implement StochRSI buy signal handler

This commit is contained in:
gcarq 2017-05-24 21:52:41 +02:00
parent b37149cf6f
commit 8703f3ebe6
3 changed files with 148 additions and 4 deletions

127
analyze.py Normal file
View File

@ -0,0 +1,127 @@
from datetime import timedelta
import time
import arrow
import matplotlib
import logging
matplotlib.use("Qt5Agg")
import matplotlib.pyplot as plt
import requests
from pandas.io.json import json_normalize
from stockstats import StockDataFrame
logging.basicConfig(level=logging.DEBUG,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
logger = logging.getLogger(__name__)
def get_ticker_dataframe(pair):
"""
Analyses the trend for the given pair
:param pair: pair as str in format BTC_ETH or BTC-ETH
:return: StockDataFrame
"""
minimum_date = arrow.now() - timedelta(hours=2)
url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks'
params = {
'marketName': pair.replace('_', '-'),
'tickInterval': 'OneMin',
'_': minimum_date.timestamp * 1000
}
data = requests.get(url, params).json()
if not data['success']:
raise RuntimeError('BITTREX: {}'.format(data['message']))
data = [{
'close': t['C'],
'volume': t['V'],
'open': t['O'],
'high': t['H'],
'low': t['L'],
'date': t['T'],
} for t in data['result'] if arrow.get(t['T']) > minimum_date]
dataframe = StockDataFrame(json_normalize(data))
# calculate StochRSI
rsi = dataframe['rsi_{}'.format(14)]
rolling = rsi.rolling(window=14, center=False)
low = rolling.min()
high = rolling.max()
dataframe['stochrsi'] = (rsi - low) / (high - low)
return dataframe
def populate_trends(dataframe):
"""
Populates the trends for the given dataframe
:param dataframe: StockDataFrame
:return: StockDataFrame with populated trends
"""
#dataframe.loc[
# (dataframe['stochrsi'] < 0.20)
# & (dataframe['close_12_ema'] <= dataframe['close_26_ema']),
# 'bullish'
#] = 1
dataframe.loc[
(dataframe['stochrsi'] < 0.20), 'underpriced'
] = 1
dataframe.loc[dataframe['underpriced'] == 1, 'buy'] = dataframe['close']
return dataframe
def get_buy_signal(pair):
"""
Calculates a buy signal based on StochRSI indicator
:param pair: pair in format BTC_ANT or BTC-ANT
:return: True if pair is underpriced, False otherwise
"""
dataframe = get_ticker_dataframe(pair)
dataframe = populate_trends(dataframe)
latest = dataframe.iloc[-1]
signal = latest['underpriced'] == 1
logger.debug('buy_trigger: {} (pair={}, signal={})'.format(latest['date'], pair, signal))
return signal
def plot_dataframe(dataframe, pair):
"""
Plots the given dataframe
:param dataframe: StockDataFrame
:param pair: pair as str
:return: None
"""
# Three subplots sharing x axe
f, (ax1, ax2, ax3) = plt.subplots(3, sharex=True)
f.suptitle(pair, fontsize=14, fontweight='bold')
ax1.plot(dataframe.index.values, dataframe['close'], label='close')
ax1.plot(dataframe.index.values, dataframe['close_12_ema'], label='EMA(12)')
ax1.plot(dataframe.index.values, dataframe['close_26_ema'], label='EMA(26)')
# ax1.plot(dataframe.index.values, dataframe['sell'], 'ro', label='sell')
ax1.plot(dataframe.index.values, dataframe['buy'], 'bo', label='buy')
ax1.legend()
ax2.plot(dataframe.index.values, dataframe['macd'], label='MACD')
ax2.plot(dataframe.index.values, dataframe['macds'], label='MACDS')
ax2.plot(dataframe.index.values, dataframe['macdh'], label='MACD Histogram')
ax2.plot(dataframe.index.values, [0] * len(dataframe.index.values))
ax2.legend()
ax3.plot(dataframe.index.values, dataframe['stochrsi'], label='StochRSI')
ax3.plot(dataframe.index.values, [0.80] * len(dataframe.index.values))
ax3.plot(dataframe.index.values, [0.20] * len(dataframe.index.values))
ax3.legend()
# Fine-tune figure; make subplots close to each other and hide x ticks for
# all but bottom plot.
f.subplots_adjust(hspace=0)
plt.setp([a.get_xticklabels() for a in f.axes[:-1]], visible=False)
plt.show()
if __name__ == '__main__':
while True:
pair = 'BTC_ANT'
for pair in ['BTC_ANT', 'BTC_ETH', 'BTC_GNT', 'BTC_ETC']:
get_buy_signal(pair)
time.sleep(60)

17
main.py
View File

@ -11,6 +11,8 @@ from requests import ConnectionError
from wrapt import synchronized
from analyze import get_buy_signal
logging.basicConfig(level=logging.DEBUG,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
logger = logging.getLogger(__name__)
@ -203,9 +205,18 @@ def create_trade(stake_amount: float, exchange):
if not whitelist:
raise ValueError('No pair in whitelist')
# Pick random pair and execute trade
idx = random.randint(0, len(whitelist) - 1)
pair = whitelist[idx]
## Pick random pair and execute trade
#idx = random.randint(0, len(whitelist) - 1)
#pair = whitelist[idx]
pair = None
# Pick pair based on StochRSI buy signals
for p in whitelist:
if get_buy_signal(p):
pair = p
break
else:
raise ValueError('No buy signal from pairs: {}'.format(','.join(whitelist)))
open_rate = api_wrapper.get_ticker(pair)['ask']
amount = stake_amount / open_rate
exchange = exchange

View File

@ -6,3 +6,9 @@ arrow==0.10.0
requests==2.14.2
urllib3==1.20
wrapt==1.10.10
pandas==0.20.1
matplotlib==2.0.0
PYQT5==5.8
scikit-learn==0.18.1
scipy==0.18.1
stockstats==0.2.0