diff --git a/.gitignore b/.gitignore
index d56f78013..6ac3661aa 100644
--- a/.gitignore
+++ b/.gitignore
@@ -242,3 +242,6 @@ Temporary Items
/bot.db
/bot.db-shm
/bot.db-wal
+/var/log/
+/var/strategies/
+nssm.exe
diff --git a/.idea/crypto-trading-bot.iml b/.idea/crypto-trading-bot.iml
index 036ab9d31..fdd8130c5 100644
--- a/.idea/crypto-trading-bot.iml
+++ b/.idea/crypto-trading-bot.iml
@@ -4,10 +4,12 @@
+
+
\ No newline at end of file
diff --git a/.idea/inspectionProfiles/Project_Default.xml b/.idea/inspectionProfiles/Project_Default.xml
deleted file mode 100644
index 03d9549ea..000000000
--- a/.idea/inspectionProfiles/Project_Default.xml
+++ /dev/null
@@ -1,6 +0,0 @@
-
-
-
-
-
-
\ No newline at end of file
diff --git a/.idea/jsLibraryMappings.xml b/.idea/jsLibraryMappings.xml
index ed2bfd88d..e648c01ff 100644
--- a/.idea/jsLibraryMappings.xml
+++ b/.idea/jsLibraryMappings.xml
@@ -1,7 +1,6 @@
-
diff --git a/.idea/modules.xml b/.idea/modules.xml
index d9aa61618..5a1c52738 100644
--- a/.idea/modules.xml
+++ b/.idea/modules.xml
@@ -2,6 +2,7 @@
+
diff --git a/.idea/vcs.xml b/.idea/vcs.xml
index 5ace414d8..8ab975ca3 100644
--- a/.idea/vcs.xml
+++ b/.idea/vcs.xml
@@ -1,6 +1,8 @@
+
+
-
+
\ No newline at end of file
diff --git a/README.md b/README.md
index 07fd5b0aa..d44a8a723 100644
--- a/README.md
+++ b/README.md
@@ -338,6 +338,7 @@ c.symbols = [
symbol: 'ETHUSDT',
exchange: 'binance_futures',
periods: ['1m', '15m', '1h'],
+ feesPerTrade: 0.04,
trade: {
currency_capital: 10,
strategies: [
@@ -369,6 +370,7 @@ Per pair you can set used margin before orders are created; depending on exchang
c.symbols.push({
'symbol': 'BTCUSD',
'exchange': 'bitmex',
+ 'feesPerTrade': 0.05,
'extra': {
'bitmex_leverage': 5,
},
@@ -377,12 +379,24 @@ Per pair you can set used margin before orders are created; depending on exchang
c.symbols.push({
'symbol': 'EOSUSD',
'exchange': 'bybit',
+ 'feesPerTrade': 0.075,
'extra': {
'bybit_leverage': 5,
},
})
```
+### Fees
+
+Fees can be configured on `instance.js` file including the field `feesPerTrade`, it is important to
+mention that prices of fees are for Taker, not for Maker
+
+For example:
+
+Binance futures: has a Maker/Taker 0.0200%/0.0400%.
+
+'feesPerTrade': 0.04,
+
## Tools
### Fill data
diff --git a/instance.js.dist b/instance.js.dist
index 621c0854f..1600a0630 100644
--- a/instance.js.dist
+++ b/instance.js.dist
@@ -94,6 +94,7 @@ c.init = () => {
'periods': ['1m', '15m', '1h'],
'exchange': 'binance',
'state': 'watch',
+ 'feesPerTrade': 0.04,
'watchdogs': [
{
'name': 'stoploss_watch',
@@ -144,6 +145,7 @@ y.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'bitmex',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'extra': {
'bitmex_leverage': 5,
@@ -193,6 +195,7 @@ l.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'bitmex_testnet',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'watchdogs': [
{
@@ -235,6 +238,7 @@ z.forEach((pair) => {
'symbol': pair,
'periods': ['1m', '15m', '1h'],
'exchange': 'binance',
+ 'feesPerTrade': 0.1,
'state': 'watch',
'strategies': [
{
diff --git a/nssm.exe b/nssm.exe
new file mode 100644
index 000000000..6ccfe3cfb
Binary files /dev/null and b/nssm.exe differ
diff --git a/package-lock.json b/package-lock.json
index 259adc27d..f830bba65 100644
--- a/package-lock.json
+++ b/package-lock.json
@@ -1,9637 +1,8 @@
{
"name": "crypto-trading-bot",
"version": "0.0.0",
- "lockfileVersion": 2,
+ "lockfileVersion": 1,
"requires": true,
- "packages": {
- "": {
- "name": "crypto-trading-bot",
- "version": "0.0.0",
- "hasInstallScript": true,
- "license": "MIT",
- "dependencies": {
- "async": "^3.2.0",
- "basic-auth": "^2.0.1",
- "better-queue": "^3.8.10",
- "better-sqlite3": "^5.4.2",
- "bfx-api-node-models": "^1.5.0",
- "binance-api-node": "^0.10.4",
- "bitfinex-api-node": "^5.0.2",
- "bitmex-realtime-api": "^0.4.0",
- "ccxt": "^1.40.1",
- "coinbase-pro": "^0.9.0",
- "colors": "^1.3.2",
- "commander": "^4.1.1",
- "compression": "^1.7.4",
- "cookie-parser": "^1.4.5",
- "express": "^4.16.4",
- "http": "0.0.0",
- "lodash": "^4.17.19",
- "mocha": "^7.1.2",
- "moment": "^2.25.3",
- "nodemailer": "^6.4.6",
- "numbro": "^2.2.0",
- "p-queue": "^6.4.0",
- "patch-package": "^6.2.2",
- "percent": "^2.2.0",
- "queue": "^6.0.1",
- "queue-promise": "^1.3.33",
- "request": "^2.88.2",
- "sendmail": "^1.4.1",
- "talib": "^1.0.5",
- "technicalindicators": "^3.1.0",
- "telegraf": "^3.38.0",
- "ts-node": "^8.10.1",
- "tulind": "^0.8.15",
- "twig": "^1.15.1",
- "typescript": "^3.9.2",
- "winston": "^3.2.1",
- "winston-telegram": "^2.5.0",
- "ws": "^7.3.0",
- "zero-fill": "^2.2.3"
- },
- "devDependencies": {
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- "eslint-config-airbnb": "^18.1.0",
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+ "resolved": "https://registry.npmjs.org/glob/-/glob-3.2.11.tgz",
+ "integrity": "sha1-Spc/Y1uRkPcV0QmH1cAP0oFevj0=",
+ "requires": {
+ "inherits": "2",
+ "minimatch": "0.3"
+ }
+ },
+ "growl": {
+ "version": "1.9.2",
+ "resolved": "https://registry.npmjs.org/growl/-/growl-1.9.2.tgz",
+ "integrity": "sha1-Dqd0NxXbjY3ixe3hd14bRayFwC8="
+ },
+ "lru-cache": {
+ "version": "2.7.3",
+ "resolved": "https://registry.npmjs.org/lru-cache/-/lru-cache-2.7.3.tgz",
+ "integrity": "sha1-bUUk6LlV+V1PW1iFHOId1y+06VI="
+ },
+ "minimatch": {
+ "version": "0.3.0",
+ "resolved": "https://registry.npmjs.org/minimatch/-/minimatch-0.3.0.tgz",
+ "integrity": "sha1-J12O2qxPG7MyZHIInnlJyDlGmd0=",
+ "requires": {
+ "lru-cache": "2",
+ "sigmund": "~1.0.0"
+ }
+ },
+ "minimist": {
+ "version": "0.0.8",
+ "resolved": "https://registry.npmjs.org/minimist/-/minimist-0.0.8.tgz",
+ "integrity": "sha1-hX/Kv8M5fSYluCKCYuhqp6ARsF0="
+ },
+ "mkdirp": {
+ "version": "0.5.1",
+ "resolved": "https://registry.npmjs.org/mkdirp/-/mkdirp-0.5.1.tgz",
+ "integrity": "sha1-MAV0OOrGz3+MR2fzhkjWaX11yQM=",
+ "requires": {
+ "minimist": "0.0.8"
+ }
+ },
+ "mocha": {
+ "version": "2.5.3",
+ "resolved": "https://registry.npmjs.org/mocha/-/mocha-2.5.3.tgz",
+ "integrity": "sha1-FhvlvetJZ3HrmzV0UFC2IrWu/Fg=",
+ "requires": {
+ "commander": "2.3.0",
+ "debug": "2.2.0",
+ "diff": "1.4.0",
+ "escape-string-regexp": "1.0.2",
+ "glob": "3.2.11",
+ "growl": "1.9.2",
+ "jade": "0.26.3",
+ "mkdirp": "0.5.1",
+ "supports-color": "1.2.0",
+ "to-iso-string": "0.0.2"
+ }
+ },
+ "ms": {
+ "version": "0.7.1",
+ "resolved": "https://registry.npmjs.org/ms/-/ms-0.7.1.tgz",
+ "integrity": "sha1-nNE8A62/8ltl7/3nzoZO6VIBcJg="
+ },
+ "supports-color": {
+ "version": "1.2.0",
+ "resolved": "https://registry.npmjs.org/supports-color/-/supports-color-1.2.0.tgz",
+ "integrity": "sha1-/x7R5hFp0Gs88tWI4YixjYhH4X4="
+ }
+ }
+ },
"statuses": {
"version": "1.5.0",
"resolved": "https://registry.npmjs.org/statuses/-/statuses-1.5.0.tgz",
@@ -15920,14 +6971,6 @@
"resolved": "https://registry.npmjs.org/stealthy-require/-/stealthy-require-1.1.1.tgz",
"integrity": "sha1-NbCYdbT/SfJqd35QmzCQoyJr8ks="
},
- "string_decoder": {
- "version": "1.1.1",
- "resolved": "https://registry.npmjs.org/string_decoder/-/string_decoder-1.1.1.tgz",
- "integrity": "sha512-n/ShnvDi6FHbbVfviro+WojiFzv+s8MPMHBczVePfUpDJLwoLT0ht1l4YwBCbi8pJAveEEdnkHyPyTP/mzRfwg==",
- "requires": {
- "safe-buffer": "~5.1.0"
- }
- },
"string-width": {
"version": "2.1.1",
"resolved": "https://registry.npmjs.org/string-width/-/string-width-2.1.1.tgz",
@@ -16178,6 +7221,14 @@
}
}
},
+ "string_decoder": {
+ "version": "1.1.1",
+ "resolved": "https://registry.npmjs.org/string_decoder/-/string_decoder-1.1.1.tgz",
+ "integrity": "sha512-n/ShnvDi6FHbbVfviro+WojiFzv+s8MPMHBczVePfUpDJLwoLT0ht1l4YwBCbi8pJAveEEdnkHyPyTP/mzRfwg==",
+ "requires": {
+ "safe-buffer": "~5.1.0"
+ }
+ },
"strip-ansi": {
"version": "3.0.1",
"resolved": "https://registry.npmjs.org/strip-ansi/-/strip-ansi-3.0.1.tgz",
@@ -16439,6 +7490,11 @@
"os-tmpdir": "~1.0.2"
}
},
+ "to-iso-string": {
+ "version": "0.0.2",
+ "resolved": "https://registry.npmjs.org/to-iso-string/-/to-iso-string-0.0.2.tgz",
+ "integrity": "sha1-TcGeZk38y+Jb2NtQiwDG2hWCVdE="
+ },
"to-object-path": {
"version": "0.3.0",
"resolved": "https://registry.npmjs.org/to-object-path/-/to-object-path-0.3.0.tgz",
@@ -16679,6 +7735,24 @@
"resolved": "https://registry.npmjs.org/ultron/-/ultron-1.1.1.tgz",
"integrity": "sha512-UIEXBNeYmKptWH6z8ZnqTeS8fV74zG0/eRU9VGkpzz+LIJNs8W/zM/L+7ctCkRrgbNnnR0xxw4bKOr0cW0N0Og=="
},
+ "unbox-primitive": {
+ "version": "1.0.1",
+ "resolved": "https://registry.npmjs.org/unbox-primitive/-/unbox-primitive-1.0.1.tgz",
+ "integrity": "sha512-tZU/3NqK3dA5gpE1KtyiJUrEB0lxnGkMFHptJ7q6ewdZ8s12QrODwNbhIJStmJkd1QDXa1NRA8aF2A1zk/Ypyw==",
+ "requires": {
+ "function-bind": "^1.1.1",
+ "has-bigints": "^1.0.1",
+ "has-symbols": "^1.0.2",
+ "which-boxed-primitive": "^1.0.2"
+ },
+ "dependencies": {
+ "has-symbols": {
+ "version": "1.0.2",
+ "resolved": "https://registry.npmjs.org/has-symbols/-/has-symbols-1.0.2.tgz",
+ "integrity": "sha512-chXa79rL/UC2KlX17jo3vRGz0azaWEx5tGqZg5pO3NUyEJVB17dMruQlzCCOfUvElghKcm5194+BCRvi2Rv/Gw=="
+ }
+ }
+ },
"union-value": {
"version": "1.0.1",
"resolved": "https://registry.npmjs.org/union-value/-/union-value-1.0.1.tgz",
@@ -16759,6 +7833,19 @@
"resolved": "https://registry.npmjs.org/use/-/use-3.1.1.tgz",
"integrity": "sha512-cwESVXlO3url9YWlFW/TA9cshCEhtu7IKJ/p5soJ/gGpj7vbvFrAY/eIioQ6Dw23KjZhYgiIo8HOs1nQ2vr/oQ=="
},
+ "util": {
+ "version": "0.12.4",
+ "resolved": "https://registry.npmjs.org/util/-/util-0.12.4.tgz",
+ "integrity": "sha512-bxZ9qtSlGUWSOy9Qa9Xgk11kSslpuZwaxCg4sNIDj6FLucDab2JxnHwyNTCpHMtK1MjoQiWQ6DiUMZYbSrO+Sw==",
+ "requires": {
+ "inherits": "^2.0.3",
+ "is-arguments": "^1.0.4",
+ "is-generator-function": "^1.0.7",
+ "is-typed-array": "^1.1.3",
+ "safe-buffer": "^5.1.2",
+ "which-typed-array": "^1.1.2"
+ }
+ },
"util-deprecate": {
"version": "1.0.2",
"resolved": "https://registry.npmjs.org/util-deprecate/-/util-deprecate-1.0.2.tgz",
@@ -16899,9 +7986,9 @@
}
},
"whatwg-fetch": {
- "version": "3.4.1",
- "resolved": "https://registry.npmjs.org/whatwg-fetch/-/whatwg-fetch-3.4.1.tgz",
- "integrity": "sha512-sofZVzE1wKwO+EYPbWfiwzaKovWiZXf4coEzjGP9b2GBVgQRLQUZ2QcuPpQExGDAW5GItpEm6Tl4OU5mywnAoQ=="
+ "version": "3.6.2",
+ "resolved": "https://registry.npmjs.org/whatwg-fetch/-/whatwg-fetch-3.6.2.tgz",
+ "integrity": "sha512-bJlen0FcuU/0EMLrdbJ7zOnW6ITZLrZMIarMUVmdKtsGvZna8vxKYaexICWPfZ8qwf9fzNq+UEIZrnSaApt6RA=="
},
"which": {
"version": "1.3.1",
@@ -16911,11 +7998,146 @@
"isexe": "^2.0.0"
}
},
+ "which-boxed-primitive": {
+ "version": "1.0.2",
+ "resolved": "https://registry.npmjs.org/which-boxed-primitive/-/which-boxed-primitive-1.0.2.tgz",
+ "integrity": "sha512-bwZdv0AKLpplFY2KZRX6TvyuN7ojjr7lwkg6ml0roIy9YeuSr7JS372qlNW18UQYzgYK9ziGcerWqZOmEn9VNg==",
+ "requires": {
+ "is-bigint": "^1.0.1",
+ "is-boolean-object": "^1.1.0",
+ "is-number-object": "^1.0.4",
+ "is-string": "^1.0.5",
+ "is-symbol": "^1.0.3"
+ }
+ },
"which-module": {
"version": "2.0.0",
"resolved": "https://registry.npmjs.org/which-module/-/which-module-2.0.0.tgz",
"integrity": "sha1-2e8H3Od7mQK4o6j6SzHD4/fm6Ho="
},
+ "which-typed-array": {
+ "version": "1.1.7",
+ "resolved": "https://registry.npmjs.org/which-typed-array/-/which-typed-array-1.1.7.tgz",
+ "integrity": "sha512-vjxaB4nfDqwKI0ws7wZpxIlde1XrLX5uB0ZjpfshgmapJMD7jJWhZI+yToJTqaFByF0eNBcYxbjmCzoRP7CfEw==",
+ "requires": {
+ "available-typed-arrays": "^1.0.5",
+ "call-bind": "^1.0.2",
+ "es-abstract": "^1.18.5",
+ "foreach": "^2.0.5",
+ "has-tostringtag": "^1.0.0",
+ "is-typed-array": "^1.1.7"
+ },
+ "dependencies": {
+ "es-abstract": {
+ "version": "1.19.1",
+ "resolved": "https://registry.npmjs.org/es-abstract/-/es-abstract-1.19.1.tgz",
+ "integrity": "sha512-2vJ6tjA/UfqLm2MPs7jxVybLoB8i1t1Jd9R3kISld20sIxPcTbLuggQOUxeWeAvIUkduv/CfMjuh4WmiXr2v9w==",
+ "requires": {
+ "call-bind": "^1.0.2",
+ "es-to-primitive": "^1.2.1",
+ "function-bind": "^1.1.1",
+ "get-intrinsic": "^1.1.1",
+ "get-symbol-description": "^1.0.0",
+ "has": "^1.0.3",
+ "has-symbols": "^1.0.2",
+ "internal-slot": "^1.0.3",
+ "is-callable": "^1.2.4",
+ "is-negative-zero": "^2.0.1",
+ "is-regex": "^1.1.4",
+ "is-shared-array-buffer": "^1.0.1",
+ "is-string": "^1.0.7",
+ "is-weakref": "^1.0.1",
+ "object-inspect": "^1.11.0",
+ "object-keys": "^1.1.1",
+ "object.assign": "^4.1.2",
+ "string.prototype.trimend": "^1.0.4",
+ "string.prototype.trimstart": "^1.0.4",
+ "unbox-primitive": "^1.0.1"
+ }
+ },
+ "has-symbols": {
+ "version": "1.0.2",
+ "resolved": "https://registry.npmjs.org/has-symbols/-/has-symbols-1.0.2.tgz",
+ "integrity": "sha512-chXa79rL/UC2KlX17jo3vRGz0azaWEx5tGqZg5pO3NUyEJVB17dMruQlzCCOfUvElghKcm5194+BCRvi2Rv/Gw=="
+ },
+ "internal-slot": {
+ "version": "1.0.3",
+ "resolved": "https://registry.npmjs.org/internal-slot/-/internal-slot-1.0.3.tgz",
+ "integrity": "sha512-O0DB1JC/sPyZl7cIo78n5dR7eUSwwpYPiXRhTzNxZVAMUuB8vlnRFyLxdrVToks6XPLVnFfbzaVd5WLjhgg+vA==",
+ "requires": {
+ "get-intrinsic": "^1.1.0",
+ "has": "^1.0.3",
+ "side-channel": "^1.0.4"
+ }
+ },
+ "is-callable": {
+ "version": "1.2.4",
+ "resolved": "https://registry.npmjs.org/is-callable/-/is-callable-1.2.4.tgz",
+ "integrity": "sha512-nsuwtxZfMX67Oryl9LCQ+upnC0Z0BgpwntpS89m1H/TLF0zNfzfLMV/9Wa/6MZsj0acpEjAO0KF1xT6ZdLl95w=="
+ },
+ "is-regex": {
+ "version": "1.1.4",
+ "resolved": "https://registry.npmjs.org/is-regex/-/is-regex-1.1.4.tgz",
+ "integrity": "sha512-kvRdxDsxZjhzUX07ZnLydzS1TU/TJlTUHHY4YLL87e37oUA49DfkLqgy+VjFocowy29cKvcSiu+kIv728jTTVg==",
+ "requires": {
+ "call-bind": "^1.0.2",
+ "has-tostringtag": "^1.0.0"
+ }
+ },
+ "is-string": {
+ "version": "1.0.7",
+ "resolved": "https://registry.npmjs.org/is-string/-/is-string-1.0.7.tgz",
+ "integrity": "sha512-tE2UXzivje6ofPW7l23cjDOMa09gb7xlAqG6jG5ej6uPV32TlWP3NKPigtaGeHNu9fohccRYvIiZMfOOnOYUtg==",
+ "requires": {
+ "has-tostringtag": "^1.0.0"
+ }
+ },
+ "object-inspect": {
+ "version": "1.12.0",
+ "resolved": "https://registry.npmjs.org/object-inspect/-/object-inspect-1.12.0.tgz",
+ "integrity": "sha512-Ho2z80bVIvJloH+YzRmpZVQe87+qASmBUKZDWgx9cu+KDrX2ZDH/3tMy+gXbZETVGs2M8YdxObOh7XAtim9Y0g=="
+ },
+ "object.assign": {
+ "version": "4.1.2",
+ "resolved": "https://registry.npmjs.org/object.assign/-/object.assign-4.1.2.tgz",
+ "integrity": "sha512-ixT2L5THXsApyiUPYKmW+2EHpXXe5Ii3M+f4e+aJFAHao5amFRW6J0OO6c/LU8Be47utCx2GL89hxGB6XSmKuQ==",
+ "requires": {
+ "call-bind": "^1.0.0",
+ "define-properties": "^1.1.3",
+ "has-symbols": "^1.0.1",
+ "object-keys": "^1.1.1"
+ }
+ },
+ "side-channel": {
+ "version": "1.0.4",
+ "resolved": "https://registry.npmjs.org/side-channel/-/side-channel-1.0.4.tgz",
+ "integrity": "sha512-q5XPytqFEIKHkGdiMIrY10mvLRvnQh42/+GoBlFW3b2LXLE2xxJpZFdm94we0BaoV3RwJyGqg5wS7epxTv0Zvw==",
+ "requires": {
+ "call-bind": "^1.0.0",
+ "get-intrinsic": "^1.0.2",
+ "object-inspect": "^1.9.0"
+ }
+ },
+ "string.prototype.trimend": {
+ "version": "1.0.4",
+ "resolved": "https://registry.npmjs.org/string.prototype.trimend/-/string.prototype.trimend-1.0.4.tgz",
+ "integrity": "sha512-y9xCjw1P23Awk8EvTpcyL2NIr1j7wJ39f+k6lvRnSMz+mz9CGz9NYPelDk42kOz6+ql8xjfK8oYzy3jAP5QU5A==",
+ "requires": {
+ "call-bind": "^1.0.2",
+ "define-properties": "^1.1.3"
+ }
+ },
+ "string.prototype.trimstart": {
+ "version": "1.0.4",
+ "resolved": "https://registry.npmjs.org/string.prototype.trimstart/-/string.prototype.trimstart-1.0.4.tgz",
+ "integrity": "sha512-jh6e984OBfvxS50tdY2nRZnoC5/mLFKOREQfw8t5yytkoUsJRNxvI/E39qu1sD0OtWI3OC0XgKSmcWwziwYuZw==",
+ "requires": {
+ "call-bind": "^1.0.2",
+ "define-properties": "^1.1.3"
+ }
+ }
+ }
+ },
"wide-align": {
"version": "1.1.3",
"resolved": "https://registry.npmjs.org/wide-align/-/wide-align-1.1.3.tgz",
@@ -17048,14 +8270,18 @@
"ws": {
"version": "7.3.0",
"resolved": "https://registry.npmjs.org/ws/-/ws-7.3.0.tgz",
- "integrity": "sha512-iFtXzngZVXPGgpTlP1rBqsUK82p9tKqsWRPg5L56egiljujJT3vGAYnHANvFxBieXrTFavhzhxW52jnaWV+w2w==",
- "requires": {}
+ "integrity": "sha512-iFtXzngZVXPGgpTlP1rBqsUK82p9tKqsWRPg5L56egiljujJT3vGAYnHANvFxBieXrTFavhzhxW52jnaWV+w2w=="
},
"x256": {
"version": "0.0.2",
"resolved": "https://registry.npmjs.org/x256/-/x256-0.0.2.tgz",
"integrity": "sha1-ya8Yh296F1gB1WT+cK2egxd4STQ="
},
+ "xml": {
+ "version": "0.0.12",
+ "resolved": "https://registry.npmjs.org/xml/-/xml-0.0.12.tgz",
+ "integrity": "sha1-8Is0cQmRK+AChXhfRvFa2OUKX2c="
+ },
"xml2js": {
"version": "0.4.23",
"resolved": "https://registry.npmjs.org/xml2js/-/xml2js-0.4.23.tgz",
diff --git a/package.json b/package.json
index f08ca5bfa..f583290f8 100644
--- a/package.json
+++ b/package.json
@@ -16,12 +16,13 @@
}
],
"dependencies": {
+ "@elstats/linear-regression": "^1.3.0",
"async": "^3.2.0",
"basic-auth": "^2.0.1",
"better-queue": "^3.8.10",
- "better-sqlite3": "^5.4.2",
+ "better-sqlite3": "^7.4.2",
"bfx-api-node-models": "^1.5.0",
- "binance-api-node": "^0.10.4",
+ "binance-api-node": "^0.11.31",
"bitfinex-api-node": "^5.0.2",
"bitmex-realtime-api": "^0.4.0",
"ccxt": "^1.40.1",
@@ -33,15 +34,19 @@
"express": "^4.16.4",
"http": "0.0.0",
"lodash": "^4.17.19",
+ "ml-regression-simple-linear": "^2.0.3",
"mocha": "^7.1.2",
"moment": "^2.25.3",
+ "node-windows": "^1.0.0-beta.6",
"nodemailer": "^6.4.6",
"numbro": "^2.2.0",
"p-queue": "^6.4.0",
"patch-package": "^6.2.2",
"percent": "^2.2.0",
+ "promise-retry": "^2.0.1",
"queue": "^6.0.1",
"queue-promise": "^1.3.33",
+ "regression": "^2.0.1",
"request": "^2.88.2",
"sendmail": "^1.4.1",
"talib": "^1.0.5",
diff --git a/src/command/backtest.js b/src/command/backtest.js
new file mode 100644
index 000000000..5ec5c65d0
--- /dev/null
+++ b/src/command/backtest.js
@@ -0,0 +1,25 @@
+const services = require('../modules/services');
+
+process.on('message', async msg => {
+ const p = msg.pair.split('.');
+
+ await services.boot(msg.projectDir);
+
+ const results = await services
+ .getBacktest()
+ .getBacktestResult(
+ msg.tickIntervalInMinutes,
+ msg.hours,
+ msg.strategy,
+ msg.candlePeriod,
+ p[0],
+ p[1],
+ msg.options,
+ msg.initialCapital,
+ msg.projectDir
+ );
+
+ process.send({
+ results: results
+ });
+});
diff --git a/src/dict/exchange_position.js b/src/dict/exchange_position.js
index 6d594e8f7..43e797c82 100644
--- a/src/dict/exchange_position.js
+++ b/src/dict/exchange_position.js
@@ -11,7 +11,7 @@ module.exports = class ExchangePosition {
}
getKey() {
- return this._exchange + this._position.symbol;
+ return this._exchange + this._position.getSymbol() + this._position.getSide();
}
getExchange() {
diff --git a/src/dict/position.js b/src/dict/position.js
index e59835737..1162ec07f 100644
--- a/src/dict/position.js
+++ b/src/dict/position.js
@@ -68,6 +68,10 @@ module.exports = class Position {
return this.entry;
}
+ getSide() {
+ return this.side;
+ }
+
getCreatedAt() {
return this.createdAt;
}
diff --git a/src/exchange/binance.js b/src/exchange/binance.js
index 3e5ce65e7..0eadef3cc 100644
--- a/src/exchange/binance.js
+++ b/src/exchange/binance.js
@@ -2,6 +2,10 @@ const BinanceClient = require('binance-api-node').default;
const moment = require('moment');
const _ = require('lodash');
+const querystring = require('querystring');
+const request = require('request');
+const Candlestick = require('../dict/candlestick');
+
const ExchangeCandlestick = require('../dict/exchange_candlestick');
const Ticker = require('../dict/ticker');
const TickerEvent = require('../event/ticker_event');
@@ -30,7 +34,9 @@ module.exports = class Binance {
}
start(config, symbols) {
- this.symbols = symbols;
+ if (this.symbols.length === 0) {
+ this.symbols = symbols;
+ }
const opts = {};
@@ -39,13 +45,19 @@ module.exports = class Binance {
opts.apiSecret = config.secret;
}
- const client = (this.client = BinanceClient(opts));
+ if (this.client === undefined) {
+ this.client = BinanceClient(opts);
+ }
const me = this;
if (config.key && config.secret) {
this.client.ws.user(async event => {
- await this.onWebSocketEvent(event);
+ console.log(`Websocket user event: ${JSON.stringify(event)}`);
+ });
+
+ this.client.ws.user(async event => {
+ console.log(`Websocket user event: ${JSON.stringify(event)}`);
});
// we need balance init; websocket sending only on change
@@ -82,64 +94,66 @@ module.exports = class Binance {
this.logger.info('Binance: Starting as anonymous; no trading possible');
}
- const { eventEmitter } = this;
- symbols.forEach(symbol => {
- // live prices
- client.ws.ticker(symbol.symbol, ticker => {
- eventEmitter.emit(
- 'ticker',
- new TickerEvent(
+ symbols.forEach(symbol => this.setupSymbol(symbol));
+ }
+
+ setupSymbol(symbol) {
+ // live prices
+ this.client.ws.ticker(symbol.symbol, ticker => {
+ this.eventEmitter.emit(
+ 'ticker',
+ new TickerEvent(
+ 'binance',
+ symbol.symbol,
+ (this.tickers[symbol.symbol] = new Ticker(
'binance',
symbol.symbol,
- (this.tickers[symbol.symbol] = new Ticker(
+ moment().format('X'),
+ ticker.bestBid,
+ ticker.bestAsk
+ ))
+ )
+ );
+ });
+
+ symbol.periods.forEach(interval => {
+ // backfill
+ this.queue.add(() => {
+ this.client.candles({ symbol: symbol.symbol, limit: 500, interval: interval }).then(async candles => {
+ const ourCandles = candles.map(candle => {
+ return new ExchangeCandlestick(
'binance',
symbol.symbol,
- moment().format('X'),
- ticker.bestBid,
- ticker.bestAsk
- ))
- )
- );
- });
-
- symbol.periods.forEach(interval => {
- // backfill
- this.queue.add(() => {
- client.candles({ symbol: symbol.symbol, limit: 500, interval: interval }).then(async candles => {
- const ourCandles = candles.map(candle => {
- return new ExchangeCandlestick(
- 'binance',
- symbol.symbol,
- interval,
- Math.round(candle.openTime / 1000),
- candle.open,
- candle.high,
- candle.low,
- candle.close,
- candle.volume
- );
- });
-
- await this.candleImport.insertThrottledCandles(ourCandles);
+ interval,
+ Math.round(candle.openTime / 1000),
+ candle.open,
+ candle.high,
+ candle.low,
+ candle.close,
+ candle.volume
+ );
});
+
+ await this.candleImport.insertThrottledCandles(ourCandles);
});
+ });
- // live candles
- client.ws.candles(symbol.symbol, interval, async candle => {
- const ourCandle = new ExchangeCandlestick(
- 'binance',
- symbol.symbol,
- interval,
- Math.round(candle.startTime / 1000),
- candle.open,
- candle.high,
- candle.low,
- candle.close,
- candle.volume
- );
+ // live candles
+ this.client.ws.candles(symbol.symbol, interval, async candle => {
+ this.logger.debug(`Candle for symbol ${symbol.symbol}, ${interval} received`);
+ const ourCandle = new ExchangeCandlestick(
+ 'binance',
+ symbol.symbol,
+ interval,
+ Math.round(candle.startTime / 1000),
+ candle.open,
+ candle.high,
+ candle.low,
+ candle.close,
+ candle.volume
+ );
- await this.candleImport.insertThrottledCandles([ourCandle]);
- });
+ await this.candleImport.insertThrottledCandles([ourCandle]);
});
});
}
@@ -151,7 +165,14 @@ module.exports = class Binance {
try {
result = await this.client.order(payload);
} catch (e) {
- this.logger.error(`Binance: order create error: ${JSON.stringify(e.code, e.message, order, payload)}`);
+ this.logger.error(
+ `Binance: order create error: ${JSON.stringify(
+ e.code,
+ e.message,
+ order,
+ payload
+ )} on symbol: ${order.getSymbol()} for amount: ${order.getAmount()}`
+ );
if ((e.message && e.message.toLowerCase().includes('insufficient balance')) || (e.code && e.code === -2010)) {
return ExchangeOrder.createRejectedFromOrder(order, `${e.code} - ${e.message}`);
@@ -424,84 +445,88 @@ module.exports = class Binance {
async getPositions() {
const positions = [];
+ if (Object.keys(this.exchangePairs).length > 0) {
+ // get pairs with capital to fake open positions
+ const capitals = {};
+ this.symbols
+ .filter(
+ s =>
+ s.trade &&
+ ((s.trade.capital && s.trade.capital > 0) ||
+ (s.trade.currency_capital && s.trade.currency_capital > 0) ||
+ (s.trade.strategies && s.trade.strategies.length > 0))
+ )
+ .forEach(s => {
+ if (s.trade.capital > 0) {
+ capitals[s.symbol] = s.trade.capital;
+ } else if (s.trade.currency_capital > 0 && this.tickers[s.symbol] && this.tickers[s.symbol].bid) {
+ capitals[s.symbol] = s.trade.currency_capital / this.tickers[s.symbol].bid;
+ } else {
+ capitals[s.symbol] = 0;
+ }
+ });
- // get pairs with capital to fake open positions
- const capitals = {};
- this.symbols
- .filter(
- s =>
- s.trade &&
- ((s.trade.capital && s.trade.capital > 0) ||
- (s.trade.currency_capital && s.trade.currency_capital > 0) ||
- (s.trade.strategies && s.trade.strategies.length > 0))
- )
- .forEach(s => {
- if (s.trade.capital > 0) {
- capitals[s.symbol] = s.trade.capital;
- } else if (s.trade.currency_capital > 0 && this.tickers[s.symbol] && this.tickers[s.symbol].bid) {
- capitals[s.symbol] = s.trade.currency_capital / this.tickers[s.symbol].bid;
- } else {
- capitals[s.symbol] = 0;
- }
- });
+ for (const balance of this.balances) {
+ const { asset } = balance;
- for (const balance of this.balances) {
- const { asset } = balance;
+ const assetPositions = [];
- const assetPositions = [];
+ for (const pair in capitals) {
+ // just a hack to get matching pairs with capital eg: "BTCUSDT" needs a capital of "BTC"
+ // workaround: eg "BTCUPDOWN" is breaking the match
+ if (!pair.startsWith(asset) || pair.startsWith(`${asset}UP`) || pair.startsWith(`${asset}DOWN`)) {
+ continue;
+ }
- for (const pair in capitals) {
- // just a hack to get matching pairs with capital eg: "BTCUSDT" needs a capital of "BTC"
- // workaround: eg "BTCUPDOWN" is breaking the match
- if (!pair.startsWith(asset) || pair.startsWith(`${asset}UP`) || pair.startsWith(`${asset}DOWN`)) {
- continue;
- }
+ // 1% balance left indicate open position
- // 1% balance left indicate open position
- const pairCapital = capitals[pair];
- if (Math.abs(Math.abs(balance.available) / pairCapital) < 0.1) {
- continue;
- }
+ if (capitals[pair] !== 0 && Math.abs(Math.abs(balance.available) / capitals[pair]) < 0.1) {
+ continue;
+ } else if (capitals[pair] === 0 && balance.available <= this.exchangePairs[pair].lot_size) {
+ continue;
+ }
- let entry;
- let createdAt;
+ let entry;
+ let createdAt;
- // try to find a entry price, based on trade history
- const side = balance.available < 0 ? 'short' : 'long';
+ // try to find a entry price, based on trade history
+ const side = balance.available < 0 ? 'short' : 'long';
- const trades = this.trades[pair];
- if (trades && trades.length > 0) {
- const positionEntry = TradesUtil.findPositionEntryFromTrades(trades, Math.abs(balance.available), side);
+ const trades = this.trades[pair];
+ if (trades && trades.length > 0) {
+ const positionEntry = TradesUtil.findPositionEntryFromTrades(trades, Math.abs(balance.available), side);
- if (positionEntry) {
- entry = positionEntry.average_price;
- createdAt = positionEntry.time;
+ if (positionEntry) {
+ entry = positionEntry.average_price;
+ createdAt = positionEntry.time;
+ }
}
- }
- // calculate profit based on the ticker price
- let profit;
- if (entry && this.tickers[pair]) {
- profit = (this.tickers[pair].bid / entry - 1) * 100;
+ // calculate profit based on the ticker price
+ let profit;
+ if (entry && this.tickers[pair]) {
+ profit = (this.tickers[pair].bid / entry - 1) * 100;
- // inverse profit for short
- if (side === 'short') {
- profit *= -1;
+ // inverse profit for short
+ if (side === 'short') {
+ profit *= -1;
+ }
}
- }
- assetPositions.push(Position.create(pair, balance.available, new Date(), createdAt, entry, profit));
- }
+ assetPositions.push(Position.create(pair, balance.available, new Date(), createdAt, entry, profit));
+ }
- if (assetPositions.length > 0) {
- // on multiple pair path orders with latest date wins
- const assetPositionsOrdered = assetPositions.sort(
- // order by latest
- (a, b) =>
- (b.createdAt ? b.createdAt : new Date('1970-01-01')) - (a.createdAt ? a.createdAt : new Date('1970-01-01'))
- );
+ if (assetPositions.length > 0) {
+ // on multiple pair path orders with latest date wins
+ const assetPositionsOrdered = assetPositions.sort(
+ // order by latest
+ (a, b) =>
+ (b.createdAt ? b.createdAt : new Date('1970-01-01')) -
+ (a.createdAt ? a.createdAt : new Date('1970-01-01'))
+ );
- positions.push(assetPositionsOrdered[0]);
+ positions.push(assetPositionsOrdered[0]);
+ }
}
}
@@ -532,7 +557,7 @@ module.exports = class Binance {
return 'binance';
}
- async onWebSocketEvent(event) {
+ async NonWebSocketEvent(event) {
if (event.eventType && event.eventType === 'executionReport' && ('orderStatus' in event || 'orderId' in event)) {
this.logger.debug(`Binance: Got executionReport order event: ${JSON.stringify(event)}`);
@@ -623,6 +648,10 @@ module.exports = class Binance {
});
}
+ getTradeableBalance(currency) {
+ return this.balances.filter(balance => balance.asset === currency).map(balance => balance.available)[0];
+ }
+
/**
* Binance does not have position trading, but we need entry price so fetch them from filled order history
*
@@ -699,7 +728,10 @@ module.exports = class Binance {
};
});
- return { symbol: symbol, orders: orders };
+ return {
+ symbol: symbol,
+ orders: orders
+ };
};
});
@@ -754,4 +786,55 @@ module.exports = class Binance {
isInverseSymbol(symbol) {
return false;
}
+
+ backfill(symbol, period, start) {
+ const symbolUpdated = symbol.replace('PERP', '');
+
+ return new Promise((resolve, reject) => {
+ const query = querystring.stringify({
+ interval: period,
+ symbol: symbolUpdated,
+ limit: 500,
+ startTime: moment(start).valueOf()
+ });
+
+ request(`${this.getBaseUrl()}api/v1/klines?${query}`, { json: true }, (err, res, body) => {
+ if (err) {
+ console.log(`Binance: Candle backfill error: ${String(err)}`);
+ reject();
+ return;
+ }
+
+ if (res.statusCode === 429) {
+ console.log(`Binance: Limit reached: ${String(res.headers)}`);
+ // TODO delay next execution
+ reject();
+ return;
+ }
+
+ if (!Array.isArray(body)) {
+ console.log(`Binance: Candle backfill error: ${JSON.stringify(body)}`);
+ reject();
+ return;
+ }
+
+ resolve(
+ body.map(candle => {
+ return new Candlestick(
+ moment(candle[0]).format('X'),
+ candle[1],
+ candle[2],
+ candle[3],
+ candle[4],
+ candle[5]
+ );
+ })
+ );
+ });
+ });
+ }
+
+ getBaseUrl() {
+ return 'https://api.binance.com/';
+ }
};
diff --git a/src/exchange/binance_futures.js b/src/exchange/binance_futures.js
index 17bf45a9e..66aa964b9 100644
--- a/src/exchange/binance_futures.js
+++ b/src/exchange/binance_futures.js
@@ -28,6 +28,7 @@ module.exports = class BinanceFutures {
this.tickers = {};
this.symbols = [];
this.intervals = [];
+ this.balances = [];
this.ccxtClient = undefined;
}
@@ -123,6 +124,10 @@ module.exports = class BinanceFutures {
setTimeout(async () => {
await me.initPublicWebsocket(symbols);
}, 5000);
+
+ setTimeout(async () => {
+ await me.syncBalances(await ccxtClient.fetchBalance());
+ }, 1000);
} else {
me.logger.info('Binance Futures: Starting as anonymous; no trading possible');
}
@@ -163,6 +168,24 @@ module.exports = class BinanceFutures {
});
}
+ async syncBalances(balances) {
+ if (!balances) {
+ return;
+ }
+
+ this.logger.debug('Binance Futures: Sync balances');
+
+ for (const [key, balance] of Object.entries(balances)) {
+ if (balance !== undefined && balance.free !== undefined && balance.used !== undefined) {
+ this.balances.push({
+ available: parseFloat(balance.free),
+ locked: parseFloat(balance.used),
+ asset: key
+ });
+ }
+ }
+ }
+
/**
* Updates all position; must be a full update not delta. Unknown current non orders are assumed to be closed
*
@@ -209,6 +232,10 @@ module.exports = class BinanceFutures {
return (await this.getPositions()).find(position => position.symbol === symbol);
}
+ getTradeableBalance(currency) {
+ return this.balances.filter(balance => balance.asset === currency).map(balance => balance.available)[0];
+ }
+
calculatePrice(price, symbol) {
return price; // done by ccxt
}
diff --git a/src/exchange/bitfinex.js b/src/exchange/bitfinex.js
index 388db15e0..8e769d0e0 100644
--- a/src/exchange/bitfinex.js
+++ b/src/exchange/bitfinex.js
@@ -410,7 +410,7 @@ module.exports = class Bitfinex {
return false;
}
- getTradableBalance() {
+ getTradeableBalance() {
return this.balanceInfo ? this.balanceInfo.amountNet : undefined;
}
diff --git a/src/exchange/ftx.js b/src/exchange/ftx.js
index 6606a5eda..a6a88bc88 100644
--- a/src/exchange/ftx.js
+++ b/src/exchange/ftx.js
@@ -13,6 +13,7 @@ const ExchangeOrder = require('../dict/exchange_order');
const CcxtExchangeOrder = require('./ccxt/ccxt_exchange_order');
const CcxtUtil = require('./utils/ccxt_util');
+const Order = require('../dict/order');
module.exports = class Ftx {
constructor(eventEmitter, requestClient, candlestickResample, logger, queue, candleImporter) {
diff --git a/src/modules/backfill.js b/src/modules/backfill.js
index 5541ba9af..e2f8a79da 100644
--- a/src/modules/backfill.js
+++ b/src/modules/backfill.js
@@ -9,6 +9,8 @@ module.exports = class Backfill {
}
async backfill(exchangeName, symbol, period, date) {
+ console.log(`Starting backfill for: ${symbol} period: ${period}`);
+
const exchange = this.exchangesIterator.find(e => e.getName() === exchangeName);
if (!exchange) {
throw `Exchange not found: ${exchangeName}`;
diff --git a/src/modules/backtest.js b/src/modules/backtest.js
index 974a4e351..496b57683 100644
--- a/src/modules/backtest.js
+++ b/src/modules/backtest.js
@@ -3,6 +3,8 @@ const _ = require('lodash');
const StrategyManager = require('./strategy/strategy_manager');
const Resample = require('../utils/resample');
const CommonUtil = require('../utils/common_util');
+const SignalResult = require('./strategy/dict/signal_result.js');
+const periodCache = {};
module.exports = class Backtest {
constructor(instances, strategyManager, exchangeCandleCombine, projectDir) {
@@ -44,7 +46,20 @@ module.exports = class Backtest {
});
}
- getBacktestResult(tickIntervalInMinutes, hours, strategy, candlePeriod, exchange, pair, options, initial_capital) {
+ getBacktestResult(
+ tickIntervalInMinutes,
+ hours,
+ strategy,
+ candlePeriod,
+ exchange,
+ pair,
+ options,
+ initialCapital,
+ projectDir
+ ) {
+ if (projectDir) {
+ this.projectDir = projectDir;
+ }
return new Promise(async resolve => {
const start = moment()
.startOf('hour')
@@ -57,7 +72,7 @@ module.exports = class Backtest {
let current = start;
// mock repository for window selection of candles
- const periodCache = {};
+
const prefillWindow = start - Resample.convertPeriodToMinute(candlePeriod) * 200 * 60;
const mockedRepository = {
fetchCombinedCandles: async (mainExchange, symbol, period, exchanges = []) => {
@@ -94,8 +109,17 @@ module.exports = class Backtest {
};
const end = moment().unix();
+ const timeStart = moment().unix();
+ let logIterations = 0;
while (current < end) {
- const strategyManager = new StrategyManager({}, mockedRepository, {}, this.projectDir);
+ logIterations += 1;
+
+ if (logIterations > 1000) {
+ console.log(new Date(current * 1000));
+ logIterations = 0;
+ }
+
+ const strategyManager = new StrategyManager({}, mockedRepository, {}, {}, {}, {}, this.projectDir);
const item = await strategyManager.executeStrategyBacktest(
strategy,
@@ -105,6 +129,7 @@ module.exports = class Backtest {
lastSignal.signal,
lastSignal.price
);
+
item.time = current;
// so change in signal
@@ -124,6 +149,16 @@ module.exports = class Backtest {
lastSignalClosed.signal = undefined;
lastSignalClosed.price = undefined;
+ } else if (currentSignal === 'reverse') {
+ // Set closed
+ lastSignalClosed.signal = lastSignal.signal;
+ lastSignalClosed.price = lastSignal.price;
+
+ lastSignal.signal = lastSignalClosed.signal === 'short' ? 'long' : 'short';
+ lastSignal.price = item.price;
+
+ // Mimic a normal close signal, simplifies implementation
+ item.result.setSignal('close');
} else if (currentSignal === 'close') {
lastSignalClosed.signal = lastSignal.signal;
lastSignalClosed.price = lastSignal.price;
@@ -143,6 +178,17 @@ module.exports = class Backtest {
rows.push(item);
+ // Check if signal was reversed and add a new item
+ if (currentSignal === 'reverse') {
+ // adds extra item including the reverse
+ rows.push({
+ price: item.price,
+ columns: item.columns,
+ result: SignalResult.createSignal(lastSignal.signal, item.result.debug),
+ time: item.time
+ });
+ }
+
current += tickIntervalInMinutes * 60;
}
@@ -186,7 +232,12 @@ module.exports = class Backtest {
};
});
- const backtestSummary = await this.getBacktestSummary(signals, initial_capital);
+ const instance = this.instances.symbols.filter(i => i.symbol === pair && i.exchange === exchange)[0];
+ const fees = instance.feesPerTrade === undefined ? 0 : instance.feesPerTrade;
+
+ console.log(`Took: ${moment().unix() - timeStart} seconds`);
+
+ const backtestSummary = await this.getBacktestSummary(signals, initialCapital, fees);
resolve({
summary: backtestSummary,
rows: rows.slice().reverse(),
@@ -205,10 +256,10 @@ module.exports = class Backtest {
});
}
- getBacktestSummary(signals, initial_capital) {
- return new Promise(async resolve => {
- const initialCapital = Number(initial_capital); // 1000 $ Initial Capital
- let workingCapital = initialCapital; // Capital that changes after every trade
+ getBacktestSummary(signals, initialCapital, feesPerTrade) {
+ return new Promise(resolve => {
+ const initialCapitalNumber = Number(initialCapital); // 1000 $ Initial Capital
+ let workingCapital = initialCapitalNumber; // Capital that changes after every trade
let lastPosition; // Holds Info about last action
@@ -221,62 +272,75 @@ module.exports = class Backtest {
profitabilityPercent: 0 // Percentage Of Trades that were profitable
};
- let cumulativePNLPercent = 0; // Sum of all the PNL Percentages
+ let cumulativePnlPercent = 0; // Sum of all the PNL Percentages
+ let cumulativePnlShorts = 0;
+ let cumulativePnlLongs = 0;
+ let cumulativeNetFees = 0;
const pnlRateArray = []; // Array of all PNL Percentages of all the trades
-
// Iterate over all the signals
for (let s = 0; s < signals.length; s++) {
const signalObject = signals[s];
- const signalType = signalObject.result._signal; // Can be long,short,close
+ const signalType = signalObject.result.getSignal(); // Can be long,short,close
// When a trade is closed
- if (signalType == 'close') {
+ if (signalType === 'close') {
// Increment the total trades counter
trades.total += 1;
// Entry Position Details
- const entrySignalType = lastPosition.result._signal; // Long or Short
- const entryPrice = lastPosition.price; // Price during the trade entry
- const tradedQuantity = Number((workingCapital / entryPrice)); // Quantity
-
- // Exit Details
- const exitPrice = signalObject.price; // Price during trade exit
- const exitValue = Number((tradedQuantity * exitPrice).toFixed(2)); // Price * Quantity
-
- // Trade Details
- let pnlValue = 0; // Profit or Loss Value
-
- // When the position is Long
- if (entrySignalType == 'long') {
- if (exitPrice > entryPrice) {
- // Long Trade is Profitable
- trades.profitableCount += 1;
+ const entrySignalType = lastPosition ? lastPosition.result.getSignal() : undefined; // Long or Short
+
+ if (entrySignalType) {
+ const entryPrice = lastPosition.price; // Price during the trade entry
+ const tradedQuantity = Number(workingCapital / entryPrice); // Quantity
+ const entryValue = Number((tradedQuantity * entryPrice).toFixed(2)); // Price * Quantity
+ const entryFee = (entryValue * feesPerTrade) / 100;
+ // Exit Details
+ const exitPrice = signalObject.price; // Price during trade exit
+ const exitValue = Number((tradedQuantity * exitPrice).toFixed(2)); // Price * Quantity
+ const exitFee = (exitValue * feesPerTrade) / 100;
+
+ const totalFee = entryFee + exitFee;
+ cumulativeNetFees += totalFee;
+
+ // Trade Details
+ let pnlValue = 0; // Profit or Loss Value
+
+ // When the position is Long
+ if (entrySignalType === 'long') {
+ if (exitValue - totalFee > entryValue) {
+ // Long Trade is Profitable
+ trades.profitableCount += 1;
+ }
+
+ // Set the PNL
+ pnlValue = exitValue - totalFee - workingCapital;
+ cumulativePnlLongs += pnlValue;
+ } else if (entrySignalType === 'short') {
+ if (exitValue - totalFee < entryValue) {
+ // Short Trade is Profitable
+ trades.profitableCount += 1;
+ }
+
+ // Set the PNL
+ pnlValue = -(exitValue - totalFee - workingCapital);
+ cumulativePnlShorts += pnlValue;
}
- // Set the PNL
- pnlValue = exitValue - workingCapital;
- } else if (entrySignalType == 'short') {
- if (exitPrice < entryPrice) {
- // Short Trade is Profitable
- trades.profitableCount += 1;
- }
-
- // Set the PNL
- pnlValue = -(exitValue - workingCapital);
- }
+ // Percentage Return
+ // const pnlPercent = Number(((pnlValue / workingCapital) * 100).toFixed(2));
+ const pnlPercent = (pnlValue / workingCapital) * 100;
- // Percentage Return
- const pnlPercent = Number(((pnlValue / workingCapital) * 100).toFixed(2));
+ // Summation of Percentage Return
+ cumulativePnlPercent += pnlPercent;
- // Summation of Percentage Return
- cumulativePNLPercent += pnlPercent;
+ // Maintaining the Percentage array
+ pnlRateArray.push(pnlPercent);
- // Maintaining the Percentage array
- pnlRateArray.push(pnlPercent);
-
- // Update Working Cap
- workingCapital += pnlValue;
- } else if (signalType == 'long' || signalType == 'short') {
+ // Update Working Cap
+ workingCapital += pnlValue;
+ }
+ } else if (signalType === 'long' || signalType === 'short') {
// Enter into a position
lastPosition = signalObject;
}
@@ -288,7 +352,7 @@ module.exports = class Backtest {
// Calculating the Sharpe Ratio ----------------------------------------------------------
// Average PNL Percent
- averagePNLPercent = Number((cumulativePNLPercent / trades.total).toFixed(2));
+ averagePNLPercent = Number((cumulativePnlPercent / trades.total).toFixed(2));
// Initialize Sum of Mean Square Differences
let msdSum = 0;
@@ -309,7 +373,7 @@ module.exports = class Backtest {
// -- End of Sharpe Ratio Calculation
// Net Profit
- const netProfit = Number((((workingCapital - initialCapital) / initialCapital) * 100).toFixed(2));
+ const netProfit = Number((((workingCapital - initialCapitalNumber) / initialCapitalNumber) * 100).toFixed(2));
trades.profitabilityPercent = Number(((trades.profitableCount * 100) / trades.total).toFixed(2));
@@ -317,7 +381,11 @@ module.exports = class Backtest {
sharpeRatio: sharpeRatio,
averagePNLPercent: averagePNLPercent,
netProfit: netProfit,
- initialCapital: initialCapital,
+ cumulativePnlLongs: Number(cumulativePnlLongs).toFixed(2),
+ cumulativePnlShorts: Number(cumulativePnlShorts).toFixed(2),
+ netFees: cumulativeNetFees,
+ initialCapital: initialCapitalNumber,
+ // Fix fee on final capital
finalCapital: Number(workingCapital.toFixed(2)),
trades: trades
};
diff --git a/src/modules/http.js b/src/modules/http.js
index c176b1053..aff73594b 100644
--- a/src/modules/http.js
+++ b/src/modules/http.js
@@ -5,8 +5,12 @@ const auth = require('basic-auth');
const cookieParser = require('cookie-parser');
const crypto = require('crypto');
const moment = require('moment');
+const { fork } = require('child_process');
const OrderUtil = require('../utils/order_util');
+const backtestPendingPairs = {};
+const backtestResults = {};
+
module.exports = class Http {
constructor(
systemUtil,
@@ -92,7 +96,13 @@ module.exports = class Http {
strict_variables: false
});
- app.use(express.urlencoded({ limit: '12mb', extended: true, parameterLimit: 50000 }));
+ app.use(
+ express.urlencoded({
+ limit: '12mb',
+ extended: true,
+ parameterLimit: 50000
+ })
+ );
app.use(cookieParser());
app.use(compression());
app.use(express.static(`${this.projectDir}/web/static`, { maxAge: 3600000 * 24 }));
@@ -136,29 +146,53 @@ module.exports = class Http {
pairs = [pairs];
}
- const asyncs = pairs.map(pair => {
- return async () => {
- const p = pair.split('.');
+ const key = moment().unix();
+
+ backtestPendingPairs[key] = [];
+ backtestResults[key] = [];
+
+ pairs.forEach(pair => {
+ backtestPendingPairs[key].push(pair);
+
+ const forked = fork('src/command/backtest.js');
- return {
+ forked.send({
+ pair,
+ tickIntervalInMinutes: parseInt(req.body.ticker_interval, 10),
+ hours: req.body.hours,
+ strategy: req.body.strategy,
+ candlePeriod: req.body.candle_period,
+ options: req.body.options ? JSON.parse(req.body.options) : {},
+ initialCapital: req.body.initial_capital,
+ projectDir: this.projectDir
+ });
+
+ forked.on('message', msg => {
+ backtestPendingPairs[key].splice(backtestPendingPairs[key].indexOf(pair), 1);
+ backtestResults[key].push({
pair: pair,
- result: await this.backtest.getBacktestResult(
- parseInt(req.body.ticker_interval, 10),
- req.body.hours,
- req.body.strategy,
- req.body.candle_period,
- p[0],
- p[1],
- req.body.options ? JSON.parse(req.body.options) : {},
- req.body.initial_capital
- )
- };
- };
+ result: msg.results
+ });
+ console.log(`Backtest: ${key} ready`);
+ });
});
- const backtests = await Promise.all(asyncs.map(fn => fn()));
+ res.render('../templates/backtest-pending-results.html.twig', {
+ key: key
+ });
+ });
+
+ app.get('/backtest/:backtestKey', async (req, res) => {
+ res.send({
+ ready:
+ backtestPendingPairs[req.params.backtestKey] === undefined
+ ? false
+ : backtestPendingPairs[req.params.backtestKey].length === 0
+ });
+ });
- // single details view
+ app.get('/backtest/result/:backtestKey', (req, res) => {
+ const backtests = backtestResults[req.params.backtestKey];
if (backtests.length === 1) {
res.render('../templates/backtest_submit.html.twig', backtests[0].result);
return;
@@ -178,7 +212,7 @@ module.exports = class Http {
app.get('/signals', async (req, res) => {
res.render('../templates/signals.html.twig', {
- signals: await this.signalHttp.getSignals(Math.floor(Date.now() / 1000) - 60 * 60 * 48)
+ signals: await this.signalHttp.getSignals(Math.floor(Date.now() / 1000) - 60 * 60 * 168)
});
});
diff --git a/src/modules/listener/exchange_order_watchdog_listener.js b/src/modules/listener/exchange_order_watchdog_listener.js
index 9c3b80214..49e346fa5 100644
--- a/src/modules/listener/exchange_order_watchdog_listener.js
+++ b/src/modules/listener/exchange_order_watchdog_listener.js
@@ -115,7 +115,7 @@ module.exports = class ExchangeOrderWatchdogListener {
const orders = await exchange.getOrdersForSymbol(position.getSymbol());
const orderChanges = orderUtil.syncStopLossOrder(position, orders);
- orderChanges.forEach(async orderChange => {
+ for (const orderChange of orderChanges) {
logger.info(
`Stoploss update: ${JSON.stringify({
order: orderChange,
@@ -142,20 +142,20 @@ module.exports = class ExchangeOrderWatchdogListener {
);
}
- return;
+ continue;
}
// create
- let price = stopLossCalculator.calculateForOpenPosition(exchange.getName(), position, stopLoss);
+ let price = await stopLossCalculator.calculateForOpenPosition(exchange.getName(), position, stopLoss);
if (!price) {
console.log('Stop loss: auto price skipping');
- return;
+ continue;
}
price = exchange.calculatePrice(price, position.getSymbol());
if (!price) {
console.log('Stop loss: auto price skipping');
- return;
+ continue;
}
const order = Order.createStopLossOrder(position.getSymbol(), price, orderChange.amount);
@@ -170,7 +170,7 @@ module.exports = class ExchangeOrderWatchdogListener {
})}`
);
}
- });
+ }
}
async riskRewardRatioWatchdog(exchange, position, riskRewardRatioOptions) {
diff --git a/src/modules/listener/tick_listener.js b/src/modules/listener/tick_listener.js
index e74dd4c63..ffbe4ca29 100644
--- a/src/modules/listener/tick_listener.js
+++ b/src/modules/listener/tick_listener.js
@@ -4,6 +4,8 @@ const StrategyContext = require('../../dict/strategy_context');
const Order = require('../../dict/order');
const OrderCapital = require('../../dict/order_capital');
+const tradeLastSignal = {};
+
module.exports = class TickListener {
constructor(
tickers,
@@ -70,7 +72,7 @@ module.exports = class TickListener {
}
const signalWindow = moment()
- .subtract(30, 'minutes')
+ .subtract(120, 'minutes')
.toDate();
if (
@@ -80,7 +82,11 @@ module.exports = class TickListener {
// console.log('blocked')
} else {
this.notified[symbol.exchange + symbol.symbol + strategyKey] = new Date();
- this.notifier.send(`[${signal} (${strategyKey})` + `] ${symbol.exchange}:${symbol.symbol} - ${ticker.ask}`);
+ const debugMessage = this.getResultDebugMessage(strategy.options);
+ this.notifier.send(
+ `[${signal} (${strategyKey})] ${symbol.exchange}:${symbol.symbol} - ${ticker.ask} -
+ Details: ${JSON.stringify(result.getDebug())}`
+ );
// log signal
this.signalLogger.signal(
@@ -107,10 +113,12 @@ module.exports = class TickListener {
const strategyKey = strategy.strategy;
- let context = StrategyContext.create(strategy.options, ticker);
+ const lastSignalKey = strategyKey + symbol.exchange + symbol.symbol;
+
+ let context = StrategyContext.create(strategy.options, ticker, false);
const position = await this.exchangeManager.getPosition(symbol.exchange, symbol.symbol);
if (position) {
- context = StrategyContext.createFromPosition(strategy.options, ticker, position);
+ context = StrategyContext.createFromPosition(strategy.options, ticker, position, false);
}
const result = await this.strategyManager.executeStrategy(
@@ -131,17 +139,38 @@ module.exports = class TickListener {
await this.placeStrategyOrders(placedOrder, symbol);
}
- const signal = result.getSignal();
+ let signal = result.getSignal();
if (!signal || typeof signal === 'undefined') {
return;
}
- if (!['close', 'short', 'long'].includes(signal)) {
+ if (!['close', 'short', 'long', 'reverse'].includes(signal)) {
throw Error(`Invalid signal: ${JSON.stringify(signal, strategy)}`);
}
+ // First update the signal for cases where it's not reverse
+ tradeLastSignal[lastSignalKey] = signal;
+
+ let isReverse = false;
+ let nextSignal;
+
+ if (signal === 'reverse') {
+ isReverse = true;
+
+ const lastSignal = tradeLastSignal[lastSignalKey];
+
+ if (lastSignal !== undefined) {
+ nextSignal = lastSignal === 'short' ? 'long' : 'short';
+ // This signal is a close
+ signal = 'close';
+ result.emptyPlaceOrder();
+ // Override it for the next reversal if any.
+ tradeLastSignal[lastSignalKey] = nextSignal;
+ }
+ }
+
const signalWindow = moment()
- .subtract(_.get(symbol, 'trade.signal_slowdown_minutes', 15), 'minutes')
+ .subtract(_.get(symbol, 'trade.signal_slowdown_minutes', strategy.options.trade_signal_slowdown || 15), 'minutes')
.toDate();
const noteKey = symbol.exchange + symbol.symbol;
@@ -153,7 +182,12 @@ module.exports = class TickListener {
this.logger.info(
[new Date().toISOString(), signal, strategyKey, symbol.exchange, symbol.symbol, ticker.ask].join(' ')
);
- this.notifier.send(`[${signal} (${strategyKey})] ${symbol.exchange}:${symbol.symbol} - ${ticker.ask}`);
+
+ const debugMessage = this.getResultDebugMessage(strategy.options);
+ this.notifier.send(
+ `[${signal} (${strategyKey})] ${symbol.exchange}:${symbol.symbol} - ${ticker.ask} ${debugMessage}`
+ );
+
this.signalLogger.signal(
symbol.exchange,
symbol.symbol,
@@ -168,6 +202,14 @@ module.exports = class TickListener {
this.notified[noteKey] = new Date();
await this.pairStateManager.update(symbol.exchange, symbol.symbol, signal);
+
+ if (isReverse) {
+ await this.pairStateManager.update(symbol.exchange, symbol.symbol, nextSignal);
+
+ this.notifier.send(
+ `[${nextSignal} (${strategyKey})] ${symbol.exchange}:${symbol.symbol} - ${ticker.ask} ${debugMessage}`
+ );
+ }
}
async placeStrategyOrders(placedOrder, symbol) {
@@ -299,4 +341,8 @@ module.exports = class TickListener {
const number = Math.ceil(new Date().getTime() / interval) * interval;
return new Date(number).getTime() - new Date().getTime();
}
+
+ getResultDebugMessage(result) {
+ return result && result.message ? result.message : '';
+ }
};
diff --git a/src/modules/order/order_calculator.js b/src/modules/order/order_calculator.js
index 81e11c8a7..395581b8c 100644
--- a/src/modules/order/order_calculator.js
+++ b/src/modules/order/order_calculator.js
@@ -23,8 +23,9 @@ module.exports = class OrderCalculator {
const exchange = this.exchangeManager.get(exchangeName);
let amountAsset = capital.getAsset();
+ // TOOO fix this
let amountCurrency = balancePercent
- ? (exchange.getTradableBalance() * balancePercent) / 100
+ ? (exchange.getTradeableBalance('USDT') * balancePercent) / 100
: capital.getCurrency();
if (!amountAsset && !amountCurrency) {
diff --git a/src/modules/orders/orders_http.js b/src/modules/orders/orders_http.js
index 211290462..90eead900 100644
--- a/src/modules/orders/orders_http.js
+++ b/src/modules/orders/orders_http.js
@@ -65,6 +65,8 @@ module.exports = class OrdersHttp {
let ourOrder;
if (order.type && order.type === 'stop') {
ourOrder = Order.createStopOrder(res[1], order.side, orderPrice, orderAmount);
+ } else if (order.type && order.type === 'market') {
+ ourOrder = Order.createMarketOrder(res[1], orderAmount);
} else {
ourOrder = Order.createLimitPostOnlyOrder(res[1], order.side, orderPrice, orderAmount);
}
diff --git a/src/modules/pairs/pair_state_execution.js b/src/modules/pairs/pair_state_execution.js
index 466e925d2..267d930e2 100644
--- a/src/modules/pairs/pair_state_execution.js
+++ b/src/modules/pairs/pair_state_execution.js
@@ -41,7 +41,7 @@ module.exports = class PairStateExecution {
async onSellBuyPair(pairState) {
const position = await this.exchangeManager.getPosition(pairState.exchange, pairState.symbol);
- if (position) {
+ if (position && position.getSide() === pairState.getState()) {
pairState.clear();
this.logger.debug(
`block ${pairState.getState()} order; open position:${JSON.stringify([pairState.exchange, pairState.symbol])}`
@@ -60,8 +60,12 @@ module.exports = class PairStateExecution {
])}`
);
+ if (position) {
+ // If we have open position and we want to switch short/long, we need to add position size to order size
+ pairState.options = pairState.options || {};
+ pairState.options.positionAmount = position.getAmount();
+ }
const exchangeOrder = await this.pairStateExecuteOrder(pairState);
-
if (exchangeOrder) {
if (exchangeOrder.shouldCancelOrderProcess()) {
// check if we need to to cancel the process
@@ -272,6 +276,10 @@ module.exports = class PairStateExecution {
return;
}
+ if (options.positionAmount) {
+ orderSize = parseFloat(orderSize) + Math.abs(options.positionAmount);
+ }
+
// inverse price for short
if (side === 'short') {
orderSize *= -1;
diff --git a/src/modules/pairs/pair_state_manager.js b/src/modules/pairs/pair_state_manager.js
index ab631be00..a1f2c68a7 100644
--- a/src/modules/pairs/pair_state_manager.js
+++ b/src/modules/pairs/pair_state_manager.js
@@ -13,7 +13,7 @@ module.exports = class PairStateManager {
this.pairInterval = pairInterval || new PairInterval();
}
- update(exchange, symbol, state, options = {}) {
+ update(exchange, symbol, state, options = { market: true }) {
if (!['long', 'close', 'short', 'cancel'].includes(state)) {
this.logger.error(`Invalidate state: ${state}`);
throw new Error(`Invalidate state: ${state}`);
diff --git a/src/modules/repository/signal_repository.js b/src/modules/repository/signal_repository.js
index fae9dcc4f..58afacdc4 100644
--- a/src/modules/repository/signal_repository.js
+++ b/src/modules/repository/signal_repository.js
@@ -5,7 +5,7 @@ module.exports = class SignalRepository {
getSignals(since) {
return new Promise(resolve => {
- const stmt = this.db.prepare('SELECT * from signals where income_at > ? order by income_at DESC LIMIT 100');
+ const stmt = this.db.prepare('SELECT * from signals where income_at > ? order by income_at DESC LIMIT 1000');
resolve(stmt.all(since));
});
}
diff --git a/src/modules/services.js b/src/modules/services.js
index 95040b276..3bc1af6da 100644
--- a/src/modules/services.js
+++ b/src/modules/services.js
@@ -27,6 +27,7 @@ const CandlestickRepository = require('../modules/repository/candlestick_reposit
const StrategyManager = require('./strategy/strategy_manager');
const ExchangeManager = require('./exchange/exchange_manager');
+const { combine, timestamp, label, printf } = format;
const Trade = require('../modules/trade');
const Http = require('../modules/http');
const Backtest = require('../modules/backtest');
@@ -63,6 +64,7 @@ const CoinbasePro = require('../exchange/coinbase_pro');
const Noop = require('../exchange/noop');
const Bybit = require('../exchange/bybit');
const FTX = require('../exchange/ftx');
+const ccxt = require('ccxt');
const ExchangeCandleCombine = require('../modules/exchange/exchange_candle_combine');
const CandleExportHttp = require('../modules/system/candle_export_http');
@@ -123,26 +125,89 @@ let throttler;
const parameters = {};
module.exports = {
+ getMarkets: async (key, secret) => {
+ const ccxtClient = (this.ccxtClient = new ccxt.binance({
+ apiKey: key,
+ key: secret
+ }));
+
+ const markets = await ccxtClient.fetchMarkets();
+
+ return markets.filter(
+ market =>
+ market.quote === 'USDT' &&
+ market.spot &&
+ market.active &&
+ market.type === 'spot' &&
+ market.info.isSpotTradingAllowed
+ );
+ },
+
boot: async function(projectDir) {
parameters.projectDir = projectDir;
+ try {
+ config = JSON.parse(fs.readFileSync(`${parameters.projectDir}/conf.json`, 'utf8'));
+ } catch (e) {
+ throw new Error(`Invalid conf.json file. Please check: ${String(e)}`);
+ }
+
try {
instances = require(`${parameters.projectDir}/instance`);
} catch (e) {
throw new Error(`Invalid instance.js file. Please check: ${String(e)}`);
}
+ const strategies = [
+ // {
+ // strategy: 'Price changed',
+ // interval: '1m',
+ // options: {
+ // period: '1m',
+ // message: 'Price changed 6% in 5m',
+ // thresholdPercentage: 0.06,
+ // compareCandle: 5
+ // }
+ // },
+ // {
+ // strategy: 'Price changed',
+ // interval: '15m',
+ // options: {
+ // period: '15m',
+ // message: 'Price changed 8% in 15m',
+ // thresholdPercentage: 0.08,
+ // compareCandle: 1
+ // }
+ // },
+ // {
+ // strategy: 'Price changed',
+ // interval: '15m',
+ // options: {
+ // period: '15m',
+ // message: 'Price changed 15% in 1h',
+ // thresholdPercentage: 0.15,
+ // compareCandle: 4
+ // }
+ // }
+ ];
+
+ // const markets = await this.getMarkets(config.exchanges.binance.key, config.exchanges.binance.secret);
+ // markets.forEach(pair => {
+ // instances.symbols.push({
+ // symbol: pair.id,
+ // periods: ['15m'],
+ // exchange: 'binance',
+ // feesPerTrade: 0.04,
+ // state: 'watch',
+ // strategies: strategies
+ // });
+ // });
+
// boot instance eg to load pairs external
if (typeof instances.init === 'function') {
await instances.init();
}
- try {
- config = JSON.parse(fs.readFileSync(`${parameters.projectDir}/conf.json`, 'utf8'));
- } catch (e) {
- throw new Error(`Invalid conf.json file. Please check: ${String(e)}`);
- }
-
this.getDatabase();
},
@@ -155,7 +220,7 @@ module.exports = {
myDb.pragma('journal_mode = WAL');
myDb.pragma('SYNCHRONOUS = 1;');
- myDb.pragma('LOCKING_MODE = EXCLUSIVE;');
+ // myDb.pragma('LOCKING_MODE = EXCLUSIVE;');
return (db = myDb);
},
@@ -202,7 +267,11 @@ module.exports = {
return candleStickImporter;
}
- return (candleStickImporter = new CandleImporter(this.getCandlestickRepository()));
+ return (candleStickImporter = new CandleImporter(
+ this.getCandlestickRepository(),
+ this.getNotifier(),
+ this.getLogger()
+ ));
},
getCreateOrderListener: function() {
@@ -303,15 +372,19 @@ module.exports = {
return logger;
}
+ const myFormat = printf(({ level, message, timestamp }) => {
+ return `${timestamp} ${level}: ${message}`;
+ });
+
logger = createLogger({
- format: format.combine(format.timestamp(), format.json()),
+ format: format.combine(format.timestamp(), myFormat),
transports: [
new transports.File({
filename: `${parameters.projectDir}/var/log/log.log`,
level: 'debug'
}),
new transports.Console({
- level: 'error'
+ level: 'info'
}),
new WinstonSqliteTransport({
level: 'debug',
@@ -378,6 +451,9 @@ module.exports = {
this.getTechnicalAnalysisValidator(),
this.getExchangeCandleCombine(),
this.getLogger(),
+ this.getNotifier(),
+ this.getExchangeManager(),
+ this.getConfig(),
parameters.projectDir
));
},
@@ -716,7 +792,7 @@ module.exports = {
return mail.createTransport({
host: config.notify.mail.server,
port: config.notify.mail.port,
- secure: config.notify.mail.port == 465 ? true : false,
+ secure: config.notify.mail.port === 465,
auth: {
user: config.notify.mail.username,
pass: config.notify.mail.password
diff --git a/src/modules/strategy/dict/signal_result.js b/src/modules/strategy/dict/signal_result.js
index 8247bf17b..de3c35625 100644
--- a/src/modules/strategy/dict/signal_result.js
+++ b/src/modules/strategy/dict/signal_result.js
@@ -14,7 +14,7 @@ module.exports = class SignalResult {
}
setSignal(signal) {
- if (!['long', 'short', 'close'].includes(signal)) {
+ if (!['long', 'short', 'close', 'reverse'].includes(signal)) {
throw `Invalid signal:${signal}`;
}
@@ -53,6 +53,10 @@ module.exports = class SignalResult {
return this.placeOrders;
}
+ emptyPlaceOrder() {
+ this.placeOrders = [];
+ }
+
static createSignal(signal, debug = {}) {
const result = new SignalResult();
diff --git a/src/modules/strategy/strategy_manager.js b/src/modules/strategy/strategy_manager.js
index ac112cd47..a31594ada 100644
--- a/src/modules/strategy/strategy_manager.js
+++ b/src/modules/strategy/strategy_manager.js
@@ -12,12 +12,23 @@ const SignalResult = require('./dict/signal_result');
const Position = require('../../dict/position');
module.exports = class StrategyManager {
- constructor(technicalAnalysisValidator, exchangeCandleCombine, logger, projectDir) {
+ constructor(
+ technicalAnalysisValidator,
+ exchangeCandleCombine,
+ logger,
+ notifier,
+ exchangeManager,
+ config,
+ projectDir
+ ) {
this.technicalAnalysisValidator = technicalAnalysisValidator;
this.exchangeCandleCombine = exchangeCandleCombine;
this.projectDir = projectDir;
this.logger = logger;
+ this.notifier = notifier;
+ this.exchangeManager = exchangeManager;
+ this.config = config;
this.strategies = undefined;
}
@@ -226,9 +237,20 @@ module.exports = class StrategyManager {
validateLookbacks &&
!this.technicalAnalysisValidator.isValidCandleStickLookback(lookbacks[exchange].slice(), period)
) {
- this.logger.info(
- `Strategy skipped: outdated candle sticks: ${JSON.stringify([period, strategyName, exchange, symbol])}`
- );
+ const message = `Strategy skipped: outdated candle sticks: ${JSON.stringify([
+ period,
+ strategyName,
+ exchange,
+ symbol
+ ])}`;
+ this.logger.info(message);
+ if (this.notifier) {
+ this.notifier.send(message);
+ this.exchangeManager.get(exchange).setupSymbol({
+ symbol: symbol,
+ periods: [period]
+ });
+ }
// stop current run
return {};
diff --git a/src/modules/system/candle_importer.js b/src/modules/system/candle_importer.js
index 6d5e0ed7d..2e2445ce9 100644
--- a/src/modules/system/candle_importer.js
+++ b/src/modules/system/candle_importer.js
@@ -1,29 +1,36 @@
const _ = require('lodash');
module.exports = class CandleImporter {
- constructor(candlestickRepository) {
+ constructor(candlestickRepository, notifier, logger) {
this.candlestickRepository = candlestickRepository;
this.trottle = {};
this.promises = [];
+ this.logger = logger;
+ this.notifier = notifier;
setInterval(async () => {
- const candles = Object.values(this.trottle);
- this.trottle = {};
+ try {
+ const candles = Object.values(this.trottle);
+ this.trottle = {};
- const promises = this.promises.slice();
- this.promises = [];
+ const promises = this.promises.slice();
+ this.promises = [];
- // on init we can have a lot or REST api we can have a lot of candles
- // reduce database locking time by split them
- if (candles.length > 0) {
- for (const chunk of _.chunk(candles, 1000)) {
- await this.insertCandles(chunk);
+ // on init we can have a lot or REST api we can have a lot of candles
+ // reduce database locking time by split them
+ if (candles.length > 0) {
+ for (const chunk of _.chunk(candles, 1000)) {
+ await this.insertCandles(chunk);
+ }
}
- }
- promises.forEach(resolve => {
- resolve();
- });
+ promises.forEach(resolve => {
+ resolve();
+ });
+ } catch (e) {
+ this.logger.info(`Error on interval: ${e}`);
+ this.notifier.send(`Error on interval: ${e}`);
+ }
}, 1000 * 5);
}
@@ -59,6 +66,9 @@ module.exports = class CandleImporter {
resolve = res;
});
- return { promise, resolve };
+ return {
+ promise,
+ resolve
+ };
}
};
diff --git a/src/modules/trade.js b/src/modules/trade.js
index def7ef70f..813a6f949 100644
--- a/src/modules/trade.js
+++ b/src/modules/trade.js
@@ -50,15 +50,11 @@ module.exports = class Trade {
process.exit();
});
- const instanceId = crypto.randomBytes(4).toString('hex');
-
const notifyActivePairs = this.instances.symbols.map(symbol => {
return `${symbol.exchange}.${symbol.symbol}`;
});
- const message = `Start: ${instanceId} - ${os.hostname()} - ${os.platform()} - ${moment().format()} - ${notifyActivePairs.join(
- ', '
- )}`;
+ const message = `Signals bot restarted - ${moment().format()} - Pairs active: ${notifyActivePairs.join(', ')}`;
this.notify.send(message);
@@ -104,7 +100,7 @@ module.exports = class Trade {
});
eventEmitter.on('orderbook', function(orderbookEvent) {
- // console.log(orderbookEvent.orderbook)
+ console.log(orderbookEvent.orderbook);
});
eventEmitter.on('order', async event => me.createOrderListener.onCreateOrder(event));
diff --git a/src/notify/telegram.js b/src/notify/telegram.js
index 7e74f7484..94ea260a6 100644
--- a/src/notify/telegram.js
+++ b/src/notify/telegram.js
@@ -1,3 +1,5 @@
+const promiseRetry = require('promise-retry');
+
module.exports = class Telegram {
constructor(telegraf, config, logger) {
this.telegraf = telegraf;
@@ -12,9 +14,28 @@ module.exports = class Telegram {
this.logger.error('Telegram: No chat id given');
return;
}
- this.telegraf.telegram.sendMessage(chatId, message).catch(err => {
- this.logger.error(`Mailer: ${JSON.stringify(err)}`);
- console.log(err);
- });
+
+ const me = this;
+
+ promiseRetry(
+ function(retry, number) {
+ return me.telegraf.telegram.sendMessage(chatId, message).catch(function(err) {
+ if (err.code === 429) {
+ retry(err);
+ }
+
+ throw err;
+ });
+ },
+ {
+ minTimeout: 3000
+ }
+ ).then(
+ function() {},
+ function(err) {
+ me.logger.error(`Mailer: ${JSON.stringify(err)}`);
+ console.log(err);
+ }
+ );
}
};
diff --git a/src/utils/indicators.js b/src/utils/indicators.js
index c58cf7b94..20b1cbfa8 100644
--- a/src/utils/indicators.js
+++ b/src/utils/indicators.js
@@ -12,7 +12,7 @@ const percent = require('percent');
* @param arraySize
* @returns {Array}
*/
-function zigzag (ticks, deviation = 5, arraySize = -1) {
+function zigzag(ticks, deviation = 5, arraySize = -1) {
// Determines percent deviation in price changes, presenting frequency and volatility in deviation. Also helps determine trend reversals.
// Read more: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:zigzag
// arraySize = -1, calculate ZigZag for all ticks
@@ -133,9 +133,28 @@ function executeTulindIndicator(source, indicator, tulindOptions) {
module.exports = {
// indicators which source is Candles
- sourceCandle: ['cci', 'pivot_points_high_low', 'obv', 'ao', 'mfi', 'stoch', 'vwma', 'atr', 'adx', 'volume_profile', 'volume_by_price', 'ichimoku_cloud', 'zigzag', 'wicked', 'heikin_ashi', 'psar', 'hma'],
-
- bb: (source, indicator) =>
+ sourceCandle: [
+ 'cci',
+ 'pivot_points_high_low',
+ 'obv',
+ 'ao',
+ 'mfi',
+ 'stoch',
+ 'vwma',
+ 'atr',
+ 'adx',
+ 'adx_dmi',
+ 'volume_profile',
+ 'volume_by_price',
+ 'ichimoku_cloud',
+ 'zigzag',
+ 'wicked',
+ 'heikin_ashi',
+ 'psar',
+ 'hma'
+ ],
+
+ bb: (source, indicator) =>
executeTulindIndicator(source, indicator, {
options: { length: 20, stddev: 2 },
results: ['lower', 'middle', 'upper']
@@ -157,12 +176,13 @@ module.exports = {
atr: (...args) => executeTulindIndicator(...args, { sources: ['high', 'low', 'close'], options: { length: 14 } }),
hma: (source, indicator) => {
- let candleSource = (indicator.options && indicator.options.source) || 'close'
+ let candleSource = (indicator.options && indicator.options.source) || 'close';
return executeTulindIndicator(source, indicator, {
sources: [candleSource],
options: { length: 9 }
- })},
+ });
+ },
cci: (...args) =>
executeTulindIndicator(...args, {
@@ -318,18 +338,39 @@ module.exports = {
};
source.forEach(candle => {
- input.high.push(candle.high)
- input.low.push(candle.low)
- })
+ input.high.push(candle.high);
+ input.low.push(candle.low);
+ });
const { PSAR } = require('technicalindicators');
resolve({ [indicator.key]: new PSAR(input).getResult() });
});
},
- heikin_ashi: function(source, indicator) {
+ adx_dmi: function(source, indicator) {
return new Promise(resolve => {
+ const { options = {} } = indicator;
+ const input = {
+ close: [],
+ high: [],
+ low: [],
+ period: options.period
+ };
+
+ source.forEach(candle => {
+ input.close.push(candle.close);
+ input.high.push(candle.high);
+ input.low.push(candle.low);
+ });
+
+ const { ADX } = require('technicalindicators');
+ resolve({ [indicator.key]: new ADX(input).getResult() });
+ });
+ },
+
+ heikin_ashi: function(source, indicator) {
+ return new Promise(resolve => {
const { HeikinAshi } = require('technicalindicators');
const input = {
@@ -342,13 +383,13 @@ module.exports = {
};
source.forEach(candle => {
- input.close.push(candle.close)
- input.high.push(candle.high)
- input.low.push(candle.low)
- input.open.push(candle.open)
- input.timestamp.push(candle.time)
- input.volume.push(candle.volume)
- })
+ input.close.push(candle.close);
+ input.high.push(candle.high);
+ input.low.push(candle.low);
+ input.open.push(candle.open);
+ input.timestamp.push(candle.time);
+ input.volume.push(candle.volume);
+ });
const f = new HeikinAshi(input);
@@ -376,10 +417,10 @@ module.exports = {
return new Promise(resolve => {
const { options = {} } = indicator;
const { length = 200, ranges = 14 } = options;
-
+
const { candles2MarketData } = require('./technical_analysis');
const { VolumeProfile } = require('technicalindicators');
- const f = new VolumeProfile({ ...candles2MarketData(source, length), noOfBars: ranges })
+ const f = new VolumeProfile({ ...candles2MarketData(source, length), noOfBars: ranges });
resolve({ [indicator.key]: f.getResult() });
});
@@ -406,9 +447,7 @@ module.exports = {
let current = minMax[0];
for (let i = 0; i < ranges; i++) {
// summarize volume per range
- const map = lookbackRange
- .filter(c => c.close >= current && c.close < current + rangeSize)
- .map(c => c.volume);
+ const map = lookbackRange.filter(c => c.close >= current && c.close < current + rangeSize).map(c => c.volume);
// prevent float / rounding issues on first and last item
rangeBlocks.push({
@@ -422,8 +461,8 @@ module.exports = {
resolve({ [indicator.key]: [rangeBlocks.reverse()] }); // sort by price; low to high
});
- },
-
+ },
+
zigzag: function(source, indicator) {
// https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:volume_by_price
return new Promise(resolve => {
@@ -438,7 +477,7 @@ module.exports = {
});
resolve({ [indicator.key]: turningPoints });
});
- },
+ },
ichimoku_cloud: function(source, indicator) {
return new Promise(resolve => {
@@ -447,7 +486,8 @@ module.exports = {
const { candles2MarketData } = require('./technical_analysis');
const { IchimokuCloud } = require('technicalindicators');
- const f = new IchimokuCloud({ ...candles2MarketData(source, undefined, ['high', 'low']),
+ const f = new IchimokuCloud({
+ ...candles2MarketData(source, undefined, ['high', 'low']),
conversionPeriod: conversionPeriod,
basePeriod: basePeriod,
spanPeriod: spanPeriod,
diff --git a/templates/backtest-pending-results.html.twig b/templates/backtest-pending-results.html.twig
new file mode 100644
index 000000000..cdcb326c0
--- /dev/null
+++ b/templates/backtest-pending-results.html.twig
@@ -0,0 +1,65 @@
+{% extends './layout.html.twig' %}
+
+{% block title %}Backtesting | Crypto Bot{% endblock %}
+
+{% block content %}
+
+
+
+
+
+
+
+
+
+
Waiting results for backtest id {{ key }}
+
+
+
+
+
+
+{% endblock %}
+
+{% block javascript %}
+
+
+
+
+{% endblock %}
+
+{% block stylesheet %}
+
+{% endblock %}
diff --git a/templates/backtest_submit.html.twig b/templates/backtest_submit.html.twig
index adcb33512..24b0d2170 100644
--- a/templates/backtest_submit.html.twig
+++ b/templates/backtest_submit.html.twig
@@ -34,7 +34,8 @@
@@ -45,7 +46,7 @@
-
+
- {% include 'components/backtest_table.html.twig' with {
- 'rows': rows,
- 'extra_fields': extra_fields,
- } only %}
+ {% if rows|length < 3000 %}
+ {% include 'components/backtest_table.html.twig' with {
+ 'rows': rows,
+ 'extra_fields': extra_fields,
+ } only %}
+ {% else %}
+ Too many rows detected, rendering process skipped.
+ {% endif %}
diff --git a/templates/backtest_submit_multiple.html.twig b/templates/backtest_submit_multiple.html.twig
index d5b0ba4b2..310eb6a8a 100644
--- a/templates/backtest_submit_multiple.html.twig
+++ b/templates/backtest_submit_multiple.html.twig
@@ -43,6 +43,30 @@
'summary': backtest.result.summary
} only %}
+
+
+
+
+
+
+
+
+ {% if backtest.result.signals|length > 0 %}
+ {% include 'components/backtest_table.html.twig' with {
+ 'rows': backtest.result.signals,
+ 'extra_fields': backtest.result.extra_fields,
+ } only %}
+ {% else %}
+
No signals given
+ {% endif %}
+
+
{% endfor %}
diff --git a/templates/base.html.twig b/templates/base.html.twig
index 7abf9fe92..f159d19e3 100644
--- a/templates/base.html.twig
+++ b/templates/base.html.twig
@@ -131,6 +131,7 @@
{% endblock content %}
{% block javascript %}
+
-{% endblock javascript %}
\ No newline at end of file
+{% endblock javascript %}
diff --git a/templates/tradingview.html.twig b/templates/tradingview.html.twig
index f87e4b888..c110d568f 100644
--- a/templates/tradingview.html.twig
+++ b/templates/tradingview.html.twig
@@ -40,53 +40,80 @@
-
-{% endblock javascript %}
\ No newline at end of file
+{% endblock javascript %}
diff --git a/test/modules/order/order_calculator.test.js b/test/modules/order/order_calculator.test.js
index 847ea2f5f..573285465 100644
--- a/test/modules/order/order_calculator.test.js
+++ b/test/modules/order/order_calculator.test.js
@@ -120,7 +120,7 @@ describe('#order size calculation', () => {
{
get: () => {
return {
- getTradableBalance: () => 100,
+ getTradeableBalance: () => 100,
calculateAmount: n => n,
isInverseSymbol: () => true
};
diff --git a/test/modules/pairs/pair_state_execution.test.js b/test/modules/pairs/pair_state_execution.test.js
index 972eb5d8e..40f0df3c0 100644
--- a/test/modules/pairs/pair_state_execution.test.js
+++ b/test/modules/pairs/pair_state_execution.test.js
@@ -69,6 +69,71 @@ describe('#pair state execution', function() {
assert.equal(myOrder.hasAdjustedPrice(), false);
});
+ it('test limit open order trigger for long when we have short position', async () => {
+ let myOrder;
+
+ const executor = new PairStateExecution(
+ undefined,
+ {
+ calculateOrderSizeCapital: () => {
+ return 1337;
+ }
+ },
+ {
+ executeOrder: (exchange, order) => {
+ myOrder = order;
+ return undefined;
+ }
+ },
+ undefined
+ );
+
+ await executor.pairStateExecuteOrder(
+ PairState.createLong('exchange', 'BTCUSD', OrderCapital.createAsset(1369), {positionAmount: -1337}, true, () => {})
+ );
+
+ assert.equal(myOrder.symbol, 'BTCUSD');
+ assert.equal(myOrder.side, 'long');
+ assert.equal(myOrder.price, undefined);
+ assert.equal(myOrder.amount, 1337*2);
+ assert.equal(myOrder.type, 'limit');
+ assert.equal(myOrder.options.post_only, true);
+ assert.equal(myOrder.hasAdjustedPrice(), true);
+ });
+
+
+ it('test limit open order trigger for short when we have long position', async () => {
+ let myOrder;
+
+ const executor = new PairStateExecution(
+ undefined,
+ {
+ calculateOrderSizeCapital: () => {
+ return 1337;
+ }
+ },
+ {
+ executeOrder: (exchange, order) => {
+ myOrder = order;
+ return undefined;
+ }
+ },
+ undefined
+ );
+
+ await executor.pairStateExecuteOrder(
+ PairState.createShort('exchange', 'BTCUSD', OrderCapital.createAsset(1369), {positionAmount: 1337}, true, () => {})
+ );
+
+ assert.equal(myOrder.symbol, 'BTCUSD');
+ assert.equal(myOrder.side, 'short');
+ assert.equal(myOrder.price, undefined);
+ assert.equal(myOrder.amount, -1337*2);
+ assert.equal(myOrder.type, 'limit');
+ assert.equal(myOrder.options.post_only, true);
+ assert.equal(myOrder.hasAdjustedPrice(), true);
+ });
+
it('test limit open order trigger for short', async () => {
let myOrder;
diff --git a/var/strategies/.gitignore b/var/strategies/.gitignore
deleted file mode 100644
index 7c9d611b5..000000000
--- a/var/strategies/.gitignore
+++ /dev/null
@@ -1,3 +0,0 @@
-*
-!.gitignore
-!README.md
diff --git a/var/strategies/ADX-cross-strategy.js b/var/strategies/ADX-cross-strategy.js
new file mode 100644
index 000000000..2c3ef72e2
--- /dev/null
+++ b/var/strategies/ADX-cross-strategy.js
@@ -0,0 +1,55 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+module.exports = class Dema {
+ getName() {
+ return 'ADX cross strategy';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('macd_ext', 'macd_ext', options.period);
+ indicatorBuilder.add('adx_dmi', 'adx_dmi', options.period, {
+ period: options.adx_length
+ });
+ }
+
+ period(indicatorPeriod, options) {
+ const adx = indicatorPeriod.getLatestIndicator('adx_dmi');
+ const lastSignal = indicatorPeriod.getLastSignal();
+ const debug = {
+ lastSignal: lastSignal,
+ adx: adx
+ };
+
+ const signal = SignalResult.createEmptySignal(debug);
+
+ if (adx !== undefined && adx.adx >= options.threshold) {
+ if (adx.pdi > adx.mdi && lastSignal === undefined) {
+ signal.setSignal('long');
+ } else if (adx.pdi < adx.mdi && lastSignal === undefined) {
+ signal.setSignal('short');
+ }
+ } else if (adx !== undefined && adx.adx < options.threshold) {
+ if (lastSignal !== undefined) {
+ signal.setSignal('close');
+ }
+ }
+
+ return signal;
+ }
+
+ getBacktestColumns() {
+ return [];
+ }
+
+ getOptions() {
+ return {
+ period: '15m',
+ threshold: 20,
+ adx_length: 14
+ };
+ }
+};
diff --git a/var/strategies/ADX-cross.js b/var/strategies/ADX-cross.js
new file mode 100644
index 000000000..87bd2efab
--- /dev/null
+++ b/var/strategies/ADX-cross.js
@@ -0,0 +1,50 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+module.exports = class Dema {
+ getName() {
+ return 'ADX cross';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('adx_dmi', 'adx_dmi', options.period, {
+ period: options.adx_length
+ });
+ }
+
+ period(indicatorPeriod, options) {
+ const adx = indicatorPeriod.getLatestIndicator('adx_dmi');
+ const lastSignal = indicatorPeriod.getLastSignal();
+ const debug = {
+ lastSignal: lastSignal,
+ adx: adx
+ };
+
+ const signal = SignalResult.createEmptySignal(debug);
+
+ if (adx !== undefined && adx.adx >= options.threshold) {
+ if (adx.pdi > adx.mdi && lastSignal !== 'long') {
+ signal.setSignal('long');
+ } else if (adx.pdi < adx.mdi && lastSignal !== 'short') {
+ signal.setSignal('short');
+ }
+ }
+
+ return signal;
+ }
+
+ getBacktestColumns() {
+ return [];
+ }
+
+ getOptions() {
+ return {
+ period: '15m',
+ threshold: 20,
+ adx_length: 14
+ };
+ }
+};
diff --git a/var/strategies/EMA-cx-stragegy.js b/var/strategies/EMA-cx-stragegy.js
new file mode 100644
index 000000000..6365b7aae
--- /dev/null
+++ b/var/strategies/EMA-cx-stragegy.js
@@ -0,0 +1,90 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+let bullMarket;
+let highestProfit = 0;
+
+module.exports = class Dema {
+ getName() {
+ return 'EMA Cross Strategy';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('fastEma', 'ema', options.period, {
+ length: options.fast_ema
+ });
+ indicatorBuilder.add('slowEma', 'ema', options.period, {
+ length: options.slow_ema
+ });
+
+ indicatorBuilder.add('hma', 'hma', options.period, {
+ length: 9
+ });
+
+ indicatorBuilder.add('hma', 'hma', options.period, {
+ length: 100
+ });
+ }
+
+ period(indicatorPeriod) {
+ const fastEma = indicatorPeriod.getLatestIndicator('fastEma');
+ const slowEma = indicatorPeriod.getLatestIndicator('slowEma');
+ const lastSignal = indicatorPeriod.getLastSignal();
+
+ const debug = {
+ fast_ema: fastEma,
+ slow_ema: slowEma,
+ last_signal: lastSignal
+ };
+
+ const signal = SignalResult.createEmptySignal(debug);
+ // trend change
+ if (slowEma > fastEma) {
+ bullMarket = true;
+ if (lastSignal === undefined) {
+ signal.setSignal('long');
+ // } else if (lastSignal === 'short') {
+ // signal.setSignal('close');
+ }
+ } else if (slowEma <= fastEma) {
+ bullMarket = false;
+ if (lastSignal === undefined) {
+ signal.setSignal('short');
+ // } else if (lastSignal === 'long') {
+ // signal.setSignal('close');
+ }
+ }
+
+ if (indicatorPeriod.getLastSignal()) {
+ if (indicatorPeriod.getProfit() - highestProfit > 0) {
+ highestProfit = indicatorPeriod.getProfit();
+ } else if (highestProfit - indicatorPeriod.getProfit() > 3) {
+ highestProfit = 0;
+ // take profit
+ signal.addDebug('message', 'TP');
+ signal.setSignal('close');
+ } else if (indicatorPeriod.getProfit() < -3.5) {
+ // stop loss
+ signal.addDebug('message', 'SL');
+ // signal.setSignal('close');
+ }
+ }
+
+ return signal;
+ }
+
+ getBacktestColumns() {
+ return [];
+ }
+
+ getOptions() {
+ return {
+ period: '1h',
+ fast_ema: 14,
+ slow_ema: 200
+ };
+ }
+};
diff --git a/var/strategies/EMA-cx.js b/var/strategies/EMA-cx.js
new file mode 100644
index 000000000..2c54b8d3d
--- /dev/null
+++ b/var/strategies/EMA-cx.js
@@ -0,0 +1,66 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+module.exports = class Dema {
+ getName() {
+ return 'EMA Cross';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('fastEma', 'ema', options.period, {
+ length: options.fast_ema
+ });
+ indicatorBuilder.add('slowEma', 'ema', options.period, {
+ length: options.slow_ema
+ });
+ }
+
+ period(indicatorPeriod) {
+ const fastEma = indicatorPeriod.getLatestIndicator('fastEma');
+ const slowEma = indicatorPeriod.getLatestIndicator('slowEma');
+ const lastSignal = indicatorPeriod.getLastSignal();
+
+ const debug = {
+ fast_ema: fastEma,
+ slow_ema: slowEma,
+ last_signal: lastSignal
+ };
+
+ const signal = SignalResult.createEmptySignal(debug);
+ // trend change
+ if (slowEma > fastEma) {
+ if (lastSignal === 'short') {
+ signal.setSignal('close');
+ } else if (lastSignal === 'close') {
+ signal.setSignal('long');
+ } else {
+ signal.setSignal('long');
+ }
+ } else if (slowEma <= fastEma) {
+ if (lastSignal === 'long') {
+ signal.setSignal('close');
+ } else if (lastSignal === 'close') {
+ signal.setSignal('short');
+ } else {
+ signal.setSignal('short');
+ }
+ }
+
+ return signal;
+ }
+
+ getBacktestColumns() {
+ return [];
+ }
+
+ getOptions() {
+ return {
+ period: '1h',
+ fast_ema: 40,
+ slow_ema: 200
+ };
+ }
+};
diff --git a/var/strategies/README.md b/var/strategies/README.md
deleted file mode 100644
index 2a2f74bbc..000000000
--- a/var/strategies/README.md
+++ /dev/null
@@ -1,5 +0,0 @@
-# Strategy folder
-
-Put in your custom strategies here
-
-see `modules/strategy/strategies` for examples
\ No newline at end of file
diff --git a/var/strategies/macd-histogram-filtered.js b/var/strategies/macd-histogram-filtered.js
new file mode 100644
index 000000000..2ea3db0ba
--- /dev/null
+++ b/var/strategies/macd-histogram-filtered.js
@@ -0,0 +1,217 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+const macdBullPeaks = [];
+const macdBearPeaks = [];
+let highestProfit = 0;
+
+let macdPeak = 0;
+
+module.exports = class Macd {
+ getName() {
+ return 'Macd filtered';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('macd', 'macd_ext', options.period, options);
+
+ indicatorBuilder.add('emaFast', 'ema', options.period_filter, {
+ length: 40
+ });
+
+ indicatorBuilder.add('emaSlow', 'ema', options.period_filter, {
+ length: 10
+ });
+
+ indicatorBuilder.add('psar', 'psar', options.period, {
+ step: 0.02,
+ max: 0.02
+ });
+ }
+
+ period(indicatorPeriod, options) {
+ const emaSlowFull = indicatorPeriod.getIndicator('emaSlow');
+ const macdFull = indicatorPeriod.getIndicator('macd');
+ const emaFastFull = indicatorPeriod.getIndicator('emaFast');
+ const psarFull = indicatorPeriod.getIndicator('psar');
+
+ if (!macdFull || !emaSlowFull || !emaFastFull || !psarFull || macdFull.length < 2 || emaSlowFull.length < 2) {
+ return undefined;
+ }
+
+ const emaFast = emaFastFull.slice(-1)[0];
+ const emaSlow = emaSlowFull.slice(-1)[0];
+ const macd = macdFull.slice(-2);
+ const psar = psarFull.slice(-1)[0];
+
+ // overall trend filter
+ const long = emaFast >= emaSlow;
+
+ const lastSignal = indicatorPeriod.getLastSignal();
+
+ const debug = {
+ emaSlow: emaSlow,
+ emaFast: emaFast,
+ psar: psar,
+ histogram: macd[0].histogram,
+ last_signal: lastSignal,
+ long: long
+ };
+
+ const current = macd[0].histogram;
+ const before = macd[1].histogram;
+
+ if (lastSignal === undefined) {
+ if (long) {
+ if (current > macdPeak) {
+ macdPeak = current;
+ }
+
+ if (
+ macdBullPeaks.length > 2 &&
+ macdPeak > this.median(macdBullPeaks) &&
+ macdPeak * options.histogram_threshold > current
+ ) {
+ // long {if (before < 0 && current > 0) {
+ this.addBullMacd(macdPeak);
+ macdPeak = 0;
+ return SignalResult.createSignal('long', debug);
+ }
+
+ if (before < 0 && current > 0) {
+ this.addBullMacd(macdPeak);
+ macdPeak = 0;
+ return SignalResult.createEmptySignal(debug);
+ }
+ } else {
+ // short
+
+ if (current < macdPeak) {
+ macdPeak = current;
+ }
+
+ if (
+ macdBearPeaks.length > 2 &&
+ macdPeak < this.median(macdBearPeaks) &&
+ macdPeak * options.histogram_threshold < current
+ ) {
+ this.addBearMacd(macdPeak);
+ macdPeak = 0;
+ return SignalResult.createSignal('short', debug);
+ }
+
+ if (before > 0 && current < 0) {
+ this.addBearMacd(macdPeak);
+ macdPeak = 0;
+ return SignalResult.createEmptySignal(debug);
+ }
+ }
+ }
+
+ if (indicatorPeriod.getLastSignal()) {
+ if (psarFull.length > 0) {
+ if (indicatorPeriod.getLastSignal() === 'short' && psar > indicatorPeriod.getPrice()) {
+ const signalResult = SignalResult.createSignal('close', debug);
+ // take profit
+ signalResult.addDebug('message', 'PSAR cross');
+ return signalResult;
+ }
+
+ if (indicatorPeriod.getLastSignal() === 'long' && psar < indicatorPeriod.getPrice()) {
+ const signalResult = SignalResult.createSignal('close', debug);
+ // take profit
+ signalResult.addDebug('message', 'PSAR cross');
+ return signalResult;
+ }
+ }
+
+ // if (indicatorPeriod.getProfit() - highestProfit > 0) {
+ // highestProfit = indicatorPeriod.getProfit();
+ // } else if (highestProfit - indicatorPeriod.getProfit() > options.take_profit) {
+ // highestProfit = 0;
+ // const signalResult = SignalResult.createSignal('close', debug);
+ // // take profit
+ // signalResult.addDebug('message', 'TP');
+ // return signalResult;
+ // } else
+
+ if (indicatorPeriod.getProfit() < -options.stop_loss) {
+ // stop loss
+ const signalResult = SignalResult.createSignal('close', debug);
+ signalResult.addDebug('message', 'SL');
+ return signalResult;
+ }
+ }
+
+ return SignalResult.createEmptySignal(debug);
+ }
+
+ getBacktestColumns() {
+ return [
+ {
+ label: 'trend',
+ value: row => {
+ if (typeof row.long !== 'boolean') {
+ return undefined;
+ }
+
+ return row.long === true ? 'up' : 'down';
+ },
+ type: 'arrow'
+ },
+ {
+ label: 'histogram',
+ value: 'histogram',
+ type: 'histogram'
+ }
+ ];
+ }
+
+ median(values) {
+ if (values.length === 0) return 0;
+
+ values.sort(function(a, b) {
+ return a - b;
+ });
+
+ const half = Math.floor(values.length / 2);
+
+ if (values.length % 2) {
+ return values[half];
+ }
+
+ return (values[half - 1] + values[half]) / 2.0;
+ }
+
+ addBullMacd(value) {
+ if (macdBullPeaks.length === 51) {
+ macdBullPeaks.shift();
+ }
+
+ macdBullPeaks.push(value);
+ }
+
+ addBearMacd(value) {
+ if (macdBearPeaks.length === 51) {
+ macdBearPeaks.shift();
+ }
+
+ macdBearPeaks.push(value);
+ }
+
+ getOptions() {
+ return {
+ period: '5m',
+ period_filter: '1h',
+ default_ma_type: 'EMA',
+ fast_period: 30,
+ slow_period: 100,
+ take_profit: 1,
+ stop_loss: 0.4,
+ histogram_threshold: 0.2
+ };
+ }
+};
diff --git a/var/strategies/macd-unfiltered.js b/var/strategies/macd-unfiltered.js
new file mode 100644
index 000000000..b13ae1609
--- /dev/null
+++ b/var/strategies/macd-unfiltered.js
@@ -0,0 +1,106 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+module.exports = class Macd {
+ getName() {
+ return 'macd unfiltered';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('macd', 'macd_ext', options.period, options);
+
+ indicatorBuilder.add('hma', 'hma', options.period, {
+ length: 9
+ });
+
+ indicatorBuilder.add('sma200', 'sma', options.period, {
+ length: 200
+ });
+ }
+
+ period(indicatorPeriod) {
+ const sma200Full = indicatorPeriod.getIndicator('sma200');
+ const macdFull = indicatorPeriod.getIndicator('macd');
+ const hmaFull = indicatorPeriod.getIndicator('hma');
+
+ if (!macdFull || !sma200Full || !hmaFull || macdFull.length < 2 || sma200Full.length < 2) {
+ return undefined;
+ }
+
+ const hma = hmaFull.slice(-1)[0];
+ const sma200 = sma200Full.slice(-1)[0];
+ const macd = macdFull.slice(-2);
+
+ // overall trend filter
+ const long = hma >= sma200;
+
+ const lastSignal = indicatorPeriod.getLastSignal();
+
+ const current = macd[0].histogram;
+ const before = macd[1].histogram;
+
+ const debug = {
+ sma200: sma200[0],
+ histogram: macd[0].histogram,
+ last_signal: lastSignal,
+ before: before,
+ current: current,
+ long: long
+ };
+
+ // trend change
+ if ((lastSignal === 'long' && before > 0 && current < 0) || (lastSignal === 'short' && before < 0 && current > 0)) {
+ return SignalResult.createSignal('reverse', debug);
+ }
+
+ if (before < 0 && current > 0) {
+ return SignalResult.createSignal('long', debug);
+ }
+
+ if (before > 0 && current < 0) {
+ return SignalResult.createSignal('short', debug);
+ }
+
+ // if (indicatorPeriod.getProfit() < -1.5) {
+ // // stop loss
+ // const signalResult = SignalResult.createSignal('close', debug);
+ // signalResult.addDebug('message', 'SL');
+ // return signalResult;
+ // }
+ return SignalResult.createEmptySignal(debug);
+ }
+
+ getBacktestColumns() {
+ return [
+ {
+ label: 'trend',
+ value: row => {
+ if (typeof row.long !== 'boolean') {
+ return undefined;
+ }
+
+ return row.long === true ? 'success' : 'danger';
+ },
+ type: 'icon'
+ },
+ {
+ label: 'histogram',
+ value: 'histogram',
+ type: 'histogram'
+ }
+ ];
+ }
+
+ getOptions() {
+ return {
+ period: '15m',
+ default_ma_type: 'MA',
+ fast_period: 12,
+ slow_period: 26,
+ signal_period: 9
+ };
+ }
+};
diff --git a/var/strategies/price-change-signal.js b/var/strategies/price-change-signal.js
new file mode 100644
index 000000000..b93f1a619
--- /dev/null
+++ b/var/strategies/price-change-signal.js
@@ -0,0 +1,56 @@
+const SignalResult = require('../../src/modules/strategy/dict/signal_result.js');
+
+module.exports = class Dema {
+ getName() {
+ return 'Price changed';
+ }
+
+ buildIndicator(indicatorBuilder, options) {
+ if (!options.period) {
+ throw Error('Invalid period');
+ }
+
+ indicatorBuilder.add('sma200', 'sma', options.period, {
+ length: 200
+ });
+ }
+
+ period(indicatorPeriod, options) {
+ const allCandles = indicatorPeriod.getIndicator('candles');
+ const lastCandle = indicatorPeriod.getLatestIndicator('candles');
+ const compareCandleIndex =
+ options.compareCandle > allCandles.length ? 0 : allCandles.length - options.compareCandle - 1;
+ const compareCandle = allCandles[compareCandleIndex];
+
+ const debug = {
+ lastCandle: lastCandle,
+ compareCandle: compareCandle,
+ compareCandleIndex: compareCandleIndex
+ };
+
+ const pricePercentage = lastCandle.close * options.thresholdPercentage;
+ const signal = SignalResult.createEmptySignal(debug);
+
+ if (compareCandle !== undefined) {
+ if (compareCandle.close * 1 + pricePercentage <= lastCandle.high) {
+ signal.setSignal('long');
+ } else if (compareCandle.close * 1 - compareCandle.close >= lastCandle.low) {
+ signal.setSignal('short');
+ }
+ }
+
+ return signal;
+ }
+
+ getBacktestColumns() {
+ return [];
+ }
+
+ getOptions() {
+ return {
+ period: '1m',
+ compareCandle: 60,
+ thresholdPercentage: 0.05
+ };
+ }
+};
diff --git a/web/static/js/trades.vue b/web/static/js/trades.vue
index 3ebf5c0d7..2b643de16 100644
--- a/web/static/js/trades.vue
+++ b/web/static/js/trades.vue
@@ -10,14 +10,14 @@
E |
+ S |
Symbol |
- Amount |
- Currency |
Profit |
Entry |
+ Amount |
+ Currency |
Updated |
Created |
- S |
A |
@@ -25,18 +25,11 @@
|
- {{ position.position.symbol }} |
-
- {{ position.position.amount }}
- |
-
- {{ position.currency|filter_price }}
-
-
- / {{ position.currencyProfit|filter_price }}
-
+
+
|
+ {{ position.position.symbol }} |
{{ position.position.profit|round(2) }} %
@@ -47,6 +40,17 @@
{{ position.position.entry|filter_price }}
|
+
+ {{ position.position.amount }}
+ |
+
+
+ {{ position.currency|filter_price }}
+
+
+ / {{ position.currencyProfit|filter_price }}
+
+ |
{{ position.position.updatedAt|date('d.m.y H:i') }}
@@ -57,10 +61,6 @@
{{ position.position.createdAt|date('d.m.y H:i') }}
|
-
-
-
- |
|