adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge 47fabf632c into 871b5e17ee

Browse Source
This commit is contained in:
Michael Egger 2017-10-29 19:23:54 +00:00 committed by GitHub
commit eec1311ff9
12 changed files with 110 additions and 63 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
README.md
View File

@ -45,8 +45,8 @@ profit dips below -10% for a given trade. This parameter is optional.
Possible values are `running` or `stopped`. (default=`running`)
If the value is `stopped` the bot has to be started with `/start` first.
`ask_last_balance` sets the bidding price. Value `0.0` will use `ask` price, `1.0` will
use the `last` price and values between those interpolate between ask and last
`bid_ask_balance` sets the bidding price. Value `0.0` will use `bid` price, `1.0` will
use the `ask` price and values between those interpolate between bid and ask
price. Using `ask` price will guarantee quick success in bid, but bot will also
end up paying more then would probably have been necessary.

2
config.json.example
View File

@ -11,7 +11,7 @@
},
"stoploss": -0.40,
"bid_strategy": {
"ask_last_balance": 0.0
"bid_ask_balance": 1.0
},
"exchange": {
"name": "bittrex",

8
freqtrade/exchange/__init__.py
View File

@ -1,6 +1,6 @@
import enum
import logging
from typing import List
from typing import List, Optional, Dict
import arrow
@ -85,10 +85,14 @@ def get_balance(currency: str) -> float:
return EXCHANGE.get_balance(currency)
def get_ticker(pair: str) -> dict:
def get_ticker(pair: str) -> Dict[str, float]:
return EXCHANGE.get_ticker(pair)
def get_orderbook(pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
return EXCHANGE.get_orderbook(pair, top_most)
def get_ticker_history(pair: str, minimum_date: arrow.Arrow):
return EXCHANGE.get_ticker_history(pair, minimum_date)

65
freqtrade/exchange/bittrex.py
View File

@ -1,9 +1,9 @@
import logging
from typing import List, Optional
from typing import List, Optional, Dict
import arrow
import requests
from bittrex.bittrex import Bittrex as _Bittrex
from bittrex.bittrex import Bittrex as _Bittrex, API_V2_0, TICKINTERVAL_FIVEMIN, ORDERTYPE_LIMIT, \
TIMEINEFFECT_GOOD_TIL_CANCELLED
from freqtrade.exchange.interface import Exchange
@ -19,10 +19,9 @@ class Bittrex(Exchange):
"""
# Base URL and API endpoints
BASE_URL: str = 'https://www.bittrex.com'
TICKER_METHOD: str = BASE_URL + '/Api/v2.0/pub/market/GetTicks'
PAIR_DETAIL_METHOD: str = BASE_URL + '/Market/Index'
# Ticker inveral
TICKER_INTERVAL: str = 'fiveMin'
TICKER_INTERVAL: str = TICKINTERVAL_FIVEMIN
# Sleep time to avoid rate limits, used in the main loop
SLEEP_TIME: float = 25
@ -34,19 +33,36 @@ class Bittrex(Exchange):
global _API, _EXCHANGE_CONF
_EXCHANGE_CONF.update(config)
_API = _Bittrex(api_key=_EXCHANGE_CONF['key'], api_secret=_EXCHANGE_CONF['secret'])
_API = _Bittrex(
api_key=_EXCHANGE_CONF['key'],
api_secret=_EXCHANGE_CONF['secret'],
api_version=API_V2_0,
calls_per_second=10,
)
def buy(self, pair: str, rate: float, amount: float) -> str:
data = _API.buy_limit(pair.replace('_', '-'), amount, rate)
data = _API.trade_buy(
market=pair.replace('_', '-'),
order_type=ORDERTYPE_LIMIT,
quantity=amount,
rate=rate,
time_in_effect=TIMEINEFFECT_GOOD_TIL_CANCELLED,
)
if not data['success']:
raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
return data['result']['uuid']
return data['result']['OrderId']
def sell(self, pair: str, rate: float, amount: float) -> str:
data = _API.sell_limit(pair.replace('_', '-'), amount, rate)
data = _API.trade_sell(
market=pair.replace('_', '-'),
order_type=ORDERTYPE_LIMIT,
quantity=amount,
rate=rate,
time_in_effect=TIMEINEFFECT_GOOD_TIL_CANCELLED,
)
if not data['success']:
raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
return data['result']['uuid']
return data['result']['OrderId']
def get_balance(self, currency: str) -> float:
data = _API.get_balance(currency)
@ -54,29 +70,24 @@ class Bittrex(Exchange):
raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
return float(data['result']['Balance'] or 0.0)
def get_ticker(self, pair: str) -> dict:
data = _API.get_ticker(pair.replace('_', '-'))
def get_ticker(self, pair: str) -> Dict[str, float]:
data = self.get_orderbook(pair, top_most=1)
return {
'bid': data['bid'][0]['Rate'],
'ask': data['ask'][0]['Rate'],
}
def get_orderbook(self, pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
data = _API.get_orderbook(pair.replace('_', '-'))
if not data['success']:
raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
return {
'bid': float(data['result']['Bid']),
'ask': float(data['result']['Ask']),
'last': float(data['result']['Last']),
'bid': data['result']['buy'][:top_most],
'ask': data['result']['sell'][:top_most],
}
def get_ticker_history(self, pair: str, minimum_date: Optional[arrow.Arrow] = None):
url = self.TICKER_METHOD
headers = {
# TODO: Set as global setting
'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/61.0.3163.100 Safari/537.36'
}
params = {
'marketName': pair.replace('_', '-'),
'tickInterval': self.TICKER_INTERVAL,
# TODO: Timestamp has no effect on API response
'_': minimum_date.timestamp * 1000
}
data = requests.get(url, params=params, headers=headers).json()
data = _API.get_candles(pair.replace('_', '-'), self.TICKER_INTERVAL)
if not data['success']:
raise RuntimeError('{}: {}'.format(self.name.upper(), data['message']))
return data

31
freqtrade/exchange/interface.py
View File

@ -1,5 +1,5 @@
from abc import ABC, abstractmethod
from typing import List, Optional
from typing import List, Optional, Dict
import arrow
@ -50,14 +50,37 @@ class Exchange(ABC):
"""
@abstractmethod
def get_ticker(self, pair: str) -> dict:
def get_ticker(self, pair: str) -> Dict[str, float]:
"""
Gets ticker for given pair.
:param pair: Pair as str, format: BTC_ETC
:return: dict, format: {
'bid': float,
'ask': float,
'last': float
'ask': float
}
"""
@abstractmethod
def get_orderbook(self, pair: str, top_most: Optional[int] = None) -> Dict[str, List[Dict]]:
"""
Gets orderbook for given pair.
:param pair: Pair as str, format: BTC_ETC
:param top_most: only return n top_most bids/sells (optional)
:return: dict, format: {
'bid': [
{
'Quantity': float,
'Rate': float,
},
...
],
'ask': [
{
'Quantity': float,
'Rate': float,
},
...
]
}
"""

14
freqtrade/main.py
View File

@ -145,11 +145,15 @@ def handle_trade(trade: Trade) -> None:
def get_target_bid(ticker: Dict[str, float]) -> float:
""" Calculates bid target between current ask price and last price """
if ticker['ask'] < ticker['last']:
return ticker['ask']
balance = _CONF['bid_strategy']['ask_last_balance']
return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
"""
Calculates bid target between
bid and ask prices from the given orderbook
:param ticker: ticker data
:return: target bit as float
"""
ask, bid = ticker['ask'], ticker['bid']
balance = _CONF['bid_strategy']['bid_ask_balance']
return bid + balance * (ask - bid)
def create_trade(stake_amount: float) -> Optional[Trade]:

4
freqtrade/misc.py
View File

@ -51,14 +51,14 @@ CONF_SCHEMA = {
'bid_strategy': {
'type': 'object',
'properties': {
'ask_last_balance': {
'bid_ask_balance': {
'type': 'number',
'minimum': 0,
'maximum': 1,
'exclusiveMaximum': False
},
},
'required': ['ask_last_balance']
'required': ['bid_ask_balance']
},
'exchange': {'$ref': '#/definitions/exchange'},
'telegram': {

1
freqtrade/persistence.py
View File

@ -5,7 +5,6 @@ from sqlalchemy import Boolean, Column, DateTime, Float, Integer, String, create
from sqlalchemy.ext.declarative import declarative_base
from sqlalchemy.orm.scoping import scoped_session
from sqlalchemy.orm.session import sessionmaker
from sqlalchemy.types import Enum
from freqtrade import exchange

26
freqtrade/tests/test_main.py
View File

@ -25,7 +25,7 @@ def conf():
"0": 0.02
},
"bid_strategy": {
"ask_last_balance": 0.0
"bid_ask_balance": 1.0
},
"exchange": {
"name": "bittrex",
@ -48,6 +48,7 @@ def conf():
validate(configuration, CONF_SCHEMA)
return configuration
def test_create_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
buy_signal = mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -57,7 +58,6 @@ def test_create_trade(conf, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.07256061,
'ask': 0.072661,
'last': 0.07256061
}),
buy=MagicMock(return_value='mocked_order_id'))
# Save state of current whitelist
@ -82,6 +82,7 @@ def test_create_trade(conf, mocker):
[call('BTC_ETH'), call('BTC_TKN'), call('BTC_TRST'), call('BTC_SWT')]
)
def test_handle_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
@ -90,7 +91,6 @@ def test_handle_trade(conf, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.17256061,
'ask': 0.172661,
'last': 0.17256061
}),
buy=MagicMock(return_value='mocked_order_id'))
trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@ -101,6 +101,7 @@ def test_handle_trade(conf, mocker):
assert trade.close_date is not None
assert trade.open_order_id == 'dry_run'
def test_close_trade(conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
trade = Trade.query.filter(Trade.is_open.is_(True)).first()
@ -113,14 +114,17 @@ def test_close_trade(conf, mocker):
assert closed
assert not trade.is_open
def test_balance_fully_bid_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.0}})
assert get_target_bid({'bid': 10, 'ask': 20}) == 10
def test_balance_fully_ask_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 0.0}})
assert get_target_bid({'ask': 20, 'last': 10}) == 20
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 1.0}})
assert get_target_bid({'bid': 10, 'ask': 20}) == 20
def test_balance_fully_last_side(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
assert get_target_bid({'ask': 20, 'last': 10}) == 10
def test_balance_when_last_bigger_than_ask(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'ask_last_balance': 1.0}})
assert get_target_bid({'ask': 5, 'last': 10}) == 5
def test_balance_half(mocker):
mocker.patch.dict('freqtrade.main._CONF', {'bid_strategy': {'bid_ask_balance': 0.5}})
assert get_target_bid({'bid': 10, 'ask': 20}) == 15

12
freqtrade/tests/test_telegram.py
View File

@ -25,7 +25,7 @@ def conf():
"0": 0.02
},
"bid_strategy": {
"ask_last_balance": 0.0
"bid_ask_balance": 1.0,
},
"exchange": {
"name": "bittrex",
@ -46,6 +46,7 @@ def conf():
validate(configuration, CONF_SCHEMA)
return configuration
@pytest.fixture
def update():
_update = Update(0)
@ -67,7 +68,6 @@ def test_status_handle(conf, update, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.07256061,
'ask': 0.072661,
'last': 0.07256061
}),
buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://')
@ -82,6 +82,7 @@ def test_status_handle(conf, update, mocker):
assert msg_mock.call_count == 2
assert '[BTC_ETH]' in msg_mock.call_args_list[-1][0][0]
def test_profit_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -92,7 +93,6 @@ def test_profit_handle(conf, update, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.07256061,
'ask': 0.072661,
'last': 0.07256061
}),
buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://')
@ -112,6 +112,7 @@ def test_profit_handle(conf, update, mocker):
assert msg_mock.call_count == 2
assert '(100.00%)' in msg_mock.call_args_list[-1][0][0]
def test_forcesell_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -122,7 +123,6 @@ def test_forcesell_handle(conf, update, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.07256061,
'ask': 0.072661,
'last': 0.07256061
}),
buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://')
@ -140,6 +140,7 @@ def test_forcesell_handle(conf, update, mocker):
assert 'Selling [BTC/ETH]' in msg_mock.call_args_list[-1][0][0]
assert '0.072561' in msg_mock.call_args_list[-1][0][0]
def test_performance_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@ -150,7 +151,6 @@ def test_performance_handle(conf, update, mocker):
get_ticker=MagicMock(return_value={
'bid': 0.07256061,
'ask': 0.072661,
'last': 0.07256061
}),
buy=MagicMock(return_value='mocked_order_id'))
init(conf, 'sqlite://')
@ -171,6 +171,7 @@ def test_performance_handle(conf, update, mocker):
assert 'Performance' in msg_mock.call_args_list[-1][0][0]
assert 'BTC_ETH 100.00%' in msg_mock.call_args_list[-1][0][0]
def test_start_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
msg_mock = MagicMock()
@ -184,6 +185,7 @@ def test_start_handle(conf, update, mocker):
assert get_state() == State.RUNNING
assert msg_mock.call_count == 0
def test_stop_handle(conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', conf)
msg_mock = MagicMock()

2
requirements.txt
View File

@ -1,4 +1,4 @@
-e git+https://github.com/ericsomdahl/python-bittrex.git@d7033d0#egg=python-bittrex
-e git+https://github.com/ericsomdahl/python-bittrex.git@0.2.0#egg=python-bittrex
SQLAlchemy==1.1.14
python-telegram-bot==8.1.1
arrow==0.10.0

4
setup.py
View File

@ -15,7 +15,7 @@ setup(name='freqtrade',
setup_requires=['pytest-runner'],
tests_require=['pytest', 'pytest-mock', 'pytest-cov'],
install_requires=[
'python-bittrex==0.1.3',
'python-bittrex==0.2.0',
'SQLAlchemy==1.1.13',
'python-telegram-bot==8.1.1',
'arrow==0.10.0',
@ -29,7 +29,7 @@ setup(name='freqtrade',
'TA-Lib==0.4.10',
],
dependency_links=[
"git+https://github.com/ericsomdahl/python-bittrex.git@d7033d0#egg=python-bittrex-0.1.3"
"git+https://github.com/ericsomdahl/python-bittrex.git@0.2.0#egg=python-bittrex-0.2.0"
],
include_package_data=True,
zip_safe=False,