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", - 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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 %} + +
+ +
+
+
+
+

Backtesting

+
+
+ +
+
+
+
+ + + +
+
+

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 @@
-

Summary - {{ start|date('y-m-d H:i:s') }} - {{ end|date('y-m-d H:i:s') }}

+{#

Summary - {{ start|date('y-m-d H:i:s') }} - {{ end|date('y-m-d H:i:s') }}

#} +

Summary - {{ start }} - {{ end }}

@@ -45,7 +46,7 @@
- +

Chart

@@ -83,10 +84,14 @@
- {% 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 %}
+
+

Chart

+
+ +
+
+
+ + +
+

Signals

+
+ +
+ {% 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.position.symbol }} {{ position.position.profit|round(2) }} % @@ -47,6 +40,17 @@ {{ position.position.entry|filter_price }} + + {{ position.position.amount }} + + + + + - - - -