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poloniex_logic.js
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poloniex_logic.js
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var first_run = true
var last_balance_sig
var sync_start_balance = false
var assert = require('assert')
var n = require('numbro')
var tb = require('timebucket')
var sig = require('sig')
var polo = require('poloniex-unofficial')
var nonce = require('nonce')()
module.exports = function container (get, set, clear) {
var c = get('config')
var o = get('utils.object_get')
var format_currency = get('utils.format_currency')
var get_timestamp = get('utils.get_timestamp')
var get_duration = get('utils.get_duration')
var get_tick_str = get('utils.get_tick_str')
var options = get('options')
var client
var start = new Date().getTime()
/*
function onOrder (err, resp, order) {
if (err) return get('logger').error('order err', err, resp, order, {feed: 'errors'})
if (resp.statusCode !== 200) {
console.error(order)
return get('logger').error('non-200 status: ' + resp.statusCode, {data: {statusCode: resp.statusCode, body: order}})
}
get('logger').info('poloniex', c.default_selector.grey, ('order-id: ' + order.id).cyan, {data: {order: order}})
function getStatus () {
client.getOrder(order.id, function (err, resp, order) {
if (err) return get('logger').error('getOrder err', err)
if (resp.statusCode !== 200) {
console.error(order)
return get('logger').error('non-200 status from getOrder: ' + resp.statusCode, {data: {statusCode: resp.statusCode, body: order}})
}
if (order.status === 'done') {
return get('logger').info('poloniex', c.default_selector.grey, ('order ' + order.id + ' done: ' + order.done_reason).cyan, {data: {order: order}})
}
else {
get('logger').info('poloniex', c.default_selector.grey, ('order ' + order.id + ' ' + order.status).cyan, {data: {order: order}})
setTimeout(getStatus, 5000)
}
})
}
getStatus()
}
*/
function syncLearned () {
get('mems').load('learned', function (err, learned) {
if (err) throw err
if (learned) {
if (rs.last_learned && learned.best_fitness > rs.last_learned.best_fitness) {
get('logger').learn('learner', ('[Zen] i have improved the strategy!').yellow)
get('logger').learn('learner', ('[Zen] new roi = ' + n(learned.roi).format('0.000000000') + ' (' + learned.learner + ')').yellow)
}
//else if (!rs.last_learned) {
// get('logger').learn('learner', ('[Zen] current best roi = ' + n(learned.roi).format('0.000000000') + ' (' + learned.learner + ')').yellow)
//}
Object.keys(learned.best_params).forEach(function (k) {
rs[k] = learned.best_params[k]
if (!rs.last_learned || rs.last_learned.best_params[k] !== learned.best_params[k]) {
if (rs.last_learned) {
get('logger').learn('learner', ('[old] ' + k + ' = ' + rs.last_learned.best_params[k]).grey)
}
get('logger').learn('learner', ('[learned] ' + k + ' = ' + learned.best_params[k]).yellow)
}
})
rs.last_learned = learned
}
})
}
return [
// BEGIN DEFAULT TRADE LOGIC
// default params
function (tick, trigger, rs, cb) {
rs.agent = USER_AGENT
var sMatch = c.default_selector.match(/^([^\.]+)\.([^-]+)-([^-]+)$/)
assert(sMatch)
rs.exchange = sMatch[1]
rs.asset = sMatch[2]
rs.currency = sMatch[3]
if (options.verbose && get('command') === 'run') {
get('logger').info('trader', c.default_selector.grey, get_tick_str(tick.id), 'running logic'.grey, rs.asset.grey, rs.currency.grey, {feed: 'trader'})
}
if (get('command') === 'sim') {
//console.log('COMMAND IS SIM, LOADING SIM VARS')
//rs.rsi_query_limit = defaults.rsi_query_limit // RSI initial value lookback
//rs.rsi_periods = defaults.rsi_periods // RSI smoothing factor
//rs.rsi_period = defaults.rsi_period // RSI tick size
//rs.rsi_up = defaults.rsi_up // upper RSI threshold
//rs.rsi_down = defaults.rsi_down // lower RSI threshold
//rs.check_period = defaults.check_period // speed to trigger actions at
rs.selector = 'data.trades.' + c.default_selector
//rs.trade_pct = defaults.trade_pct // trade % of current balance
rs.fee_pct = 0.0025 // apply 0.25% taker fee
var products = get('exchanges.' + rs.exchange).products
products.forEach(function (product) {
if (product.asset === rs.asset && product.currency === rs.currency) {
rs.product = product
}
})
if (!rs.product) return cb(new Error('no product for ' + c.default_selector))
rs.min_trade = n(rs.product.min_size).multiply(1).value()
rs.sim_start_balance = 10000
//rs.min_double_wait = defaults.min_double_wait // wait in ms after action before doing same action
//rs.min_reversal_wait = defaults.min_reversal_wait // wait in ms after action before doing opposite action
//rs.min_performance = defaults.min_performance // abort trades with lower performance score
}
else if (get('command') === 'run'){
rs.rsi_query_limit = 100 // RSI initial value lookback
rs.rsi_periods = 26 // RSI smoothing factor
rs.rsi_period = '5m' // RSI tick size
rs.rsi_up = 65 // upper RSI threshold
rs.rsi_down = 28 // lower RSI threshold
rs.check_period = '1m' // speed to trigger actions at
rs.selector = 'data.trades.' + c.default_selector
rs.trade_pct = 0.98 // trade % of current balance
rs.fee_pct = 0.0025 // apply 0.25% taker fee
var products = get('exchanges.' + rs.exchange).products
products.forEach(function (product) {
if (product.asset === rs.asset && product.currency === rs.currency) {
rs.product = product
}
})
if (!rs.product) return cb(new Error('no product for ' + c.default_selector))
rs.min_trade = n(rs.product.min_size).multiply(1).value()
rs.sim_start_balance = 10000
rs.min_double_wait = 86400000 * 1 // wait in ms after action before doing same action
rs.min_reversal_wait = 86400000 * 0.75 // wait in ms after action before doing opposite action
rs.min_performance = -0.015 // abort trades with lower performance score
//syncLearned()
}
if (first_run) {
if (!rs.last_learned) {
get('logger').learn('learner', (('No learned params to load, using default settings.').yellow))
get('logger').learn('learner', (('run ').yellow, ('./zenbot learn --config <config file for pair>').cyan, ('to fine tune RSI strategy for the given config file pair.').yellow))
}
else {
get('logger').learn('learner', (('Using Learned Params for ').yellow + (c.default_selector).cyan))
syncLearned()
}
delete rs.real_trade_warning
}
cb()
},
// sync balance if key is present and we're in the `run` command
function (tick, trigger, rs, cb) {
if (get('command') !== 'run' || !c.poloniex_key) {
rs.start_balance = rs.sim_start_balance
// add timestamp for simulations
if (c.reporter_cols.indexOf('timestamp') === -1) {
c.reporter_cols.unshift('timestamp')
if (get('command') === 'run') {
get('logger').info('trader', c.default_selector.grey, ('No trader API key provided. Starting in advisor mode. --Zen').yellow, {feed: 'trader'})
}
}
if (get('command') === 'sim') {
// change reporting interval for sims
c.reporter_sizes = ['1h']
}
return cb()
}
if (!client) {
nonce = require('nonce')()
client = new polo.TradingWrapper(c.poloniex_key, c.poloniex_secret, nonce)
}
client.returnBalances(function (err, accounts) {
if (err) {
// Log error message
//console.log('Could not get Poloniex balances: ' + err.msg)
//console.error(accounts)
get('logger').error('Could not get Poloniex balances: ' + err.msg)
return cb()
} else {
var sMatch = c.default_selector.match(/^([^\.]+)\.([^-]+)-([^-]+)$/)
assert(sMatch)
var exchange = sMatch[1]
var poloAsset = sMatch[2]
var poloCurrency = sMatch[3]
rs.balance = {}
rs.balance[rs.asset] = n(accounts[poloAsset]).value()
rs.balance[rs.currency] = n(accounts[poloCurrency]).value()
if (first_run) {
sync_start_balance = true
}
var balance_sig = sig(rs.balance)
if (balance_sig !== last_balance_sig) {
get('logger').info('trader', c.default_selector.grey, 'New account balance:'.cyan, n(rs.balance[rs.asset]).format('0.00000000').white, rs.asset.grey, format_currency(rs.balance[rs.currency], rs.currency).yellow, rs.currency.grey, {feed: 'trader'})
//get('logger').info('trader', c.default_selector.blue, 'New account balances!: '.rainbow, ' Balance:'.green, rs.asset.cyan + ': '.cyan, n(rs.balance[rs.asset]).format('0.00000000').white, ' '.strikethrough, rs.currency.blue + ': '.blue, n(rs.balance[rs.currency]).format('0.00000000').white, {feed: 'exchange'})
get('logger').info('trader', c.default_selector.blue, 'New account balances!: '.rainbow, ' Balance:'.green, rs.asset.cyan + ': '.cyan, n(rs.balance[rs.asset]).format('0.00000000').white, ' '.strikethrough, rs.currency.blue + ': '.blue, n(rs.balance[rs.currency]).format('0.00000000').white, {feed: 'trader'})
if (!rs.real_trade_warning) {
get('logger').info('trader', c.default_selector.grey, 'Live Poloniex Trading!'.rainbow, {feed: 'trader'})
rs.real_trade_warning = true
}
last_balance_sig = balance_sig
}
cb()
}
})
},
// record market price, balance, roi and stats
function (tick, trigger, rs, cb) {
// note the last close price
var market_price = o(tick, rs.selector + '.close')
// sometimes the tick won't have a close price for this selector.
// keep old close price in memory.
if (market_price) {
rs.market_price = market_price
}
if (tick.size !== rs.check_period) {
return cb()
}
delete rs.lookback_warning
rs.ticks || (rs.ticks = 0)
rs.progress || (rs.progress = 0)
if (!rs.market_price) {
//get('logger').info('trader', ('no close price for tick ' + tick.id).red, {feed: 'trader'})
return cb()
}
if (!rs.balance) {
// start with start_balance, neutral position
rs.balance = {}
rs.balance[rs.currency] = n(rs.start_balance).divide(2).value()
rs.balance[rs.asset] = n(rs.start_balance).divide(2).divide(rs.market_price).value()
}
rs.consolidated_balance = n(rs.balance[rs.currency]).add(n(rs.balance[rs.asset]).multiply(rs.market_price)).value()
if (sync_start_balance) {
rs.start_balance = rs.consolidated_balance
sync_start_balance = false
}
rs.roi = n(rs.consolidated_balance).divide(rs.start_balance).value()
rs.ticks++
cb()
},
// calculate first rsi from ticks lookback
function (tick, trigger, rs, cb) {
var rsi_tick_id = tb(tick.time).resize(rs.rsi_period).toString()
if (rs.rsi && rs.rsi_tick_id && rs.rsi_tick_id !== rsi_tick_id) {
// rsi period turnover. record last rsi for smoothing.
rs.last_rsi = JSON.parse(JSON.stringify(rs.rsi))
rs.rsi.samples++
//console.error('last rsi', rs.last_rsi)
}
rs.rsi_tick_id = rsi_tick_id
cb()
},
function (tick, trigger, rs, cb) {
if (rs.first_rsi) {
return cb()
}
// calculate first rsi
//console.error('computing RSI', tick.id)
var bucket = tb(tick.time).resize(rs.rsi_period)
var params = {
query: {
app: get('app_name'),
size: rs.rsi_period,
time: {
$lt: bucket.toMilliseconds()
}
},
limit: rs.rsi_query_limit,
sort: {
time: -1
}
}
params.query[rs.selector] = {$exists: true}
get('ticks').select(params, function (err, lookback) {
if (err) return cb(err)
var missing = false
if (lookback.length < rs.rsi_periods) {
if (!rs.lookback_warning) {
get('logger').info('trader', c.default_selector.grey, ('need more historical data, only have ' + lookback.length + ' of ' + rs.rsi_periods + ' ' + rs.rsi_period + ' ticks').yellow)
}
rs.lookback_warning = true
return cb()
}
bucket.subtract(1)
lookback.forEach(function (tick) {
while (bucket.toMilliseconds() > tick.time) {
get('logger').info('trader', c.default_selector.grey, ('missing RSI tick: ' + get_timestamp(bucket.toMilliseconds())).red)
missing = true
bucket.subtract(1)
}
//get('logger').info('trader', 'RSI tick OK:'.grey, get_timestamp(bucket.toMilliseconds()).green)
bucket.subtract(1)
})
if (missing) {
if (!rs.missing_warning) {
get('logger').info('trader', c.default_selector.grey, 'missing tick data, RSI might be inaccurate. Try running `zenbot map --backfill` or wait for 3.6 for the new `zenbot repair` tool.'.red)
}
rs.missing_warning = true
}
if (!rs.missing_warning && !rs.rsi_complete_warning) {
get('logger').info('trader', c.default_selector.grey, ('historical data OK! computing initial RSI from last ' + lookback.length + ' ' + rs.rsi_period + ' ticks').green)
rs.rsi_complete_warning = true
}
withLookback(lookback.reverse())
})
function withLookback (lookback) {
var init_lookback = lookback.slice(0, rs.rsi_periods + 1)
var smooth_lookback = lookback.slice(rs.rsi_periods + 1)
var de = o(init_lookback.pop(), rs.selector)
var r = {}
r.samples = init_lookback.length
if (r.samples < rs.rsi_periods) {
return cb()
}
r.close = de.close
r.last_close = o(init_lookback[r.samples - 1], rs.selector).close
r.current_gain = r.close > r.last_close ? n(r.close).subtract(r.last_close).value() : 0
r.current_loss = r.close < r.last_close ? n(r.last_close).subtract(r.close).value() : 0
var prev_close = 0
var gain_sum = init_lookback.reduce(function (prev, curr) {
curr = o(curr, rs.selector)
if (!prev_close) {
prev_close = curr.close
return 0
}
var gain = curr.close > prev_close ? curr.close - prev_close : 0
prev_close = curr.close
return n(prev).add(gain).value()
}, 0)
var avg_gain = n(gain_sum).divide(r.samples).value()
prev_close = 0
var loss_sum = init_lookback.reduce(function (prev, curr) {
curr = o(curr, rs.selector)
if (!prev_close) {
prev_close = curr.close
return 0
}
var loss = curr.close < prev_close ? prev_close - curr.close : 0
prev_close = curr.close
return n(prev).add(loss).value()
}, 0)
var avg_loss = n(loss_sum).divide(r.samples).value()
r.last_avg_gain = avg_gain
r.last_avg_loss = avg_loss
r.avg_gain = n(r.last_avg_gain).multiply(rs.rsi_periods - 1).add(r.current_gain).divide(rs.rsi_periods).value()
r.avg_loss = n(r.last_avg_loss).multiply(rs.rsi_periods - 1).add(r.current_loss).divide(rs.rsi_periods).value()
if (r.avg_loss === 0) {
r.value = r.avg_gain ? 100 : 50
}
else {
r.relative_strength = n(r.avg_gain).divide(r.avg_loss).value()
r.value = n(100).subtract(n(100).divide(n(1).add(r.relative_strength))).value()
}
r.ansi = n(r.value).format('0')[r.value > 70 ? 'green' : r.value < 30 ? 'red' : 'white']
// first rsi, calculated from prev 14 ticks
rs.last_rsi = JSON.parse(JSON.stringify(r))
//console.error('first rsi', r)
rs.rsi = r
rs.first_rsi = rs.last_rsi = JSON.parse(JSON.stringify(r))
smooth_lookback.forEach(function (de) {
r.last_close = r.close
r.close = o(de, rs.selector).close
r.samples++
r.current_gain = r.close > r.last_close ? n(r.close).subtract(r.last_close).value() : 0
r.current_loss = r.close < r.last_close ? n(r.last_close).subtract(r.close).value() : 0
r.last_avg_gain = r.avg_gain
r.last_avg_loss = r.avg_loss
r.avg_gain = n(r.last_avg_gain).multiply(rs.rsi_periods - 1).add(r.current_gain).divide(rs.rsi_periods).value()
r.avg_loss = n(r.last_avg_loss).multiply(rs.rsi_periods - 1).add(r.current_loss).divide(rs.rsi_periods).value()
if (r.avg_loss === 0) {
r.value = r.avg_gain ? 100 : 50
}
else {
r.relative_strength = n(r.avg_gain).divide(r.avg_loss).value()
r.value = n(100).subtract(n(100).divide(n(1).add(r.relative_strength))).value()
}
r.ansi = n(r.value).format('0')[r.value > 70 ? 'green' : r.value < 30 ? 'red' : 'white']
rs.last_rsi = JSON.parse(JSON.stringify(r))
//console.error('smooth', r.close, r.last_close, r.ansi)
})
cb()
}
},
// calculate the smoothed rsi if we have last_rsi
function (tick, trigger, rs, cb) {
if (!rs.market_price || !rs.rsi || !rs.last_rsi) {
return cb()
}
var r = rs.rsi
//console.error('market', rs.market_price, rs.rsi)
r.close = rs.market_price
r.last_close = rs.last_rsi.close
r.current_gain = r.close > r.last_close ? n(r.close).subtract(r.last_close).value() : 0
r.current_loss = r.close < r.last_close ? n(r.last_close).subtract(r.close).value() : 0
r.last_avg_gain = rs.last_rsi.avg_gain
r.last_avg_loss = rs.last_rsi.avg_loss
r.avg_gain = n(r.last_avg_gain).multiply(rs.rsi_periods - 1).add(r.current_gain).divide(rs.rsi_periods).value()
r.avg_loss = n(r.last_avg_loss).multiply(rs.rsi_periods - 1).add(r.current_loss).divide(rs.rsi_periods).value()
if (r.avg_loss === 0) {
r.value = r.avg_gain ? 100 : 50
}
else {
r.relative_strength = n(r.avg_gain).divide(r.avg_loss).value()
r.value = n(100).subtract(n(100).divide(n(1).add(r.relative_strength))).value()
}
r.ansi = n(r.value).format('0')[r.value > 70 ? 'green' : r.value < 30 ? 'red' : 'white']
//console.error('smooth 2', r.close, r.last_close, r.ansi)
//process.exit()
cb()
},
// detect trends from rsi
function (tick, trigger, rs, cb) {
var trend
var r = rs.rsi
if (!r) {
return cb()
}
if (r.samples < rs.rsi_periods) {
if (!rs.rsi_warning) {
// get('logger').info('trader', c.default_selector.grey, (rs.rsi_period + ' RSI: not enough samples for tick ' + rs.rsi_tick_id + ': ' + rs.rsi.samples).red, {feed: 'trader'})
}
rs.rsi_warning = true
}
else {
if (r.value >= rs.rsi_up) {
trend = 'UP'
}
else if (r.value <= rs.rsi_down) {
trend = 'DOWN'
}
else {
trend = null
}
}
if (trend !== rs.trend) {
get('logger').info('trader', c.default_selector.grey, 'RSI:'.grey + r.ansi, ('trend: ' + rs.trend + ' -> ' + trend).yellow, {feed: 'trader'})
delete rs.balance_warning
delete rs.roi_warning
delete rs.rsi_warning
delete rs.delta_warning
delete rs.buy_warning
delete rs.perf_warning
delete rs.action_warning
delete rs.trend_warning
}
rs.trend = trend
cb()
},
// @todo MACD
function (tick, trigger, rs, cb) {
cb()
},
// trigger trade signals from trends
function (tick, trigger, rs, cb) {
if (tick.size !== rs.check_period) {
return cb()
}
// for run command, don't trade unless this is a new tick
if (get('command') !== 'sim' && tick.time < start) {
get('logger').info('trader', c.default_selector.grey, ('skipping historical tick ' + tick.id).grey, {feed: 'trader'})
return cb()
}
if (rs.trend) {
if (!rs.trend_warning && !rs.balance) {
get('logger').info('trader', c.default_selector.grey, ('no balance to act on trend: ' + rs.trend + '!').red, {feed: 'trader'})
rs.trend_warning = true
}
else if (!rs.trend_warning && !rs.market_price) {
get('logger').info('trader', c.default_selector.grey, ('no market_price to act on trend: ' + rs.trend + '!').red, {feed: 'trader'})
rs.trend_warning = true
}
}
rs.progress = 1
if (rs.trend && rs.balance && rs.market_price) {
var size, new_balance = {}
if (rs.trend === 'DOWN') {
// calculate sell size
size = rs.balance[rs.asset]
}
else if (rs.trend === 'UP') {
// calculate buy size
size = n(rs.balance[rs.currency]).divide(rs.market_price).value()
}
size = n(size || 0).multiply(rs.trade_pct).value()
if (rs.trend === 'DOWN') {
// SELL!
if (rs.last_sell_time && tick.time - rs.last_sell_time <= rs.min_double_wait) {
if (!rs.sell_warning) {
get('logger').info('trader', c.default_selector.grey, ('too soon to sell after sell! waiting ' + get_duration(n(rs.min_double_wait).subtract(n(tick.time).subtract(rs.last_sell_time)).multiply(1000).value())).red, {feed: 'trader'})
}
rs.sell_warning = true
return cb()
}
if (rs.last_buy_time && tick.time - rs.last_buy_time <= rs.min_reversal_wait) {
if (!rs.sell_warning) {
get('logger').info('trader', c.default_selector.grey, ('too soon to sell after buy! waiting ' + get_duration(n(rs.min_reversal_wait).subtract(n(tick.time).subtract(rs.last_buy_time)).multiply(1000).value())).red, {feed: 'trader'})
}
rs.sell_warning = true
return cb()
}
new_balance[rs.currency] = n(rs.balance[rs.currency]).add(n(size).multiply(rs.market_price)).value()
new_balance[rs.asset] = n(rs.balance[rs.asset]).subtract(size).value()
rs.op = 'sell'
if (!rs.action_warning) {
get('logger').info('trader', c.default_selector.grey, ('attempting to sell ' + n(size).format('0.00000000') + ' ' + rs.asset + ' for ' + format_currency(n(size).multiply(rs.market_price).value(), rs.currency) + ' ' + rs.currency).yellow, {feed: 'trader'})
}
rs.action_warning = true
}
else if (rs.trend === 'UP') {
// BUY!
if (rs.last_buy_time && tick.time - rs.last_buy_time <= rs.min_double_wait) {
if (!rs.buy_warning) {
get('logger').info('trader', c.default_selector.grey, ('too soon to buy after buy! waiting ' + get_duration(n(rs.min_double_wait).subtract(n(tick.time).subtract(rs.last_buy_time)).multiply(1000).value())).red, {feed: 'trader'})
}
rs.buy_warning = true
return cb()
}
if (rs.last_sell_time && tick.time - rs.last_sell_time <= rs.min_reversal_wait) {
if (!rs.buy_warning) {
get('logger').info('trader', c.default_selector.grey, ('too soon to buy after sell! waiting ' + get_duration(n(rs.min_reversal_wait).subtract(n(tick.time).subtract(rs.last_sell_time)).multiply(1000).value())).red, {feed: 'trader'})
}
rs.buy_warning = true
return cb()
}
new_balance[rs.asset] = n(rs.balance[rs.asset]).add(size).value()
new_balance[rs.currency] = n(rs.balance[rs.currency]).subtract(n(size).multiply(rs.market_price)).value()
rs.op = 'buy'
if (!rs.action_warning) {
get('logger').info('trader', c.default_selector.grey, ('attempting to buy ' + n(size).format('0.00000000') + ' ' + rs.asset + ' for ' + format_currency(n(size).multiply(rs.market_price).value(), rs.currency) + ' ' + rs.currency).yellow, {feed: 'trader'})
}
rs.action_warning = true
}
else {
// unknown trend
get('logger').info('trader', c.default_selector.grey, ('unkown trend (' + rs.trend + ') aborting trade!').red, {feed: 'trader'})
return cb()
}
// min size
if (!size || size < rs.min_trade) {
if (!rs.balance_warning) {
get('logger').info('trader', c.default_selector.grey, 'trend: '.grey, rs.trend, ('not enough funds (' + (rs.op === 'sell' ? n(size).format('0.00000000') : format_currency(rs.balance[rs.currency], rs.currency)) + ' ' + (rs.op === 'sell' ? rs.asset : rs.currency) + ') to execute min. ' + rs.op + ' ' + rs.min_trade + ', aborting trade!').red, {feed: 'trader'})
}
rs.balance_warning = true
return cb()
}
// fee calc
rs.fee = n(size).multiply(rs.market_price).multiply(rs.fee_pct).value()
new_balance[rs.currency] = n(new_balance[rs.currency]).subtract(rs.fee).value()
// consolidate balance
rs.new_end_balance = n(new_balance[rs.currency]).add(n(new_balance[rs.asset]).multiply(rs.market_price)).value()
rs.new_roi = n(rs.new_end_balance).divide(rs.start_balance).value()
rs.new_roi_delta = n(rs.new_roi).subtract(rs.roi || 0).value()
if (rs.op === 'buy') {
// % drop
rs.performance = rs.last_sell_price ? n(rs.last_sell_price).subtract(rs.market_price).divide(rs.last_sell_price).value() : null
}
else {
// % gain
rs.performance = rs.last_buy_price ? n(rs.market_price).subtract(rs.last_buy_price).divide(rs.last_buy_price).value() : null
}
if (rs.min_performance && rs.performance !== null && rs.performance < rs.min_performance) {
if (!rs.perf_warning) {
get('logger').info('trader', c.default_selector.grey, ('aborting ' + rs.op + ' due to low perf. = ' + n(rs.performance).format('0.000')).red, {feed: 'trader'})
}
rs.perf_warning = true
return cb()
}
if (rs.op === 'buy') {
rs.waited = rs.last_sell_time ? get_duration(n(tick.time).subtract(rs.last_sell_time).multiply(1000).value()) : null
rs.last_buy_time = tick.time
}
else {
rs.waited = rs.last_buy_time ? get_duration(n(tick.time).subtract(rs.last_buy_time).multiply(1000).value()) : null
rs.last_sell_time = tick.time
}
rs.performance_scores || (rs.performance_scores = [])
rs.performance_scores.push(rs.performance)
var performance_sum = rs.performance_scores.reduce(function (prev, curr) {
return prev + curr
}, 0)
rs.performance_avg = n(performance_sum).divide(rs.performance_scores.length).value()
rs.balance = new_balance
rs.end_balance = rs.new_end_balance
rs.roi = rs.new_roi
rs.num_trades || (rs.num_trades = 0)
rs.num_trades++
var trade = {
type: rs.op,
asset: rs.asset,
currency: rs.currency,
exchange: rs.exchange,
price: rs.market_price,
fee: rs.fee,
market: true,
size: size,
rsi: rs.rsi.value,
roi: rs.roi,
roi_delta: rs.new_roi_delta,
performance: rs.performance,
waited: rs.waited,
balance: new_balance,
end_balance: rs.new_end_balance
}
trigger(trade)
if (client) {
var params = {
"currencyPair": rs.currency + '_' + rs.asset,
"rate": rs.market_price,
"amount": n(size).format('0.00000000'),
}
//console.log('rs.op: ' + rs.op)
// Try To Enforce Market Price to immediateOrCancel Order
if (rs.op === 'buy') {
params.rate += parseFloat(rs.market_price * c.poloniex_slippage)
n(params.rate).format('0.00000000')
//console.log('Buy params.rate: ' + params.rate)
}
else if (rs.op === 'sell') {
params.rate -= parseFloat(rs.market_price * c.poloniex_slippage)
n(params.rate).format('0.00000000')
//console.log('Sell params.rate: ' + params.rate)
}
//console.log('params.currencyPair: ' + params.currencyPair)
client[rs.op](params.currencyPair, params.rate, params.amount, 0, 1, 0, function (err, response) {
//onOrder(err, response, order)
if(err) {
console.log('Live Trade Error Message : ' + err.msg)
get('logger').error('Live Trade Error Message: ' + err.msg)
}
get('logger').info('trader', ('Live Trade:'.white.bgGreen + ' ' + rs.op + ' amount : '.green + params.amount.magenta + ' ' + params.currencyPair.magenta + ' @ rate: '.green + params.rate.magenta), {feed: 'trader'})
//get('logger').info('trader', ('Live Trade Response:'.green), {feed: 'trader'})
get('logger').info('trader', (response).green, {feed: 'trader'})
})
}
else if (!rs.sim_warning) {
get('logger').info('trader', c.default_selector.grey, ('Relax! This is a simulated trade! No real transaction will take place. --Zen').yellow, {feed: 'trader'})
rs.sim_warning = true
}
if (rs.op === 'buy') {
rs.last_buy_price = rs.market_price
}
else {
rs.last_sell_price = rs.market_price
}
rs.last_op = rs.op
}
cb()
},
function (tick, trigger, rs, cb) {
first_run = false
cb()
}
// END DEFAULT TRADE LOGIC
]
}