python-binance/client.py at master · EncodingJerry/python-binance · GitHub

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import json

import time

from datetime import datetime,timedelta

import threading

import numpy as np

import pandas as pd

import zmq

import logging

from binance.websockets import BinanceSocketManager

from marketMaker.OrderManager import *

from marketMaker.PortfolioManager import *

from util import *

class Signal:

def __init__(self):

self.seqNum = 0

self.action = Action.NOACTION

self.signalPrice = 0.0

def update(self, action, price):

self.action = action

self.seqNum += 1

self.price = price

signal = Signal()

def order_handling():

lastSeqNum = -1

while True:

if lastSeqNum < signal.seqNum:

lastSeqNum = signal.seqNum

if signal.action == Action.NOACTION:

continue

if signal.action == Action.BUY:

if pm.getPosition('BNB') >= 1.0:

continue

keys = pd.read_csv('./tradingkey.csv')

print(keys)

print(keys['key'][4], keys['key'][5])

context = zmq.Context()

client = context.socket(zmq.SUB)

client.connect(connEndPoint)

client.setsockopt_string(zmq.SUBSCRIBE, connTopic)

cmd = context.socket(zmq.SUB)

cmd.connect(commandEndPoint)

cmd.setsockopt_string(zmq.SUBSCRIBE, commandTopic)

def monitorParams():

while True:

try:

rcv = cmd.recv_string()

print(rcv)

_, data = rcv.split(commandTopic)

res = json.loads(data)

print(res)

params.update({k: float(res[k]) for k in res})

print(params)

except Exception as e:

print(e)

cmdThread = threading.Thread(target = monitorParams)

cmdThread.start()

tc = Client(keys['key'][4], keys['key'][5])

#tc = Client(keys['key'][0], keys['key'][1], tld='us') #if using binance.us

pm = PortfolioManager()

bm = BinanceSocketManager(tc)

#bm = BinanceSocketManager(tc, context = 'us') #if using binance.us

om = OrderManager(tc)

params = {'ready': 0,

'posUpperLimit': 0,

'posLowerLimit': 0,

'spread': 10.1,

'buysellSkew': 0.0,

'alphaMultiplier': 0.0,

'positionSkew': 0.0}

def processmymsg(msg: dict):

print(msg)

if msg.get('e', '') == 'outboundAccountPosition':

pm.processPositionUpdate(msg)

return

if msg.get('e', '') == 'executionReport':

print(msg['x'], msg['s'], msg['S'])

om.processOrderUpdate(msg)

return

bm.start_user_socket(processmymsg)

bm.start()

# wait for binance user data feed to ready

time.sleep(2)

class ewma:

def __init__(self, period):

self.value = 0.0

self.decay = np.exp(-1. / period)

self.init = 1

def update(self, cv):

self.value = self.value * self.decay + (1 - self.decay) * cv + self.init * self.decay * cv

self.init = 0

class LastTradeManager:

def __init__(self):

self.lt = {}

def update(self, symbol, value):

self.lt[symbol] = value

def get(self, symbol):

return self.lt[symbol]

class EwmaManager:

def __init__(self):

self.ewmapool = {}

def register(self, symbol, period):

self.ewmapool.setdefault(symbol, {})

self.ewmapool[symbol].setdefault(period, ewma(period))

def updateSymbol(self, symbol, period, value):

try:

self.ewmapool[symbol][period].update(value)

except:

print("not found ")

def updateSymbolAll(self, symbol, value):

# try:

for ema in self.ewmapool[symbol]:

self.ewmapool[symbol][ema].update(value)

# except:

# print("not found ")

def getValue(self, symbol):

return [(x, self.ewmapool[symbol][x].value) for x in self.ewmapool[symbol]]

def getValue(self, symbol, period):

return self.ewmapool[symbol][period].value

ewmaManager = EwmaManager()

ewmaManager.register('ETHUSDT', 100)

ewmaManager.register('ETHUSDT', 500)

ewmaManager.register('ETHUSDT', 1000)

ewmaManager.register('BTCUSDT', 100)

ewmaManager.register('BTCUSDT', 500)

ewmaManager.register('BNBUSDT', 100)

ewmaManager.register('BNBUSDT', 10)

ewmaManager.register('BNBUSDT', 1000)

ewmaManager.register('BNBUSDT', 500)

ewmaManager.register('LTCUSDT', 1)

ewmaManager.register('BNBUSDT2', 100)

ewmaManager.register('BNBUSDT2', 10)

ewmaManager.register('SIGNAL', 100)

# time.sleep(10000);

lastTradeManager = LastTradeManager();

pos = tc.get_asset_balance(asset='BNB', recvWindow=10000)

pm.positions['BNB'] = float(pos['free']) + float(pos['locked'])

def aftertrade():

print("trade")

def getReturn(symbol, period):

return np.log(lastTradeManager.get(symbol) / ewmaManager.getValue(symbol, period))

print(tc.get_asset_balance(asset='ETH', recvWindow=10000))

print(tc.get_account_status(recvWindow=10000))

noExistingOrder = True

lastorder = {}

luap = lubp = time.time_ns()

vol = 0.0

def updateBidAsk(res):

# print(res['bids'][0])

ewmaManager.updateSymbolAll('ETHUSDT', lastTradeManager.get('ETHUSDT'))

# print(ewmaManager.getValue('ETHUSDT'))

# print(ewmaManager.getValue('BNBUSDT'))

bid = float(res['bids'][0][0])

ask = float(res['asks'][0][0])

smid = 0.5 * (bid + ask)

ewmaManager.updateSymbolAll('BNBUSDT', smid)

ewmaManager.updateSymbolAll('BNBUSDT2', smid ** 2)

vol = np.sqrt(ewmaManager.getValue('BNBUSDT2', 100) - ewmaManager.getValue('BNBUSDT', 100) ** 2)

print('volatility: {:.2f}'.format(vol))

print(res['lastUpdateId'])

print(','.join(['{:.4f}']*7).format(bid, ask, smid,

getReturn('ETHUSDT', 100) * 100,

getReturn('ETHUSDT', 500) * 100,

getReturn('BNBUSDT', 100) * 100,

getReturn('BNBUSDT', 500) * 100))

signal = 100 * (0.008 * getReturn('BNBUSDT', 100) - 0.2863 * getReturn('BNBUSDT', 500) - 0.0177 * getReturn(

'BNBUSDT', 1000)

- 0.3832 * getReturn('ETHUSDT', 100) + 0.9956 * getReturn('ETHUSDT',

500) - 0.4885 * getReturn(

'ETHUSDT', 1000))

ewmaManager.updateSymbolAll('SIGNAL', signal)

signalEwma = signal - ewmaManager.getValue('SIGNAL',100)

upperlimit = params['posUpperLimit']

lowerlimit = params['posLowerLimit']

signalProd = signalEwma if (signalEwma * signal) > 0 else 0

#if signal and signalEwma have different sign, invalidate this signal

midpos = 0.5 * (upperlimit + lowerlimit)

mycurrentpos = pm.getPosition('BNB')

mybid = bid - params['spread'] \

- vol \

+ params['alphaMultiplier'] * signalProd \

- params['positionSkew'] * (mycurrentpos - midpos)\

+ params['buysellSkew']

myask = ask + params['spread'] \

+ vol \

+ params['alphaMultiplier'] * signalProd \

- params['positionSkew'] * (mycurrentpos - midpos)\

+ params['buysellSkew']

msg = 'vol,{:.4f}, signal,{:.4f}, signal-ewma,{:.4f}, myask,{:.4f}, mybid,{:.4f}, mid,{:.4f}'.format(vol, signal, signalEwma, myask, mybid, smid)

print(msg)

logging.debug(msg)

return mybid, myask

LOG_FILENAME = 'example.log'

logging.basicConfig(

filename=LOG_FILENAME,

format='%(asctime)s %(levelname)-8s %(message)s',

level=logging.DEBUG,

datefmt='%Y-%m-%d %H:%M:%S')

iloop = 0

print("start")

try:

while True:

iloop += 1

# Thanks @seym45 for a fix

try:

marketdata = client.recv_string()

_, data = marketdata.split(connTopic)

res = json.loads(data)

except zmq.ZMQError as error:

print(error)

continue

if 'T' in res.keys():

updateTime = datetime.fromtimestamp(res['T'] / 1000)

if iloop % 100 == 0:

latency = datetime.now() - updateTime

logging.debug(msg="market data latency:"+str(latency) )# prints periodly

# print(res.keys())

if 'p' in res.keys():

# print("trade",res['s'])

lastTradeManager.update(res['s'], float(res['p']))

else:

try:

mybid, myask = updateBidAsk(res)

if pm.getPosition('BNB') < params['posUpperLimit'] and params['ready'] == 1:

if abs(mybid - lubp) > 0.01:

om.cancelOrder(Action.BUY, 'BNBUSDT')

logging.debug('Buy@{:.2f}'.format(mybid))

tc.order_limit_buy(symbol='BNBUSDT', price=round(mybid, 4), quantity=1.0, recvWindow=10000)

lubp = mybid

else:

om.cancelOrder(Action.BUY, 'BNBUSDT')

if pm.getPosition('BNB') > params['posLowerLimit'] and params['ready'] == 1:

if abs(luap - myask) > 0.01 :

om.cancelOrder(Action.SELL, 'BNBUSDT')

logging.debug('Sell@{:.2f}'.format(myask))

tc.order_limit_sell(symbol='BNBUSDT', price=round(myask, 4), quantity=1.0, recvWindow=10000)

luap = myask

else:

om.cancelOrder(Action.SELL, 'BNBUSDT')

except Exception as e:

print(e)

except Exception as e:

print(e)

finally:

tc.cancel_all_orders(symbol='BNBUSDT')

# print(type(res))

# print(int(datetime.now(tz=timezone.utc).timestamp() * 1000))

python-binance/client.py at master · EncodingJerry/python-binance · GitHub

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