Merge pull request #1170 from askmike/develop

Gekko v0.5.8
askmike · Oct 1, 2017 · 78d682d · 78d682d
2 parents 20599af + fa10ccb
commit 78d682d
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diff --git a/docs/commandline/plugins.md b/docs/commandline/plugins.md
@@ -18,13 +18,13 @@ To configure a plugin, open up your `config.js` file with a text editor and conf
 
 ## Trading Advisor
 
-If you want Gekko to provide automated trading advice you need to configure this in Gekko. Note that this is unrelated to automatic trading which is a plugin that creates order based on this advice. (So if you want automated trading you need both this advice as well as the auto trader.)
+If you want Gekko to provide automated trading advice you need to configure this in Gekko. Note that this is a different plugin than the  "trader" which is a responsible for actually creating orders based on this advice. (So if you want automated trading you need both this advice as well as the auto trader).
 
-Documentation about trading methods in Gekko can be found [here](./Trading_methods.md).
+Documentation about strategies in Gekko can be found [here](../strategies/example_strategies.md).
 
 ### Trader
 
-This plugin automatically creates orders based on the advice on the market it is watching. This turns Gekko into an automated trading bot.
+This plugin automatically creates orders based on the advice from the "Trading Advisor" from the market Gekko is watching. This turns Gekko into an automated trading bot.
 
 Before Gekko can automatically trade you need to create API keys so that Gekko has the rights to create orders on your behalf, the rights Gekko needs are (naming differs per exchange): get info, get balance/portfolio, get open orders, get fee, buy, sell and cancel order. For all exchanges you need the API key and the API secret, for both Bitstamp and CEX.io you also need your username (which is a number at Bitstamp).
 

diff --git a/docs/introduction/supported_exchanges.md b/docs/introduction/supported_exchanges.md
@@ -11,11 +11,11 @@ Gekko is able to directly communicate with the APIs of a number of exchanges. Ho
 | [Poloniex](https://poloniex.com/)      | V | V | V | |
 | [GDAX](https://gdax.com/)      | V | V | V | |
 | [BTCC](https://btcc.com/)      | V | V | V | (=BTCChina) |
-| [Bitstamp](https://bitstamp.com/)      | V | V | X | |
-| [Kraken](https://kraken.com/)      | V | V | X | |
-| [Bitfinex](https://bitfinex.com/)      | V | V | X | |
+| [Bitstamp](https://bitstamp.com/)      | V | V | V | |
+| [Kraken](https://kraken.com/)      | V | V | V | |
+| [Bitfinex](https://bitfinex.com/)      | V | V | V | |
 | [Bittrex](https://bittrex.com/)      | V | V | X | |
-| [BTC-e](https://btc-e.com/)      | V | V | X | |
+| [wex.nz](https://wex.nz/)      | V | V | X | |
 | [Okcoin.cn](https://www.okcoin.cn/)      | V | V | X | (China, see [#352](https://github.com/askmike/gekko/pull/352)) |
 | [Cex.io](https://cex.io/)      | V | X | X | |
 | [BTC Markets](https://btcmarkets.net)      | V | V | X | |

diff --git a/docs/strategies/creating_a_strategy.md b/docs/strategies/creating_a_strategy.md
@@ -35,6 +35,15 @@ A strategy is a combination of functions that get market data in the form of can
       // your code!
     }
 
+    // Optional for executing code
+    // after completion of a backtest.
+    // This block will not execute in
+    // live use as a live gekko is
+    // never ending.
+    strat.end = function() {
+      // your code!
+    }
+
     module.exports = strat;
 
 In the boilerplate we define four functions you have to write yourself. The functions are executed like so:

diff --git a/exchanges/bitfinex.js b/exchanges/bitfinex.js
@@ -17,7 +17,7 @@ var Trader = function(config) {
   this.asset = config.asset;
   this.currency = config.currency;
   this.pair = this.asset + this.currency;
-  this.bitfinex = new Bitfinex(this.key, this.secret).rest;
+  this.bitfinex = new Bitfinex(this.key, this.secret, { version: 1 }).rest;
 }
 
 // if the exchange errors we try the same call again after
@@ -186,19 +186,19 @@ Trader.prototype.cancelOrder = function(order_id, callback) {
 Trader.prototype.getTrades = function(since, callback, descending) {
   var args = _.toArray(arguments);
 
-  var path = this.pair;
-  if(since)
-    path += '?limit_trades=2000';
+  var path = this.pair; 
+  if(since) 
+    path += '?limit_trades=2000'; 
 
   this.bitfinex.trades(path, (err, data) => {
     if (err)
       return this.retry(this.getTrades, args);
 
     var trades = _.map(data, function(trade) {
       return {
-        tid: trade.tid,
-        date:  trade.timestamp,
-        price: +trade.price,
+        tid: trade.tid, 
+        date:  trade.timestamp, 
+        price: +trade.price, 
         amount: +trade.amount
       }
     });
@@ -212,7 +212,7 @@ Trader.getCapabilities = function () {
     name: 'Bitfinex',
     slug: 'bitfinex',
     currencies: ['USD', 'BTC', 'ETH'],
-    assets: ['BTC', 'LTC', 'ETH', 'SAN', 'IOT', 'BCH', 'OMG', 'XMR', 'DSH', 'ZEC', 'EOS', 'ETC', 'XRP'],
+    assets: ['BTC', 'LTC', 'ETH', 'SAN', 'IOT', 'BCH', 'OMG', 'XMR', 'DSH', 'ZEC', 'EOS', 'ETC', 'XRP', 'NEO', 'ETP'],
     markets: [
 
         //Tradeable Pairs to USD
@@ -229,7 +229,9 @@ Trader.getCapabilities = function () {
         { pair: ['USD', 'XMR'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['USD', 'ETC'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['USD', 'XRP'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-
+        { pair: ['USD', 'NEO'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+        { pair: ['USD', 'ETP'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+
         //Tradeable Pairs to BTC
         { pair: ['BTC', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['BTC', 'BCH'], minimalOrder: { amount: 0.01, unit: 'asset' } },
@@ -243,19 +245,24 @@ Trader.getCapabilities = function () {
         { pair: ['BTC', 'EOS'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['BTC', 'ETC'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['BTC', 'XRP'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-
+        { pair: ['BTC', 'NEO'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+        { pair: ['BTC', 'ETP'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+
         //Tradeable Pairs to ETH
         { pair: ['ETH', 'BCH'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['ETH', 'IOT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['ETH', 'OMG'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['ETH', 'SAN'], minimalOrder: { amount: 0.01, unit: 'asset' } },
         { pair: ['ETH', 'EOS'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-
+        { pair: ['ETH', 'NEO'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+        { pair: ['ETH', 'ETP'], minimalOrder: { amount: 0.01, unit: 'asset' } },
+
     ],
     requires: ['key', 'secret'],
     tid: 'tid',
+    providesFullHistory: true,
     tradable: true
   };
 }
 
-module.exports = Trader;
+module.exports = Trader;
diff --git a/exchanges/kraken.js b/exchanges/kraken.js
@@ -20,7 +20,8 @@ var crypto_currencies = [
   "XLM",
   "XMR",
   "XRP",
-  "ZEC"
+  "ZEC",
+  "BCH",
 ];
 
 var fiat_currencies = [
@@ -29,9 +30,15 @@ var fiat_currencies = [
   "USD",
   "JPY",
   "CAD",
-
 ];
 
+var assets_without_prefix = [
+  'BCH',
+  'DASH',
+  'EOS',
+  'GNO',
+]
+
 // Method to check if asset/currency is a crypto currency
 var isCrypto = function(value) {
   return _.contains(crypto_currencies, value);
@@ -43,7 +50,6 @@ var isFiat = function(value) {
 };
 
 var addPrefix = function(value) {
-
   var fiatPrefix = "Z";
   var cryptoPrefix = "X";
 
@@ -55,6 +61,14 @@ var addPrefix = function(value) {
     return value;
 }
 
+// Some currencies in Kraken don't use the prefix, not clearly documented
+var getAssetPair = function(asset, currency) {
+  if (_.contains(assets_without_prefix, asset))
+    return asset + currency;
+  else
+    return addPrefix(asset) + addPrefix(currency);
+}
+
 var Trader = function(config) {
   _.bindAll(this);
 
@@ -65,13 +79,7 @@ var Trader = function(config) {
     this.asset = config.asset.toUpperCase();
   }
 
-  // We need to prefix the asset and currency
-  // with either Z or X on all markets.
-  // EXCEPT for BCH markets..
-  if(this.asset === 'BCH')
-    this.pair = this.asset + this.currency;
-  else
-    this.pair = addPrefix(this.asset) + addPrefix(this.currency);
+  this.pair = getAssetPair(this.asset, this.currency);
   this.name = 'kraken';
   this.since = null;
 
@@ -105,19 +113,26 @@ Trader.prototype.retry = function(method, args) {
 
 Trader.prototype.getTrades = function(since, callback, descending) {
   var args = _.toArray(arguments);
+  var startTs = !_.isNull(since) ? moment(since).valueOf() : null;
+
   var process = function(err, trades) {
     if (err || !trades || trades.length === 0) {
       log.error('error getting trades', err);
       return this.retry(this.getTrades, args);
     }
 
+
     var parsedTrades = [];
     _.each(trades.result[this.pair], function(trade) {
-      parsedTrades.push({
-        date: parseInt(Math.round(trade[2]), 10),
-        price: parseFloat(trade[0]),
-        amount: parseFloat(trade[1])
-      });
+      // Even when you supply 'since' you can still get more trades than you asked for, it needs to be filtered
+      if (_.isNull(startTs) || startTs < moment.unix(trade[2]).valueOf()) {
+        parsedTrades.push({
+          tid: moment.unix(trade[2]).valueOf() * 1000000,
+          date: parseInt(Math.round(trade[2]), 10),
+          price: parseFloat(trade[0]),
+          amount: parseFloat(trade[1])
+        });
+      }
     }, this);
 
     if(descending)
@@ -129,12 +144,12 @@ Trader.prototype.getTrades = function(since, callback, descending) {
   var reqData = {
     pair: this.pair
   };
-  // This appears to not work correctly
-  // skipping for now so we have the same
-  // behaviour cross exchange.
-  //
-  // if(!_.isNull(this.since))
-  //   reqData.since = this.since;
+
+  if(!_.isNull(since)) {
+    // Kraken wants a tid, which is found to be timestamp_ms * 1000000 in practice. No clear documentation on this though
+    reqData.since = startTs * 1000000;
+  }
+
   this.kraken.api('Trades', reqData, _.bind(process, this));
 };
 
@@ -153,7 +168,10 @@ Trader.prototype.getPortfolio = function(callback) {
       return this.retry(this.getPortfolio, args);
     }
 
-    var assetAmount = parseFloat( data.result[addPrefix(this.asset)] );
+    // When using the prefix-less assets, you remove the prefix from the assset but leave
+    // it on the curreny in this case. An undocumented Kraken quirk.
+    var assetId = _.contains(assets_without_prefix, this.asset) ? this.asset : addPrefix(this.asset);
+    var assetAmount = parseFloat( data.result[addPrefix(assetId)] );
     var currencyAmount = parseFloat( data.result[addPrefix(this.currency)] );
 
     if(!_.isNumber(assetAmount) || _.isNaN(assetAmount)) {
@@ -328,7 +346,7 @@ Trader.getCapabilities = function () {
   return {
     name: 'Kraken',
     slug: 'kraken',
-    currencies: ['CAD', 'EUR', 'GBP', 'JPY', 'USD', 'XBT'],
+    currencies: ['CAD', 'EUR', 'GBP', 'JPY', 'USD', 'XBT', 'ETH'],
     assets: ['XBT', 'LTC', 'GNO', 'ICN', 'MLN', 'REP', 'XDG', 'XLM', 'XMR', 'XRP', 'ZEC', 'ETH', 'BCH', 'DASH', 'EOS', 'ETC'],
     markets: [
       //Tradeable againt ETH
@@ -338,19 +356,12 @@ Trader.getCapabilities = function () {
       { pair: ['GBP', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' } },
       { pair: ['JPY', 'ETH'], minimalOrder: { amount: 1, unit: 'asset' }, precision: 0 },
       { pair: ['USD', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 2 },
-      { pair: ['EOS', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['ETC', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['GNO', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 4 },
-      { pair: ['ICN', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['MLN', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['REP', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
 
       //Tradeable against LTC
       { pair: ['XBT', 'LTC'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
       { pair: ['EUR', 'LTC'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 2 },
       { pair: ['USD', 'LTC'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 2 },
 
-
       //Tradeable against BCH
       { pair: ['USD', 'BCH'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 1 },
       { pair: ['EUR', 'BCH'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 1 },
@@ -393,7 +404,6 @@ Trader.getCapabilities = function () {
       { pair: ['XBT', 'REP'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
       { pair: ['ETH', 'REP'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
 
-
       //Tradeable against XDG
       { pair: ['XBT', 'XDG'], minimalOrder: { amount: 0.01, unit: 'asset' } },
 
@@ -407,7 +417,6 @@ Trader.getCapabilities = function () {
       { pair: ['EUR', 'XMR'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 2 },
       { pair: ['XBT', 'XMR'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
 
-
       //Tradeable against XRP
       { pair: ['USD', 'XRP'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
       { pair: ['EUR', 'XRP'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
@@ -422,35 +431,18 @@ Trader.getCapabilities = function () {
 
       //Tradeable against XBT
       { pair: ['BCH', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['LTC', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['XDG', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-      { pair: ['XLM', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-      { pair: ['XRP', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
       { pair: ['CAD', 'XBT'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 1 },
       { pair: ['EUR', 'XBT'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 1 },
       { pair: ['GBP', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
       { pair: ['JPY', 'XBT'], minimalOrder: { amount: 1, unit: 'asset' }, precision: 0 },
       { pair: ['USD', 'XBT'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 1 },
-      { pair: ['DASH', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['EOS', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 7 },
-      { pair: ['ETC', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['ETH', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['GNO', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-      { pair: ['ICN', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 7 },
-      { pair: ['MLN', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['REP', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-      { pair: ['XDG', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' } },
-      { pair: ['XLM', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 8 },
-      { pair: ['XMR', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 6 },
-      { pair: ['XRP', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 8 },
-      { pair: ['ZEC', 'XBT'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 },
-
     ],
     requires: ['key', 'secret'],
-    providesHistory: false,
+    providesHistory: 'date',
+    providesFullHistory: true,
     tid: 'date',
     tradable: true
   };
 }
 
-module.exports = Trader;
+module.exports = Trader;