mirror of
https://github.com/asavinov/intelligent-trading-bot.git
synced 2026-05-04 16:26:44 +00:00
254 lines
11 KiB
Python
254 lines
11 KiB
Python
from pathlib import Path
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from typing import Union
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import json
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PACKAGE_ROOT = Path(__file__).parent.parent
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#PACKAGE_PARENT = '..'
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#SCRIPT_DIR = os.path.dirname(os.path.realpath(os.path.join(os.getcwd(), os.path.expanduser(__file__))))
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#sys.path.append(os.path.normpath(os.path.join(SCRIPT_DIR, PACKAGE_PARENT)))
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#PACKAGE_ROOT = os.path.dirname(os.path.abspath(__file__))
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class App:
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"""Globally visible variables."""
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# System
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loop = None # asyncio main loop
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sched = None # Scheduler
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analyzer = None # Store and analyze data
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# Connector client
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client = None
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# WebSocket for push notifications
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bm = None
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conn_key = None # Socket
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signal = None, # Latest signal "BUY", "SELL"
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#
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# State of the server (updated after each interval)
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#
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# State 0 or None or empty means ok. String and other non empty objects mean error
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error_status = 0 # Networks, connections, exceptions etc. what does not allow us to work at all
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server_status = 0 # If server allow us to trade (maintenance, down etc.)
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account_status = 0 # If account allows us to trade (funds, suspended etc.)
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trade_state_status = 0 # Something wrong with our trading logic (wrong use, inconsistent state etc. what we cannot recover)
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# Trade status
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status = None # BOUGHT, SOLD, BUYING, SELLING
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order = None # Latest or current order
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order_time = None # Order submission time
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# Available assets for trade
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# Can be set by the sync/recover function or updated by the trading algorithm
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base_quantity = "0.04108219" # BTC owned (on account, already bought, available for trade)
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quote_quantity = "1000.0" # USDT owned (on account, available for trade)
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#
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# Trader. Status data retrieved from the server. Below are examples only.
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#
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system_status = {"status": 0, "msg": "normal"} # 0: normal，1：system maintenance
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symbol_info = {
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"symbol": "BTCUSDT",
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"status": "TRADING",
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"baseAsset": "BTC",
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"baseAssetPrecision": 8,
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"quoteAsset": "USDT",
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"quotePrecision": 8,
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"orderTypes": ["LIMIT", "LIMIT_MAKER", "MARKET", "STOP_LOSS_LIMIT", "TAKE_PROFIT_LIMIT"],
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"icebergAllowed": True,
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"ocoAllowed": True,
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"isSpotTradingAllowed": True,
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"isMarginTradingAllowed": True,
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"filters": [],
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}
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account_info = {
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"makerCommission": 15,
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"takerCommission": 15,
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"buyerCommission": 0,
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"sellerCommission": 0,
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"canTrade": True,
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"canWithdraw": True,
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"canDeposit": True,
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"balances": [
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{"asset": "BTC", "free": "4723846.89208129", "locked": "0.00000000"},
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{"asset": "LTC", "free": "4763368.68006011", "locked": "0.00000000"},
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]
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}
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#
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# Constant configuration parameters
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#
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config = {
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"actions": ["notify"], # Values: notify, trade
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# Binance
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"api_key": "",
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"api_secret": "",
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# Telegram
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"telegram_bot_token": "", # Source address of messages
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"telegram_chat_id": "", # Destination address of messages
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"symbol": "", # BTCUSDT ETHUSDT - use config
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"base_asset": "", # BTC ETH
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"quote_asset": "",
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# File locations
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"data_folder": "", # It is needed for model training
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"model_folder": "", # It is needed by signaler at run time
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# === analyzer (NAMES, also for scripts) ===
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# Parameters of label generation
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"label_horizon": 180,
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# Target columns with true values which will be predicted
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# Leave only what we want to be generated (e.g., only one label for debug purposes)
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"labels": [
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'high_10', 'high_15', 'high_20',
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'low_10', 'low_15', 'low_20',
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],
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"labels_regr": [
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'high_max_60','high_max_120','high_max_180', # Maximum high (relative)
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'low_min_60','low_min_120','low_min_180', # Minimum low (relative)
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'high_to_low_60', 'high_to_low_120', 'high_to_low_180',
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'close_area_future_60', 'close_area_future_120', 'close_area_future_180', 'close_area_future_300',
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],
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"class_labels_all": [ # All existing target labels implemented in label generation procedure
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'high_max_180', # Maximum high (relative)
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'high_10', 'high_15', 'high_20', 'high_25', # At least one time above
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'high_01', 'high_02', 'high_03', 'high_04', # Always below
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'low_min_180', # Minimum low (relative)
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'low_01', 'low_02', 'low_03', 'low_04', # Always above
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'low_10', 'low_15', 'low_20', 'low_25', # At least one time below
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'high_to_low_180',
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'close_area_future_60','close_area_future_120','close_area_future_180','close_area_future_300',
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],
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# Parameters of feature generation.
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# If these are changed, then feature names (below) will also have to be changed
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"base_window_kline": 1440,
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"windows_kline": [1, 5, 15, 60, 180, 720],
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"area_windows_kline": [60, 120, 180, 300, 720],
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# Feature column names returned by the feature generation function which we want to use for train/predict
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"features_kline": [
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'close_1','close_5','close_15','close_60','close_180','close_720',
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'close_std_5','close_std_15','close_std_60','close_std_180','close_std_720', # Removed "std_1" which is constant
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'volume_1','volume_5','volume_15','volume_60','volume_180','volume_720',
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'span_1', 'span_5', 'span_15', 'span_60', 'span_180', 'span_720',
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'trades_1','trades_5','trades_15','trades_60','trades_180','trades_720',
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'tb_base_1','tb_base_5','tb_base_15','tb_base_60','tb_base_180','tb_base_720',
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'tb_quote_1','tb_quote_5','tb_quote_15','tb_quote_60','tb_quote_180','tb_quote_720',
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'close_area_60', 'close_area_120', 'close_area_180', 'close_area_300', 'close_area_720',
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'close_trend_5', 'close_trend_15', 'close_trend_60', 'close_trend_180', 'close_trend_720',
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], # 51 features
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"features_futur": [ # Feature columns implemented (hard-coded) by feature generation function
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"f_close_1", "f_close_2", "f_close_5", "f_close_20", "f_close_60", "f_close_180",
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"f_close_std_2", "f_close_std_5", "f_close_std_20", "f_close_std_60", "f_close_std_180", # Removed "std_1" which is constant
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"f_volume_1", "f_volume_2", "f_volume_5", "f_volume_20", "f_volume_60", "f_volume_180",
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"f_span_1", "f_span_2", "f_span_5", "f_span_20", "f_span_60", "f_span_180",
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"f_trades_1", "f_trades_2", "f_trades_5", "f_trades_20", "f_trades_60", "f_trades_180",
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'f_close_area_20', 'f_close_area_60', 'f_close_area_120', 'f_close_area_180',
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'close_trend_2', 'close_trend_5', 'close_trend_20', 'close_trend_60', 'close_trend_180',
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], # 38 features
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"features_depth": [
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"gap_2","gap_5","gap_10",
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"bids_1_2","bids_1_5","bids_1_10", "asks_1_2","asks_1_5","asks_1_10",
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"bids_2_2","bids_2_5","bids_2_10", "asks_2_2","asks_2_5","asks_2_10",
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"bids_5_2","bids_5_5","bids_5_10", "asks_5_2","asks_5_5","asks_5_10",
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"bids_10_2","bids_10_5","bids_10_10", "asks_10_2","asks_10_5","asks_10_10",
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"bids_20_2","bids_20_5","bids_20_10", "asks_20_2","asks_20_5","asks_20_10",
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],
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# === SIGNALER SERVER ===
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"signaler": {
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"notification_threshold": 4, # Score within this number of steps will not be notified
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"analysis": { # Same for all symbols
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# History needed to compute derived features. Take maximum aggregation windows from feature generation code (and add something to be sure that we have all what is needed)
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"features_horizon": 1440+160,
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},
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"model": {
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# Models: [0.4, -0.44], [0.25, -0.52]
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"buy_threshold": +0.15,
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"sell_threshold": -0.15,
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},
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},
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# === TRADER SERVER ===
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"trader": {
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# For debugging: determine what parts of code will be executed
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"no_trades_only_data_processing": False, # in market or out of market processing is excluded (all below parameters ignored)
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"test_order_before_submit": False, # Send test submit to the server as part of validation
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"simulate_order_execution": False, # Instead of real orders, simulate their execution (immediate buy/sell market orders and use high price of klines for limit orders)
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"percentage_used_for_trade": 99, # in % to the available USDT quantity, that is, we will derive how much BTC to buy using this percentage
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"limit_price_adjustment": -0.0001, # Limit price of orders will be better than the latest close price (0 means no change, positive - better for us, negative - worse for us)
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# Signal model (trade strategy) - currently NOT USED
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"sell_timeout": 70, # Seconds
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"percentage_sell_price": 1.018, # our planned profit per trade via limit sell order (part of the model)
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},
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# === COLLECTORS ===
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"collector": {
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"folder": "DATA",
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"flush_period": 300, # seconds
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"depth": {
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"folder": "DEPTH",
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"symbols": ["BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"],
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"limit": 100, # Legal values (depth): '5, 10, 20, 50, 100, 500, 1000, 5000' <100 weight=1
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"freq": "1m", # Binance standard frequency: 5s, 1m etc.
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},
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"stream": {
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"folder": "STREAM",
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# Stream formats:
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# For kline channel: <symbol>@kline_<interval>, Event type: "e": "kline", Symbol: "s": "BNBBTC"
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# For depth channel: <symbol>@depth<levels>[@100ms], Event type: NO, Symbol: NO
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# btcusdt@ticker
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"channels": ["kline_1m", "depth20"], # kline_1m, depth20, depth5
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"symbols": ["BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"],
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# "BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"
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}
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},
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}
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def data_provider_problems_exist():
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if App.error_status != 0:
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return True
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if App.server_status != 0:
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return True
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return False
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def problems_exist():
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if App.error_status != 0:
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return True
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if App.server_status != 0:
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return True
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if App.account_status != 0:
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return True
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if App.trade_state_status != 0:
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return True
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return False
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def load_config(config_file):
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if config_file:
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config_file_path = PACKAGE_ROOT / config_file
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with open(config_file_path) as json_file:
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config_json = json.load(json_file)
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App.config.update(config_json)
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if __name__ == "__main__":
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pass
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