diff --git a/.prettierrc b/.prettierrc new file mode 100644 index 000000000..6a5577e4d --- /dev/null +++ b/.prettierrc @@ -0,0 +1,4 @@ +{ + "trailingComma": "es5", + "singleQuote": true +} \ No newline at end of file diff --git a/.travis.yml b/.travis.yml index b7ae263da..b92f2c940 100644 --- a/.travis.yml +++ b/.travis.yml @@ -1,3 +1,3 @@ language: node_js node_js: - - "6.6.0" \ No newline at end of file + - "8.0.0" \ No newline at end of file diff --git a/Dockerfile b/Dockerfile index 9fca6f795..e4f79e9f9 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM node:6.3 +FROM node:8 ENV HOST localhost ENV PORT 3000 @@ -7,12 +7,15 @@ ENV PORT 3000 RUN mkdir -p /usr/src/app WORKDIR /usr/src/app +# Install GYP dependencies globally, will be used to code build other dependencies +RUN npm install -g --production node-gyp && \ + npm cache clean --force + # Install app dependencies -COPY package.json /usr/src/app/ -RUN npm install -g node-gyp -RUN cd $(npm root -g)/npm && npm install fs-extra && sed -i -e s/graceful-fs/fs-extra/ -e s/fs.rename/fs.move/ ./lib/utils/rename.js -RUN npm install --production -RUN npm install redis@0.10.0 talib@1.0.2 pg@6.1.0 +COPY package.json /usr/src/app +RUN npm install --production && \ + npm install --production redis@0.10.0 talib@1.0.2 tulind@0.8.7 pg && \ + npm cache clean --force # Bundle app source COPY . /usr/src/app @@ -22,4 +25,4 @@ RUN chmod +x /usr/src/app/docker-entrypoint.sh ENTRYPOINT ["/usr/src/app/docker-entrypoint.sh"] -CMD [ "npm", "start" ] +CMD [ "npm", "start" ] \ No newline at end of file diff --git a/README.md b/README.md index bd62bfbbe..d9138abad 100644 --- a/README.md +++ b/README.md @@ -11,7 +11,7 @@ -Gordon Gekko -Gekko is a Bitcoin TA trading and backtesting platform that connects to popular Bitcoin exchanges. It is written in javascript and runs on [nodejs](http://nodejs.org). +Gekko is a Bitcoin TA trading and backtesting platform that connects to popular Bitcoin exchanges. It is written in JavaScript and runs on [Node.js](http://nodejs.org). *Use Gekko at your own risk.* diff --git a/config/strategies/tulip-multi-strat.toml b/config/strategies/tulip-multi-strat.toml new file mode 100644 index 000000000..3e8b549be --- /dev/null +++ b/config/strategies/tulip-multi-strat.toml @@ -0,0 +1,12 @@ +optInTimePeriod = 2 +optInFastPeriod = 4 +optInSlowPeriod = 7 +optInSignalPeriod = 23.707189677282354 + +candleSize = 1 +historySize = 4 + +up = 24.52 +down = 55.74 +macd_up = 14.498233170768081 +macd_down = -9.65220944122072 diff --git a/core/error.js b/core/error.js new file mode 100644 index 000000000..aafdec49c --- /dev/null +++ b/core/error.js @@ -0,0 +1,25 @@ +const _ = require('lodash'); + +let RetryError = function(message) { + _.bindAll(this); + + this.name = "RetryError"; + this.message = message; +} + +RetryError.prototype = new Error(); + +let AbortError = function(message) { + _.bindAll(this); + + this.name = "AbortError"; + this.message = message; +} + +AbortError.prototype = new Error(); + +module.exports = { + 'RetryError': RetryError, + 'AbortError': AbortError +}; + diff --git a/core/gekkoStream.js b/core/gekkoStream.js index 1ee77609d..e37e2483b 100644 --- a/core/gekkoStream.js +++ b/core/gekkoStream.js @@ -3,6 +3,7 @@ var Writable = require('stream').Writable; var _ = require('lodash'); +var async = require('async'); var util = require('./util'); var env = util.gekkoEnv(); @@ -39,13 +40,18 @@ Gekko.prototype.finalize = function() { } Gekko.prototype.shutdown = function() { - _.each(this.candleConsumers, function(c) { - if(c.finalize) - c.finalize(); - }); - - if(env === 'child-process') - process.exit(0); -} + async.eachSeries( + this.candleConsumers, + function(c, callback) { + if (c.finalize) c.finalize(callback); + else callback(); + }, + function() { + // If we are a child process, we signal to the parent to kill the child once it is done + // so that is has time to process all remaining events (and send report data) + if (env === 'child-process') process.send('done'); + } + ); +}; module.exports = Gekko; \ No newline at end of file diff --git a/core/markets/importer.js b/core/markets/importer.js index e9dd4b679..14df16ad1 100644 --- a/core/markets/importer.js +++ b/core/markets/importer.js @@ -100,7 +100,8 @@ Market.prototype.processTrades = function(trades) { if(this.done) { log.info('Done importing!'); - process.exit(0); + this.emit('end'); + return; } if(_.size(trades)) { diff --git a/core/stats.js b/core/stats.js index da633f942..5c314922d 100644 --- a/core/stats.js +++ b/core/stats.js @@ -11,7 +11,7 @@ const lodash = require('lodash'); // @param rfreturn (number - risk free return) // stats.sharpe = (returns, rfreturn) => { - return stats.mean(returns) - rfreturn / stats.stdev(returns); + return (stats.mean(returns) - rfreturn) / stats.stdev(returns); } -module.exports = stats; \ No newline at end of file +module.exports = stats; diff --git a/core/talib.js b/core/talib.js index a3d7b31cc..fdad18459 100644 --- a/core/talib.js +++ b/core/talib.js @@ -1,7 +1,15 @@ -var talib = require("talib"); var semver = require("semver"); var _ = require('lodash'); +// validate that talib is installed, if not we'll throw an excepion which will +// prevent further loading or out outside this module +try { + var talib = require("talib"); +} catch (e) { + module.exports = null; + return; +} + var talibError = 'Gekko was unable to configure talib indicator:\n\t'; var talibGTEv103 = semver.gte(talib.version, '1.0.3'); diff --git a/core/tulind.js b/core/tulind.js index dfdfa7718..a26e8d013 100644 --- a/core/tulind.js +++ b/core/tulind.js @@ -1,7 +1,15 @@ -var tulind = require("tulind"); var semver = require("semver"); var _ = require('lodash'); +// validate that talib is installed, if not we'll throw an excepion which will +// prevent further loading or out outside this module +try { + var tulind = require("tulind"); +} catch (e) { + module.exports = null; + return; +} + var tulindError = 'Gekko was unable to configure Tulip Indicators:\n\t'; // Wrapper that executes a tulip indicator @@ -137,7 +145,7 @@ methods.aroon = { methods.aroonosc = { requires: ['optInTimePeriod'], create: (params) => { - verifyParams('arronosc', params); + verifyParams('aroonosc', params); return (data, callback) => execute(callback, { indicator: tulind.indicators.aroonosc, diff --git a/core/util.js b/core/util.js index b34ae2505..0c92ae1ac 100644 --- a/core/util.js +++ b/core/util.js @@ -5,6 +5,7 @@ var fs = require('fs'); var semver = require('semver'); var program = require('commander'); var retry = require('retry'); +var Errors = require('./error'); var startTime = moment(); @@ -16,6 +17,19 @@ var _gekkoEnv = false; var _args = false; +var retryHelper = function(fn, options, callback) { + var operation = retry.operation(options); + operation.attempt(function(currentAttempt) { + fn(function(err, result) { + if (!(err instanceof Errors.AbortError) && operation.retry(err)) { + return; + } + + callback(err ? err.message : null, result); + }); + }); +} + // helper functions var util = { getConfig: function() { @@ -163,23 +177,18 @@ var util = { return startTime; }, retry: function(fn, callback) { - var operation = retry.operation({ + var operation = { retries: 5, factor: 1.2, minTimeout: 1 * 1000, maxTimeout: 3 * 1000 - }); + }; - operation.attempt(function(currentAttempt) { - fn(function(err, result) { - if (operation.retry(err)) { - return; - } - - callback(err ? operation.mainError() : null, result); - }); - }); - } + retryHelper(fn, options, callback); + }, + retryCustom: function(options, fn, callback) { + retryHelper(fn, options, callback); + }, } // NOTE: those options are only used diff --git a/core/workers/pipeline/child.js b/core/workers/pipeline/child.js index 049d75571..2eb12bf6c 100644 --- a/core/workers/pipeline/child.js +++ b/core/workers/pipeline/child.js @@ -44,4 +44,12 @@ process.send('ready'); process.on('message', function(m) { if(m.what === 'start') start(m.mode, m.config); -}); \ No newline at end of file + + if(m.what === 'exit') + process.exit(0); +}); + +process.on('disconnect', function() { + console.log("disconnect"); + process.exit(-1); +}) \ No newline at end of file diff --git a/core/workers/pipeline/parent.js b/core/workers/pipeline/parent.js index 9ca72d316..fd5cd2d79 100644 --- a/core/workers/pipeline/parent.js +++ b/core/workers/pipeline/parent.js @@ -18,6 +18,9 @@ module.exports = (mode, config, callback) => { if(m === 'ready') return child.send(message); + if(m === 'done') + return child.send({what: 'exit'}); + handle.message(m); }); diff --git a/docs/installation/installing_gekko_on_windows_with_bash_on_windows_10.md b/docs/installation/installing_gekko_on_windows_with_bash_on_windows_10.md index 15a5193f5..dafbee0c5 100644 --- a/docs/installation/installing_gekko_on_windows_with_bash_on_windows_10.md +++ b/docs/installation/installing_gekko_on_windows_with_bash_on_windows_10.md @@ -68,23 +68,6 @@ cd gekko npm install --only=production ``` -## Edit the handle.js file (taken from [here](https://github.com/askmike/gekko/issues/708#issuecomment-296329300)) - -Navigate to gekko/plugins/sqlite: - -`cd ~/gekko/plugins/sqlite` - -Change line 53 in handle.js from - -`db.run("PRAGMA journal_mode = WAL"); ` - -to - -`db.run("PRAGMA journal_mode = DEL"); ` - -(I use nano for this --> `nano handle.js`) - - ## Restart Bash and install the correct version of TA-lib (taken from [here](https://github.com/askmike/gekko/issues/908#issuecomment-319657408)) Restart Bash by closing it and reopening it. Then: diff --git a/docs/introduction/about_gekko.md b/docs/introduction/about_gekko.md index dbe5ea6c0..d2dda2cdb 100644 --- a/docs/introduction/about_gekko.md +++ b/docs/introduction/about_gekko.md @@ -12,7 +12,7 @@ Gekko is a tool that makes it very easy to automate your own trading stragies. ![gist of gekko](https://gekko.wizb.it/_static/gekko-gist.png) -You can either create your own trading strategy or start with the build in example strategies. Once you have a strategy you can use Gekko to automatically run it in a few different ways: +You can either create your own trading strategy or start with the built-in example strategies. Once you have a strategy you can use Gekko to automatically run it in a few different ways: - **Backtest**: You can start a simulation of the strategy over a historical data period and Gekko will tell you what would have happened (which trades would have been performed as well as overall performance and risk metrics). - **Paper trader**: You can run the strategy in realtime simulate trading (trade with fake money) to see in realtime how profitable your strategy would have been. diff --git a/docs/introduction/supported_exchanges.md b/docs/introduction/supported_exchanges.md index 7d52565f6..f4586d279 100644 --- a/docs/introduction/supported_exchanges.md +++ b/docs/introduction/supported_exchanges.md @@ -27,7 +27,9 @@ Gekko is able to directly communicate with the APIs of a number of exchanges. Ho | [zaif][17] | ✓ | ✕ | ✕ | | | [lakeBTC][18] | ✓ | ✕ | ✕ | | | [bx.in.th][19] | ✓ | ✕ | ✕ | | -| [bitcoin.co.id][22] | ✓ | ✓ | ✕ | | | +| [bitcoin.co.id][22] | ✓ | ✓ | ✕ | | +| [Quadriga CX][23] | ✓ | ✓ | ✕ | | +| [Binance][24] | ✓ | ✓ | ✓ | | | [1]: ../features/backtesting.md [2]: https://poloniex.com @@ -51,4 +53,6 @@ Gekko is able to directly communicate with the APIs of a number of exchanges. Ho [20]: https://github.com/askmike/gekko/pull/352 [21]: https://github.com/askmike/gekko/issues/288#issuecomment-223810974 [22]: https://vip.bitcoin.co.id/ +[23]: https://quadrigacx.com/ +[24]: https://binance.com/ diff --git a/exchanges/binance.js b/exchanges/binance.js new file mode 100644 index 000000000..73c4dd3f6 --- /dev/null +++ b/exchanges/binance.js @@ -0,0 +1,569 @@ +const moment = require('moment'); +const util = require('../core/util'); +const _ = require('lodash'); +const log = require('../core/log'); + +const Binance = require('binance'); + +var Trader = function(config) { + _.bindAll(this); + + if (_.isObject(config)) { + this.key = config.key; + this.secret = config.secret; + this.currency = config.currency.toUpperCase(); + this.asset = config.asset.toUpperCase(); + } + + this.pair = this.asset + this.currency; + this.name = 'binance'; + + this.binance = new Binance.BinanceRest({ + key: this.key, + secret: this.secret, + timeout: 15000, + recvWindow: 60000, // suggested by binance + disableBeautification: false, // better field names + }); +}; + +var recoverableErrors = new RegExp( + /(SOCKETTIMEDOUT|TIMEDOUT|CONNRESET|CONNREFUSED|NOTFOUND|API:Invalid nonce|between Cloudflare and the origin web server)/ +); + +Trader.prototype.retry = function(method, args, error) { + if (!error || !error.message.match(recoverableErrors)) { + log.error('[binance.js] ', this.name, 'returned an irrecoverable error'); + return; + } + + var wait = +moment.duration(5, 'seconds'); + log.debug( + '[binance.js] (retry) ', + this.name, + 'returned an error, retrying..' + ); + + var self = this; + + // make sure the callback (and any other fn) + // is bound to Trader + _.each(args, function(arg, i) { + if (_.isFunction(arg)) args[i] = _.bind(arg, self); + }); + + // run the failed method again with the same + // arguments after wait + setTimeout(function() { + method.apply(self, args); + }, wait); +}; + +Trader.prototype.getTrades = function(since, callback, descending) { + var args = _.toArray(arguments); + + var process = function(err, data) { + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) { + log.error('[binance.js] error getting trades', err); + return this.retry(this.getTrades, args, err); + } + + var parsedTrades = []; + _.each( + data, + function(trade) { + parsedTrades.push({ + tid: trade.aggTradeId, + date: moment(trade.timestamp).unix(), + price: parseFloat(trade.price), + amount: parseFloat(trade.quantity), + }); + }, + this + ); + + if (descending) callback(null, parsedTrades.reverse()); + else callback(null, parsedTrades); + }; + + var reqData = { + symbol: this.pair, + }; + + if (since) { + var endTs = moment(since) + .add(1, 'd') + .valueOf(); + var nowTs = moment().valueOf(); + + reqData.startTime = moment(since).valueOf(); + reqData.endTime = endTs > nowTs ? nowTs : endTs; + } + + this.binance.aggTrades(reqData, _.bind(process, this)); +}; + +Trader.prototype.getPortfolio = function(callback) { + var args = _.toArray(arguments); + var setBalance = function(err, data) { + log.debug( + '[binance.js] entering "setBalance" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) { + log.error('[binance.js] ', err); + return this.retry(this.getPortfolio, args, err); + } + + var findAsset = function(item) { + return item.asset === this.asset; + } + var assetAmount = parseFloat(_.find(data.balances, _.bind(findAsset, this)).free); + + var findCurrency = function(item) { + return item.asset === this.currency; + } + var currencyAmount = parseFloat(_.find(data.balances, _.bind(findCurrency, this)).free); + + if (!_.isNumber(assetAmount) || _.isNaN(assetAmount)) { + log.error( + `Binance did not return portfolio for ${this.asset}, assuming 0.` + ); + assetAmount = 0; + } + + if (!_.isNumber(currencyAmount) || _.isNaN(currencyAmount)) { + log.error( + `Binance did not return portfolio for ${this.currency}, assuming 0.` + ); + currencyAmount = 0; + } + + var portfolio = [ + { name: this.asset, amount: assetAmount }, + { name: this.currency, amount: currencyAmount }, + ]; + + return callback(err.message, portfolio); + }; + + this.binance.account({}, _.bind(setBalance, this)); +}; + +// This uses the base maker fee (0.1%), and does not account for BNB discounts +Trader.prototype.getFee = function(callback) { + var makerFee = 0.1; + callback(false, makerFee / 100); +}; + +Trader.prototype.getTicker = function(callback) { + var setTicker = function(err, data) { + log.debug( + '[binance.js] entering "getTicker" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) + return log.error( + '[binance.js] unable to get ticker', + JSON.stringify(err) + ); + + var findSymbol = function(ticker) { + return ticker.symbol === this.pair; + } + var result = _.find(data, _.bind(findSymbol, this)); + + var ticker = { + ask: parseFloat(result.askPrice), + bid: parseFloat(result.bidPrice), + }; + + callback(err.message, ticker); + }; + + // Not exposed by the API yet, have to do it the hard way + this.binance._makeRequest( + {}, + _.bind(setTicker, this), + 'ticker/allBookTickers' + ); +}; + +// Effectively counts the number of decimal places, so 0.001 or 0.234 results in 3 +Trader.prototype.getPrecision = function(tickSize) { + if (!isFinite(tickSize)) return 0; + var e = 1, p = 0; + while (Math.round(tickSize * e) / e !== tickSize) { e *= 10; p++; } + return p; +}; + +Trader.prototype.roundAmount = function(amount, tickSize) { + var precision = 100000000; + var t = this.getPrecision(tickSize); + + if(Number.isInteger(t)) + precision = Math.pow(10, t); + + amount *= precision; + amount = Math.floor(amount); + amount /= precision; + return amount; +}; + +Trader.prototype.addOrder = function(tradeType, amount, price, callback) { + var args = _.toArray(arguments); + + var findMarket = function(market) { + return market.pair[0] === this.currency && market.pair[1] === this.asset + } + var market = _.find(Trader.getCapabilities().markets, _.bind(findMarket, this)); + amount = Math.max(this.roundAmount(amount, market.minimalOrder.amount), market.minimalOrder.amount); + price = Math.max(this.roundAmount(price, market.precision), market.precision); + + log.debug( + '[binance.js] (addOrder)', + tradeType.toUpperCase(), + amount, + this.asset, + '@', + price, + this.currency + ); + + var setOrder = function(err, data) { + log.debug( + '[binance.js] entering "setOrder" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) { + log.error('[binance.js] unable to ' + tradeType.toLowerCase(), err); + return this.retry(this.addOrder, args, err); + } + + var txid = data.orderId; + log.debug('added order with txid:', txid); + + callback(undefined, txid); + }; + + this.binance.newOrder( + { + symbol: this.pair, + side: tradeType.toUpperCase(), + type: 'LIMIT', + timeInForce: 'GTC', // Good to cancel (I think, not really covered in docs, but is default) + quantity: amount, + price: price, + timestamp: new Date().getTime() + }, + _.bind(setOrder, this) + ); +}; + +Trader.prototype.getOrder = function(order, callback) { + var get = function(err, data) { + log.debug( + '[binance.js] entering "getOrder" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) + return log.error( + '[binance.js] unable to get order', + order, + JSON.stringify(err) + ); + + var price = parseFloat(data.price); + var amount = parseFloat(data.executedQty); + var date = moment.unix(data.time); + + callback(undefined, { price, amount, date }); + }.bind(this); + + this.binance.queryOrder( + { + symbol: this.pair, + orderId: order, + }, + get + ); +}; + +Trader.prototype.buy = function(amount, price, callback) { + this.addOrder('buy', amount, price, callback); +}; + +Trader.prototype.sell = function(amount, price, callback) { + this.addOrder('sell', amount, price, callback); +}; + +Trader.prototype.checkOrder = function(order, callback) { + var check = function(err, data) { + log.debug( + '[binance.js] entering "checkOrder" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) + return log.error( + '[binance.js] Unable to check order', + order, + JSON.stringify(err) + ); + + var stillThere = + data.status === 'NEW' || data.status === 'PARTIALLY_FILLED'; + callback(err.message, !stillThere); + }; + + this.binance.queryOrder( + { + symbol: this.pair, + orderId: order, + }, + _.bind(check, this) + ); +}; + +Trader.prototype.cancelOrder = function(order, callback) { + var args = _.toArray(arguments); + var cancel = function(err, data) { + log.debug( + '[binance.js] entering "cancelOrder" callback after api call, err:', + err, + ' data:', + data + ); + + if (!err && !_.isEmpty(data.msg)) err = new Error(data.msg); + + if (err) { + log.error( + '[binance.js] unable to cancel order', + order, + '(', + err, + JSON.stringify(err), + ')' + ); + return this.retry(this.cancelOrder, args, err); + } + + callback(); + }; + + this.binance.cancelOrder( + { + symbol: this.pair, + orderId: order, + }, + _.bind(cancel, this) + ); +}; + +Trader.getCapabilities = function() { + return { + name: 'Binance', + slug: 'binance', + currencies: ['BTC', 'BNB', 'ETH', 'USDT'], + assets: [ + 'BTC', + 'BCC', + 'BCG', + 'BNB', + 'DASH', + 'ETH', + 'ETC', + 'EOS', + 'NEO', + 'OMG', + 'POWR', + 'QTUM', + 'ZEC', + ], + markets: [ + // https://www.binance.com/exchange/public/product + + //Tradeable againt BTC + { + pair: ['BTC', 'BCC'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'BNB'], + minimalOrder: { amount: 1, unit: 'asset' }, + precision: 0.00000001, + }, + { + pair: ['BTC', 'DASH'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'ETH'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'ETC'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'EOS'], + minimalOrder: { amount: 1.0, unit: 'asset' }, + precision: 0.00000001, + }, + { + pair: ['BTC', 'NEO'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'OMG'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'POWR'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.00000001, + }, + { + pair: ['BTC', 'QTUM'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['BTC', 'ZEC'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.000001, + }, + + //Tradeable againt BNB + { + pair: ['BNB', 'BCC'], + minimalOrder: { amount: 0.00001, unit: 'asset' }, + precision: 0.01, + }, + { + pair: ['BNB', 'NEO'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.001, + }, + + //Tradeable againt ETH + { + pair: ['ETH', 'BCC'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.00001, + }, + { + pair: ['ETH', 'BNB'], + minimalOrder: { amount: 1.0, unit: 'asset' }, + precision: 0.00000001, + }, + { + pair: ['ETH', 'DASH'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.00001, + }, + { + pair: ['ETH', 'ETC'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['ETH', 'EOS'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['ETH', 'NEO'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['ETH', 'OMG'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['ETH', 'POWR'], + minimalOrder: { amount: 1, unit: 'asset' }, + precision: 0.00000001, + }, + { + pair: ['ETH', 'QTUM'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.000001, + }, + { + pair: ['ETH', 'ZEC'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 00001, + }, + + //Tradeable againt USDT + { + pair: ['USDT', 'BTC'], + minimalOrder: { amount: 0.000001, unit: 'asset' }, + precision: 0.01, + }, + { + pair: ['USDT', 'BCC'], + minimalOrder: { amount: 0.00001, unit: 'asset' }, + precision: 0.01, + }, + { + pair: ['USDT', 'BNB'], + minimalOrder: { amount: 0.01, unit: 'asset' }, + precision: 0.01, + }, + { + pair: ['USDT', 'ETH'], + minimalOrder: { amount: 0.00001, unit: 'asset' }, + precision: 0.01, + }, + { + pair: ['USDT', 'NEO'], + minimalOrder: { amount: 0.001, unit: 'asset' }, + precision: 0.01, + }, + ], + requires: ['key', 'secret'], + providesHistory: 'date', + providesFullHistory: true, + tid: 'tid', + tradable: true, + }; +}; + +module.exports = Trader; diff --git a/exchanges/gdax.js b/exchanges/gdax.js index e9198d188..295eca099 100644 --- a/exchanges/gdax.js +++ b/exchanges/gdax.js @@ -226,6 +226,9 @@ Trader.prototype.getTrades = function(since, callback, descending) { var lastScan = 0; var process = function(err, response, data) { + if (data && data.message) + err = new Error(data.message); + if(err) return this.retry(this.getTrades, args); diff --git a/exchanges/kraken.js b/exchanges/kraken.js index 7d85fb5b1..eff3feb25 100644 --- a/exchanges/kraken.js +++ b/exchanges/kraken.js @@ -1,7 +1,9 @@ var Kraken = require('kraken-api-es5'); var moment = require('moment'); -var util = require('../core/util'); var _ = require('lodash'); + +var util = require('../core/util'); +var Errors = require('../core/error'); var log = require('../core/log'); var crypto_currencies = [ @@ -21,7 +23,7 @@ var crypto_currencies = [ "XMR", "XRP", "ZEC", - "BCH", + "BCH" ]; var fiat_currencies = [ @@ -37,6 +39,7 @@ var assets_without_prefix = [ 'DASH', 'EOS', 'GNO', + 'USDT' ] // Method to check if asset/currency is a crypto currency @@ -63,6 +66,9 @@ var addPrefix = function(value) { // Some currencies in Kraken don't use the prefix, not clearly documented var getAssetPair = function(asset, currency) { + if (asset === 'USDT') + return 'USDTZUSD'; // Yet another kraken inconsistency + if (_.contains(assets_without_prefix, asset)) return asset + currency; else @@ -90,44 +96,53 @@ var Trader = function(config) { ); } -var recoverableErrors = new RegExp(/(SOCKETTIMEDOUT|TIMEDOUT|CONNRESET|CONNREFUSED|NOTFOUND|API:Invalid nonce|between Cloudflare and the origin web server)/) +var retryCritical = { + retries: 10, + factor: 1.2, + minTimeout: 1 * 1000, + maxTimeout: 30 * 1000 +}; -Trader.prototype.retry = function(method, args, error) { - if (!error || !error.message.match(recoverableErrors)) { - log.error('[kraken.js] ', this.name, 'returned an irrecoverable error'); - return; +var retryForever = { + forever: true, + factor: 1.2, + minTimeout: 10, + maxTimeout: 30 +}; + +var recoverableErrors = new RegExp(/(SOCKETTIMEDOUT|TIMEDOUT|CONNRESET|CONNREFUSED|NOTFOUND|API:Invalid nonce|Service:Unavailable|Request timed out|Response code 520|Response code 504|Response code 502)/) + +Trader.prototype.processError = function(funcName, error) { + if (!error) return undefined; + + if (!error.message.match(recoverableErrors)) { + log.error(`[kraken.js] (${funcName}) returned an irrecoverable error: ${error.message}`); + return new Errors.AbortError('[kraken.js] ' + error.message); } - // 5 -> 10s to avoid more rejection - var wait = +moment.duration(10, 'seconds'); - log.debug('[kraken.js] (retry) ', this.name, 'returned an error, retrying..'); + log.debug(`[kraken.js] (${funcName}) returned an error, retrying: ${error.message}`); + return new Errors.RetryError('[kraken.js] ' + error.message); +}; - var self = this; +Trader.prototype.handleResponse = function(funcName, callback) { + return (error, body) => { + if(!error) { + if(_.isEmpty(body) || !body.result) + error = new Error('NO DATA WAS RETURNED'); - // make sure the callback (and any other fn) - // is bound to Trader - _.each(args, function(arg, i) { - if(_.isFunction(arg)) - args[i] = _.bind(arg, self); - }); + else if(!_.isEmpty(body.error)) + error = new Error(body.error); + } - // run the failed method again with the same - // arguments after wait - setTimeout( - function() { method.apply(self, args) }, - wait - ); + return callback(this.processError(funcName, error), body); + } }; Trader.prototype.getTrades = function(since, callback, descending) { - var args = _.toArray(arguments); var startTs = 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, err); - } + var processResults = function(err, trades) { + if (err) return callback(err); var parsedTrades = []; _.each(trades.result[this.pair], function(trade) { @@ -143,12 +158,12 @@ Trader.prototype.getTrades = function(since, callback, descending) { }, this); if(descending) - callback(null, parsedTrades.reverse()); + callback(undefined, parsedTrades.reverse()); else - callback(null, parsedTrades); + callback(undefined, parsedTrades); }; - var reqData = { + let reqData = { pair: this.pair }; @@ -157,24 +172,16 @@ Trader.prototype.getTrades = function(since, callback, descending) { reqData.since = startTs * 1000000; } - this.kraken.api('Trades', reqData, _.bind(process, this)); + let handler = (cb) => this.kraken.api('Trades', reqData, this.handleResponse('getTrades', cb)); + util.retryCustom(retryForever, _.bind(handler, this), _.bind(processResults, this)); }; Trader.prototype.getPortfolio = function(callback) { - var args = _.toArray(arguments); + console.log('getPortfolio'); var setBalance = function(err, data) { - log.debug('[kraken.js] entering "setBalance" callback after kraken-api call, err:', err, ' data:' , data); - - if(_.isEmpty(data)) - err = new Error('no data (getPortfolio)'); - - else if(!_.isEmpty(data.error)) - err = new Error(data.error); - - if (err || !data.result) { - log.error('[kraken.js] ' , err); - return this.retry(this.getPortfolio, args, err); - } + console.log('aa', arguments); + if(err) return callback(err); + log.debug('[kraken.js] entering "setBalance" callback after kraken-api call, data:' , data); // 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. @@ -197,41 +204,37 @@ Trader.prototype.getPortfolio = function(callback) { { name: this.currency, amount: currencyAmount } ]; - return callback(err.message, portfolio); + return callback(undefined, portfolio); }; - this.kraken.api('Balance', {}, _.bind(setBalance, this)); + let handler = (cb) => this.kraken.api('Balance', {}, this.handleResponse('getPortfolio', cb)); + util.retryCustom(retryForever, _.bind(handler, this), _.bind(setBalance, this)); }; // This assumes that only limit orders are being placed with standard assets pairs // It does not take into account volume discounts. // Base maker fee is 0.16%, taker fee is 0.26%. Trader.prototype.getFee = function(callback) { - var makerFee = 0.16; - callback(false, makerFee / 100); + const makerFee = 0.16; + callback(undefined, makerFee / 100); }; Trader.prototype.getTicker = function(callback) { var setTicker = function(err, data) { - - if(!err && _.isEmpty(data)) - err = new Error('no data (getTicker)'); - - else if(!err && !_.isEmpty(data.error)) - err = new Error(data.error); - - if (err) - return log.error('unable to get ticker', JSON.stringify(err)); + if (err) return callback(err); var result = data.result[this.pair]; var ticker = { ask: result.a[0], bid: result.b[0] }; - callback(err.message, ticker); + callback(undefined, ticker); }; - this.kraken.api('Ticker', {pair: this.pair}, _.bind(setTicker, this)); + let reqData = {pair: this.pair} + + let handler = (cb) => this.kraken.api('Ticker', reqData, this.handleResponse('getTicker', cb)); + util.retryCustom(retryForever, _.bind(handler, this), _.bind(setTicker, this)); }; Trader.prototype.roundAmount = function(amount) { @@ -253,63 +256,47 @@ Trader.prototype.roundAmount = function(amount) { }; Trader.prototype.addOrder = function(tradeType, amount, price, callback) { - var args = _.toArray(arguments); - amount = this.roundAmount(amount); price = this.roundAmount(price); // but the link talks about rounding price... And I had the bug log.debug('[kraken.js] (addOrder)', tradeType.toUpperCase(), amount, this.asset, '@', price, this.currency); var setOrder = function(err, data) { - - // console.log('blap', err, data); - - if(!err && _.isEmpty(data)) - err = new Error('no data (addOrder)'); - else if(!err && !_.isEmpty(data.error)) - err = new Error(data.error); - - if(err) { - log.error('unable to ' + tradeType.toLowerCase(), err); - return this.retry(this.addOrder, args, err); - } - + if(err) return callback(err); + var txid = data.result.txid[0]; - log.debug('added order with txid:', txid); + log.debug('[kraken.js] (addOrder) added order with txid:', txid); callback(undefined, txid); }; - this.kraken.api('AddOrder', { + let reqData = { pair: this.pair, type: tradeType.toLowerCase(), ordertype: 'limit', price: price, volume: amount.toString() - }, _.bind(setOrder, this)); + }; + + let handler = (cb) => this.kraken.api('AddOrder', reqData, this.handleResponse('addOrder', cb)); + util.retryCustom(retryCritical, _.bind(handler, this), _.bind(setOrder, this)); }; Trader.prototype.getOrder = function(order, callback) { - - var get = function(err, data) { - if(!err && _.isEmpty(data) && _.isEmpty(data.result)) - err = new Error('no data (getOrder)'); - - else if(!err && !_.isEmpty(data.error)) - err = new Error(data.error); - - if(err) - return log.error('Unable to get order', order, JSON.stringify(err)); + var getOrder = function(err, data) { + if(err) return callback(err); var price = parseFloat( data.result[ order ].price ); var amount = parseFloat( data.result[ order ].vol_exec ); var date = moment.unix( data.result[ order ].closetm ); callback(undefined, {price, amount, date}); - }.bind(this); + }; - this.kraken.api('QueryOrders', {txid: order}, get); + let reqData = {txid: order}; + let handler = (cb) => this.kraken.api('QueryOrders', reqData, this.handleResponse('getOrder', cb)); + util.retryCustom(retryCritical, _.bind(handler, this), _.bind(getOrder, this)); } Trader.prototype.buy = function(amount, price, callback) { @@ -322,40 +309,22 @@ Trader.prototype.sell = function(amount, price, callback) { Trader.prototype.checkOrder = function(order, callback) { var check = function(err, data) { - if(_.isEmpty(data)) - err = new Error('no data (checkOrder)'); - - if(!_.isEmpty(data.error)) - err = new Error(data.error); - - if(err) - return log.error('Unable to check order', order, JSON.stringify(err)); + if(err) return callback(err); var result = data.result[order]; var stillThere = result.status === 'open' || result.status === 'pending'; - callback(err.message, !stillThere); + callback(undefined, !stillThere); }; - this.kraken.api('QueryOrders', {txid: order}, _.bind(check, this)); + let reqData = {txid: order}; + let handler = (cb) => this.kraken.api('QueryOrders', reqData, this.handleResponse('checkOrder', cb)); + util.retryCustom(retryCritical, _.bind(handler, this), _.bind(check, this)); }; Trader.prototype.cancelOrder = function(order, callback) { - var args = _.toArray(arguments); - var cancel = function(err, data) { - if(!err && _.isEmpty(data)) - err = new Error('no data (cancelOrder)'); - else if(!err && !_.isEmpty(data.error)) - err = new Error(data.error); - - if(err) { - log.error('unable to cancel order', order, '(', err, JSON.stringify(err), ')'); - return this.retry(this.cancelOrder, args, err); - } - - callback(); - }; - - this.kraken.api('CancelOrder', {txid: order}, _.bind(cancel, this)); + let reqData = {txid: order}; + let handler = (cb) => this.kraken.api('CancelOrder', reqData, this.handleResponse('cancelOrder', cb)); + util.retryCustom(retryForever, _.bind(handler, this), callback); }; Trader.getCapabilities = function () { @@ -363,7 +332,7 @@ Trader.getCapabilities = function () { name: 'Kraken', slug: 'kraken', 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'], + assets: ['XBT', 'LTC', 'GNO', 'ICN', 'MLN', 'REP', 'XDG', 'XLM', 'XMR', 'XRP', 'ZEC', 'ETH', 'BCH', 'DASH', 'EOS', 'ETC', 'USDT'], markets: [ //Tradeable againt ETH { pair: ['XBT', 'ETH'], minimalOrder: { amount: 0.01, unit: 'asset' }, precision: 5 }, @@ -452,6 +421,9 @@ Trader.getCapabilities = function () { { 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 }, + + //Tradeable against USDT + { pair: ['USD', 'USDT'], minimalOrder: { amount: 0.1, unit: 'asset' }, precision: 2 }, ], requires: ['key', 'secret'], providesHistory: 'date', diff --git a/exchanges/quadriga.js b/exchanges/quadriga.js new file mode 100644 index 000000000..22b05ac9a --- /dev/null +++ b/exchanges/quadriga.js @@ -0,0 +1,248 @@ +var QuadrigaCX = require('quadrigacx'); +var moment = require('moment'); +var util = require('../core/util'); +var _ = require('lodash'); +var log = require('../core/log'); + + +var Trader = function(config) { + _.bindAll(this); + + if(_.isObject(config)) { + this.key = config.key; + this.secret = config.secret; + this.clientId = config.username; + this.asset = config.asset.toLowerCase(); + this.currency = config.currency.toLowerCase(); + } + + this.pair = this.asset + '_' + this.currency; + this.name = 'quadriga'; + this.since = null; + + this.quadriga = new QuadrigaCX( + this.clientId ? this.clientId : "1", + this.key ? this.key : "", + this.secret ? this.secret : "", + ); +} + +Trader.prototype.retry = function(method, warn, args, error) { + var wait = +moment.duration(30, 'seconds'); + if (error.code === 200) { + log.debug(`${this.name}: API rate limit exceeded! unable to call ${method}, will retry in 2 minutes`) + wait = +moment.duration(120, 'seconds'); + } + else { + log.debug(JSON.stringify(error)); + log.debug(`${this.name}: ${warn}, will retry in 30 seconds`); + } + + var self = this; + + // make sure the callback (and any other fn) + // is bound to Trader + _.each(args, function(arg, i) { + if(_.isFunction(arg)) + args[i] = _.bind(arg, self); + }); + + // run the failed method again with the same + // arguments after wait + setTimeout( + function() { method.apply(self, args) }, + wait + ); +}; + +Trader.prototype.getTrades = function(since, callback, descending) { + var args = _.toArray(arguments); + var process = function(err, trades) { + if (trades && trades.error) return this.retry(this.getTrades, 'unable to get trades', args, trades.error); + if (err) return this.retry(this.getTrades, 'unable to get trades', args, err); + + var parsedTrades = []; + _.each(trades, function(trade) { + parsedTrades.push({ + tid: trade.tid, + date: trade.date, + price: parseFloat(trade.price), + amount: parseFloat(trade.amount) + }); + }, this); + + if(descending) + callback(null, parsedTrades); + else + callback(null, parsedTrades.reverse()); + }; + + var reqData = { + book: this.pair, + time: 'hour' + }; + + this.quadriga.api('transactions', reqData, _.bind(process, this)); +}; + +Trader.prototype.getPortfolio = function(callback) { + var args = _.toArray(arguments); + var set = function(err, data) { + + if (data && data.error) return this.retry(this.getPortfolio, 'unable to get balance', args, data.error); + if (err) return this.retry(this.getPortfolio, 'unable to get balance', args, err); + + var assetAmount = parseFloat( data[this.asset + '_available'] ); + var currencyAmount = parseFloat( data[this.currency + '_available'] ); + + if(!_.isNumber(assetAmount) || _.isNaN(assetAmount)) { + log.error(`Quadriga did not return balance for ${this.asset}, assuming 0.`); + assetAmount = 0; + } + + if(!_.isNumber(currencyAmount) || _.isNaN(currencyAmount)) { + log.error(`Quadriga did not return balance for ${this.currency}, assuming 0.`); + currencyAmount = 0; + } + + var portfolio = [ + { name: this.asset, amount: assetAmount }, + { name: this.currency, amount: currencyAmount } + ]; + callback(err, portfolio); + }; + + this.quadriga.api('balance', _.bind(set, this)); +}; + +Trader.prototype.getFee = function(callback) { + callback(false, 0.005); +}; + +Trader.prototype.getTicker = function(callback) { + var set = function(err, data) { + + if (data && data.error) return this.retry(this.getTicker, 'unable to get quote', args, data.error); + if (err) return this.retry(this.getTicker, 'unable to get quote', args, err); + + var ticker = { + ask: data.ask, + bid: data.bid + }; + callback(err, ticker); + }; + + this.quadriga.api('ticker', {book: this.pair}, _.bind(set, this)); +}; + +Trader.prototype.roundAmount = function(amount) { + var precision = 100000000; + var market = this.getCapabilities().markets.find(function(market){ return market.pair[0] === this.currency && market.pair[1] === this.asset }); + + if(Number.isInteger(market.precision)) + precision = 10 * market.precision; + + amount *= precision; + amount = Math.floor(amount); + amount /= precision; + return amount; +}; + +Trader.prototype.addOrder = function(tradeType, amount, price, callback) { + var args = _.toArray(arguments); + + amount = this.roundAmount(amount); + log.debug(tradeType.toUpperCase(), amount, this.asset, '@', price, this.currency); + + var set = function(err, data) { + + if (data && data.error) return this.retry(this.addOrder, 'unable to place order', args, data.error); + if (err) return this.retry(this.addOrder, 'unable to place order', args, err); + + var txid = data.id; + log.debug('added order with txid:', txid); + + callback(undefined, txid); + }; + + this.quadriga.api(tradeType, { + book: this.pair, + price: price, + amount: amount + }, _.bind(set, this)); +}; + + +Trader.prototype.getOrder = function(order, callback) { + + var get = function(err, data) { + if (data && data.error) return this.retry(this.getOrder, 'unable to get order', args, data.error); + if (err) return this.retry(this.getOrder, 'unable to get order', args, err); + + var price = parseFloat( data[0].price ); + var amount = parseFloat( data[0].amount ); + var date = (data[0].updated) ? moment.unix( data[0].updated ) : false; + + callback(undefined, {price, amount, date}); + }.bind(this); + + this.quadriga.api('lookup_oder', {id: order}, get); +} + +Trader.prototype.buy = function(amount, price, callback) { + this.addOrder('buy', amount, price, callback); +}; + +Trader.prototype.sell = function(amount, price, callback) { + this.addOrder('sell', amount, price, callback); +}; + +Trader.prototype.checkOrder = function(order, callback) { + var check = function(err, data) { + + if (data && data.error) return this.retry(this.checkOrder, 'unable to get order', args, data.error); + if (err) return this.retry(this.checkOrder, 'unable to get order', args, err); + + var result = data[0]; + var stillThere = result.status === 0 || result.status === 1; + callback(err, !stillThere); + }; + + this.quadriga.api('lookup_order', {id: order}, _.bind(check, this)); +}; + +Trader.prototype.cancelOrder = function(order, callback) { + var args = _.toArray(arguments); + var cancel = function(err, data) { + + if (data && data.error) return this.retry(this.cancelOrder, 'unable to cancel order', args, data.error); + if (err) return this.retry(this.cancelOrder, 'unable to cancel order', args, err); + + callback(); + }; + + this.quadriga.api('cancel_order', {id: order}, _.bind(cancel, this)); +}; + +Trader.getCapabilities = function () { + return { + name: 'Quadriga', + slug: 'quadriga', + currencies: ['CAD', 'USD', 'BTC'], + assets: ['BTC', 'ETH', 'LTC', 'BCH'], + markets: [ + { pair: ['BTC', 'ETH'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + { pair: ['CAD', 'ETH'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + { pair: ['USD', 'BTC'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + { pair: ['CAD', 'BTC'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + { pair: ['CAD', 'LTC'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + { pair: ['CAD', 'BCH'], minimalOrder: { amount: 0.00001, unit: 'asset' }, precision: 8 }, + ], + requires: ['key', 'secret', 'username'], + providesHistory: false, + tid: 'tid', + tradable: true + }; +} + +module.exports = Trader; diff --git a/importers/exchanges/binance.js b/importers/exchanges/binance.js new file mode 100644 index 000000000..d449a4bd2 --- /dev/null +++ b/importers/exchanges/binance.js @@ -0,0 +1,52 @@ +const moment = require('moment'); +const util = require('../../core/util.js'); +const _ = require('lodash'); +const log = require('../../core/log'); + +var config = util.getConfig(); +var dirs = util.dirs(); + +var Fetcher = require(dirs.exchanges + 'binance'); + +util.makeEventEmitter(Fetcher); + +var end = false; +var done = false; +var from = false; + +var fetcher = new Fetcher(config.watch); + +var fetch = () => { + fetcher.import = true; + fetcher.getTrades(from, handleFetch); +}; + +var handleFetch = (unk, trades) => { + if (trades.length > 0) { + var last = moment.unix(_.last(trades).date).utc(); + var next = last.clone(); + } else { + var next = from.clone().add(1, 'd'); + log.debug('Import step returned no results, moving to the next 24h period'); + } + + if (from.add(1, 'd') >= end) { + fetcher.emit('done'); + + var endUnix = end.unix(); + trades = _.filter(trades, t => t.date <= endUnix); + } + + from = next.clone(); + fetcher.emit('trades', trades); +}; + +module.exports = function(daterange) { + from = daterange.from.clone().utc(); + end = daterange.to.clone().utc(); + + return { + bus: fetcher, + fetch: fetch, + }; +}; diff --git a/importers/exchanges/kraken.js b/importers/exchanges/kraken.js index a5f6a1fec..2ba20cbf7 100644 --- a/importers/exchanges/kraken.js +++ b/importers/exchanges/kraken.js @@ -1,8 +1,10 @@ var KrakenClient = require('kraken-api-es5') -var util = require('../../core/util.js'); var _ = require('lodash'); var moment = require('moment'); + +var util = require('../../core/util.js'); var log = require('../../core/log'); +var Errors = require('../../core/error.js') var config = util.getConfig(); diff --git a/package-lock.json b/package-lock.json index f55317166..e97882838 100644 --- a/package-lock.json +++ b/package-lock.json @@ -1,6 +1,6 @@ { "name": "gekko", - "version": "0.5.8", + "version": "0.5.10", "lockfileVersion": 1, "requires": true, "dependencies": { @@ -216,11 +216,219 @@ "tweetnacl": "0.14.5" } }, + "binance": { + "version": "1.0.2", + "resolved": "https://registry.npmjs.org/binance/-/binance-1.0.2.tgz", + "integrity": "sha1-43FS03OP5tLpHLytDJEm+2AAQrE=", + "requires": { + "request": "2.81.0", + "underscore": "1.8.3", + "ws": "3.3.2" + }, + "dependencies": { + "ultron": { + "version": "1.1.0", + "resolved": "https://registry.npmjs.org/ultron/-/ultron-1.1.0.tgz", + "integrity": "sha1-sHoualQagV/Go0zNRTO67DB8qGQ=" + }, + "underscore": { + "version": "1.8.3", + "resolved": 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"resolved": "https://registry.npmjs.org/generate-function/-/generate-function-2.0.0.tgz", @@ -2965,6 +3353,19 @@ "resolved": "https://registry.npmjs.org/qs/-/qs-6.4.0.tgz", "integrity": "sha1-E+JtKK1rD/qpExLNO/cI7TUecjM=" }, + "quadrigacx": { + "version": "0.0.7", + "resolved": "https://registry.npmjs.org/quadrigacx/-/quadrigacx-0.0.7.tgz", + "integrity": "sha1-vptrBG28vDpNqRbBpQtJ2kiulsQ=", + "requires": { + "request": "2.81.0" + } + }, + "querystring": { + "version": "0.2.0", + "resolved": "https://registry.npmjs.org/querystring/-/querystring-0.2.0.tgz", + "integrity": "sha1-sgmEkgO7Jd+CDadW50cAWHhSFiA=" + }, "raw-body": { "version": "2.3.2", "resolved": "https://registry.npmjs.org/raw-body/-/raw-body-2.3.2.tgz", diff --git a/package.json b/package.json index d20723951..b0a4f2294 100644 --- a/package.json +++ b/package.json @@ -1,6 +1,6 @@ { "name": "gekko", - "version": "0.5.10", + "version": "0.5.11", "description": "A bitcoin trading bot for auto trading at various exchanges", "keywords": [ "trading", @@ -17,6 +17,7 @@ "dependencies": { "@slack/client": "^3.10.0", "async": "2.1.2", + "binance": "^1.0.2", "bitcoin-co-id": "0.0.1", "bitexthai": "^0.1.0", "bitfinex-api-node": "^1.2.0", @@ -40,7 +41,7 @@ "kraken-api-es5": "^1.0.0", "lakebtc_nodejs": "0.1.x", "lodash": "2.x", - "moment": "2.4.x", + "moment": "2.19.3", "node-wex": "^1.0.3", "node.bittrex.api": "^0.4.3", "okcoin-china": "0.0.7", @@ -49,14 +50,14 @@ "promisify-node": "^0.4.0", "prompt-lite": "0.1.1", "pushbullet": "1.4.3", + "quadrigacx": "0.0.7", "relieve": "^2.1.3", "retry": "^0.10.1", - "semver": "2.2.1", + "semver": "5.4.1", "sqlite3": "^3.1.8", "stats-lite": "^2.0.4", "tiny-promisify": "^0.1.1", "toml": "^2.3.0", - "tulind": "^0.8.7", "twitter": "^1.7.1", "zaif.jp": "^0.1.4" }, diff --git a/plugins/adviceLogger.js b/plugins/adviceLogger.js index ecf031ae4..fb5a76a53 100644 --- a/plugins/adviceLogger.js +++ b/plugins/adviceLogger.js @@ -28,8 +28,9 @@ Actor.prototype.processAdvice = function(advice) { console.log() }; -Actor.prototype.finalize = function(advice) { +Actor.prototype.finalize = function(advice, done) { // todo + done(); }; module.exports = Actor; diff --git a/plugins/mongodb/writer.js b/plugins/mongodb/writer.js index 9f13f376b..5fd31999a 100644 --- a/plugins/mongodb/writer.js +++ b/plugins/mongodb/writer.js @@ -59,16 +59,23 @@ var processCandle = function processCandle (candle, done) { this.marketTime = candle.start; this.candleCache.push(candle); - _.defer(this.writeCandles); + if (this.candleCache.length > 100) + this.writeCandles(); done(); } -var processAdvice = function processAdvice (advice) { - if (config.candleWriter.muteSoft && advice.recommendation === 'soft') { - return; - } - - log.debug(`Writing advice '${advice.recommendation}' to database.`); +var finalize = function(done) { + this.writeCandles(); + this.db = null; + done(); +} + +var processAdvice = function processAdvice (advice) { + if (config.candleWriter.muteSoft && advice.recommendation === 'soft') { + return; + } + + log.debug(`Writing advice '${advice.recommendation}' to database.`); var mAdvice = { time: moment().utc(), marketTime: this.marketTime, @@ -89,6 +96,7 @@ if (config.adviceWriter.enabled) { if (config.candleWriter.enabled) { log.debug('Enabling candleWriter.'); Store.prototype.processCandle = processCandle; + Store.prototype.finalize = finalize; } module.exports = Store; diff --git a/plugins/performanceAnalyzer/performanceAnalyzer.js b/plugins/performanceAnalyzer/performanceAnalyzer.js index 1df947a7c..0e5ede9dc 100644 --- a/plugins/performanceAnalyzer/performanceAnalyzer.js +++ b/plugins/performanceAnalyzer/performanceAnalyzer.js @@ -166,9 +166,10 @@ PerformanceAnalyzer.prototype.calculateReportStatistics = function() { return report; } -PerformanceAnalyzer.prototype.finalize = function() { +PerformanceAnalyzer.prototype.finalize = function(done) { const report = this.calculateReportStatistics(); this.handler.finalize(report); + done(); } diff --git a/plugins/postgresql/writer.js b/plugins/postgresql/writer.js index 9d86acea1..029f74c9c 100755 --- a/plugins/postgresql/writer.js +++ b/plugins/postgresql/writer.js @@ -65,17 +65,22 @@ Store.prototype.writeCandles = function() { } var processCandle = function(candle, done) { - - // because we might get a lot of candles - // in the same tick, we rather batch them - // up and insert them at once at next tick. this.cache.push(candle); - _.defer(this.writeCandles); + if (this.cache.length > 100) + this.writeCandles(); + + done(); +}; + +var finalize = function(done) { + this.writeCandles(); + this.db = null; done(); } -if(config.candleWriter.enabled){ +if(config.candleWriter.enabled) { Store.prototype.processCandle = processCandle; + Store.prototype.finalize = finalize; } module.exports = Store; diff --git a/plugins/sqlite/handle.js b/plugins/sqlite/handle.js index 10371079e..af6e63efb 100644 --- a/plugins/sqlite/handle.js +++ b/plugins/sqlite/handle.js @@ -49,8 +49,12 @@ if(mode === 'realtime' || mode === 'importer') { util.die(`History database does not exist for exchange ${config.watch.exchange} at version ${version}.`); } +var journalMode = config.sqlite.journalMode || 'PERSIST'; +var syncMode = journalMode === 'WAL' ? 'NORMAL' : 'FULL'; + var db = new sqlite3.Database(fullPath); -db.run('PRAGMA journal_mode = ' + config.sqlite.journalMode||'WAL'); +db.run('PRAGMA synchronous = ' + syncMode); +db.run('PRAGMA journal_mode = ' + journalMode); db.configure('busyTimeout', 1500); module.exports = db; diff --git a/plugins/sqlite/reader.js b/plugins/sqlite/reader.js index b119cb371..6ce62f04d 100644 --- a/plugins/sqlite/reader.js +++ b/plugins/sqlite/reader.js @@ -162,6 +162,7 @@ Reader.prototype.getBoundry = function(next) { } Reader.prototype.close = function() { + this.db.close(); this.db = null; } diff --git a/plugins/sqlite/scanner.js b/plugins/sqlite/scanner.js index 31eaec801..9c7d81bae 100644 --- a/plugins/sqlite/scanner.js +++ b/plugins/sqlite/scanner.js @@ -32,7 +32,7 @@ module.exports = done => { async.each(dbs, (db, next) => { const exchange = _.first(db.split('_')); - const handle = new sqlite3.Database(dbDirectory + '/' + db, err => { + const handle = new sqlite3.Database(dbDirectory + '/' + db, sqlite3.OPEN_READONLY, err => { if(err) return next(err); diff --git a/plugins/sqlite/writer.js b/plugins/sqlite/writer.js index 08de137f1..0cd2f5ef9 100644 --- a/plugins/sqlite/writer.js +++ b/plugins/sqlite/writer.js @@ -14,6 +14,7 @@ var Store = function(done, pluginMeta) { this.db.serialize(this.upsertTables); this.cache = []; + this.buffered = util.gekkoMode() === "importer"; } Store.prototype.upsertTables = function() { @@ -51,51 +52,60 @@ Store.prototype.writeCandles = function() { if(_.isEmpty(this.cache)) return; - var stmt = this.db.prepare(` - INSERT OR IGNORE INTO ${sqliteUtil.table('candles')} - VALUES (?,?,?,?,?,?,?,?,?) - `, function(err, rows) { - if(err) { - log.error(err); - return util.die('DB error at INSERT: '+ err); - } + var transaction = function() { + this.db.run("BEGIN TRANSACTION"); + + var stmt = this.db.prepare(` + INSERT OR IGNORE INTO ${sqliteUtil.table('candles')} + VALUES (?,?,?,?,?,?,?,?,?) + `, function(err, rows) { + if(err) { + log.error(err); + return util.die('DB error at INSERT: '+ err); + } + }); + + _.each(this.cache, candle => { + stmt.run( + null, + candle.start.unix(), + candle.open, + candle.high, + candle.low, + candle.close, + candle.vwp, + candle.volume, + candle.trades + ); }); - _.each(this.cache, candle => { - stmt.run( - null, - candle.start.unix(), - candle.open, - candle.high, - candle.low, - candle.close, - candle.vwp, - candle.volume, - candle.trades - ); - }); - - stmt.finalize(); + stmt.finalize(); + this.db.run("COMMIT"); + + this.cache = []; + } - this.cache = []; + this.db.serialize(_.bind(transaction, this)); } var processCandle = function(candle, done) { - - // because we might get a lot of candles - // in the same tick, we rather batch them - // up and insert them at once at next tick. this.cache.push(candle); - _.defer(this.writeCandles); + if (!this.buffered || this.cache.length > 1000) + this.writeCandles(); - // NOTE: sqlite3 has it's own buffering, at - // this point we are confident that the candle will - // get written to disk on next tick. done(); +}; + +var finalize = function(done) { + this.writeCandles(); + this.db.close(() => { done(); }); + this.db = null; } -if(config.candleWriter.enabled) +if(config.candleWriter.enabled) { Store.prototype.processCandle = processCandle; + Store.prototype.finalize = finalize; +} // TODO: add storing of trades / advice? diff --git a/plugins/telegrambot.js b/plugins/telegrambot.js index 86c5f61f0..9763407f5 100644 --- a/plugins/telegrambot.js +++ b/plugins/telegrambot.js @@ -17,11 +17,11 @@ var Actor = function() { this.priceTime = utc(); this.commands = { - 'advice': 'emitAdvice', - 'price': 'emitPrice', - 'donate': 'emitDonation', - 'real advice': 'emitRealAdvice', - 'help': 'emitHelp' + '/advice': 'emitAdvice', + '/price': 'emitPrice', + '/donate': 'emitDonation', + '/real advice': 'emitRealAdvice', + '/help': 'emitHelp' }; this.rawCommands = _.keys(this.commands); diff --git a/plugins/trader/portfolioManager.js b/plugins/trader/portfolioManager.js index b58e3cf0a..b97a7fbb5 100644 --- a/plugins/trader/portfolioManager.js +++ b/plugins/trader/portfolioManager.js @@ -17,7 +17,6 @@ var log = require(dirs.core + 'log'); var async = require('async'); var checker = require(dirs.core + 'exchangeChecker.js'); var moment = require('moment'); -var async = require('async'); var Manager = function(conf) { _.bindAll(this); @@ -105,7 +104,7 @@ Manager.prototype.setPortfolio = function(callback) { }.bind(this); - util.retry(this.exchange.getPortfolio, set); + this.exchange.getPortfolio(set); }; Manager.prototype.setFee = function(callback) { @@ -118,7 +117,7 @@ Manager.prototype.setFee = function(callback) { if(_.isFunction(callback)) callback(); }.bind(this); - util.retry(this.exchange.getFee, set); + this.exchange.getFee(set); }; Manager.prototype.setTicker = function(callback) { @@ -131,7 +130,7 @@ Manager.prototype.setTicker = function(callback) { if(_.isFunction(callback)) callback(); }.bind(this); - util.retry(this.exchange.getTicker, set); + this.exchange.getTicker(set); }; // return the [fund] based on the data we have in memory diff --git a/plugins/tradingAdvisor/baseTradingMethod.js b/plugins/tradingAdvisor/baseTradingMethod.js index 76d637af2..75f0db939 100644 --- a/plugins/tradingAdvisor/baseTradingMethod.js +++ b/plugins/tradingAdvisor/baseTradingMethod.js @@ -9,44 +9,17 @@ var ENV = util.gekkoEnv(); var mode = util.gekkoMode(); var startTime = util.getStartTime(); -if(config.tradingAdvisor.talib.enabled) { - // verify talib is installed properly - var pluginHelper = require(dirs.core + 'pluginUtil'); - var pluginMock = { - slug: 'tradingAdvisor', - dependencies: [{ - module: 'talib', - version: config.tradingAdvisor.talib.version - }] - }; - - var cannotLoad = pluginHelper.cannotLoad(pluginMock); - if(cannotLoad) - util.die(cannotLoad); - - var talib = require(dirs.core + 'talib'); +var talib = require(dirs.core + 'talib'); +if(talib == null) { + log.warn('TALIB indicators could not be loaded, they will be unavailable.'); } -if(config.tradingAdvisor.tulind.enabled) { - // verify talib is installed properly - var pluginHelper = require(dirs.core + 'pluginUtil'); - var pluginMock = { - slug: 'tradingAdvisor', - dependencies: [{ - module: 'tulind', - version: config.tradingAdvisor.tulind.version - }] - }; - - var cannotLoad = pluginHelper.cannotLoad(pluginMock); - if(cannotLoad) - util.die(cannotLoad); - - var tulind = require(dirs.core + 'tulind'); +var tulind = require(dirs.core + 'tulind'); +if(tulind == null) { + log.warn('TULIP indicators could not be loaded, they will be unavailable.'); } var indicatorsPath = dirs.methods + 'indicators/'; - var indicatorFiles = fs.readdirSync(indicatorsPath); var Indicators = {}; diff --git a/sample-config.js b/sample-config.js index 45eedcf39..f516fada5 100644 --- a/sample-config.js +++ b/sample-config.js @@ -35,15 +35,7 @@ config.tradingAdvisor = { method: 'MACD', candleSize: 1, historySize: 3, - adapter: 'sqlite', - talib: { - enabled: false, - version: '1.0.2' - }, - tulind: { - enabled: false, - version: '0.8.7' - } + adapter: 'sqlite' } // Exponential Moving Averages settings: @@ -398,7 +390,7 @@ config.sqlite = { dataDirectory: 'history', version: 0.1, - journalMode: 'WAL', // setting this to 'DEL' may prevent db locking on windows + journalMode: require('./web/isWindows.js') ? 'DELETE' : 'WAL', dependencies: [] } @@ -446,7 +438,7 @@ config.backtest = { config.importer = { daterange: { // NOTE: these dates are in UTC - from: "2016-01-01 00:00:00" + from: "2017-11-01 00:00:00" } } diff --git a/strategies/PPO.js b/strategies/PPO.js index 6f39b7768..8c0f21488 100644 --- a/strategies/PPO.js +++ b/strategies/PPO.js @@ -40,12 +40,12 @@ method.update = function(candle) { method.log = function() { var digits = 8; var ppo = this.indicators.ppo; - var short = ppo.short.result; - var long = ppo.long.result; - var macd = ppo.macd; - var result = ppo.ppo; - var macdSignal = ppo.MACDsignal.result; - var ppoSignal = ppo.PPOsignal.result; + var long = ppo.result.longEMA; + var short = ppo.result.shortEMA; + var macd = ppo.result.macd; + var result = ppo.result.ppo; + var macdSignal = ppo.result.MACDsignal; + var ppoSignal = ppo.result.PPOsignal; log.debug('calculated MACD properties for candle:'); log.debug('\t', 'short:', short.toFixed(digits)); @@ -62,12 +62,12 @@ method.check = function(candle) { var price = candle.close; var ppo = this.indicators.ppo; - var long = ppo.long.result; - var short = ppo.short.result; - var macd = ppo.macd; - var result = ppo.ppo; - var macdSignal = ppo.MACDsignal.result; - var ppoSignal = ppo.PPOsignal.result; + var long = ppo.result.longEMA; + var short = ppo.result.shortEMA; + var macd = ppo.result.macd; + var result = ppo.result.ppo; + var macdSignal = ppo.result.MACDsignal; + var ppoSignal = ppo.result.PPOsignal; // TODO: is this part of the indicator or not? // if it is it should move there diff --git a/strategies/indicators/PPO.js b/strategies/indicators/PPO.js index eea3d827a..b49e592c7 100644 --- a/strategies/indicators/PPO.js +++ b/strategies/indicators/PPO.js @@ -2,9 +2,10 @@ var EMA = require('./EMA.js'); var Indicator = function(config) { + this.result = {}; this.input = 'price'; - this.macd = false; - this.ppo = false; + this.macd = 0; + this.ppo = 0; this.short = new EMA(config.short); this.long = new EMA(config.long); this.MACDsignal = new EMA(config.signal); @@ -15,17 +16,22 @@ Indicator.prototype.update = function(price) { this.short.update(price); this.long.update(price); this.calculatePPO(); - this.MACDsignal.update(this.macd); - this.MACDhist = this.macd - this.MACDsignal.result; - this.PPOsignal.update(this.ppo); - this.PPOhist = this.ppo - this.PPOsignal.result; + this.MACDsignal.update(this.result.macd); + this.MACDhist = this.result.macd - this.MACDsignal.result; + this.PPOsignal.update(this.result.ppo); + this.PPOhist = this.result.ppo - this.PPOsignal.result; + + this.result.MACDsignal = this.MACDsignal.result; + this.result.MACDhist = this.MACDhist; + this.result.PPOsignal = this.PPOsignal.result; + this.result.PPOhist = this.PPOhist; } Indicator.prototype.calculatePPO = function() { - var shortEMA = this.short.result; - var longEMA = this.long.result; - this.macd = shortEMA - longEMA; - this.ppo = 100 * (this.macd / longEMA); + this.result.shortEMA = this.short.result; + this.result.longEMA = this.long.result; + this.result.macd = this.result.shortEMA - this.result.longEMA; + this.result.ppo = 100 * (this.result.macd / this.result.longEMA); } module.exports = Indicator; diff --git a/strategies/tulip-multi-strat.js b/strategies/tulip-multi-strat.js new file mode 100644 index 000000000..753fdc8c7 --- /dev/null +++ b/strategies/tulip-multi-strat.js @@ -0,0 +1,57 @@ +var _ = require('lodash'); +var log = require('../core/log.js'); + +var method = {}; +method.init = function() { + // strat name + this.name = 'tulip-multi-strat'; + // trend information + this.trend = 'none' + // tulip indicators use this sometimes + this.requiredHistory = this.settings.historySize; + // define the indicators we need + this.addTulipIndicator('myadx', 'adx', this.settings); + this.addTulipIndicator('mymacd', 'macd', this.settings); +} + +// what happens on every new candle? +method.update = function(candle) { + // tulip results + this.adx = this.tulipIndicators.myadx.result.result; + this.macd = this.tulipIndicators.mymacd.result.macdHistogram; +} +// for debugging purposes log the last +// calculated parameters. +method.log = function() { + log.debug( +`--------------------- +Tulip ADX: ${this.adx} +Tulip MACD: ${this.macd} +`); +} + +method.check = function() { + // just add a long and short to each array when new indicators are used + const all_long = [ + this.adx > this.settings.up && this.trend!=='long', + this.settings.macd_up < this.macd && this.trend!=='long', + ].reduce((total, long)=>long && total, true) + const all_short = [ + this.adx < this.settings.down && this.trend!=='short', + this.settings.macd_down > this.macd && this.trend!=='short', + ].reduce((total, long)=>long && total, true) + + // combining all indicators with AND + if(all_long){ + log.debug(`tulip-multi-strat In low`); + this.advice('long'); + }else if(all_short){ + log.debug(`tulip-multi-strat In high`); + this.advice('short'); + }else{ + log.debug(`tulip-multi-strat In no trend`); + this.advice(); + } +} + +module.exports = method; diff --git a/test/indicators/macd.js b/test/indicators/macd.js index f19529ea1..7f5d97bc8 100644 --- a/test/indicators/macd.js +++ b/test/indicators/macd.js @@ -66,7 +66,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.ppo).to.equal(verified_ppo12v26v9[i]); + expect(ppo.result.ppo).to.equal(verified_ppo12v26v9[i]); }); }); @@ -74,7 +74,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.PPOsignal.result).to.equal(verified_ppo12v26v9signal[i]); + expect(ppo.result.PPOsignal).to.equal(verified_ppo12v26v9signal[i]); }); }); @@ -83,7 +83,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.PPOhist).to.equal(verified_ppo12v26v9hist[i]); + expect(ppo.result.PPOhist).to.equal(verified_ppo12v26v9hist[i]); }); }); }); @@ -97,4 +97,4 @@ xdescribe('indicators/DEMA', function() { }); -}); \ No newline at end of file +}); diff --git a/test/indicators/ppo.js b/test/indicators/ppo.js index 7518f33a4..0f2a7e684 100644 --- a/test/indicators/ppo.js +++ b/test/indicators/ppo.js @@ -32,7 +32,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.ppo).to.equal(verified_ppo12v26v9[i]); + expect(ppo.result.ppo).to.equal(verified_ppo12v26v9[i]); }); }); @@ -40,7 +40,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.PPOsignal.result).to.equal(verified_ppo12v26v9signal[i]); + expect(ppo.result.PPOsignal).to.equal(verified_ppo12v26v9signal[i]); }); }); @@ -49,7 +49,7 @@ describe('indicators/PPO', function() { var ppo = new PPO({short: 12, long: 26, signal: 9}); _.each(prices, function(p, i) { ppo.update(p); - expect(ppo.PPOhist).to.equal(verified_ppo12v26v9hist[i]); + expect(ppo.result.PPOhist).to.equal(verified_ppo12v26v9hist[i]); }); }); -}); \ No newline at end of file +}); diff --git a/web/isWindows.js b/web/isWindows.js new file mode 100644 index 000000000..691eb3dd8 --- /dev/null +++ b/web/isWindows.js @@ -0,0 +1,9 @@ +const os = require('os'); + +var isWindows = ( + os.platform() == 'win32' // true evenon 64 bit archs + || os.release().indexOf('Microsoft') > -1 // bash on Windows 10 scenario +); + +module.exports = isWindows; + diff --git a/web/routes/baseConfig.js b/web/routes/baseConfig.js index f0ebecf29..214ab1f97 100644 --- a/web/routes/baseConfig.js +++ b/web/routes/baseConfig.js @@ -14,14 +14,6 @@ config.debug = true; // ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ config.tradingAdvisor = { - talib: { - enabled: require('../supportsTalib'), - version: '1.0.2' - }, - tulind: { - enabled: require('../supportsTulip'), - version: '0.8.7' - } } config.candleWriter = { @@ -43,7 +35,7 @@ config.sqlite = { path: 'plugins/sqlite', version: 0.1, dataDirectory: 'history', - journalMode: 'WAL', // setting this to 'DEL' may prevent db locking on windows + journalMode: require('../isWindows.js') ? 'PERSIST' : 'WAL', dependencies: [{ module: 'sqlite3', version: '3.1.4' diff --git a/web/server.js b/web/server.js index 1e737fff2..6f266579c 100644 --- a/web/server.js +++ b/web/server.js @@ -18,8 +18,6 @@ const wss = new WebSocketServer({ server: server }); const cache = require('./state/cache'); const ListManager = require('./state/listManager'); -require('./supportsTalib'); - // broadcast function const broadcast = data => { if(_.isEmpty(data)) @@ -95,8 +93,9 @@ server.listen(config.api.port, config.api.host, '::', () => { // this prevents opening the browser during development let nodeCommand = _.last(process.argv[1].split('/')); if(nodeCommand === 'gekko' && !config.headless) { - try { - opn(location); - } catch(e) {} + opn(location) + .catch(err => { + console.log('Something went wrong when trying to open your web browser. UI is running on ' + location + '.'); + }); } }); diff --git a/web/supportsTalib.js b/web/supportsTalib.js deleted file mode 100644 index 9ccfe38fe..000000000 --- a/web/supportsTalib.js +++ /dev/null @@ -1,11 +0,0 @@ -var CAN_RUN_TALIB = true; - -try { - var talib = require('talib'); -} catch(e) { - CAN_RUN_TALIB = false; -} - -console.log('TAlib is', CAN_RUN_TALIB ? 'enabled' : 'disabled'); - -module.exports = CAN_RUN_TALIB; \ No newline at end of file diff --git a/web/supportsTulip.js b/web/supportsTulip.js deleted file mode 100644 index d57ee85e2..000000000 --- a/web/supportsTulip.js +++ /dev/null @@ -1,11 +0,0 @@ -var CAN_RUN_TULIP = true; - -try { - var tulind = require('tulind'); -} catch(e) { - CAN_RUN_TULIP = false; -} - -console.log('TULIP indicators is', CAN_RUN_TULIP ? 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r=n(119),i=n.n(r),o=n(120),a=n.n(o),s=n(2),u=n(5),c=n.n(u);e.default={data:function(){return{backtestable:!1,backtestState:"idle",backtestResult:!1,config:!1}},methods:{check:function(t){if(this.config=t,!t.valid)return this.backtestable=!1;this.backtestable=!0},run:function(){var t=this;this.backtestState="fetching";var e={gekkoConfig:this.config,data:{candleProps:["close","start"],indicatorResults:!0,report:!0,roundtrips:!0,trades:!0}};n.i(s.b)("backtest",e,function(e,n){t.backtestState="fetched",t.backtestResult=n})}},components:{configBuilder:i.a,result:a.a,spinner:c.a}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(68),i=n(69);e.default={props:["data","height"],data:function(){return{isClicked:!1}},watch:{data:function(){this.render()}},created:function(){setTimeout(this.render,100)},beforeDestroy:function(){this.remove()},methods:{click:function(){this.isClicked=!0},render:function(){this.remove(),_.size(this.data.candles)<4?n.i(i.a)("Not 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r=n(21),i=n.n(r);e.default={props:["report"],components:{paperTradeSummary:i.a},methods:{round:function(t){return(+t).toFixed(5)}},computed:{profitClass:function(){return this.report.relativeProfit>0?"profit":"loss"}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(126),i=n.n(r),o=n(3),a=(n.n(o),n(2));e.default={data:function(){return{exchange:!1,credentials:{}}},components:{exchangePicker:i.a},computed:{apiKeySets:function(){return this.$store.state.apiKeys},exchanges:function(){return this.$store.state.exchanges},requires:function(){return this.exchanges&&this.exchange?this.exchanges[this.exchange].requires:[]},config:function(){return{exchange:this.exchange,values:this.credentials}}},watch:{credentials:function(){this.emitConfig()}},methods:{updateExchange:function(t){this.credentials={},this.exchange=t,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)},upload:function(){var t=this,e=this.config.exchange;this.exchanges&&this.apiKeySets.includes(e)&&!confirm("You already have API keys for "+e+" defined, do you want to overwrite them?")||n.i(a.b)("addApiKey",this.config,function(e,n){if(e)return alert(e);t.credentials={}})}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(122),i=n.n(r),o=n(2);e.default={components:{apiConfigBuilder:i.a},data:function(){return{addApiToggle:!1}},methods:{openAddApi:function(){this.addApiToggle=!0},removeApiKey:function(t){confirm("Are you sure you want to delete these API keys?")&&n.i(o.b)("removeApiKey",{exchange:t},function(t,e){if(t)return alert(t)})}},computed:{apiKeySets:function(){return this.$store.state.apiKeys}},watch:{apiKeySets:function(){this.addApiToggle=!1}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(5),i=n.n(r),o=n(8),a=n(13),s=n.i(o.a)("\n\n## Local data\n\nGekko needs local market data in order to backtest strategies. The local\ndata can also be used in a warmup period when running a strategy against a\nlive market.\n\n");e.default={mixins:[a.a],components:{spinner:i.a},data:function(){return{intro:s,viewUnscannable:!1}},methods:{toggleUnscannable:function(){this.viewUnscannable=!0},humanizeDuration:function(t){return window.humanizeDuration(t)},fmt:function(t){return t.format("YYYY-MM-DD HH:mm")}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(17),i=n.n(r),o=n(11),a=n.n(o),s=n(3);n.n(s);e.default={data:function(){return{market:{},range:{}}},components:{marketPicker:i.a,rangeCreator:a.a},computed:{config:function(){var t={};return Object.assign(t,this.market,{importer:{daterange:this.range}},{candleWriter:{enabled:!0}}),t}},methods:{updateMarketConfig:function(t){this.market=t,this.emitConfig()},updateRange:function(t){this.range=t,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(2),i=n(5),o=n.n(i),a=n(123),s=n.n(a),u=n(8),c=n.i(u.a)("\n\n## Import data\n\nThe importer can download historical market data directly from the exchange.\n\n");e.default={components:{importConfigBuilder:s.a,spinner:o.a},data:function(){return{intro:c,config:{}}},computed:{imports:function(){return this.$store.state.imports}},methods:{daysApart:function(t){var e=moment(t.to),n=moment(t.from);return e.diff(n,"days")},updateConfig:function(t){this.config=t},run:function(){var t=this;if(this.daysApart(this.config.importer.daterange)<1)return alert("You can only import at least one day of data..");n.i(r.b)("import",this.config,function(e,n){if(e)return alert(e);t.$store.commit("addImport",n),t.$router.push({path:"/data/importer/import/"+n.id})})}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(3),i=n.n(r),o=n(128),a=n.n(o),s=n(5),u=n.n(s);e.default={components:{progressBar:a.a,spinner:u.a},computed:{data:function(){return i.a.find(this.$store.state.imports,{id:this.$route.params.id})},initialized:function(){if(this.data&&this.latest.isValid())return!0},latest:function(){if(this.data)return this.mom(this.data.latest)},fromEndMs:function(){if(this.data)return this.to.diff(this.latest)},fromEnd:function(){return this.latest?humanizeDuration(this.fromEndMs):"LOADING"},from:function(){if(this.data)return this.mom(this.data.from)},to:function(){if(this.data)return this.mom(this.data.to)},timespan:function(){if(this.data)return this.to.diff(this.from)},progress:function(){if(this.data){return 100*(this.timespan-this.fromEndMs)/this.timespan}}},methods:{fmt:function(t){return t.format("YYYY-MM-DD HH:mm:ss")},mom:function(t){return moment.utc(t)}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(17),i=n.n(r),o=n(127),a=n.n(o),s=n(20),u=n.n(s),c=n(18),l=n.n(c),f=n(2),d=n(3),p=n.n(d);e.default={created:function(){var t=this;n.i(f.a)("configPart/candleWriter",function(e,n){t.candleWriter=toml.parse(n.part)}),n.i(f.a)("configPart/performanceAnalyzer",function(e,n){t.performanceAnalyzer=toml.parse(n.part),t.performanceAnalyzer.enabled=!0})},data:function(){return{market:{},range:{},type:"",strat:{},paperTrader:{},candleWriter:{},performanceAnalyzer:{}}},components:{marketPicker:i.a,typePicker:a.a,stratPicker:u.a,paperTrader:l.a},computed:{isTradebot:function(){return"tradebot"===this.type},config:function(){var t={};return Object.assign(t,this.market,this.strat,{paperTrader:this.paperTrader},{candleWriter:this.candleWriter},{type:this.type},{performanceAnalyzer:this.performanceAnalyzer}),this.isTradebot&&(delete t.paperTrader,t.trader={enabled:!0}),t.valid=this.validConfig(t),t}},methods:{validConfig:function(t){if("market watcher"===t.type)return!0;if(!t.tradingAdvisor)return!1;if(p.a.isNaN(t.tradingAdvisor.candleSize))return!1;if(0==t.tradingAdvisor.candleSize)return!1;var e=t.tradingAdvisor.method;return!p.a.isEmpty(t[e])},updateMarketConfig:function(t){this.market=t,this.emitConfig()},updateType:function(t){this.type=t,this.emitConfig()},updateStrat:function(t){this.strat=t,this.emitConfig()},updatePaperTrader:function(t){this.paperTrader=t,this.paperTrader.enabled=!0,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)}}}},function(t,e,n){"use strict";function r(t,e,n){return e in t?Object.defineProperty(t,e,{value:n,enumerable:!0,configurable:!0,writable:!0}):t[e]=n,t}Object.defineProperty(e,"__esModule",{value:!0});var i,o=n(8),a=n.i(o.a)("\n\n## Live Gekko\n\nRun your strategy against the live market!\n\n");e.default=(i={data:function(){return{text:a}},created:function(){var t=this;this.timer=setInterval(function(){t.now=moment()},1e3)},destroyed:function(){clearTimeout(this.timer)}},r(i,"data",function(){return{text:a,timer:!1,now:moment()}}),r(i,"computed",{stratrunners:function(){return this.$store.state.stratrunners},watchers:function(){return this.$store.state.watchers}}),r(i,"methods",{humanizeDuration:function(t){return window.humanizeDuration(t)},moment:function(t){function e(e){return t.apply(this,arguments)}return e.toString=function(){return t.toString()},e}(function(t){return moment.utc(t)}),fmt:function(t){return moment.utc(t).format("YYYY-MM-DD HH:mm")},round:function(t){return(+t).toFixed(3)},timespan:function(t,e){return this.humanizeDuration(this.moment(t).diff(this.moment(e)))}}),i)},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(3),i=n.n(r),o=n(4),a=n(2),s=n(124),u=n.n(s);e.default={components:{gekkoConfigBuilder:u.a},data:function(){return{pendingStratrunner:!1,config:{}}},computed:{watchers:function(){return this.$store.state.watchers},stratrunners:function(){return this.$store.state.stratrunners},watchConfig:function(){var t=i.a.pick(this.config,"watch","candleWriter"),e=o.a.util.extend({},t);return e.type="market watcher",e.mode="realtime",e},requiredHistoricalData:function(){if(this.config.tradingAdvisor&&this.config.valid){var t=this.config.tradingAdvisor;return t.candleSize*t.historySize}},gekkoConfig:function(){var t;if(this.existingMarketWatcher){if(this.requiredHistoricalData){var e=moment().utc().startOf("minute").subtract(this.requiredHistoricalData,"minutes").unix(),n=moment.utc(this.existingMarketWatcher.firstCandle.start).unix();t=moment.unix(Math.max(e,n)).utc().format()}else t=moment().utc().startOf("minute").format();return 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r=n(119),i=n.n(r),o=n(120),a=n.n(o),s=n(2),u=n(5),c=n.n(u);e.default={data:function(){return{backtestable:!1,backtestState:"idle",backtestResult:!1,config:!1}},methods:{check:function(t){if(this.config=t,!t.valid)return this.backtestable=!1;this.backtestable=!0},run:function(){var t=this;this.backtestState="fetching";var e={gekkoConfig:this.config,data:{candleProps:["close","start"],indicatorResults:!0,report:!0,roundtrips:!0,trades:!0}};n.i(s.b)("backtest",e,function(e,n){t.backtestState="fetched",t.backtestResult=n})}},components:{configBuilder:i.a,result:a.a,spinner:c.a}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(68),i=n(69);e.default={props:["data","height"],data:function(){return{isClicked:!1}},watch:{data:function(){this.render()}},created:function(){setTimeout(this.render,100)},beforeDestroy:function(){this.remove()},methods:{click:function(){this.isClicked=!0},render:function(){this.remove(),_.size(this.data.candles)<4?n.i(i.a)("Not 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r=n(21),i=n.n(r);e.default={props:["report"],components:{paperTradeSummary:i.a},methods:{round:function(t){return(+t).toFixed(5)}},computed:{profitClass:function(){return this.report.relativeProfit>0?"profit":"loss"}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(126),i=n.n(r),o=n(3),a=(n.n(o),n(2));e.default={data:function(){return{exchange:!1,credentials:{}}},components:{exchangePicker:i.a},computed:{apiKeySets:function(){return this.$store.state.apiKeys},exchanges:function(){return this.$store.state.exchanges},requires:function(){return this.exchanges&&this.exchange?this.exchanges[this.exchange].requires:[]},config:function(){return{exchange:this.exchange,values:this.credentials}}},watch:{credentials:function(){this.emitConfig()}},methods:{updateExchange:function(t){this.credentials={},this.exchange=t,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)},upload:function(){var t=this,e=this.config.exchange;this.exchanges&&this.apiKeySets.includes(e)&&!confirm("You already have API keys for "+e+" defined, do you want to overwrite them?")||n.i(a.b)("addApiKey",this.config,function(e,n){if(e)return alert(e);t.credentials={}})}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(122),i=n.n(r),o=n(2);e.default={components:{apiConfigBuilder:i.a},data:function(){return{addApiToggle:!1}},methods:{openAddApi:function(){this.addApiToggle=!0},removeApiKey:function(t){confirm("Are you sure you want to delete these API keys?")&&n.i(o.b)("removeApiKey",{exchange:t},function(t,e){if(t)return alert(t)})}},computed:{apiKeySets:function(){return this.$store.state.apiKeys}},watch:{apiKeySets:function(){this.addApiToggle=!1}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(5),i=n.n(r),o=n(8),a=n(13),s=n.i(o.a)("\n\n## Local data\n\nGekko needs local market data in order to backtest strategies. The local\ndata can also be used in a warmup period when running a strategy against a\nlive market.\n\n");e.default={mixins:[a.a],components:{spinner:i.a},data:function(){return{intro:s,viewUnscannable:!1}},methods:{toggleUnscannable:function(){this.viewUnscannable=!0},humanizeDuration:function(t){return window.humanizeDuration(t)},fmt:function(t){return t.format("YYYY-MM-DD HH:mm")}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(17),i=n.n(r),o=n(11),a=n.n(o),s=n(3);n.n(s);e.default={data:function(){return{market:{},range:{}}},components:{marketPicker:i.a,rangeCreator:a.a},computed:{config:function(){var t={};return Object.assign(t,this.market,{importer:{daterange:this.range}},{candleWriter:{enabled:!0}}),t}},methods:{updateMarketConfig:function(t){this.market=t,this.emitConfig()},updateRange:function(t){this.range=t,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(2),i=n(5),o=n.n(i),a=n(123),s=n.n(a),u=n(8),c=n.i(u.a)("\n\n## Import data\n\nThe importer can download historical market data directly from the exchange.\n\n");e.default={components:{importConfigBuilder:s.a,spinner:o.a},data:function(){return{intro:c,config:{}}},computed:{imports:function(){return this.$store.state.imports}},methods:{daysApart:function(t){var e=moment(t.to),n=moment(t.from);return e.diff(n,"days")},updateConfig:function(t){this.config=t},run:function(){var t=this;if(this.daysApart(this.config.importer.daterange)<1)return alert("You can only import at least one day of data..");n.i(r.b)("import",this.config,function(e,n){if(e)return alert(e);t.$store.commit("addImport",n),t.$router.push({path:"/data/importer/import/"+n.id})})}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(3),i=n.n(r),o=n(128),a=n.n(o),s=n(5),u=n.n(s);e.default={components:{progressBar:a.a,spinner:u.a},computed:{data:function(){return i.a.find(this.$store.state.imports,{id:this.$route.params.id})},initialized:function(){if(this.data&&this.latest.isValid())return!0},latest:function(){if(this.data)return this.mom(this.data.latest)},fromEndMs:function(){if(this.data)return this.to.diff(this.latest)},fromEnd:function(){return this.latest?humanizeDuration(this.fromEndMs):"LOADING"},from:function(){if(this.data)return this.mom(this.data.from)},to:function(){if(this.data)return this.mom(this.data.to)},timespan:function(){if(this.data)return this.to.diff(this.from)},progress:function(){if(this.data){return 100*(this.timespan-this.fromEndMs)/this.timespan}}},methods:{fmt:function(t){return t.format("YYYY-MM-DD HH:mm:ss")},mom:function(t){return moment.utc(t)}}}},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var r=n(17),i=n.n(r),o=n(127),a=n.n(o),s=n(20),u=n.n(s),c=n(18),l=n.n(c),f=n(2),d=n(3),p=n.n(d);e.default={created:function(){var t=this;n.i(f.a)("configPart/candleWriter",function(e,n){t.candleWriter=toml.parse(n.part)}),n.i(f.a)("configPart/performanceAnalyzer",function(e,n){t.performanceAnalyzer=toml.parse(n.part),t.performanceAnalyzer.enabled=!0})},data:function(){return{market:{},range:{},type:"",strat:{},paperTrader:{},candleWriter:{},performanceAnalyzer:{}}},components:{marketPicker:i.a,typePicker:a.a,stratPicker:u.a,paperTrader:l.a},computed:{isTradebot:function(){return"tradebot"===this.type},config:function(){var t={};return Object.assign(t,this.market,this.strat,{paperTrader:this.paperTrader},{candleWriter:this.candleWriter},{type:this.type},{performanceAnalyzer:this.performanceAnalyzer}),this.isTradebot&&(delete t.paperTrader,t.trader={enabled:!0}),t.valid=this.validConfig(t),t}},methods:{validConfig:function(t){if("market watcher"===t.type)return!0;if(!t.tradingAdvisor)return!1;if(p.a.isNaN(t.tradingAdvisor.candleSize))return!1;if(0==t.tradingAdvisor.candleSize)return!1;var e=t.tradingAdvisor.method;return!p.a.isEmpty(t[e])},updateMarketConfig:function(t){this.market=t,this.emitConfig()},updateType:function(t){this.type=t,this.emitConfig()},updateStrat:function(t){this.strat=t,this.emitConfig()},updatePaperTrader:function(t){this.paperTrader=t,this.paperTrader.enabled=!0,this.emitConfig()},emitConfig:function(){this.$emit("config",this.config)}}}},function(t,e,n){"use strict";function r(t,e,n){return e in t?Object.defineProperty(t,e,{value:n,enumerable:!0,configurable:!0,writable:!0}):t[e]=n,t}Object.defineProperty(e,"__esModule",{value:!0});var i,o=n(8),a=n.i(o.a)("\n\n## Live Gekko\n\nRun your strategy against the live market!\n\n");e.default=(i={data:function(){return{text:a}},created:function(){var t=this;this.timer=setInterval(function(){t.now=moment()},1e3)},destroyed:function(){clearTimeout(this.timer)}},r(i,"data",function(){return{text:a,timer:!1,now:moment()}}),r(i,"computed",{stratrunners:function(){return this.$store.state.stratrunners},watchers:function(){return this.$store.state.watchers}}),r(i,"methods",{humanizeDuration:function(t){return window.humanizeDuration(t)},moment:function(t){function e(e){return t.apply(this,arguments)}return e.toString=function(){return t.toString()},e}(function(t){return moment.utc(t)}),fmt:function(t){return moment.utc(t).format("YYYY-MM-DD HH:mm")},round:function(t){return(+t).toFixed(3)},timespan:function(t,e){return this.humanizeDuration(this.moment(t).diff(this.moment(e)))}}),i)},function(t,e,n){"use strict";Object.defineProperty(e,"__esModule",{value:!0});var 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