forked from Reidmcc/Binance-bot
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathmult_arbit.py
1130 lines (1006 loc) · 55.8 KB
/
mult_arbit.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
##### Code for cross-pair arbitrage with multiple pair-sets simultaneously
##### Theoretically can run any number of pair-sets but agility goes down with each set added. Probably keep it to 4 or less.
from api import BinanceAPI
client = BinanceAPI('[API key]','[API secret]')
import time
# import datetime
from excepts import MalformedRequest, StatusUnknown, InternalError
from requests.exceptions import ConnectionError
from http.client import RemoteDisconnected
from http.client import HTTPException
from urllib3.exceptions import ProtocolError
from log import log_c
class Trades:
def __init__(self):
self.vars_set = False
self.t_1_price = -1
self.t_2_price = -1
self.t_3_price = -1
self.t_2_orig_price = -1
self.t_3_orig_price = -1
self.update_interval = 10
self.bite_interval = 30
self.cycle_fail = False
self.no_bites = False
# self.t_2_stop_trigger = 0.98
self.t_2_loss_rate_trig = .025
self.t_2_stop_price = 0.95
self.t_2_backstop_price = 1.05
self.t_2_stoploss = False
self.t_2_backtraded = False
self.t_2_reverse_trigger = 0.99
self.t_2_reverse_price = 0.991
self.t_2_reversal = False
self.t_3_stop_trigger = 1.02
self.t_3_stop_price = 1.05
self.t_3_stoploss = False
self.base_rate = 1.0045
self.t_1_ratio = .95
self.t_1_price_form = '0'
self.t_2_price_form = '0'
self.t_3_price_form = '0'
self.t_2_min_amt = 100
self.t_2_min_val = 100
self.t_1_min_amt = 1
self.t_1_min_val = 100
self.t_3_min_val = 0.001
self.t_1_pip_pad = 1
self.alt_bal = -1
self.static_t1_value = 0
self.target_BNB_bal = 1.70
self.BNB_trade_amt = -1
self.target_BTC_bal = 0.00133
self.last_BNB_t1_price = -1
self.last_ETH_t1_price = -1
self.last_t3_price = -1
self.t_1_orig_quant = -1
self.t_2_orig_quant = -1
self.t_3_orig_quant = -1
self.t_1_decimal = False
self.t_2_decimal = False
self.t_3_decimal = 0
self.t_1_status = 'not_placed'
self.t_2_status = 'not_placed'
self.t_3_status = 'not_placed'
self.t_1_orderID = '0'
self.t_2_orderID = '0'
self.t_3_orderID = '0'
self.t_1_quant = 0
self.t_2_quant = 0
self.t_3_quant = 0
self.t_1_executed = -1
self.t_2_executed = -1
self.t_3_executed = -1
self.pair_1 = 'none'
self.pair_2 = 'none'
self.pair_3 = 'none'
self.pair_1_pip = -1
self.pair_2_pip = -1
self.pair_3_pip = -1
self.coin_1 = 'undefined'
self.coin_2 = 'undefined'
self.coin_3 = 'BTC'
# self.valid_partial = False
self.cancelled_partial = False
self.t_2_fail_count = 0
self.t_3_fail_count = 0
self.cycle_count = 0
self.checkpoint_t_1_placed = False
self.checkpoint_t_1_bite_checked = False
self.checkpoint_t_1_complete = False
self.checkpoint_t_2_placed = False
self.checkpoint_t_2_complete = False
self.checkpoint_t_3_placed = False
self.checkpoint_t_3_complete = False
self.cyc_status = 'Initiated'
self.partial_wait_count = 0
self.lg = log_c()
self.logfile = 'Default_log.txt'
def set_params(self, pair_1, pair_2, pair_3, pair_1_pip, pair_2_pip, pair_3_pip,
alt_bal, t_1_imp_price, t_2_imp_price, t_3_imp_price):
self.alt_bal = alt_bal
self.t_1_price = t_1_imp_price
self.t_2_price = t_2_imp_price
self.t_3_price = t_3_imp_price
self.lg.log('Original t_1 price = ' + str(self.t_1_price))
self.lg.log('Original t_2 price = ' + str(self.t_2_price))
self.lg.log('Original t_3 price = ' + str(self.t_3_price))
self.pair_1 = pair_1
self.pair_2 = pair_2
self.pair_3 = pair_3
self.pair_1_pip = float(pair_1_pip)
self.pair_2_pip = float(pair_2_pip)
self.pair_3_pip = float(pair_3_pip)
self.t_1_price_form = str('{:.' + str(pair_1_pip)[-1:] + 'f}')
self.t_2_price_form = str('{:.' + str(pair_2_pip)[-1:] + 'f}')
self.t_3_price_form = str('{:.' + str(pair_3_pip)[-1:] + 'f}')
if pair_1 == 'XLMBNB':
self.t_1_min_val = 1
self.t_1_decimal = 1
self.t_2_min_val = 0.001
self.t_2_min_amt = 1
self.t_1_pip_pad = 1
self.t_2_decimal = 2
self.coin_1 = 'XLM'
self.coin_2 = 'BNB'
self.lg.log('Coin 2 is BNB')
elif pair_1 == 'XLMETH':
self.t_1_min_val = 0.01
self.t_1_decimal = 0
self.t_2_min_val = 0.001
self.t_2_min_amt = 0.001
self.t_1_pip_pad = 5
self.t_2_decimal = 3
self.coin_1 = 'XLM'
self.coin_2 = 'ETH'
self.lg.log('Coin 2 is ETH')
elif pair_1 == 'ADABNB':
self.t_1_min_val = 1
self.t_1_decimal = 1
self.t_2_min_val = 0.001
self.t_2_min_amt = 1
self.t_1_pip_pad = 1
self.t_2_decimal = 2
self.coin_1 = 'ADA'
self.coin_2 = 'BNB'
self.lg.log('Coin 2 is BNB')
elif pair_1 == 'ADAETH':
self.t_1_min_val = .01
self.t_1_decimal = 0
self.t_2_min_val = 0.001
self.t_2_min_amt = 0.001
self.t_1_pip_pad = 10
self.t_2_decimal = 3
self.coin_1 = 'ADA'
self.coin_2 = 'ETH'
self.lg.log('Coin 2 is ETH')
else:
self.cycle_fail = True
self.lg.log("Coin 2 not recognized, input was: " + self.pair_1[:3])
def run_cycle(self):
# if not self.vars_set:
if not self.cycle_fail and self.cyc_status != 'complete':
if not self.checkpoint_t_1_placed:
self.place_t_1()
if self.checkpoint_t_1_placed and not self.checkpoint_t_1_bite_checked:
self.cyc_status = 't_1 placed'
self.bite_watch()
if self.checkpoint_t_1_bite_checked and not self.checkpoint_t_1_complete:
self.cyc_status = 't_1 bite-checked'
self.t_1_part_watch()
if self.checkpoint_t_1_complete and not self.checkpoint_t_2_placed:
self.cyc_status = 't_1 complete'
self.place_t_2()
if self.checkpoint_t_2_placed and not self.checkpoint_t_2_complete:
self.cyc_status = 't_2_placed'
self.t_2_watch()
if self.checkpoint_t_2_complete and not self.checkpoint_t_3_placed:
if self.t_2_backtraded:
self.cyc_status = 'complete'
else:
self.cyc_status = 't_2_complete'
self.place_t_3()
if self.checkpoint_t_3_placed and not self.checkpoint_t_3_complete and not self.t_2_backtraded:
self.cyc_status = 't_3 placed'
self.t_3_watch()
if self.checkpoint_t_3_complete:
self.cyc_status = 'complete'
elif self.cycle_fail == True:
self.cyc_status = 'failed'
# return self.cyc_status
def cur_stat(self):
cur_stat = self.cyc_status
return cur_stat
def place_t_1(self):
self.t_1_quant = self.alt_bal * self.t_1_ratio
self.lg.log('Before placing t_1, self.t_1_price = ' + str(self.t_1_price))
self.lg.log('self.pair_1_pip = ' + str(self.pair_1_pip))
self.lg.log('self.t_1_pip_pad was')
if self.t_1_quant * self.t_1_price < self.t_1_min_val \
or self.t_1_quant * self.t_1_price * self.t_2_price < self.t_2_min_val \
or self.t_1_quant * self.t_1_price < self.t_2_min_amt:
self.lg.log("Insufficient alt_bal to cycle")
self.cycle_fail = True
t_1_price_adj = self.t_1_price - (self.pair_1_pip * self.t_1_pip_pad)
self.lg.log('Adjusted price came to: ' + str(t_1_price_adj))
t_1 = self.place_order_retry(self.pair_1, self.quant_str_trim(self.t_1_quant, self.t_1_decimal),
self.t_1_price_form.format(t_1_price_adj), 'sell')
stat_check = t_1["status"]
if stat_check != 'not_placed':
self.t_1_orderID = t_1["orderID"]
self.t_1_status = t_1["status"]
self.t_1_price = float(self.t_1_price_form.format(t_1_price_adj))
self.t_1_orig_quant = self.t_1_quant
self.lg.log('Initial t_1 order ID = ' + str(self.t_1_orderID))
self.lg.log('First retreived t_1 status = ' + self.t_1_status)
self.checkpoint_t_1_placed = True
else:
self.lg.log('Initial t_1 order failed, cancelling cycle')
self.cycle_fail = True
def bite_watch(self):
if self.t_1_status == 'NEW':
self.cycle_count += 1
self.t_1_status = self.get_order_stat_remaining(self.pair_1, self.t_1_orderID)["status"]
if self.cycle_count >= self.bite_interval:
self.ord_cancel(self.pair_1, self.t_1_orderID)
time.sleep(.5)
self.t_1_status = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)["status"]
self.lg.log('No bites, cancelling out. Post-cancel status was: ' + self.t_1_status)
self.no_bites = True
else:
self.checkpoint_t_1_bite_checked = True
self.cycle_count = 0
def t_1_part_watch(self):
self.partial_wait_count += 1
if (self.t_1_status == "PARTIALLY_FILLED" or self.t_1_status == 'NEW'):
self.cycle_count += 1
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
t_1_remaining = t_1_stat_get["remaining"]
if self.t_1_status != 'FILLED' and self.cycle_count >= self.update_interval:
self.cycle_count = 0
if (self.t_1_orig_quant - t_1_remaining) * self.t_1_price * self.t_2_price > self.t_2_min_val \
and (self.t_1_orig_quant - t_1_remaining) * self.t_1_price > self.t_2_min_amt:
self.ord_cancel(self.pair_1, self.t_1_orderID)
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
self.lg.log('Partial sold amount is enough to cycle, moving on')
self.checkpoint_t_1_complete = True
elif self.partial_wait_count >= 1000:
self.lg.log("This partial ain't moving, cancelling out")
self.ord_cancel(self.pair_1, self.t_1_orderID)
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
self.checkpoint_t_1_complete = True
self.cancelled_partial = True
else:
book_get = self.get_ord_book(self.pair_1)
book_fail = book_get["fail_flag"]
if book_fail:
self.lg.log('Retrieval of order book failed, try again next cycle')
else:
new_ord_book = book_get["ord_book"]
pair_newask = float(new_ord_book['asks'][0][0])
pair_ask_quant = float(new_ord_book['asks'][0][1])
pair_secondask = float(new_ord_book['asks'][1][0])
if pair_newask < self.t_1_price:
new_return = self.t_2_price / self.t_3_price * pair_newask
self.lg.log("Price moved down, new return calculated as " + str(new_return))
if new_return > self.base_rate and t_1_remaining * self.t_1_price > self.t_1_min_val:
self.lg.log("Replacing order " + str(self.t_1_orderID))
self.ord_cancel(self.pair_1, self.t_1_orderID)
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
new_remaining = t_1_stat_get["remaining"]
self.lg.log(
'Final status for order ' + str(self.t_1_orderID) + ' was ' + self.t_1_status)
if new_remaining * self.t_1_price > self.t_1_min_val \
and self.t_1_status != 'FILLED':
new_price = pair_newask - self.pair_1_pip
new_t_1 = self.place_order_retry(self.pair_1, self.quant_str_trim(new_remaining,
self.t_1_decimal),
self.t_1_price_form.format(new_price), 'sell')
stat_check = new_t_1["status"]
if stat_check != 'not_placed':
self.t_1_orderID = new_t_1["orderID"]
self.t_1_status = stat_check
self.t_1_price = new_price
self.lg.log('New order ID = ' + str(self.t_1_orderID))
else:
self.lg.log(
"Replacement order failed, abort t_1 monitoring and let cycle logic proceed")
self.checkpoint_t_1_complete = True
else:
self.lg.log('Remaining amount too small to trade, let cycle logic proceed')
self.checkpoint_t_1_complete = True
elif pair_secondask > self.t_1_price + self.pair_1_pip and pair_ask_quant == t_1_remaining:
self.lg.log('Second ask more than one pip higher and no matches, repositioning')
self.ord_cancel(self.pair_1, self.t_1_orderID)
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
new_remaining = t_1_stat_get["remaining"]
self.lg.log('Final status for order ' + str(self.t_1_orderID) + ' was ' + self.t_1_status)
if new_remaining * self.t_1_price > self.t_1_min_val \
and self.t_1_status != 'FILLED':
new_price = pair_secondask - self.pair_1_pip
new_t_1 = self.place_order_retry(self.pair_1,
self.quant_str_trim(new_remaining, self.t_1_decimal),
self.t_1_price_form.format(new_price), 'sell')
stat_check = new_t_1["status"]
if stat_check != 'not_placed':
self.t_1_orderID = new_t_1["orderID"]
self.t_1_status = stat_check
self.t_1_price = new_price
self.lg.log('New order ID = ' + str(self.t_1_orderID))
else:
self.lg.log(
"Replacement order failed, abort t_1 monitoring and let cycle logic proceed")
self.checkpoint_t_1_complete = True
else:
self.lg.log('Remaining amount too small to trade, let cycle logic proceed')
self.checkpoint_t_1_complete = True
else:
# double check status of t_1
t_1_stat_get = self.get_order_stat_rem_stubborn(self.pair_1, self.t_1_orderID)
self.t_1_status = t_1_stat_get["status"]
self.t_1_executed = t_1_stat_get["executed"]
coin_2_returned = self.t_1_executed * self.t_1_price
if self.t_2_status == 'FILLED' or (coin_2_returned >= self.t_2_min_amt and coin_2_returned * self.t_2_price > self.t_2_min_val):
self.checkpoint_t_1_complete = True
self.cycle_count = 0
elif self.no_bites:
self.cyc_status = 'no_bites'
else:
self.checkpoint_t_1_complete = True
self.cycle_count = 0
def place_t_2(self):
coin_2_bal = -1
while coin_2_bal == -1:
balances = self.get_bals()
for b in balances:
if b['asset'] == self.coin_2:
coin_2_bal = float(b['free'])
if coin_2_bal == -1:
time.sleep(1)
self.t_1_executed = self.get_order_stat_remaining(self.pair_1, self.t_1_orderID)["executed"]
coin_2_returned = self.t_1_executed * self.t_1_price
if self.cancelled_partial:
fails_needed = 1
else:
fails_needed = 3
if self.t_2_status == 'not_placed' and self.t_2_fail_count < fails_needed:
if coin_2_bal >= coin_2_returned and coin_2_returned > self.t_2_min_amt and coin_2_returned * self.t_2_price > self.t_2_min_val:
if self.coin_2 == 'BNB':
if coin_2_bal - self.target_BNB_bal > coin_2_returned:
self.t_2_quant = coin_2_bal - self.target_BNB_bal
else:
self.t_2_quant = coin_2_returned
elif self.coin_2 == 'ETH':
self.t_2_quant = coin_2_bal
else:
self.t_2_quant = coin_2_returned
t_2 = self.place_order_retry(self.pair_2, self.quant_str_trim(self.t_2_quant, self.t_2_decimal),
self.t_2_price_form.format(self.t_2_price),
'sell')
stat_check = t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = t_2["orderID"]
self.t_2_status = stat_check
self.t_2_orig_price = float(self.t_2_price_form.format(self.t_2_price))
self.t_2_price = self.t_2_orig_price
self.lg.log('Initial t_2 order ID = ' + str(self.t_2_orderID))
self.lg.log('First retreived t_2 status = ' + self.t_2_status)
else:
self.lg.log('t_2 order failed, will try again')
self.t_2_fail_count += 1
else:
self.lg.log('Not enough ' + self.coin_2 + ' to cycle, retry')
self.t_2_fail_count += 1
elif self.t_2_status != 'not_placed':
self.checkpoint_t_2_placed = True
elif self.t_2_fail_count >= fails_needed:
self.lg.log('Tried t_2 designated times and failed')
self.cycle_fail = True
def t_2_watch(self):
if (self.t_2_status == 'NEW' or self.t_2_status == 'PARTIALLY_FILLED'):
t_2_stat_get = self.get_order_stat_rem_stubborn(self.pair_2, self.t_2_orderID)
self.cycle_count += 1
self.t_2_status = t_2_stat_get["status"]
t_2_remaining = t_2_stat_get["remaining"]
if self.t_2_status == 'FILLED':
self.checkpoint_t_2_complete = True
elif self.cycle_count >= self.update_interval:
self.cycle_count = 0
if not self.t_2_stoploss and not self.t_2_reversal:
book_get = self.get_ord_book(self.pair_2)
book_fail = book_get["fail_flag"]
if book_fail:
self.lg.log('Retrieval of order book failed, try again next cycle')
else:
new_ord_book = book_get["ord_book"]
pair_newask = float(new_ord_book['asks'][0][0])
pair_ask_quant = float(new_ord_book['asks'][0][1])
pair_secondask = float(new_ord_book['asks'][1][0])
pair_newbid = float(new_ord_book['bids'][0][0])
p1_book_get = self.get_ord_book(self.pair_1)
new_p1_book = p1_book_get["ord_book"]
p1_newask = float(new_p1_book['asks'][0][0])
p3_book_get = self.get_ord_book(self.pair_3)
new_p3_book = p3_book_get["ord_book"]
p3_newask = float(new_p3_book['asks'][0][0])
fullroute_loss = (1 - pair_newbid / self.t_2_orig_price) + (
1 - self.t_3_price / p3_newask) + 0.00075 # static value for fee
# if pair_newbid < self.t_2_orig_price * self.t_2_stop_trigger:
if fullroute_loss > self.t_2_loss_rate_trig:
self.lg.log('t_2 stoploss triggered')
self.ord_cancel(self.pair_2, self.t_2_orderID)
t_2_stat_get = self.get_order_stat_remaining(self.pair_2, self.t_2_orderID)
self.t_2_status = t_2_stat_get["status"]
new_remaining = t_2_stat_get["remaining"]
backtrade_loss = 1 - self.t_1_price / p1_newask
self.lg.log('Full route loss would be ' + str(fullroute_loss)[:4])
self.lg.log('Backtrade loss would be ' + str(backtrade_loss)[:4])
# p3_book_get = self.get_ord_book(self.pair_3)
# new_p3_book = p3_book_get["ord_book"]
# p3_newask = float(new_p3_book['asks'][0][0])
#
# fullroute_loss = (1 - pair_newbid / self.t_2_orig_price) + (
# 1 - self.t_3_price / p3_newask) + 0.00075 # static value for fee
# backtrade_loss = 1 - self.t_1_price / p1_newask
# self.lg.log('Full route loss would be ' + str(fullroute_loss)[:4])
# self.lg.log('Backtrade loss would be ' + str(backtrade_loss)[:4])
# This should check if the loss is less bad converting straight back to XLM
if backtrade_loss <= fullroute_loss:
self.lg.log('Backtrade is less bad than going through coin_3')
if new_remaining >= self.t_1_min_val:
backtrade_price = p1_newask * self.t_2_backstop_price
backtrade_quant = new_remaining / backtrade_price
new_t_2 = self.place_order_retry(self.pair_1, self.quant_str_trim(backtrade_quant,
self.t_1_decimal),
self.t_1_price_form.format(backtrade_price), 'buy')
stat_check = new_t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = new_t_2["orderID"]
self.t_2_status = stat_check
self.t_2_price = backtrade_price
self.t_2_stoploss = True
self.t_2_backtraded = True
self.lg.log('Order ID for t_2 backtrade = ' + str(self.t_2_orderID))
else:
self.lg.log('Coin_2 quant too small for backtrade stoploss, abort')
self.cycle_fail = True
elif fullroute_loss < backtrade_loss:
self.lg.log('Going through coin_3 is less bad than backtrade')
stoploss_price = self.t_2_orig_price * self.t_2_stop_price
if new_remaining * stoploss_price > self.t_2_min_val:
new_t_2 = self.place_order_retry(self.pair_2, self.quant_str_trim(new_remaining,
self.t_2_decimal),
self.t_2_price_form.format(stoploss_price), 'sell')
stat_check = new_t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = new_t_2["orderID"]
self.t_2_status = stat_check
self.t_2_price = stoploss_price
self.t_2_stoploss = True
self.lg.log('New order ID = ' + str(self.t_2_orderID))
else:
self.lg.log('Coin_2 quant too small for full route stoploss, abort')
self.cycle_fail = True
elif p1_newask < self.t_1_price * self.t_2_reverse_trigger:
self.t_2_reversal = True
self.lg.log('t_2 reversal triggered')
self.ord_cancel(self.pair_2, self.t_2_orderID)
t_2_stat_get = self.get_order_stat_remaining(self.pair_2, self.t_2_orderID)
self.t_2_status = t_2_stat_get["status"]
new_remaining = t_2_stat_get["remaining"]
if new_remaining > self.t_1_min_val:
reversal_price = self.t_1_price * self.t_2_reverse_price
reversal_quant = new_remaining / reversal_price
new_t_2 = self.place_order_retry(self.pair_1,
self.quant_str_trim(reversal_quant, self.t_1_decimal),
self.t_1_price_form.format(reversal_price), 'buy')
stat_check = new_t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = new_t_2["orderID"]
self.t_2_status = stat_check
self.t_2_price = reversal_price
self.t_2_backtraded = True
self.lg.log('Order ID for t_2 reversal = ' + str(self.t_2_orderID))
else:
self.lg.log('Coin_2 quant too small for reversal, abort')
self.cycle_fail = True
elif pair_newask < self.t_2_price:
new_return = pair_newask / self.t_3_price * self.t_1_price
self.lg.log("Price moved down, new return calculated as " + str(new_return))
if new_return > self.base_rate and t_2_remaining * self.t_2_price > self.t_2_min_val:
self.lg.log("Replacing order " + str(self.t_2_orderID))
self.ord_cancel(self.pair_2, self.t_2_orderID)
t_2_stat_get = self.get_order_stat_rem_stubborn(self.pair_2, self.t_2_orderID)
self.t_2_status = t_2_stat_get["status"]
new_remaining = t_2_stat_get["remaining"]
self.lg.log(
'Final status for order ' + str(self.t_2_orderID) + ' was ' + self.t_2_status)
if new_remaining * (pair_newask - self.pair_2_pip) > self.t_2_min_val \
and self.t_2_status != 'FILLED':
new_price = pair_newask - self.pair_2_pip
new_t_2 = self.place_order_retry(self.pair_2, self.quant_str_trim(new_remaining,
self.t_2_decimal),
self.t_2_price_form.format(new_price), 'sell')
stat_check = new_t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = new_t_2["orderID"]
self.t_2_status = stat_check
self.t_2_price = new_price
self.lg.log('New order ID = ' + str(self.t_2_orderID))
else:
self.lg.log("Replacement order failed, try again next cycle")
else:
self.lg.log('Remaining amount too small to move, hold on existing price')
elif pair_secondask > self.t_2_price + self.pair_2_pip and pair_ask_quant == t_2_remaining:
self.lg.log('Second ask more than one pip higher and no matches, assessing for reposition')
t_2_stat_get = self.get_order_stat_rem_stubborn(self.pair_2, self.t_2_orderID)
self.t_2_status = t_2_stat_get["status"]
new_remaining = t_2_stat_get["remaining"]
if new_remaining * (pair_secondask - self.pair_2_pip) > self.t_2_min_val \
and self.t_2_status != 'FILLED':
self.ord_cancel(self.pair_2, self.t_2_orderID)
t_2_stat_get = self.get_order_stat_rem_stubborn(self.pair_2, self.t_2_orderID)
self.t_2_status = t_2_stat_get["status"]
self.lg.log(
'Final status for order ' + str(self.t_2_orderID) + ' was ' + self.t_2_status)
new_price = pair_secondask - self.pair_2_pip
new_t_2 = self.place_order_retry(self.pair_2, self.quant_str_trim(new_remaining,
self.t_2_decimal),
self.t_2_price_form.format(new_price), 'sell')
stat_check = new_t_2["status"]
if stat_check != 'not_placed':
self.t_2_orderID = new_t_2["orderID"]
self.t_2_status = stat_check
self.t_2_price = new_price
self.lg.log('New order ID = ' + str(self.t_2_orderID))
else:
self.lg.log("Replacement order failed, try again next cycle")
else:
self.lg.log('Remaining amount too small to move, hold on existing price')
else:
self.checkpoint_t_2_complete = True
def place_t_3(self):
coin_3_bal = -1
while coin_3_bal == -1:
balances = self.get_bals()
for b in balances:
if b['asset'] == self.coin_3:
coin_3_bal = float(b['free'])
if coin_3_bal == -1:
time.sleep(1)
self.t_2_executed = self.get_order_stat_remaining(self.pair_2, self.t_2_orderID)["executed"]
coin_3_returned = self.t_2_executed * self.t_2_price
if self.t_2_stoploss:
self.t_3_price = self.t_3_price * self.t_3_stop_price
self.t_3_stop_trigger = 1
self.lg.log('t_2 went to stoploss, continuing stoploss chain')
if self.t_3_status == 'not_placed' and self.t_3_fail_count < 5 and not self.t_2_backtraded:
if coin_3_bal >= coin_3_returned > self.t_3_min_val:
if coin_3_bal - self.target_BTC_bal > coin_3_returned:
self.t_3_quant = (coin_3_bal - self.target_BTC_bal) / self.t_3_price
else:
self.t_3_quant = coin_3_returned / self.t_3_price
t_3 = self.place_order_retry(self.pair_3, self.quant_str_trim(self.t_3_quant, self.t_3_decimal),
self.t_3_price_form.format(self.t_3_price),
'buy')
stat_check = t_3["status"]
self.lg.log(stat_check)
if stat_check != 'not_placed':
self.t_3_orderID = t_3["orderID"]
self.t_3_status = stat_check
self.t_3_orig_price = float(self.t_3_price_form.format(self.t_3_price))
self.t_3_price = self.t_3_orig_price
self.lg.log('Initial t_3 order ID = ' + str(self.t_3_orderID))
self.lg.log('First retreived t_3 status = ' + self.t_3_status)
else:
self.lg.log('t_3 order failed, will try again')
self.t_3_fail_count += 1
else:
self.lg.log('Not enough ' + self.coin_3 + ' to cycle, retry')
self.t_3_fail_count += 1
elif self.t_3_status != 'not_placed':
self.checkpoint_t_3_placed = True
elif self.t_3_fail_count >= 5:
self.lg.log('Tried t_3 five times and failed')
self.cycle_fail = True
def t_3_watch(self):
if (self.t_3_status == 'NEW' or self.t_3_status == 'PARTIALLY_FILLED'):
t_3_stat_get = self.get_order_stat_rem_stubborn(self.pair_3, self.t_3_orderID)
self.cycle_count += 1
self.t_3_status = t_3_stat_get["status"]
t_3_remaining = t_3_stat_get["remaining"]
if self.t_3_status == 'FILLED':
self.checkpoint_t_3_complete = True
self.cycle_count = 0
elif self.cycle_count >= self.update_interval:
self.cycle_count = 0
if not self.t_3_stoploss:
book_get = self.get_ord_book(self.pair_3)
book_fail = book_get["fail_flag"]
if book_fail:
self.lg.log('Retrieval of order book failed, try again next cycle')
else:
new_ord_book = book_get["ord_book"]
pair_newbid = float(new_ord_book['bids'][0][0])
pair_bid_quant = float(new_ord_book['bids'][0][1])
pair_secondbid = float(new_ord_book['bids'][1][0])
pair_newask = float(new_ord_book['asks'][0][0])
if pair_newask > self.t_3_orig_price * self.t_3_stop_trigger:
self.lg.log('t_3 stoploss triggered')
self.ord_cancel(self.pair_3, self.t_3_orderID)
time.sleep(.5)
coin_3_bal = -1
while coin_3_bal == -1:
balances = self.get_bals()
for b in balances:
if b['asset'] == self.coin_3:
coin_3_bal = float(b['free'])
if coin_3_bal == -1:
time.sleep(1)
stoploss_price = self.t_3_orig_price * self.t_3_stop_price
if coin_3_bal < self.t_3_min_val:
self.lg.log('Coin_3 bal too small to stoploss, abort')
self.cycle_fail = True
else:
if coin_3_bal > t_3_remaining * stoploss_price > self.t_3_min_val:
stoploss_quant = t_3_remaining
else:
stoploss_quant = coin_3_bal / stoploss_price
new_t_3 = self.place_order_retry(self.pair_3,
self.quant_str_trim(stoploss_quant, self.t_3_decimal),
self.t_3_price_form.format(stoploss_price), 'buy')
stat_check = new_t_3["status"]
if stat_check != "not_placed":
self.t_3_orderID = new_t_3["orderID"]
self.t_3_status = stat_check
self.t_3_price = stoploss_price
t_3_stoploss = True
self.lg.log('OrderId for t_3 stoploss = ' + str(self.t_3_orderID))
elif pair_newbid > self.t_3_price:
new_return = self.t_2_price / pair_newbid * self.t_1_price
self.lg.log("Price moved up, new return calculated as " + str(new_return))
if new_return > self.base_rate and t_3_remaining * pair_newbid > self.t_3_min_val:
self.lg.log("Replacing order " + str(self.t_3_orderID))
self.ord_cancel(self.pair_3, self.t_3_orderID)
t_3_stat_get = self.get_order_stat_rem_stubborn(self.pair_3, self.t_3_orderID)
self.t_3_status = t_3_stat_get["status"]
new_remaining = t_3_stat_get["remaining"]
self.lg.log(
'Final status for order ' + str(self.t_3_orderID) + ' was ' + self.t_3_status)
if new_remaining * (pair_newbid + self.pair_3_pip) > self.t_3_min_val \
and self.t_3_status != 'FILLED':
new_price = pair_newbid + self.pair_3_pip
new_t_3 = self.place_order_retry(self.pair_3,
self.quant_str_trim(new_remaining,
self.t_3_decimal),
self.t_3_price_form.format(new_price), 'buy')
stat_check = new_t_3["status"]
if stat_check != 'not_placed':
self.t_3_orderID = new_t_3["orderID"]
self.t_3_status = stat_check
self.t_3_price = new_price
self.lg.log('New order ID = ' + str(self.t_3_orderID))
else:
self.lg.log("Replacement order failed, try again next cycle")
else:
self.lg.log('Remaining amount too small to move, hold on existing price')
elif pair_secondbid < self.t_3_price - self.pair_3_pip and pair_bid_quant == t_3_remaining:
self.lg.log('Second bid more than one pip lower and no matches, assessing for reposition')
t_3_stat_get = self.get_order_stat_rem_stubborn(self.pair_3, self.t_3_orderID)
self.t_3_status = t_3_stat_get["status"]
new_remaining = t_3_stat_get["remaining"]
if new_remaining * (pair_secondbid + self.pair_3_pip) > self.t_3_min_val \
and self.t_3_status != 'FILLED':
self.lg.log("Replacing order " + str(self.t_3_orderID))
self.ord_cancel(self.pair_3, self.t_3_orderID)
t_3_stat_get = self.get_order_stat_rem_stubborn(self.pair_3, self.t_3_orderID)
self.t_3_status = t_3_stat_get["status"]
self.lg.log(
'Final status for order ' + str(self.t_3_orderID) + ' was ' + self.t_3_status)
new_price = pair_secondbid + self.pair_3_pip
new_t_3 = self.place_order_retry(self.pair_3,
self.quant_str_trim(new_remaining, self.t_3_decimal),
self.t_3_price_form.format(new_price), 'buy')
stat_check = new_t_3["status"]
if stat_check != 'not_placed':
self.t_3_orderID = new_t_3["orderID"]
self.t_3_status = stat_check
self.t_3_price = new_price
self.lg.log('New order ID = ' + str(self.t_3_orderID))
else:
self.lg.log("Replacement order failed, try again next cycle")
else:
self.lg.log('Remaining amount too small to move, hold on existing price')
else:
self.checkpoint_t_3_complete = True
self.cycle_count = 0
def setfile(self, log_file):
self.lg.set_file(log_file)
def place_order_onetry(self, pair, quant, price, side, test=False):
status = 'not_placed'
orderID = '0'
trade = {}
if test:
self.lg.log('Would have placed order as: pair = ' + pair + ', quant = ' + str(quant) + ', price = '
+ str(price) + ', side = ' + side)
status = 'was_tested'
elif not test:
self.lg.log('Placing order as pair = ' + pair + ', quant = ' + str(quant) + ', price = '
+ str(price) + ', side = ' + side)
try:
if side == 'sell':
trade = client.newLimitSellOrder(pair, quant, price)
elif side == 'buy':
trade = client.newLimitBuyOrder(pair, quant, price)
except MalformedRequest as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + ' Tried to place order as pair = ' + pair + ', quant = '
+ str(quant) + ', price = ' + str(price) + ', side = ' + side)
client.set_offset()
except StatusUnknown as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + 'API returned StatusUnknown, checking for placed order')
order = self.check_for_open(pair)
fail = order["fail_flag"]
if not fail:
orderID = order["order_ID"]
status = order["status"]
except (InternalError, ConnectionError, RemoteDisconnected, ProtocolError, HTTPException) as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + " Some sort of connection or internal error occured")
else:
status = trade["status"]
orderID = trade["orderId"]
self.lg.log('Returning: orderID = ' + str(orderID) + ', status = ' + status)
return {"orderID": orderID, "status": status}
def place_order_retry(self, pair, quant, price, side, test=False):
status = 'not_placed'
orderID = '0'
trade = {}
fail_count = 0
if test:
self.lg.log('Would have placed order as: pair = ' + pair + ', quant = ' + str(quant) + ', price = '
+ str(price) + ', side = ' + side)
status = 'was_tested'
elif not test:
self.lg.log('Placing order as pair = ' + pair + ', quant = ' + str(quant) + ', price = '
+ str(price) + ', side = ' + side)
try:
while status == 'not_placed' and fail_count < 5:
if side == 'sell':
trade = client.newLimitSellOrder(pair, quant, price)
elif side == 'buy':
trade = client.newLimitBuyOrder(pair, quant, price)
status = trade["status"]
orderID = trade["orderId"]
except MalformedRequest as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + ' Tried to place order as pair = ' + pair + ', quant = '
+ str(quant) + ', price = ' + str(price) + ', side = ' + side)
fail_count += 1
time.sleep(1)
client.set_offset()
except StatusUnknown as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + ' API returned StatusUnknown, checking for placed order')
order = self.check_for_open(pair)
fail = order["fail_flag"]
if not fail:
orderID = order["order_ID"]
status = order["status"]
elif fail:
fail_count += 1
time.sleep(1)
except (InternalError, ConnectionError, RemoteDisconnected, ProtocolError, HTTPException) as e:
self.lg.log(
str(e) + ' ' + str(e.__traceback__) + " Some sort of connection or internal error occured")
fail_count += 1
time.sleep(1)
# else:
# status = trade["status"]
# orderID = trade["orderId"]
finally:
if fail_count >= 5:
self.lg.log("Retried order 5 times, still didn't take")
self.lg.log('Returning: orderID = ' + str(orderID) + ', status = ' + status)
return {"orderID": orderID, "status": status}
def check_for_open(self, pair):
self.lg.log("Attempted order may have failed checking whether it was placed")
fail_flag = False
mult_orders = False
order_ID = '0'
status = 'not_placed'
match_amt = -1
ord_found = False
if pair == self.pair_1:
match_amt = self.t_1_quant
elif pair == self.pair_2:
match_amt = self.t_2_quant
elif pair == self.pair_3:
match_amt = self.t_3_quant
cur_open = self.get_open_ords(pair)
num_open = 0
for o in cur_open:
num_open += 1
if num_open >= 1:
self.lg.log("At least one order is open, trying to find the right one")
for o in cur_open:
quant_compare = float(o["origQty"])
if quant_compare == match_amt:
order_ID = o["orderId"]
status = o["status"]
ord_found = True
if not ord_found:
fail_flag = True
elif num_open == 0:
self.lg.log("No order was placed")
fail_flag = True
return {"order_ID": order_ID, "status": status, "fail_flag": fail_flag, "mult_orders": mult_orders}
def get_order_stat_remaining(self, pair, Order_id):
error_count = 0
info_returned = False
status = 'not_found'
remaining = -1
executed = -1
fail = False
if Order_id == 0:
self.lg.log("Tried to check an unplaced order")
fail = True
while info_returned == False and not fail:
try:
stat_get = client.queryOrder(pair, orderId=Order_id)
except MalformedRequest as e:
self.lg.log(str(e) + ' ' + str(e.__traceback__) +
' Order ID not found on status + remain check, keep trying')
error_count += 1
time.sleep(5)
client.set_offset()
except (
InternalError, StatusUnknown, ConnectionError, RemoteDisconnected, ProtocolError, HTTPException) as e:
self.lg.log(str(e) + ' ' + str(e.__traceback__))
error_count += 1
time.sleep(1)
else:
status = stat_get['status']
remaining = float(stat_get['origQty']) - float(stat_get['executedQty'])
executed = float(stat_get['executedQty'])
info_returned = True
finally:
if error_count >= 5:
self.lg.log("Tried to get status/remaining 5 times and failed")
fail = True
# self.lg.log('Returning: status = ' + status + ' remaining = ' + str(remaining))
return {"status": status, "remaining": remaining, "executed": executed, "fail_flag": fail}
def get_order_stat_rem_stubborn(self, pair, Order_id):
updated = False
status = 'not_found'
remaining = -1
executed = -1
while not updated:
if Order_id == 0:
self.lg.log("Tried to check and unplaced order")
updated = True
else:
stat_get = self.get_order_stat_remaining(pair, Order_id)
fail = stat_get["fail_flag"]
if not fail:
status = stat_get["status"]
remaining = stat_get["remaining"]
executed = stat_get['executed']
updated = True
# self.lg.log('Returning: status = ' + status + ' remaining = ' + str(remaining))
return {"status": status, "remaining": remaining, "executed": executed}
def ord_cancel(self, pair, Order_id):
ord_cancelled = False
error_count = 0
self.lg.log('Cancelling order ' + str(Order_id))
while not ord_cancelled and error_count < 10: