add inago.py

Author: arms22

inago.py

@@ -0,0 +1,70 @@
+# -*- coding: utf-8 -*-
+from flyerbots.strategy import Strategy
+from flyerbots.indicator import *
+from datetime import datetime, time
+
+no_trade_time_range = [
+    (time(18,55), time(19, 55)),# JST 03:55-04:55 Bitflyerメンテナンスタイム
+]
+
+class inago:
+
+    def __init__(self):
+        pass
+
+    def loop(self, ticker, ohlcv, strategy, **other):
+        if len(ohlcv.close)<4:
+            return
+
+        # メンテナンス時刻
+        t = 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:
+            # イナゴ指標
+            buychg = ohlcv.high[-1]-ohlcv.high[-4]
+            sellchg = ohlcv.low[-1]-ohlcv.low[-4]
+
+            # quadratic1
+            maxsize = 0.05
+            delta_pos = strategy.position_size
+            if delta_pos>=maxsize:
+                buysize = 0
+            elif delta_pos<-maxsize:
+                buysize = maxsize
+            else:
+                buysize = (-maxsize/4)*(((delta_pos+maxsize)/maxsize)**2)+maxsize
+            if delta_pos<=-maxsize:
+                sellsize = 0
+            elif delta_pos>maxsize:
+                sellsize = maxsize
+            else:
+                sellsize = (-maxsize/4)*(((-delta_pos+maxsize)/maxsize)**2)+maxsize
+
+            buy = ticker.best_bid
+            sell = ticker.best_ask
+            if buysize>=0.01 and buychg>500:
+                strategy.order('L', 'buy', qty=buysize, limit=buy)
+            if sellsize>=0.01 and sellchg<-500:
+                strategy.order('S', 'sell', qty=sellsize, limit=sell)
+
+if __name__ == "__main__":
+    import settings
+    import logging
+    import logging.config
+
+    logging.config.dictConfig(settings.loggingConf('inago.log'))
+    logger = logging.getLogger("inago")
+
+    strategy = Strategy(inago().loop, 5)
+    strategy.settings.apiKey = settings.apiKey
+    strategy.settings.secret = settings.secret
+    strategy.settings.disable_rich_ohlcv = True
+    strategy.risk.max_position_size = 0.1
+    strategy.start()