v0.0.15
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77bcf19f15
19
app.py
19
app.py
@ -3,23 +3,28 @@ import os
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from kraken_bot.KrakenBot import KrakenBot
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from kraken_bot.LinearRegression import LinearRegression
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from kraken_bot.MyStrategy import MyStrategy
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from dotenv import load_dotenv
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load_dotenv()
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logger = logging.getLogger(__name__)
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model = LinearRegression(
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r_value_target = float(os.getenv('R_VALUE_TARGET'))
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)
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strategy = MyStrategy(
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investment_count = int(os.getenv('INVESTMENT_COUNT')),
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investment_volume = float(os.getenv('INVESTMENT_VOLUME'))
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)
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bot = KrakenBot(
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token = os.getenv('KRAKEN_API_TOKEN'),
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secret = os.getenv('KRAKEN_API_SEC'),
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tier = 'Pro',
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investment_count = int(os.getenv('INVESTMENT_COUNT')),
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investment_volume = float(os.getenv('INVESTMENT_VOLUME'))
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)
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model = LinearRegression(
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r_value_target = float(os.getenv('R_VALUE_TARGET'))
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model = model,
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trading_strategy = strategy
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)
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if __name__ == '__main__':
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bot.update()
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bot.trade(model)
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bot.update(full=True)
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bot.execute()
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@ -7,62 +7,15 @@ import time
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from pykrakenapi import KrakenAPI
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class KrakenBot(KrakenAPI):
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class KrakenOrder():
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def __init__(self, ordertype, type, pair, userref=None, volume=None, price=None, price2=None, trigger=None, leverage=None,
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oflags=None, timeinforce=None, starttm=0, expiretm=0, close_ordertype=None, close_price=None, close_price2=None,
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deadline=None, validate=True, otp=None):
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self.ordertype = ordertype
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self.type = type
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self.pair = pair
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self.userref = userref
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self.volume = volume
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self.price = price
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self.price2 = price2
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self.trigger = trigger
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self.leverage = leverage
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self.oflags = oflags
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self.timeinforce = timeinforce
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self.starttm = starttm
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self.expiretm = expiretm
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self.close_ordertype = close_ordertype
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self.close_price = close_price
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self.close_price2 = close_price2
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self.deadline = deadline
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self.validate = validate
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self.otp = otp
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def __str__(self):
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return str({
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'ordertype': self.ordertype,
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'type': self.type,
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'pair': self.pair,
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'userref': self.userref,
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'volume': self.volume,
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'price': self.price,
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'price2': self.price2,
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'trigger': self.trigger,
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'leverage': self.leverage,
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'oflags': self.oflags,
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'timeinforce': self.timeinforce,
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'starttm': self.starttm,
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'expiretm': self.expiretm,
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'close_ordertype': self.close_ordertype,
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'close_price': self.close_price,
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'close_price2': self.close_price2,
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'deadline': self.deadline,
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'validate': self.validate,
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'otp': self.otp
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})
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def __init__(self, token, secret, tier, investment_count, investment_volume):
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self.investment_count = investment_count
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self.investment_volume = investment_volume
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def __init__(self, token, secret, tier, model, trading_strategy):
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self.model = model
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self.trading_strategy = trading_strategy
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self.log = logging.getLogger(__name__)
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self.log.setLevel(
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getattr(logging, os.getenv('LOG_LEVEL', 'INFO'), logging.INFO)
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)
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super().__init__(krakenex.API(token, secret), tier=tier)
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self.update()
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self.update(full=True)
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def _delay_factor(self):
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self.log.debug(f"_delay_factor")
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@ -74,12 +27,26 @@ class KrakenBot(KrakenAPI):
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self._delay_factor()
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self.tradable_asset_pairs = self.get_tradable_asset_pairs(info, pair)
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def _filter_tradable_asset_pairs(self):
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self.log.debug(f"_filter_tradable_asset_pairs")
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self.tradable_asset_pairs = self.tradable_asset_pairs[
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(self.tradable_asset_pairs.quote == 'ZUSD') &
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(self.tradable_asset_pairs.status == 'online')
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]
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def _update_account_balance(self, otp=None):
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self.log.debug(f"update_account_balance: otp={otp}")
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self.log.debug(f"_update_account_balance: otp={otp}")
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self._delay_factor()
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self.account_balance = self.get_account_balance(otp)
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self.log.debug(self.account_balance)
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def _filter_account_balance(self):
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self.log.debug(f"_filter_account_balance")
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self.account_balance = self.account_balance[
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(self.account_balance.vol > 0)
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]
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self.log.debug(self.account_balance)
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def _update_trade_balance(self, aclass='currency', asset='ZUSD', otp=None):
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self.log.debug(f"update_trade_balance: aclass={aclass}, asset={asset}, otp={otp}")
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self._delay_factor()
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@ -91,6 +58,14 @@ class KrakenBot(KrakenAPI):
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self._delay_factor()
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return self.get_ohlc_data(pair, interval, since, ascending)
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def _update_ohlc_data(self):
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self.log.debug(f"_update_ohlc_data")
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self.ohlc_data = {
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asset_pair: self._get_ohlc_data(
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asset_pair, self.model.interval, self.model.since(), self.model.ascending
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) for asset_pair in self.tradable_asset_pairs.index
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}
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def _add_standard_order(self, order):
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self.log.debug(f"add_standard_order: order={order}")
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self._delay_factor()
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@ -101,46 +76,27 @@ class KrakenBot(KrakenAPI):
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self.log.info(order)
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self.update()
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def update(self):
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self.log.debug(f"update")
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def update(self, full=False):
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self.log.debug(f"update: full={full}")
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self._update_tradable_asset_pairs()
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self._filter_tradable_asset_pairs()
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self._update_account_balance()
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self._filter_account_balance()
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self._update_trade_balance()
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if full:
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self._update_ohlc_data()
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self.model.update(
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self.tradable_asset_pairs,
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self.ohlc_data
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)
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self.trading_strategy.update(
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self.tradable_asset_pairs,
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self.ohlc_data,
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self.model.analysis,
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self.account_balance
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)
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def trade(self, model):
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self.log.debug(f"trade")
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model.update(
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self.tradable_asset_pairs,
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{
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asset_pair: self._get_ohlc_data(
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asset_pair, model.interval, model.since(), model.ascending
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) for asset_pair in self.tradable_asset_pairs.index
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}
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)
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for asset in self.account_balance[(self.account_balance.index != 'ZUSD') & (self.account_balance.vol > 0)].index:
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market = self.tradable_asset_pairs[
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(self.tradable_asset_pairs.base == asset) &
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(self.tradable_asset_pairs.quote == 'ZUSD')
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].iloc[0]
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if market.altname not in model.analysis.index:
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self._add_standard_order(self.KrakenOrder(
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ordertype = 'market',
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type = 'sell',
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pair = market.altname,
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volume = self.account_balance.loc[asset].vol,
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validate = False
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))
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while ((len(self.account_balance[self.account_balance.vol > 0]) - 1 < self.investment_count) &
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(self.account_balance.loc['ZUSD'].vol > self.investment_volume)):
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for market in model.analysis.index:
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if self.tradable_asset_pairs.loc[market].base not in self.account_balance[self.account_balance.vol > 0].index:
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ohlc, last = self._get_ohlc_data(market)
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volume = self.investment_volume / ohlc.iloc[-1].close
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self._add_standard_order(self.KrakenOrder(
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ordertype = 'market',
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type = 'buy',
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pair = market,
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volume = volume,
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validate = False
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))
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break
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def execute(self):
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self.log.debug(f"execute")
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for order in self.trading_strategy.orders:
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self._add_standard_order(order)
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@ -1,6 +1,6 @@
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class KrakenOrder():
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def __init__(self, ordertype, type, pair, userref=None, volume=None, price=None, price2=None, trigger=None, leverage=None,
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oflags=None, timeinforce=None, starttm=0, expiretm=0, closeordertype=None, close_price=None, close_price2=None,
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oflags=None, timeinforce=None, starttm=0, expiretm=0, close_ordertype=None, close_price=None, close_price2=None,
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deadline=None, validate=True, otp=None):
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self.ordertype = ordertype
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self.type = type
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@ -15,32 +15,33 @@ class KrakenOrder():
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self.timeinforce = timeinforce
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self.starttm = starttm
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self.expiretm = expiretm
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self.closeordertype = closeordertype
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self.close_ordertype = close_ordertype
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self.close_price = close_price
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self.close_price2 = clowe_price2
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self.close_price2 = close_price2
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self.deadline = deadline
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self.validate = validate
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self.otp = otp
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def __str__(self):
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return str({
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'ordertype': self.ordertype
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'type': self.type
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'pair': self.pair
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'userref': self.userref
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'volume': self.volume
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'price': self.price
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'price2': self.price2
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'trigger': self.trigger
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'leverage': self.leverage
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'oflags': self.oflags
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'timeinforce': self.timeinforce
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'starttm': self.starttm
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'expiretm': self.expiretm
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'closeordertype': self.closeordertype
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'close_price': self.close_price
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'close_price2': self.clowe_price2
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'deadline': self.deadline
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'validate': self.validate
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'ordertype': self.ordertype,
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'type': self.type,
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'pair': self.pair,
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'userref': self.userref,
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'volume': self.volume,
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'price': self.price,
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'price2': self.price2,
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'trigger': self.trigger,
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'leverage': self.leverage,
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'oflags': self.oflags,
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'timeinforce': self.timeinforce,
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'starttm': self.starttm,
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'expiretm': self.expiretm,
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'close_ordertype': self.close_ordertype,
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'close_price': self.close_price,
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'close_price2': self.close_price2,
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'deadline': self.deadline,
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'validate': self.validate,
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'otp': self.otp
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})
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41
kraken_bot/MyStrategy.py
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41
kraken_bot/MyStrategy.py
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from kraken_bot.TradingStrategy import TradingStrategy
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from kraken_bot.KrakenOrder import KrakenOrder
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class MyStrategy(TradingStrategy):
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def __init__(self, investment_count, investment_volume):
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super().__init__(investment_count, investment_volume)
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def update(self, tradable_asset_pairs, ohlc_data, market_analysis, account_balance):
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self.orders = []
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investment_count = len(account_balance) - 1
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for asset in account_balance[(account_balance.index != 'ZUSD')].index:
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market = tradable_asset_pairs[
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(tradable_asset_pairs.base == asset) &
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(tradable_asset_pairs.quote == 'ZUSD')
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].iloc[0]
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if market.altname not in market_analysis.index:
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self.orders.append(KrakenOrder(
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ordertype = 'market',
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type = 'sell',
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pair = market.altname,
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volume = account_balance.loc[asset].vol,
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validate = False
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))
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investment_count -= 1
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new_investments = []
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while investment_count < self.investment_count:
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for market in market_analysis.index:
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base = tradable_asset_pairs.loc[market].base
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if base not in account_balance.index and base not in new_investments:
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ohlc, last = ohlc_data[market]
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volume = self.investment_volume / ohlc.iloc[-2].close
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self.orders.append(KrakenOrder(
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ordertype = 'market',
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type = 'buy',
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pair = market,
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volume = volume,
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validate = False
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))
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new_investments.append(base)
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investment_count += 1
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break
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12
kraken_bot/TradingStrategy.py
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12
kraken_bot/TradingStrategy.py
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@ -0,0 +1,12 @@
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from abc import ABC, abstractmethod
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from kraken_bot.KrakenOrder import KrakenOrder
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class TradingStrategy(ABC):
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def __init__(self, investment_count, investment_volume):
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self.investment_count = investment_count
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self.investment_volume = investment_volume
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self.orders = []
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@abstractmethod
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def update(self, tradable_asset_pairs, ohlc_data, market_analysis, account_balance):
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pass
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