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mmbot.py
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# -*- coding: utf-8 -*-
import datetime
from flyerbots.strategy import Strategy
from flyerbots.indicator import *
from math import floor, ceil
def qround(n, q=1):
return int(n // q * q)
def doten(position, lot):
return lot * 2 if position > lot else lot+position
def flooring(price, q=100):
return int(floor(price/q)*q)
def ceiling(price, q=100):
return int(ceil(price/q)*q)
no_trade_time_range = [
# (datetime.time( 7,55), datetime.time( 8, 5)), # JST 16:55-17:05
# (datetime.time( 8,55), datetime.time( 9, 5)), # JST 17:55-18:05
# (datetime.time( 9,55), datetime.time(10, 5)), # JST 18:55-19:05
# (datetime.time(10,55), datetime.time(11, 5)), # JST 19:55-20:05
# (datetime.time(11,55), datetime.time(12, 5)), # JST 20:55-21:05
# (datetime.time(12,55), datetime.time(13, 5)), # JST 21:55-22:05
# (datetime.time(13,55), datetime.time(14, 5)), # JST 22:55-23:05
# (datetime.time(14,55), datetime.time(15, 5)), # JST 23:55-00:05
# (datetime.time(15,55), datetime.time(23, 5)), # JST 01:00-08:05
(datetime.time(18, 55), datetime.time(19, 55)), # JST 03:55-04:55 Bitflyerメンテナンスタイム
]
class mmbot:
def __init__(self):
self.wait = 0
self.n = 0
self.maxslots = 1
def loop(self, ohlcv, ticker, board_state, strategy, **other):
self.n += 1
if self.wait < 3:
self.wait += 1
return
bid = ticker.best_bid
ask = ticker.best_ask
ltp = ticker.ltp
mid = int((ask + bid) / 2)
spr = ask - bid
# 指値計算
spread = int(max(stdev(ohlcv.close,17)[-1],110))
limit_buy = flooring(ltp - spread)+3
limit_sell = ceiling(ltp + spread)-3
# トレンド指標計算
vol = ohlcv.volume[-1]
volma1 = sma(ohlcv.volume, 6)[-1]
volma2 = sma(ohlcv.volume, 12)[-1]
volimb = sma(ohlcv.volume_imbalance, 6)[-1]
# 情報表示
logger.info('vol {vol:.1f}/{volma1:.1f}/{volma2:.1f} bid/ask {bid}/{ask}({spr}) buy/sell {limit_buy}/{limit_sell}/{spread}'.format(**locals()))
# 休憩時間（コーヒーでも飲んでまったりする）
t = datetime.datetime.utcnow().time()
coffee_break = False
for s, e in no_trade_time_range:
if t >= s and t <= e:
logger.info('Coffee break ...')
coffee_break = True
break
# エントリー
if not coffee_break:
# ロット調整
qty_lot = 0.05
# ポジションサイズ
position_size = strategy.position_size
# トレンド発生
if volma1>100 or volma2>100 or vol>150:
for no in range(self.maxslots):
strategy.cancel('L'+str(no))
strategy.cancel('S'+str(no))
# ドテン
if volimb>0:
strategy.order('Ltf', 'buy', qty=qty_lot)
elif volimb<0:
strategy.order('Stf', 'sell', qty=qty_lot)
else:
# 利確指値
if position_size > 0:
limit_buy = flooring(limit_buy-spread*0.333)+3
limit_sell = ceiling(limit_sell-spread*0.333)-3
if (bid - strategy.position_avg_price) >= spread*0.666:
limit_sell = bid
elif position_size < 0:
limit_buy = flooring(limit_buy+spread*0.333)+3
limit_sell = ceiling(limit_sell+spread*0.333)-3
if (strategy.position_avg_price - ask) >= spread*0.666:
limit_buy = ask
# 分割注文
no = self.n%self.maxslots
buysize = sellsize = qty_lot
# if strategy.position_size < 0:
# buysize = buysize + -strategy.position_size
# if strategy.position_size > 0:
# sellsize = sellsize + strategy.position_size
o = strategy.get_order('L'+str(no))
if o.status != 'open' or abs(o.price - limit_buy)>spread*0.111:
strategy.order('L'+str(no), 'buy', qty=buysize/self.maxslots, limit=min(limit_buy, bid-1), minute_to_expire=1)
o = strategy.get_order('S'+str(no))
if o.status != 'open' or abs(o.price - limit_sell)>spread*0.111:
strategy.order('S'+str(no), 'sell', qty=sellsize/self.maxslots, limit=max(limit_sell, ask+1), minute_to_expire=1)
# 注文キャンセル完了してから次の注文を出す
# # if o.status == 'open':
# # if abs(o.price - limit_buy)>spread*0.333:
# # strategy.cancel('L')
# # elif o.status == 'closed' or o.status == 'canceled':
# # strategy.order('L', 'buy', qty=qty_lot, limit=min(limit_buy, bid-1), minute_to_expire=1)
# # if o.status == 'open':
# # if abs(o.price - limit_sell)>spread*0.333:
# # strategy.cancel('S')
# # elif o.status == 'closed' or o.status == 'canceled':
# # strategy.order('S', 'sell', qty=qty_lot, limit=max(limit_sell, ask+1), minute_to_expire=1)
else:
for no in range(self.maxslots):
strategy.cancel('L'+str(no))
strategy.cancel('S'+str(no))
if strategy.position_size > 0:
strategy.order('L close', 'sell', qty=strategy.position_size)
elif strategy.position_size < 0:
strategy.order('S close', 'buy', qty=-strategy.position_size)
if __name__ == "__main__":
import settings
import argparse
import logging
import logging.config
import signal
def handle_pdb(sig, frame):
import pdb
pdb.Pdb().set_trace(frame)
signal.signal(signal.SIGUSR1, handle_pdb)
logging.config.dictConfig(settings.loggingConf('mmbot.log'))
logger = logging.getLogger("mmbot")
strategy = Strategy(mmbot().loop, 5)
strategy.settings.apiKey = settings.apiKey
strategy.settings.secret = settings.secret
strategy.settings.show_last_n_orders = 10
strategy.risk.max_position_size = 0.05
strategy.start()