v0.0.3

.gitignore

@@ -1,3 +1,4 @@
 *__pycache__*
 venv/*
 .env
+kraken.key

app.py

@@ -1,81 +1,28 @@
-import numpy
+import krakenex
+import pandas
 
 from dotenv import load_dotenv
-from Kraken import Kraken
+from pykrakenapi import KrakenAPI
-from scipy import stats
+from scipy.stats import linregress
+from time import sleep
 
-load_dotenv()
+k = krakenex.API()
+k.load_key('kraken.key')
+kraken = KrakenAPI(k, tier='Pro')
 
-kraken = Kraken()
+def get_markets_by_asset(asset):
-raw = {
+    tradable_asset_pairs = kraken.get_tradable_asset_pairs()
-        asset: {
+    return tradable_asset_pairs[
-            asset_pair: kraken.ohlc(asset_pair) for asset_pair in kraken.ASSET_PAIRS[asset]
+            ((tradable_asset_pairs['base'] == asset | tradable_asset_pairs['quote'] == asset)
-            } for asset in kraken.ASSETS
+                & (tradable_asset_pairs['status'] == 'online'))
-        }
+            ]
-processed = {
+
-        asset: {
+def get_ohlc_linear_regression(ohlc):
-            asset_pair: {
+    regressions = pandas.DataFrame({
-                'time': numpy.array(
+        'open': linregress(ohlc['time'].astype(float), ohlc['open'].astype(float)),
-                    [int(each[0]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
+        'high': linregress(ohlc['time'].astype(float), ohlc['high'].astype(float)),
-					),
+        'low': linregress(ohlc['time'].astype(float), ohlc['low'].astype(float)),
-                'open': numpy.array(
+        'close': linregress(ohlc['time'].astype(float), ohlc['close'].astype(float))
-                    [float(each[1]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
+        }).transpose()
-					),
+    regressions.columns = ['slope', 'intercept', 'r_value', 'p_value', 'stderr']
-                'high': numpy.array(
+    return regressions
-                    [float(each[2]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
-					),
-                'low': numpy.array(
-                    [float(each[3]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
-					),
-                'close': numpy.array(
-                    [float(each[4]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
-					),
-                'volume': numpy.array(
-                    [float(each[5]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
-					),
-                'count': numpy.array(
-                    [float(each[6]) for each in raw[asset][asset_pair]['result'][kraken.ASSET_PAIRS[asset][asset_pair]]]
-                    )
-                } for asset_pair in kraken.ASSET_PAIRS[asset]
-            } for asset in kraken.ASSETS
-        }
-linregresses = {
-        asset: {
-            asset_pair: {
-                'open': stats.linregress(
-                    processed[asset][asset_pair]['time'],
-                    processed[asset][asset_pair]['open']
-                    ),
-                'high': stats.linregress(
-                    processed[asset][asset_pair]['time'],
-                    processed[asset][asset_pair]['high']
-                    ),
-                'low': stats.linregress(
-                    processed[asset][asset_pair]['time'],
-                    processed[asset][asset_pair]['low']
-                    ),
-                'close': stats.linregress(
-                    processed[asset][asset_pair]['time'],
-                    processed[asset][asset_pair]['close']
-                    )
-                } for asset_pair in kraken.ASSET_PAIRS[asset]
-            } for asset in kraken.ASSETS
-        }
-slopes = {
-        asset: {
-            asset_pair: {
-                'open': linregresses[asset][asset_pair]['open'].slope,
-                'high': linregresses[asset][asset_pair]['high'].slope,
-                'low': linregresses[asset][asset_pair]['low'].slope,
-                'close': linregresses[asset][asset_pair]['close'].slope
-                } for asset_pair in kraken.ASSET_PAIRS[asset]
-            } for asset in kraken.ASSETS
-        }
-averages = {
-        asset: {
-            asset_pair: sum(
-                [slopes[asset][asset_pair][each] for each in slopes[asset][asset_pair]]
-                )/4 for asset_pair in kraken.ASSET_PAIRS[asset]
-            } for asset in kraken.ASSETS
-        }
-print(averages)

pykraken.py

@@ -7,26 +7,6 @@ import time
 import urllib.parse
 
 class Kraken():
-    ASSETS = [
-            'ZUSD',
-            'XETH',
-            'XXBT'
-            ]
-
-    ASSET_PAIRS = {
-            'ZUSD': {
-                'ETHUSD': 'XETHZUSD',
-                'XBTUSD': 'XXBTZUSD'
-                },
-            'XETH': {
-                'ETHUSD': 'XETHZUSD',
-                'ETHXBT': 'XETHXXBT'
-                },
-            'XXBT': {
-                'ETHXBT': 'XETHXXBT',
-                'XBTUSD': 'XXBTZUSD'
-                }
-            }
 
     class Order():
 
@@ -76,12 +56,21 @@ class Kraken():
                 data['userref'] = self.userref
             return data
 
+    class KrakenError(Exception):
+        def __init__(self, message):
+            self.message = message
+
+        def __str__(self):
+            return f'Kraken API Error: {self.message}'
+
+    # Core
     def __init__(self):
         self.api_url = 'https://api.kraken.com/'
         self.api_token = os.getenv('KRAKEN_API_TOKEN')
         self.api_sec = os.getenv('KRAKEN_API_SEC')
+        self.asset_pairs = self.get_asset_pairs()['result']
 
-    def _get_kraken_signature(self, urlpath, data, secret):
+    def _kraken_signature(self, urlpath, data, secret):
         return base64.b64encode(
                 hmac.new(
                     base64.b64decode(secret),
@@ -91,21 +80,52 @@ class Kraken():
                     hashlib.sha512
                     ).digest()).decode()
 
-    def _kraken_request(self, uri_path, data):
+    def _kraken_post(self, uri_path, data):
-        return requests.post(
+        resp = requests.post(
-                (self.api_url + uri_path),
+                f'{self.api_url}{uri_path}',
                 headers = {
                     'API-Key': self.api_sec,
-                    'API-Sign': self._get_kraken_signature(uri_path, data, self.api_sec)
+                    'API-Sign': self._kraken_signature(uri_path, data, self.api_sec)
                     },
                 data=data
                 ).json()
+        for error in resp['error']:
+            raise self.KrakenError(error)
 
+    def _kraken_get(self, uri_path):
+        resp = requests.get(f'{self.api_url}{uri_path}').json()
+        for error in resp['error']:
+            raise self.KrakenError(err)
+        return resp
+
+    # Misc.
+    def get_asset_markets(self, asset):
+        return [
+                each for each in self.asset_pairs if
+                self.asset_pairs[each]['base'] == asset or 
+                self.asset_pairs[each]['quote'] == asset
+                ]
+
+    # Spot market data
+    def get_asset_pairs(self):
+        return _kraken_get('/0/public/AssetPairs')
+
+    def get_ohlc(self, asset_pair):
+        return _kraken_get('/0/public/OHLC?pair={asset_pair}')
+
+    def get_depth(self, asset_pair):
+        return _kraken_get('/0/public/Depth?pair={asset_pair}')
+
+    def get_trades(self, asset_pair):
+        return _kraken_get('/0/public/Trades?pair={asset_pair}')
+
+    def get_spread(self, asset_pair):
+        return _kraken_get('/0/public/Spread?pair={asset_pair}')
+
+    # Account data
     def get_account_balance(self):
-        return self._kraken_request('/0/private/Balance', {'nonce': str(int(1000*time.time()))})
+        return self._kraken_post('/0/private/Balance', {'nonce': str(int(1000*time.time()))})
 
+    # Spot trading
     def add_order(self, order):
-        return self._kraken_request('/0/private/AddOrder', dict(order))
+        return self._kraken_post('/0/private/AddOrder', dict(order))
-
-    def ohlc(self, asset_pair):
-       return requests.get(f'{self.api_url}/0/public/OHLC?pair={asset_pair}').json()

requirements.txt

@@ -1,4 +1,4 @@
-numpy
+krakenex
+pykrakenapi
 python-dotenv
-requests
 scipy