return: StockDataFrame with populated trends
""" """
"""
dataframe.loc[ dataframe.loc[
(dataframe['stochrsi'] < 0.20) (dataframe['stochrsi'] < 0.20)
& (dataframe['close_60_ema'] > (1 + 0.005) * dataframe['close_120_ema']), & (dataframe['close_30_ema'] > (1 + 0.0025) * dataframe['close_60_ema']),
'underpriced'
] = 1
"""
dataframe.loc[
dataframe['stochrsi'] < 0.20,
'underpriced' 'underpriced'
] = 1 ] = 1
dataframe.loc[dataframe['underpriced'] == 1, 'buy'] = dataframe['close'] dataframe.loc[dataframe['underpriced'] == 1, 'buy'] = dataframe['close']
@ -78,6 +85,12 @@ def get_buy_signal(pair):
dataframe = get_ticker_dataframe(pair) dataframe = get_ticker_dataframe(pair)
dataframe = populate_trends(dataframe) dataframe = populate_trends(dataframe)
latest = dataframe.iloc[-1] latest = dataframe.iloc[-1]
# Check if dataframe is out of date
signal_date = arrow.get(latest['date'])
if signal_date < arrow.now() - timedelta(minutes=10):
return False
signal = latest['underpriced'] == 1 signal = latest['underpriced'] == 1
logger.debug('buy_trigger: {} (pair={}, signal={})'.format(latest['date'], pair, signal)) logger.debug('buy_trigger: {} (pair={}, signal={})'.format(latest['date'], pair, signal))
return signal return signal
@ -122,10 +135,10 @@ def plot_dataframe(dataframe, pair):
if __name__ == '__main__': if __name__ == '__main__':
while True: while True:
pair = 'BTC_ANT' pair = 'BTC_ANT'
#for pair in ['BTC_ANT', 'BTC_ETH', 'BTC_GNT', 'BTC_ETC']: for pair in ['BTC_ANT', 'BTC_ETH', 'BTC_GNT', 'BTC_ETC']:
#get_buy_signal(pair) get_buy_signal(pair)
dataframe = get_ticker_dataframe(pair) #dataframe = get_ticker_dataframe(pair)
dataframe = populate_trends(dataframe) #dataframe = populate_trends(dataframe)
plot_dataframe(dataframe, pair) #plot_dataframe(dataframe, pair)
time.sleep(60) #time.sleep(60)