timolson / Cointrader

Coin Trader

Coin Trader is a Java-based backend for trading cryptocurrencies, released under the Apache License. It features:

• Connectivity to many exchanges
• Control console (text)
• Basic order routing
• Simulated trading
• Live order execution
• Schema and persistence
• CSV output of market data
• Ad-hoc table reports
• Modular infrastructure
• Backtesting
• Accounting
• Library of quantitative indicators (TaLib)
• Bitcoin derivatives (Futures & Swaps)
• Implied price calculation across multiple markets
• Base currency accounting
• 24 Hr OHLC bars

Coin Trader's future goals include:

• Reconciliation
• Flexible data output
• Web console & graphing

Video

Tim presents Coin Trader at the SF Bitcoin Dev meetup.

Setup

Coin Trader requires Java JDK 1.8, Maven, and a SQL database (MySQL default).
Setup Instructions

Support

See the Wiki for more information.
There's no mailing list, so open a new issue for anything, help or just discussion. Tag it with "Question" and I'll follow through with you.

Automated Trading

To implement signals and automated strategies, you connect Esper event queries to Java code like this:

@When( "select avg(priceAsDouble) from Trade.win:time(30 sec)" )
void checkMovingAverage( double avg )
{
  if( avg > trigger )
    context.publish( new MyIndicator(5.31) );
}

@When( "select * from MyIndicator where myIndicatorValue > 5.0" )
void enterTrade( MyIndicator s )
{
  orders.create( Listings.BTC_USD, 1.0 )
        .withLimit( 650.25 )
        .place();
}

You then attach this class to a Context to receive Esper event rows as method invocations.

24Hr OHLC Bars

Strategy needs to implement a .getInterval() method to return a double in seconds of the size of the bar.

Default simple statful stretegy is 86400 (24Hr) cointrader-esper.cfg.xml

<plugin-view factory-class="org.cryptocoinpartners.esper.OHLCBarPlugInViewFactory" name="ohlcbar" namespace="custom"/>  

epl

• Create an esper named window to add the OHLC bars into

create window OHLCShortWindow.win:length(10)
as
	select *
from
	Bar;

• Add the OHLC bars to it

insert into OHLCShortWindow
select * 
 from  Trade.custom:ohlcbar(timestamp, priceCountAsDouble, market,TestStrategy.getInterval());
 

• Select values from OHLC bar window

select * from OHLCShortWindow as ohlc 

TALIB Set Up

cointrader-esper.cfg.xml

<plugin-aggregation-function name="talib" function-class="org.cryptocoinpartners.esper.GenericTALibFunction"/>  

epl

select coalesce(talib("atr", max, min, last, 9),0) as atr from OHLCShortWindow;

Console Demo

The Coin Trader Console gives you a peek into the engine.

$ ./cointrader.sh console

Coin Trader Console 0.3.0-SNAPSHOT

ct> help
Type "help {command}" for more detailed information.
Available commands:
    • attach
    • buy
    • csv
    • currencies
    • data
    • exchanges
    • exit
    • help
    • jpa
    • listings
    • markets
    • sell
    • set
    • unset
    • unwatch
    • watch
    • watches

ct> data summary
+------------------+------------+-----------+
|      Market      | Num Trades | Num Books |
+------------------+------------+-----------+
|     BTCE:BTC.USD |       8149 |      2671 |
| BITFINEX:BTC.USD |       3509 |      2551 |
| BITSTAMP:BTC.USD |       1344 |       901 |
| BITFINEX:DRK.USD |       1000 |        21 |
| BITFINEX:DRK.BTC |       1000 |        21 |
| BITFINEX:LTC.USD |       1000 |        22 |
| BITFINEX:LTC.BTC |       1000 |        22 |
| BTCCHINA:BTC.CNY |        134 |        31 |
| BTCCHINA:LTC.CNY |        110 |        31 |
| BTCCHINA:LTC.BTC |        102 |        31 |
|     BTER:BTC.CNY |         47 |         7 |
|     BTER:LTC.BTC |         38 |        84 |
|    BTER:DOGE.CNY |         26 |         7 |
|     BTER:NXT.CNY |         26 |         6 |
|     BTER:DRK.CNY |         23 |         6 |
|    BTER:DOGE.BTC |         23 |         6 |
|     BTER:LTC.CNY |         21 |         7 |
|     BTER:XCP.CNY |         20 |         6 |
|     BTER:DRK.BTC |         19 |         6 |
|     BTER:XCP.BTC |         18 |        12 |
|     BTER:NXT.USD |          2 |         6 |
+------------------+------------+-----------+

ct> watch btc.usd
now watching BTC.USD

ct> 
book: BITFINEX:BTC.USD    587.4 (0.317861) - 588.82 (-1.54641998)
book: BTCE:BTC.USD    583.92 (0.01499999) - 585.99 (-0.01819054)
book: BITSTAMP:BTC.USD    588.79 (0.99999999) - 590.33 (-0.19199999)
book: BITFINEX:BTC.USD    587.4 (0.317861) - 588.81 (-13.94196839)
book: BTCE:BTC.USD    583.92 (0.01499999) - 585.99 (-0.01819054)
trade: BITSTAMP:BTC.USD    590.33 (0.03489999)
book: BTCE:BTC.USD    583.92 (0.01499999) - 585.99 (-0.01819054)
book: BITFINEX:BTC.USD    587.4 (0.317861) - 588.8 (-31.37994228)
book: BTCE:BTC.USD    583.92 (0.01499999) - 585.99 (-0.01180944)

ct> unwatch btc.usd
no longer watching BTC.USD

ct> buy 10.0 bitfinex:btc.usd
Sending order SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000}
Order has been placed. SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000}

ct> 
Filled order d5a2ff79-0eca-445d-a3b3-75d1e80265a7: Fill{order=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, market=BITFINEX:BTC.USD, price=585.57, volume=2.11486695}
Order is partially filled SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000, averageFillPrice=585.57}
Filled order d5a2ff79-0eca-445d-a3b3-75d1e80265a7: Fill{order=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, market=BITFINEX:BTC.USD, price=585.58, volume=7.88513305}
Order has been completely filled.  SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000, averageFillPrice=585.57788513305}

ct> buy 1 btc.usd
Creating order GeneralOrder{id=a4664af4-a21d-4b77-a999-bc8a78a8d951, parentOrder=null, listing=BTC.USD, volume=1}
Order has been placed. SpecificOrder{id=3ff02408-8269-4bf9-929f-8d2ca060f6fc, parentOrder=a4664af4-a21d-4b77-a999-bc8a78a8d951, market=BITSTAMP:BTC.USD, volumeCount=100000000}

ct>
Filled order 3ff02408-8269-4bf9-929f-8d2ca060f6fc: Fill{order=3ff02408-8269-4bf9-929f-8d2ca060f6fc, market=BITSTAMP:BTC.USD, price=584.99, volume=1}
Order has been completely filled.  SpecificOrder{id=3ff02408-8269-4bf9-929f-8d2ca060f6fc, parentOrder=a4664af4-a21d-4b77-a999-bc8a78a8d951, market=BITSTAMP:BTC.USD, volumeCount=100000000, averageFillPrice=584.99}
Order has been completely filled.  GeneralOrder{id=a4664af4-a21d-4b77-a999-bc8a78a8d951, parentOrder=null, listing=BTC.USD, volume=1}

ct> buy 1 OKCOIN_THISWEEK:BTC.USD.THISWEEK limit 218.3

ct> exit

$

See the Wiki for more information, or jump to Setup.