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v0.0.13

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Eric Meehan
2024-09-22 00:05:32 -04:00
parent 404c8d1e1b
commit 3430b37280
9 changed files with 289 additions and 122 deletions
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146
kraken_bot/KrakenBot.py Normal file
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import krakenex
import logging
import os
import scipy
import time
from pykrakenapi import KrakenAPI
class KrakenBot(KrakenAPI):
class KrakenOrder():
def __init__(self, ordertype, type, pair, userref=None, volume=None, price=None, price2=None, trigger=None, leverage=None,
oflags=None, timeinforce=None, starttm=0, expiretm=0, close_ordertype=None, close_price=None, close_price2=None,
deadline=None, validate=True, otp=None):
self.ordertype = ordertype
self.type = type
self.pair = pair
self.userref = userref
self.volume = volume
self.price = price
self.price2 = price2
self.trigger = trigger
self.leverage = leverage
self.oflags = oflags
self.timeinforce = timeinforce
self.starttm = starttm
self.expiretm = expiretm
self.close_ordertype = close_ordertype
self.close_price = close_price
self.close_price2 = close_price2
self.deadline = deadline
self.validate = validate
self.otp = otp
def __str__(self):
return str({
'ordertype': self.ordertype,
'type': self.type,
'pair': self.pair,
'userref': self.userref,
'volume': self.volume,
'price': self.price,
'price2': self.price2,
'trigger': self.trigger,
'leverage': self.leverage,
'oflags': self.oflags,
'timeinforce': self.timeinforce,
'starttm': self.starttm,
'expiretm': self.expiretm,
'close_ordertype': self.close_ordertype,
'close_price': self.close_price,
'close_price2': self.close_price2,
'deadline': self.deadline,
'validate': self.validate,
'otp': self.otp
})
def __init__(self, token, secret, tier, investment_count, investment_volume):
self.investment_count = investment_count
self.investment_volume = investment_volume
self.log = logging.getLogger(__name__)
self.log.setLevel(
getattr(logging, os.getenv('LOG_LEVEL', 'INFO'), logging.INFO)
)
super().__init__(krakenex.API(token, secret), tier=tier)
self.update()
def _delay_factor(self):
self.log.debug(f"_delay_factor")
time.sleep(self.factor)
self.log.debug(f"Delayed {self.factor} seconds")
def _update_tradable_asset_pairs(self, info=None, pair=None):
self.log.debug(f"update_tradable_asset_pairs: info={info}, pair={pair}")
self._delay_factor()
self.tradable_asset_pairs = self.get_tradable_asset_pairs(info, pair)
def _update_account_balance(self, otp=None):
self.log.debug(f"update_account_balance: otp={otp}")
self._delay_factor()
self.account_balance = self.get_account_balance(otp)
self.log.debug(self.account_balance)
def _update_trade_balance(self, aclass='currency', asset='ZUSD', otp=None):
self.log.debug(f"update_trade_balance: aclass={aclass}, asset={asset}, otp={otp}")
self._delay_factor()
self.trade_balance = self.get_trade_balance(aclass, asset, otp)
self.log.debug(self.trade_balance)
def _get_ohlc_data(self, pair, interval=1, since=None, ascending=False):
self.log.debug(f"get_ohlc_data: pair={pair}, interval={interval}, since={since}, ascending={ascending}")
self._delay_factor()
return self.get_ohlc_data(pair, interval, since, ascending)
def _add_standard_order(self, order):
self.log.debug(f"add_standard_order: order={order}")
self._delay_factor()
order = self.add_standard_order(
order.ordertype, order.type, order.pair, order.userref, order.volume, order.price, order.price2, order.trigger,
order.leverage, order.oflags, order.timeinforce, order.starttm, order.expiretm, order.close_ordertype,
order.close_price, order.close_price2, order.deadline, order.validate, order.otp)
self.log.info(order)
self.update()
def update(self):
self.log.debug(f"update")
self._update_tradable_asset_pairs()
self._update_account_balance()
self._update_trade_balance()
def trade(self, model):
self.log.debug(f"trade")
model.update(
self.tradable_asset_pairs,
{
asset_pair: self._get_ohlc_data(
asset_pair, model.interval, model.since(), model.ascending
) for asset_pair in self.tradable_asset_pairs.index
}
)
for asset in self.account_balance[(self.account_balance.index != 'ZUSD') & (self.account_balance.vol > 0)].index:
market = self.tradable_asset_pairs[
(self.tradable_asset_pairs.base == asset) &
(self.tradable_asset_pairs.quote == 'ZUSD')
].iloc[0]
if market.altname not in model.analysis.index:
self._add_standard_order(self.KrakenOrder(
ordertype = 'market',
type = 'sell',
pair = market.altname,
volume = self.account_balance.loc[asset].vol,
validate = False
))
while ((len(self.account_balance[self.account_balance.vol > 0]) - 1 < self.investment_count) &
(self.account_balance.loc['ZUSD'].vol > self.investment_volume)):
for market in model.analysis.index:
if self.tradable_asset_pairs.loc[market].base not in self.account_balance[self.account_balance.vol > 0].index:
ohlc, last = self._get_ohlc_data(market)
volume = self.investment_volume / ohlc.iloc[-1].close
self._add_standard_order(self.KrakenOrder(
ordertype = 'market',
type = 'buy',
pair = market,
volume = volume,
validate = False
))
break

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kraken_bot/KrakenOrder.py Normal file
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class KrakenOrder():
def __init__(self, ordertype, type, pair, userref=None, volume=None, price=None, price2=None, trigger=None, leverage=None,
oflags=None, timeinforce=None, starttm=0, expiretm=0, closeordertype=None, close_price=None, close_price2=None,
deadline=None, validate=True, otp=None):
self.ordertype = ordertype
self.type = type
self.pair = pair
self.userref = userref
self.volume = volume
self.price = price
self.price2 = price2
self.trigger = trigger
self.leverage = leverage
self.oflags = oflags
self.timeinforce = timeinforce
self.starttm = starttm
self.expiretm = expiretm
self.closeordertype = closeordertype
self.close_price = close_price
self.close_price2 = clowe_price2
self.deadline = deadline
self.validate = validate
self.otp = otp
def __str__(self):
return str({
'ordertype': self.ordertype
'type': self.type
'pair': self.pair
'userref': self.userref
'volume': self.volume
'price': self.price
'price2': self.price2
'trigger': self.trigger
'leverage': self.leverage
'oflags': self.oflags
'timeinforce': self.timeinforce
'starttm': self.starttm
'expiretm': self.expiretm
'closeordertype': self.closeordertype
'close_price': self.close_price
'close_price2': self.clowe_price2
'deadline': self.deadline
'validate': self.validate
'otp': self.otp
})

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kraken_bot/LinearRegression.py Normal file
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import logging
import os
import pandas
from kraken_bot.Model import Model
from scipy.stats import linregress
class LinearRegression(Model):
def __init__(self, r_value_target):
self.r_value_target = r_value_target
self.log = logging.getLogger(__name__)
self.log.setLevel(
getattr(logging, os.getenv('LOG_LEVEL', 'INFO'), logging.INFO)
)
self.analysis = pandas.DataFrame({})
super().__init__(
interval = 1,
ascending = False
)
def _linear_regression_for_ohlc_data(self, ohlc_data):
self.log.debug(f"_linear_regression_for_ohlc_data: ohlc_data=...")
return linregress(ohlc_data['time'].astype(float), ohlc_data['close'].astype(float))
def _filter_asset_pairs(self, tradable_asset_pairs):
self.log.debug(f"_filter_asset_pairs: tradable_asset_pairs=...")
return tradable_asset_pairs[
(tradable_asset_pairs['quote'] == 'ZUSD') &
(tradable_asset_pairs['status'] == 'online')
]
def _filter_regressions(self, regressions):
self.log.debug(f"_filter_regressions: regressions=...")
regressions.columns = ['slope', 'intercept', 'r_value', 'p_value', 'stderr']
return regressions[
(regressions.r_value >= self.r_value_target) &
(regressions.slope > 0)
]
def _order_regressions(self, regressions):
self.log.debug(f"_order_regressions: regressions=...")
return regressions.sort_values(by='slope', ascending=False)
def since(self):
return None
def update(self, tradable_asset_pairs, ohlc_data):
self.log.debug(f"update: tradable_asset_pairs=..., ohlc_data=...")
self.analysis = self._order_regressions(
self._filter_regressions(
pandas.DataFrame({
asset_pair: self._linear_regression_for_ohlc_data(
ohlc_data[asset_pair][0]
) for asset_pair in self._filter_asset_pairs(tradable_asset_pairs).index
}).transpose()
))
self.log.info(f"Completed linear regression analysis of OHLC market data")
self.log.info(self.analysis)

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kraken_bot/Model.py Normal file
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from abc import ABC, abstractmethod
class Model(ABC):
def __init__(self, interval, ascending):
self.interval = interval
self.ascending = ascending
@abstractmethod
def since():
pass
@abstractmethod
def update(self, tradable_asset_pairs, ohlc_data, account_balance, trade_balance):
pass

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kraken_bot/__init__.py Normal file
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