stable/analyze.py
2017-09-09 19:20:06 +03:00

173 lines
5.6 KiB
Python

import time
from datetime import timedelta
import logging
import arrow
import requests
from pandas.io.json import json_normalize
from pandas import DataFrame
import talib.abstract as ta
logging.basicConfig(level=logging.DEBUG,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
logger = logging.getLogger(__name__)
def get_ticker(pair: str, minimum_date: arrow.Arrow) -> dict:
"""
Request ticker data from Bittrex for a given currency pair
"""
url = 'https://bittrex.com/Api/v2.0/pub/market/GetTicks'
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',
}
params = {
'marketName': pair.replace('_', '-'),
'tickInterval': 'OneMin',
'_': minimum_date.timestamp * 1000
}
data = requests.get(url, params=params, headers=headers).json()
if not data['success']:
raise RuntimeError('BITTREX: {}'.format(data['message']))
return data
def parse_ticker_dataframe(ticker: list, minimum_date: arrow.Arrow) -> DataFrame:
"""
Analyses the trend for the given pair
:param pair: pair as str in format BTC_ETH or BTC-ETH
:return: DataFrame
"""
data = [{
'close': t['C'],
'volume': t['V'],
'open': t['O'],
'high': t['H'],
'low': t['L'],
'date': t['T'],
} for t in sorted(ticker, key=lambda k: k['T']) if arrow.get(t['T']) > minimum_date]
return DataFrame(json_normalize(data))
def populate_indicators(dataframe: DataFrame) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
"""
dataframe['close_30_ema'] = ta.EMA(dataframe, timeperiod=30)
dataframe['close_90_ema'] = ta.EMA(dataframe, timeperiod=90)
dataframe['sar'] = ta.SAR(dataframe, 0.02, 0.2)
# calculate StochRSI
stochrsi = ta.STOCHRSI(dataframe)
dataframe['stochrsi'] = stochrsi['fastd'] # values between 0-100, not 0-1
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macds'] = macd['macdsignal']
dataframe['macdh'] = macd['macdhist']
return dataframe
def populate_trends(dataframe: DataFrame) -> DataFrame:
"""
Populates the trends for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with populated trends
"""
"""
dataframe.loc[
(dataframe['stochrsi'] < 20)
& (dataframe['close_30_ema'] > (1 + 0.0025) * dataframe['close_60_ema']),
'underpriced'
] = 1
"""
dataframe.loc[
(dataframe['stochrsi'] < 20)
& (dataframe['macd'] > dataframe['macds'])
& (dataframe['close'] > dataframe['sar']),
'underpriced'
] = 1
dataframe.loc[dataframe['underpriced'] == 1, 'buy'] = dataframe['close']
return dataframe
def analyze_ticker(pair: str) -> DataFrame:
minimum_date = arrow.now() - timedelta(hours=6)
data = get_ticker(pair, minimum_date)
dataframe = parse_ticker_dataframe(data['result'], minimum_date)
dataframe = populate_indicators(dataframe)
dataframe = populate_trends(dataframe)
return dataframe
def get_buy_signal(pair: str) -> bool:
"""
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 = analyze_ticker(pair)
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
logger.debug('buy_trigger: %s (pair=%s, signal=%s)', latest['date'], pair, signal)
return signal
def plot_dataframe(dataframe: DataFrame, pair: str) -> None:
"""
Plots the given dataframe
:param dataframe: DataFrame
:param pair: pair as str
:return: None
"""
import matplotlib
matplotlib.use("Qt5Agg")
import matplotlib.pyplot as plt
# Three subplots sharing x axe
fig, (ax1, ax2, ax3) = plt.subplots(3, sharex=True)
fig.suptitle(pair, fontsize=14, fontweight='bold')
ax1.plot(dataframe.index.values, dataframe['close'], label='close')
ax1.plot(dataframe.index.values, dataframe['close_30_ema'], label='EMA(30)')
ax1.plot(dataframe.index.values, dataframe['close_90_ema'], label='EMA(90)')
# 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, [80] * len(dataframe.index.values))
ax3.plot(dataframe.index.values, [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.
fig.subplots_adjust(hspace=0)
plt.setp([a.get_xticklabels() for a in fig.axes[:-1]], visible=False)
plt.show()
if __name__ == '__main__':
# Install PYQT5==5.9 manually if you want to test this helper function
while True:
pair = 'BTC_ANT'
#for pair in ['BTC_ANT', 'BTC_ETH', 'BTC_GNT', 'BTC_ETC']:
# get_buy_signal(pair)
plot_dataframe(analyze_ticker(pair), pair)
time.sleep(60)