influx crypto trader

Description

Dependencie => influx crypto watcher

This project help you build trading strategy for cryptocurrencies and monitoring the performance with Grafana and InfluxDB

Features:

• Live/Simulation/Backtesting
• Configure trader to work with multiple cryptocurrencies and multiple timeframe easily
• Create new indicator (nodejs)
• Create your own strategy (nodejs)
• Optimize a strategy using genetic algorithm (api POST request)
• Trader workers, Each trader run in a subprocess (communication using IPC)

Getting started

Required

You should first install influx crypto watcher and follow the getting started (setting up grafana, influx docker + create your first watcher on binance BTC/USDT and write data into influx)

Install dependencies

npm install

Start api

npm start

Create your first trader (binance, BTC/USDT) using the strategy example.ts and 2 indicators (sma6h and it's variation on 1h)

curl --request POST \
  --url http://localhost:3004/traders \
  --header 'content-type: application/json' \
  --data '{
      "name": "backtest",
      "test": true,
      "strategie": "example",
      "stratOpts": {},
      "capital": 1000,
      "percentInvest": 0.25,
      "base": "BTC",
      "quote": "USDT",
      "exchange": {
        "name": "binance"
      },
      "env": {
        "watchList": [
            {"base": "BTC",
            "quote": "USDT",
            "exchange": "binance"
            }],
        "aggTimes": ["15m", "1h", "1d"],
        "warmup": 1500,
        "batchSize": 1000,
        "bufferSize": 5000,
        "backtest": {
            "start": "2018-04-15 00:00:00",
            "stop": "2018-05-15 00:00:00"
        },
    	"candleSetPlugins": [
        {
          "label": "sma6h",
          "opts": {
            "name": "sma",
            "period": 360,
            "key": "close"
          }
        },
        {
          "label": "var1hsma6h",
          "opts": {
            "name": "diff",
            "period": 60,
            "key": "indicators.sma6h"
          }
        }
      ]
  }
}'

Then go to grafana (http://localhost:3001/):

• Configure data source

• import the dashboard given in "grafana/dashboard/cypto-trader.json" and watch your portfolio history, buy/sell

You can easily customize the dashboard to fit your need

Strategy

Actually a trader can manage only one order at a time (one buy => one sell, ...).

You can build new strategy in ./strategies/ folder. See (example.ts).

A strategy is an object of several callback.

public strategy: {
  // BeforeAll callback can be usefull to set you candleSet plugins/indicators directly in the strategy exported
  beforeAll?: (env: EnvConfig, trader: Trader, stratOpts: any) => Promise<void>;
  before?: (candleSet: CandleSet, trader: Trader, stratOpts: any) => Promise<void>;
  run: (candleSet: CandleSet, trader: Trader, stratOpts: any) => Promise<string>;
  after?: (candleSet: CandleSet, trader: Trader, stratOpts: any) => Promise<void>;
  afterAll?: (candleSet: CandleSet, trader: Trader, stratOpts: any) => Promise<void>;
};

You can export an object with only the run function (required). The function is called at each timestep and need to return the action taken ('wait'/'buy'/'sell').

The function is called with the candleSet (stock market data), the trader (order/portfolio data) and the strategy options

export default {
  beforeAll: async function beforeAll(env: EnvConfig, trader: Trader, stratOpts: any): Promise<string> {
    console.log('beforeAll callback');
  },
  run: async function yourStrategy(candleSet: CandleSet, trader: Trader, stratOpts: any): Promise<string> {
    const lastCandle = candleSet.getLast('binance:BTC:USDT', 10) as Candle[]; // retrieve 10 last candle BTC/USDT on binance
    const lastCandle1 = candleSet.getLast('binance:BTC:USDT:15m', 10) as Candle[]; // retrieve 10 last candle agg on 15 minutes BTC/USDT on binance
    const lastCandle2 = candleSet.getLast('binance:ETH:USDT:15m', 10) as Candle[]; // retrieve 10 last candle agg on 15 minutes ETH/USDT on binance
    console.log(lastCandle);
    console.log(lastCandle1);
    console.log(lastCandle2);

    const rand = Math.floor(Math.random() * 100);
    // BUY
    if (rand === 1 && nbOrder === 0) {
      nbOrder++;
      return 'buy'; // tell the trader to buy (if he can)
    }
    // SELL
    if (nbOrder === 1 && rand === 2) {
      nbOrder--;
      return 'sell'; // tell the trader to sell (if he can)
    }
    return ''; // wait can be any string ('' || 'wait' || ...)
  }
}

Indicators

The environment connect to influxdb to fetch candle and then process it at each timestep. The environment is plug with a CandleSet class which manage the candles data (buffer, timeframe, indicators computation, etc...)

We can easily map indicators to the candleSet when configuring an environment. A candleSetPlugin is define as:

{
  "label": "sma6h", // name of the indicator (any string)
  "opts": { // indicator opts
    "name": "sma", // indicator name (cf: src/indicators)
    "period": 360, // sma period 360 minutes
    "key": "close" // sma on which key (open/high/low/close/volume)
    "aggTime": "15m" // OPTIONAL: You can specify which candlestick timerange you want to get as parameter (be carefull to properly configure environment with appropriate aggTimes: [..., ...])
	}
}

In the following example we define an environment with 2 indicators sma6h and var1hsma6h.

Be carrefull of the plugin order when using indicator in another indicator. (here first sma then diff)

      "env": {
        // Watch 2 currency (ETH/USDT, BTC/USDT) be carefull to import data using influx-crypto-watcher
        "watchList": [
          {"base": "BTC","quote": "USDT","exchange": "binance"}
          {"base": "ETH","quote": "USDT","exchange": "binance"}
        ],
        "aggTimes": ['15m', '4h', 1d'],
        "warmup": 1500,
        "batchSize": 1000,
        "bufferSize": 5000,
        "backtest": {
            "start": "2018-02-15 00:00:00",
            "stop": "2018-09-15 00:00:00"
        },
    	"candleSetPlugins": [
        {
          "label": "sma6h",
          "opts": {
            "name": "sma",
            "period": 360,
            "aggTime": "15m", // Will receive candles agg by 15 minutes (00:00, 00:15, 00:30, ...)
            "key": "close"
        }
      },
      {
        "label": "var1hsma6h",
        "opts": {
          "name": "diff",
          "period": 60,
          "key": "indicators.sma6h"
        }
      }
    ]
  }

You can easily create new indicators in src/indicators (the filename is use as indicator name).

type CandleIndicator = (label: string, opts: any) => CandleSetPlugin;

type CandleSetPlugin = (candles: Candle[], newCandle: Candle) => Promise<{ [name: string]: any }>;

Example:

Create a new file => src/indicators/myindicator

Then you must export a CandleIndicator.

This indicator is dividing the given key by the given factor

import { Candle } from '../_core/Env/CandleSet';
import { CandleIndicator } from './CandleIndicator';

const myindicator: CandleIndicator = (label: string, opts: any) => {
  // indicators static variables
  const scope = {};

  // Process function
  // This function is called with each new candle
  return async (candles: Candle[], newCandle: Candle) => {
    return { [label]:  newCandle[opts.key] / opts.factor};
  };
};

export default myindicator;

Then you can use it when configuring environment (here divide close by 2 and name it lalala)

{
	"label": "lalala",
	"opts": {
	  "name": "myindicator",
    "key": "close"
  	"factor": 2,
 	}
}

API

• Doc available at http://localhost:3000/docs generated with lout
• Easy trader deployment
• Trade on specific currencies

The software let you deploy trader which will run in a live/simulation or backtest environment using a specific strategy.

{
      // Trader configuration
      "name": "backtest", // trader name
      "test": true, // if true => simulation
      "strategie": "MACD", // name of the strategy to use (see ./strategies folder), you can also test MACD
      "stratOpts": {},
      "capital": 1000, // quote capital (here USDT)
      "percentInvest": 0.25, // percent invest per trader 25%
      "base": "BTC",
      "quote": "USDT",
      "exchange": {
        "name": "binance",
        // apiKeys... Not fully implemented yet
      }

      // Environment configuration
      "env": {
        // Currency to watch (Not tested with multiples yet)
        "watchList": [
          { "base": "BTC", "quote": "USDT", "exchange": "binance" }
        ],
        "aggTimes": ['15m', '4h', 1d'],
        "warmup": 1500, // How many cadle to fetch before start date
        "batchSize": 1000, // Batch size when fetching data
        "bufferSize": 5000, // candleSet buffer size (here history of 5000 candles)
        // backtest configuration (start/stop date)
        "backtest": {
          "start": "2018-02-15 00:00:00",
          "stop": "2018-09-15 00:00:00"
        }
        // Plugins indicator
        "candleSetPlugins": [
        {
          "label": "sma6h",
          "opts": {
            "name": "sma", // indicator name (see src/indicators)
            "period": 360,
            "key": "close"
          }
        },
        {
          "label": "sma6hagg15m",
          "opts": {
            "name": "sma", // indicator name (see src/indicators)
            "aggTime": "15m",
            "period": 360,
            "key": "close"
          }
        }
      ]
    }
}

Every Live/Simulation trader are persist to MongoDB to restart them you can use the api endpoint /traders/{name}/start

You can email me at [email protected].