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bot1.js
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'use strict';
process.on('uncaughtException', console.error)
// config
const config = require('./config');
const production = config.production || 0;
let account = {
api_url: config.finam.rest_url,
api_token: config.finam.tokenReadOnly,
account_id: config.finam.trade_id,
};
// settings
let redis_prefix = 'bot1';
if (production){
account = {
api_url: config.finam.rest_url,
api_token: config.finam.token,
account_id: config.finam.trade_id,
};
}
let settings = {
balance: {USD: 0, RUB: 0},
max_position: {USD: 33, RUB: 3333}, // максимальный размер позиции
min_price_offset: 3, // при повторной покупке, цена должна отличаться на 3% и более
max_positions: 5, // количество покупок на 1 инструмент
stop_buy: false,
stop_sell: false,
stop_loss: -99,
take_profit: 99,
};
const func = require('./func');
const fs = require('fs');
const redis = require('redis');
const redisClient = redis.createClient();
const redisSub = redisClient.duplicate();
// tickers
let watch_tickers = {
/*'SBER':{
symbol: 'SBER',
securityBoard: 'TQBR',
securityCode: 'SBER',
currency: 'RUB',
lotSize: 1,
decimals: 2,
minStep: 0,
candles: {
'15min': [200, 1.2]
},
},*/
};
let data_indicators = {
/*'GAZP': {
'1min': {
last_candle:{
symbol: 'GAZP',
interval: '1min',
c: 0,
time: 0,
},
ema:{
},
},
},*/
};
let portfolio = {
/*'GAZP': {
symbol: 'GAZP',
positions: {
'1603190759785': {
lots: 9,
quantity: 9,
buy_price: 100,
},
}
}*/
};
function ticker_init(securityBoard, securityCode){
const ticker = watch_tickers[securityCode];
if (!settings.balance[ticker.currency]) settings.balance[ticker.currency] = 0;
if (!ticker.minStep) ticker.minStep = 1;
if (!ticker.decimals) ticker.decimals = 2;
if (!ticker.quantity) ticker.quantity = 0;
if (!portfolio[securityCode]) portfolio[securityCode] = {positions:{}};
// candles
if (!data_indicators[securityCode]) data_indicators[securityCode] = {};
Object.keys(ticker.candles).forEach(function(interval){
if (!data_indicators[securityCode][interval]) data_indicators[securityCode][interval] = {last_candle: {security_code: securityCode, interval: interval, timestamp: 0, time: '', c: 0}};
//redisSub.subscribe('fcandle_'+securityCode+'_'+interval);
});
// subscribe
setTimeout(ticker_subscribe,3333, securityBoard, securityCode);
}
function subscribe_all(){
Object.keys(watch_tickers).forEach(function(symbol){
ticker_subscribe(watch_tickers[symbol].securityBoard, watch_tickers[symbol].securityCode);
});
orders_lookup();
}
function ticker_subscribe(securityBoard, securityCode){
redisClient.publish('fstream-cmd', JSON.stringify({cmd:'subscribe', orderbook: true, securityBoard: securityBoard, securityCode: securityCode}));
redisSub.subscribe('forderbook_'+securityCode);
}
function market_is_open(ticker){
const dateObj = new Date();
const day = dateObj.getDay();
const hours = dateObj.getHours();
const minutes = dateObj.getMinutes();
if (!((1<=day && day<=5) || (day===6 && hours<2))) return false;
if (ticker.currency==='RUB'){ // Для Российских акций
if ((0<=hours && hours<10) || (hours===18 && minutes>=45) || (hours===19 && minutes<5) || (hours===23 && minutes>45)) return false; // не торговать между 23:45—10:00 и 18:40—19:05
}else{
if ((hours===1 && minutes>=45) || (2<=hours && hours<10)) return false; // не торговать между 1:45—7:01
}
return true;
}
function settings_save(cb){
// settings
fs.writeFile('settings/'+redis_prefix+'-settings.json', JSON.stringify(settings, null, 4), function(err){
if (!err){
//console.log('Saved settings');
}else{
console.error(func.dateYmdHis(), 'settings_save() ERROR save vars', err);
console.error('settings: ', JSON.stringify(settings, null, 4));
msg('settings_save() ERROR save settings');
}
// tickers
fs.writeFile('settings/'+redis_prefix+'-tickers.json', JSON.stringify(watch_tickers, null, 4), function(err){
if (!err){
//console.log('Saved tickers');
//console.log('tickers', JSON.stringify(tickers, null, 4));
}else{
console.error(func.dateYmdHis(), 'settings_save() ERROR save watch_tickers', err);
console.error('tickers: ', JSON.stringify(watch_tickers, null, 4));
msg('settings_save() ERROR save watch_tickers');
}
// portfolio
fs.writeFile('settings/'+redis_prefix+'-portfolio.json', JSON.stringify(portfolio, null, 4), function(err){
if (!err){
//console.log('Saved portfolio');
}else{
console.error(func.dateYmdHis(), 'settings_save() ERROR save portfolio', err);
console.error('portfolio: ', JSON.stringify(portfolio, null, 4));
//msg('settings_save() ERROR save portfolio\n'+JSON.stringify(err, null, 4));
}
// indicators
fs.writeFile('settings/'+redis_prefix+'-indicators.json', JSON.stringify(data_indicators, null, 4), function(err){
if (!err){
//console.log('Saved indicators');
}else{
console.error(func.dateYmdHis(), 'settings_save() ERROR save indicators', err);
console.error('indicators: ', JSON.stringify(data_indicators, null, 4));
msg('settings_save() ERROR save indicators');
}
if (cb) cb();
});
});
});
});
}
function settings_load(cb){
// settings
console.log('Loading settings');
fs.readFile('settings/'+redis_prefix+'-settings.json', 'utf-8', function(err, data){
if (!err && data){
settings = func.mergeDeep({}, settings, JSON.parse(data.toString()));
}else{
console.error(func.dateYmdHis(), 'settings_load() ERROR load vars\n', err);
console.error('settings: ', data);
//msg('settings_load() ERROR load settings\n'+JSON.stringify(err, null, 4));
}
// watch_tickers
console.log('Loading tickers');
fs.readFile('settings/'+redis_prefix+'-tickers.json', 'utf-8', function(err, data){
if (!err && data){
watch_tickers = JSON.parse(data.toString());
}else{
console.error(func.dateYmdHis(), 'settings_load() ERROR load tickers\n', err);
console.error('tickers: ', data);
//msg('settings_load() ERROR load tickers\n'+JSON.stringify(err, null, 4));
}
// portfolio
console.log('Loading portfolio');
fs.readFile('settings/'+redis_prefix+'-portfolio.json', 'utf-8', function(err, data){
if (!err && data){
portfolio = JSON.parse(data.toString());
}else{
console.error(func.dateYmdHis(), 'settings_load() ERROR load portfolio\n', err);
console.error('portfolio: ', data);
//msg('settings_load() ERROR load portfolio\n'+JSON.stringify(err, null, 4));
}
// indicators
console.log('Loading indicators');
fs.readFile('settings/'+redis_prefix+'-indicators.json', 'utf-8', function(err, data){
if (!err && data){
data_indicators = JSON.parse(data.toString());
}else{
console.error(func.dateYmdHis(), 'settings_load() ERROR load indicators\n', err);
console.error('indicators: ', data);
//msg('settings_load() ERROR load indicators\n'+JSON.stringify(err, null, 4));
}
Object.keys(watch_tickers).forEach(function(securityCode){
ticker_init(watch_tickers[securityCode].securityBoard, securityCode);
});
if (cb) cb();
});
});
});
});
}
function msg(text, _private){
redisClient.publish('ftelegram-bot', JSON.stringify({cmd:_private?'private':redis_prefix, text:text}));
}
function msg_portfolio(){
func.rest('get', '/api/v1/portfolio', {url:account.api_url, token:account.api_token, qs:{
'clientId': account.account_id,
'Content.IncludeCurrencies': true,
'Content.IncludeMoney': true,
'Content.IncludePositions': true,
'Content.IncludeMaxBuySell': true,
}}, function(err, req_body){
//console.log('msg_portfolio() portfolio', 'err', err, 'body', JSON.stringify(req_body, null, 4));
if (!err && req_body && req_body.data && req_body.data.positions){
let totalSum = req_body.data.equity;
let positions = [];
req_body.data.positions.forEach(function(position){
const ticker = watch_tickers[position.securityCode] || {symbol:position.securityCode};
ticker.quantity = position.balance;
const avg_price = position.averagePrice, price = func.correctFloat(position.currentPrice), result_percent = func.round((price-avg_price)/avg_price*100, 3)||0;
positions.push(ticker.symbol+' '+ticker.quantity+' шт. '+price+' '+(result_percent>0?'+':'')+result_percent+'%');
console.log(ticker.symbol, avg_price, price, result_percent+'%');
});
req_body.data.money.forEach(function(item){
if (item.currency.toUpperCase()==='RUB'){
settings.balance.RUB = item.balance;
}
if (item.currency.toUpperCase()==='USD'){
settings.balance.USD = item.balance;
}
});
// список ордеров
const buy_orders = [], sell_orders = [];
Object.keys(portfolio).forEach(function(symbol){
if (portfolio[symbol].positions) Object.keys(portfolio[symbol].positions).forEach(function(position_key){
const position = portfolio[symbol].positions[position_key];
if (position.buy_in_progress){
buy_orders.push([position.quantity, '#'+symbol, position.buy_price].join(' '));
// Исключим из доступных средств выставленные ордеры на покупку
if (watch_tickers[symbol].currency==='RUB'){
settings.balance.RUB -= position.buy_price * position.quantity;
}else{
settings.balance.USD -= position.buy_price * position.quantity;
}
}
if (position.sell_in_progress){
sell_orders.push([position.quantity, '#'+symbol, position.sell_price].join(' '));
}
});
});
settings.balance.RUB = func.round(settings.balance.RUB, 2);
settings.balance.USD = func.round(settings.balance.USD, 2);
// список выключенных
let disabled_list = [];
if (settings.stop_buy) disabled_list.push('Все покупки');
if (settings.stop_sell) disabled_list.push('Все продажи');
Object.keys(watch_tickers).forEach(function(symbol){
const ticker = watch_tickers[symbol];
let types = [];
if (ticker.stop_buy) types.push('покупка'/*+' '+ticker.buy_price*/);
if (ticker.stop_sell) types.push('продажа'/*+' '+ticker.sell_price*/);
if (types.length) disabled_list.push(ticker.symbol+' '+types.join(' / '));
});
msg(func.round(totalSum, 2)+' RUB' +
'\nДоступно: '+settings.balance.RUB +' RUB'+
(positions.length?'\n\nПозиции:\n'+positions.sort().join('\n'):'') +
(!positions.length?'\n\nНет открытых позиций':'') +
(sell_orders.length?'\n\nОрдер на продажу:\n'+sell_orders.join('\n'):'') +
(buy_orders.length?'\n\nОрдер на покупку:\n'+buy_orders.join('\n'):'') +
((disabled_list.length)?'\n\nВыключено:\n'+disabled_list.join('\n'):'') +
''
);
orders_lookup();
}
});
}
function orders_lookup(){
func.rest('get', '/api/v1/orders', {url: account.api_url, token: account.api_token, qs:{
ClientId: account.account_id,
IncludeMatched: true,
IncludeCanceled: true,
IncludeActive: false,
}}, function(err, req_body){
if (!err && req_body && req_body.data && req_body.data.orders){
const orders = {};
req_body.data.orders.forEach(function(order){
orders[order.transactionId] = order;
});
Object.keys(portfolio).forEach(function(securityCode){
if (portfolio[securityCode].positions){
Object.keys(portfolio[securityCode].positions).forEach(function(position_key){
const position = portfolio[securityCode].positions[position_key];
const order = orders[position.transaction_id];
if (order && (position.buy_in_progress || position.sell_in_progress)){
if (order.status==='Matched'){
if (position.buy_in_progress){
if (order.price < position.buy_price) position.buy_price = order.price;
msg_bought(position_key, securityCode, position);
delete position.buy_in_progress;
}
if (position.sell_in_progress){
if (order.price > position.sell_price) position.sell_price = order.price;
msg_sold(position_key, securityCode, func.mergeDeep({}, position));
delete portfolio[securityCode].positions[position_key];
}
}
if (order.status==='Cancelled'){
msg('*Отменил '+(position.buy_in_progress?'покупку':'')+(position.sell_in_progress?'продажу':'')+'* '+position.quantity+' #'+securityCode);
if (position.buy_in_progress){
delete portfolio[securityCode].positions[position_key];
}
if (position.sell_in_progress){
delete position.cancel_in_progress;
delete position.sell_in_progress;
delete position.sell_price;
delete position.force_sell;
}
}
}
});
}
});
}else{
console.error('orders_lookup() err', err, 'req_body', JSON.stringify(req_body, null, 4));
}
});
}
function query_buy(clientOrderId, securityBoard, securityCode, lots, price, cb){
console.log('query_buy()', clientOrderId, securityBoard, securityCode, lots, price);
/*const params = {
url: account.api_url, token: account.api_token, body: {
"clientId": account.account_id,
"securityBoard": securityBoard,
"securityCode": securityCode,
"buySell": "Buy",
"quantity": lots,
"useCredit": false,
"price": price,
"property": "PutInQueue",
"condition": {
"type": "Bid",
"price": price,
"time": (new Date()).toISOString()
},
"validBefore": {
"type": "TillEndSession",
//"time": "2023-03-02T07:25:11.226Z"
}
}
};
console.log('params', params.body);
func.rest('post', '/api/v1/orders', params, function(err, req_body){
console.log('query_buy() post', 'err', err, 'req_body', req_body); // query_buy() post err null req_body undefined
cb(err, req_body);
});*/
redisClient.publish('fstream-cmd', JSON.stringify({
cmd: 'NewOrder',
clientId: account.account_id,
securityBoard: securityBoard,
securityCode: securityCode,
clientOrderId: clientOrderId,
direction: 'Buy',
quantity: lots,
price: price,
}));
cb(null, null);
}
function ticker_buy(securityBoard, securityCode, price, interval, force_buy, comment){
const ticker = watch_tickers[securityCode];
console.log(func.dateYmdHis(), 'ticker_buy()', ticker.symbol, price, interval, 'force_buy', force_buy);
if (market_is_open(ticker) || force_buy){
if (!portfolio[securityCode]) portfolio[securityCode] = {symbol: ticker.symbol, positions: {}};
const position_keys = Object.keys(portfolio[securityCode].positions);
if (position_keys.length < settings.max_positions){
let buy_price;
if (price){ // цена указана вручную
buy_price = price;
}else{
buy_price = ticker.buy_price;
}
const minstep = ticker.minStep / Math.pow(10, ticker.decimals);
buy_price = func.correctFloat(Math.ceil(buy_price / minstep) * minstep); // округление до шага цены инструмента
// поискать позиции, купленные по такой же цене +- min_price_offset
let cancel = false; // не покупать
position_keys.forEach(function(timestamp){
const position = portfolio[securityCode].positions[timestamp];
if (position.interval===interval){
if (Math.abs(buy_price-position.buy_price)/position.buy_price*100 < settings.min_price_offset) cancel = true; // совпадение по buy_price
}
});
if (!cancel){
// подсчитать количество и лоты
const max_pos = ticker.currency==='RUB' ? settings.max_position.RUB : settings.max_position.USD;
let lots = Math.floor( max_pos / (ticker.lotSize * buy_price)) || 1;
let quantity = lots * ticker.lotSize;
// Проверка баланса
if ((ticker.currency==='RUB' ? settings.balance.RUB : settings.balance.USD) > buy_price*quantity){
const dateObj = new Date();
const timestamp = dateObj.getTime();
const position = {clientOrderId: timestamp, securityBoard: securityBoard, securityCode: securityCode, time: timestamp, date: func.dateYmdHis(), interval: interval, lots: lots, quantity: quantity, buy_price: buy_price, stop_loss: func.round(buy_price + buy_price / 100 * (ticker.stop_loss || settings.stop_loss), ticker.decimals || 2), buy_in_progress: timestamp, comment: comment || '', buy_comment: comment || ''};
portfolio[securityCode].positions[position.time] = position;
if (!production){
msg_bought(timestamp, securityCode, position);
delete position.buy_in_progress;
}else{
query_buy(timestamp, securityBoard, securityCode, position.lots, position.buy_price, function(err, req_body){
msg(
'Покупаю '+position.quantity+' #'+ticker.symbol+' *'+position.buy_price+'* '+interval+'\n'+
func.markdown_escape(position.comment)
);
/*if (!err && req_body && req_body.data && req_body.data.transactionId){
position.id = req_body.data.transactionId;
console.log(func.dateYmdHis(), 'Limit-Buy', position.quantity, ticker.symbol, position.buy_price, interval);
//setTimeout(orders_lookup, 999, true);
ticker.buy_tries = 0;
}else{
const clear = function(){
delete portfolio[securityCode].positions[position.time]; // удалить позицию
};
if ((err && err.code==='ESOCKETTIMEDOUT') || !req_body){
ticker.buy_tries = (ticker.buy_tries || 0) + 1;
if (ticker.buy_tries < 10){
setTimeout(ticker_buy, 33333, securityBoard, securityCode, price, interval, force_buy, comment);
}
clear();
}else{
console.error(func.dateYmdHis(), 'Error buy', position.quantity, ticker.symbol, 'price', position.buy_price, interval, 'limit_down', ticker.limit_down, 'limit_up', ticker.limit_up);
console.error('position', position);
msg(
'*Error buy* '+position.quantity+' #'+ticker.symbol+' ('+position.buy_price+') '+interval+'\n'+
func.dateYmdHis()+'\n'+
func.markdown_escape(JSON.stringify({err:err, req_body:req_body}, null, 4))+'\n'
);
setTimeout(clear, 3333);
}
}*/
});
}
}else{
console.error(func.dateYmdHis(), 'Cancel buy', quantity, ticker.symbol, buy_price, interval, 'out of balance');
if (!ticker.msg_nsf || ticker.msg_nsf < Date.now() - 1000*3600*6){ // 6 hours
ticker.msg_nsf = Date.now();
msg(
'*Покупка* '+quantity+' #'+ticker.symbol+' '+buy_price+' '+interval+'\n'+
'Недостаточно средств.'
);
}
}
}else{
/*console.error(func.dateYmdHis(), 'Cancel buy', ticker.symbol, buy_price, interval, 'same price');
msg(
'Сигнал на *покупку* #'+ticker.symbol+' '+interval+'\n'+
'Есть позиция в рамках '+settings.min_price_offset+'% от текущей цены.'
);*/
}
}else{
console.error(func.dateYmdHis(), 'Cancel buy', ticker.symbol, interval, 'out of limit');
msg(
'Сигнал на *покупку* #'+ticker.symbol+' '+interval+'\n'+
'Достигнут лимит по инструменту.'
);
}
}else{
/*console.error(func.dateYmdHis(), 'Cancel buy', ticker.symbol, interval, 'disabled OR market closed');
msg(
'Сигнал на *покупку* #'+ticker.symbol+' '+interval+'\n'+
'Сессия закрыта.'
);*/
}
}
function msg_bought(timestamp, securityCode, position){
const ticker = watch_tickers[securityCode];
console.log(func.dateYmdHis(), 'Bought', position.quantity, ticker.symbol, position.buy_price);
console.log(position);
if (ticker.currency==='RUB'){
settings.balance.RUB -= position.buy_price * position.quantity;
}else{
settings.balance.USD -= position.buy_price * position.quantity;
}
ticker.quantity += position.quantity;
const buy_price = ticker.decimals ? func.round(position.buy_price, ticker.decimals) : position.buy_price;
msg(
'Купил '+position.quantity+' #'+ticker.symbol+' *'+buy_price+'* '+position.interval+'\n'+
func.markdown_escape(position.comment)
);
//if (1 || production) msg_portfolio(ticker.currency==='RUB');
settings_save();
}
function query_sell(clientOrderId, securityBoard, securityCode, lots, price, cb){
console.log('query_sell()', clientOrderId, securityBoard, securityCode, lots, price);
/*const params = {
url: account.api_url, token: account.api_token, body: {
"clientId": account.account_id,
"securityBoard": securityBoard,
"securityCode": securityCode,
"buySell": "Sell",
"quantity": lots,
"useCredit": false,
"price": price,
"property": "PutInQueue",
"condition": {
"type": "Ask",
"price": price,
"time": (new Date()).toISOString()
},
"validBefore": {
"type": "TillEndSession",
//"time": "2023-03-02T07:25:11.226Z"
}
}
};
console.log('params', params.body);
func.rest('post', '/api/v1/orders', params, function(err, req_body){
console.log('query_buy() post', 'err', err, 'req_body', req_body); // query_buy() post err null req_body undefined
cb(err, req_body);
});*/
redisClient.publish('fstream-cmd', JSON.stringify({
cmd: 'NewOrder',
clientId: account.account_id,
securityBoard: securityBoard,
securityCode: securityCode,
clientOrderId: clientOrderId,
direction: 'Sell',
quantity: lots,
price: price,
}));
cb(null, null);
}
function ticker_sell(securityBoard, securityCode, price, interval, force_sell, comment){
const ticker = watch_tickers[securityCode];
//console.log(func.dateYmdHis(), 'ticker_sell()', ticker.symbol, price, interval, 'force_sell', force_sell);
if (market_is_open(ticker) || force_sell){
let sell_price;
if (price){ // цена указана вручную
sell_price = price;
}else{ // встречная
sell_price = ticker.sell_price;
}
if (portfolio[securityCode] && portfolio[securityCode].positions){
Object.keys(portfolio[securityCode].positions).forEach(function(position_key){
const position = portfolio[securityCode].positions[position_key];
if (!position.buy_in_progress && !position.sell_in_progress){
const profit_percent = (sell_price - position.buy_price) / position.buy_price * 100;
if (!force_sell){ // если цена не указана вручную
position.stop_loss = Math.max(position.stop_loss, func.round(sell_price + sell_price / 100 * (ticker.stop_loss || settings.stop_loss), ticker.decimals || 2)); // trailing stop
}
if (profit_percent >= Math.min(ticker.take_profit || settings.take_profit, settings.take_profit)
|| profit_percent <= Math.max(ticker.stop_loss || settings.stop_loss, settings.stop_loss)
|| sell_price <= position.stop_loss // trailing stop
|| force_sell
){
interval = position.interval;
position.sell_in_progress = Date.now();
position.comment = ((position.comment || '') + '\n' + (comment || '')).trim();
position.sell_comment = comment || '';
if (sell_price <= position.stop_loss) sell_price = position.stop_loss; // stop-limit
const minstep = ticker.minStep / Math.pow(10, ticker.decimals);
sell_price = func.correctFloat(Math.floor(sell_price / minstep) * minstep); // округление до шага цены инструмента
position.sell_price = sell_price;
if (!production){
msg_sold(position.sell_in_progress, securityCode, func.mergeDeep({}, position));
delete portfolio[securityCode].positions[position_key];
}else{
query_sell(position_key, securityBoard, securityCode, position.lots, position.sell_price, function(err, req_body){
msg(
'Продаю '+position.quantity+' #'+ticker.symbol+' *'+position.sell_price+'* '+position.interval+'\n'+
func.markdown_escape(position.comment)
);
/*if (!err && req_body && req_body.data && req_body.data.transactionId){
position.id = req_body.data.transactionId;
console.log(func.dateYmdHis(), 'Limit-Sell', position.quantity, ticker.symbol, position.sell_price, position.interval);
//setTimeout(orders_lookup, 999, true);
ticker.sell_tries = 0;
}else{
const clear = function(){
delete position.sell_in_progress; // убрать флажок
delete position.force_sell; // убрать флажок
delete position.sell_price; // убрать флажок
};
if ((err && err.code==='ESOCKETTIMEDOUT') || !req_body){
ticker.sell_tries = (ticker.sell_tries || 0) + 1;
if (ticker.sell_tries < 10){
setTimeout(ticker_sell, 33333, securityBoard, securityCode, price, interval, force_sell, comment);
}
clear();
}else{
console.error(func.dateYmdHis(), 'Error sell', position.quantity, ticker.symbol, 'price', position.sell_price, position.interval, 'limit_down', ticker.limit_down, 'limit_up', ticker.limit_up);
console.error('position', position);
msg(
'*Error* sell '+position.quantity+' #'+ticker.symbol+' ('+position.sell_price+') '+position.interval+'\n'+
func.markdown_escape(JSON.stringify({err:err, req_body:req_body}, null, 4))+'\n'+
func.dateYmdHis()
);
setTimeout(clear, 3333); // 3 сек
}
}*/
});
}
}
}
});
}
}else{
/*console.error(func.dateYmdHis(), 'Cancel sell', ticker.symbol, interval, 'disabled OR market closed');
msg(
'Сигнал на *продажу* #'+ticker.symbol+' '+(interval||'')+'\n'+
'Сессия закрыта.'
);*/
}
}
function ticker_cancel(securityBoard, securityCode, position, force_cancel){
const ticker = watch_tickers[securityCode];
if (ticker && market_is_open(ticker) && position && position.transaction_id && !position.cancel_in_progress && ((position.cancel_tries||0)<3 || force_cancel)){
position.cancel_in_progress = Date.now();
position.cancel_tries = (position.cancel_tries||0) + 1;
//msg('*Отмена* заявки #'+ticker.symbol+'\n'+func.markdown_escape(JSON.stringify(position, null, 4)));
console.log('Cancel position', ticker.symbol, position);
delete position.sell_price;
redisClient.publish('fstream-cmd', JSON.stringify({
cmd: 'CancelOrder',
securityBoard: securityBoard,
securityCode: securityCode,
transactionId: position.transaction_id,
}));
}
}
function msg_sold(timestamp, securityCode, position, _quantity){
const ticker = watch_tickers[securityCode];
const quantity = _quantity || position.quantity;
console.log(func.dateYmdHis(), 'Sold', quantity, ticker.symbol, position.sell_price);
console.log(position);
if (ticker.currency==='RUB'){
settings.balance.RUB += position.sell_price * quantity;
}else{
settings.balance.USD += position.sell_price * quantity;
}
ticker.quantity -= quantity;
const sell_price = ticker.decimals ? func.round(position.sell_price, ticker.decimals) : position.sell_price;
msg(
'Продал '+quantity+' #'+ticker.symbol+' *'+sell_price+'* '+position.interval+'\n'+
func.markdown_escape(position.comment)
);
//if (1 || production) msg_portfolio(ticker.currency==='RUB');
settings_save();
}
function update_indicators(candle, no_signals){
const ticker = watch_tickers[candle.security_code];
if (ticker.candles[candle.interval]){
const vars = data_indicators[candle.security_code][candle.interval];
const prev_ema200 = vars.ema200 && vars.ema200.EMAvalue;
const prev_ema12 = vars.ema12 && vars.ema12.EMAvalue;
const prev_ema26 = vars.ema26 && vars.ema26.EMAvalue;
const prev_macd_slow = vars.ema26 && vars.ema26.EMAvalue;
// EMA 200
const ema200 = new func.EMA(ticker.candles[candle.interval][0], vars.ema200);
ema200.addPoint(candle.timestamp, candle.c);
vars.ema200 = ema200.getVars();
// EMA 12
const ema12 = new func.EMA(12, vars.ema12);
ema12.addPoint(candle.timestamp, candle.c);
vars.ema12 = ema12.getVars();
// EMA 26
const ema26 = new func.EMA(26, vars.ema26);
ema26.addPoint(candle.timestamp, candle.c);
vars.ema26 = ema26.getVars();
if (vars.ema12.EMAvalue && vars.ema26.EMAvalue){ // посчитались быстрые Ema
const macd_fast = vars.ema12.EMAvalue-vars.ema26.EMAvalue;
// EMA 9
const ema9 = new func.EMA(9, vars.ema9);
ema9.addPoint(candle.timestamp, macd_fast);
vars.ema9 = ema9.getVars();
const macd_slow = vars.ema9.EMAvalue;
if (prev_ema200 && vars.ema200.EMAvalue){ // посчитались Ema
if (macd_slow){ // посчитался MacD
if (prev_ema200 < vars.ema200.EMAvalue){ // растущая 200-я
if (prev_ema12 && prev_ema26 && prev_macd_slow){
const prev_macd_fast = prev_ema12-prev_ema26;
if (prev_macd_fast < prev_macd_slow && macd_slow < macd_fast && macd_fast < 0 && macd_slow < 0){ // пересечение по MacD ниже оси 0
if ((candle.c-vars.ema200.EMAvalue)/vars.ema200.EMAvalue*100 <= ticker.candles[candle.interval][1]){ // цена закрытия не выше медленной Ema на устрановленный %
// buy
vars.last_signal = 'buy';
vars.last_signal_at = func.dateYmdHis();
if (!no_signals){
if (!settings.stop_buy && !ticker.stop_buy){
ticker_buy(ticker.securityBoard, ticker.securityCode, ticker.buy_price, candle.interval, false);
}else{
msg(
'Сигнал на *покупку* #'+ticker.symbol+' *'+ticker.buy_price+'* '+candle.interval+'\n'+
'Выключена покупка'
);
}
}
}
}
}
}
// sell
if (0){ // здесь можно придумать условия, при выполнении которых возникнет сигнал на продажу; а пока что продажа происходит по СЛ и ТП
vars.last_signal = 'sell';
vars.last_signal_at = func.dateYmdHis();
if (!no_signals){
if (!settings.stop_sell && !ticker.stop_sell){
ticker_sell(ticker.securityBoard, ticker.securityCode, ticker.sell_price, candle.interval, false);
}else{
msg(
'Сигнал на *продажу* #'+ticker.symbol+' *'+ticker.sell_price+'* '+candle.interval+'\n'+
'Выключена продажа'
);
}
}
}
}
}
}
}
}
setTimeout(function(){
setInterval(function(){
const dateObj = new Date(), hours = dateObj.getHours(), minutes = dateObj.getMinutes();
Object.keys(watch_tickers).forEach(function(securityCode){
const ticker = watch_tickers[securityCode];
if (market_is_open(ticker)){
Object.keys(ticker.candles).forEach(function(interval){
const interval_minutes = func.interval_to_minutes(interval);
if ((hours*60+minutes)%interval_minutes===0){
get_candles(ticker.securityBoard, ticker.securityCode, {timeFrame: func.get_timeframe_id(interval), count: 1}, function(err, resp){
if (!err && resp && resp.length){
const candle = resp.pop();
event_candle({candle:{security_code: ticker.securityCode, interval: interval, timestamp: candle.timestamp.seconds*1000, time: new Date(candle.timestamp.seconds*1000).toISOString(), o: func.scientific2decimal(candle.open), h: func.scientific2decimal(candle.high), l: func.scientific2decimal(candle.low), c: func.scientific2decimal(candle.close), v: candle.volume}});
}else{
console.error(func.dateYmdHis(), 'get_candles()', securityCode, interval);
console.error('err', err);
console.error('resp', resp);
}
});
}
});
}
});
}, 1000*60); // Каждую минуту
}, 1000*(61-new Date().getSeconds())); // Дождаться 1-й секунды новой минуты
function event_candle(data){
//console.log(data);
const vars = data_indicators[data.candle.security_code] && data_indicators[data.candle.security_code][data.candle.interval];
if (vars){
if (vars.last_candle.time < data.candle.time){
update_indicators(data.candle);
vars.last_candle = data.candle;
}
}
const ticker = watch_tickers[data.candle.security_code];
if (!settings.stop_sell && !ticker.stop_sell){
ticker_sell(ticker.securityBoard, ticker.securityCode, data.candle.c, null, false);
}
}
function event_orderbook(data){
if (data.order_book.bids && data.order_book.asks && data.order_book.bids[0] && data.order_book.bids[0].price && data.order_book.asks[0] && data.order_book.asks[0].price){
const ticker = watch_tickers[data.order_book.security_code];
//ticker.last_price = ?;
ticker.buy_price = func.correctFloat(data.order_book.asks[0].price);
ticker.sell_price = func.correctFloat(data.order_book.bids[0].price);
if (!settings.stop_sell && !ticker.stop_sell){
ticker_sell(ticker.securityBoard, ticker.securityCode, ticker.sell_price, null, false);
}
}
}
function get_securities(cb){
func.cachedJSONfile('cache/securities-finam.json', 600*1000/*10 min*/, function(err, json_data){
if (!err && json_data){
cb(err, json_data);
}else{
func.rest('get', '/api/v1/securities', {url: account.api_url, token: account.api_token, qs:{}}, function(err, req_body){
if (!err && req_body && req_body.data && req_body.data.securities && req_body.data.securities.length){
func.writeJSONfile('cache/securities-finam.json', req_body.data.securities, function(err){
cb(null, req_body.data.securities);
});
}else{
console.error(func.dateYmdHis(), 'get_securities()');
console.error('err', err);
console.error('req_body', req_body);
msg('Не удалось получить список инструментов');
}
});
}
});
}
const callbacks = {};
function get_candles(securityBoard, securityCode, params, cb){
params = params || {};
const timestamp = Date.now(), queryId = securityCode+timestamp;
if (cb) callbacks[queryId] = function(err, resp){
cb(err, resp);
delete callbacks[queryId];
};
redisClient.publish('fstream-cmd', JSON.stringify({
cmd: 'GetIntradayCandles',
securityBoard: securityBoard,
securityCode: securityCode,
params: {
queryId: queryId,
timeFrame: params.timeFrame || 'INTRADAYCANDLE_TIMEFRAME_M15',
count: params.count || 1,
toMs: timestamp,
}
}));
}
redisSub.on('message', function(channel, data){
//console.log(channel, data);
if (data && typeof(data)==='string'){
try{
data = JSON.parse(data);
}catch(e){
console.error(func.dateYmdHis(), redis_prefix+': Error parse data', data, e);
}
if (data && typeof(data)==='object'){
/* COMMANDS */
if (channel===redis_prefix+'-cmd'){
console.log('Redis', channel, data);
if (data.symbol && data.symbol!=='*'){ // операция с инструментом
const symbols = data.symbol.trim().split(/\s+/);
// добавить инструмент
// add ticker [symbol]
if (data.cmd==='add ticker'){
get_securities(function(err, securities){
if (!err && securities){
let added_count = 0;
securities.forEach(function(ticker){
if (symbols.includes(ticker.board+'.'+ticker.code)){
//console.log(ticker);
const add_ticker = {symbol: ticker.code};
add_ticker.securityCode = ticker.code;