Repository: mcardillo55/cbpro-trader Branch: master Commit: fca241478bd8 Files: 61 Total size: 144.7 KB Directory structure: gitextract_9sgs8461/ ├── .gitignore ├── LICENSE ├── README.md ├── cbpro-trader/ │ ├── daemon/ │ │ ├── Dockerfile │ │ ├── cbpro-trader.py │ │ ├── config.yml.sample │ │ ├── engine/ │ │ │ ├── OrderBookCustom.py │ │ │ ├── Product.py │ │ │ ├── TradeAndHeartbeatWebsocket.py │ │ │ ├── TradeEngine.py │ │ │ └── __init__.py │ │ ├── indicators/ │ │ │ ├── IndicatorSubsystem.py │ │ │ └── __init__.py │ │ ├── interface/ │ │ │ ├── __init__.py │ │ │ ├── cursesDisplay.py │ │ │ └── web.py │ │ ├── period/ │ │ │ ├── Candlestick.py │ │ │ ├── MetaPeriod.py │ │ │ ├── Period.py │ │ │ └── __init__.py │ │ ├── requirements.txt │ │ ├── tests/ │ │ │ ├── __init__.py │ │ │ └── test_period.py │ │ └── trade/ │ │ ├── Trade.py │ │ └── __init__.py │ └── web/ │ ├── .gitignore │ ├── Dockerfile │ ├── README.md │ ├── package.json │ ├── public/ │ │ ├── index.html │ │ ├── manifest.json │ │ └── robots.txt │ └── src/ │ ├── App.css │ ├── App.js │ ├── App.test.js │ ├── actions/ │ │ └── index.js │ ├── components/ │ │ ├── Balances.jsx │ │ ├── Chart.jsx │ │ ├── CollapseButton.jsx │ │ ├── Config.jsx │ │ ├── Details.jsx │ │ ├── Flags.jsx │ │ ├── Orders.jsx │ │ ├── SelectAvailable.jsx │ │ ├── Sidebar.jsx │ │ └── Tooltip.jsx │ ├── containers/ │ │ ├── BalancesContainer.jsx │ │ ├── ChartContainer.jsx │ │ ├── ChartController.jsx │ │ ├── DetailsContainer.jsx │ │ ├── FlagsContainer.jsx │ │ ├── OrdersContainer.jsx │ │ └── SidebarContainer.jsx │ ├── index.css │ ├── index.js │ ├── reducers/ │ │ ├── chart.js │ │ ├── index.js │ │ └── sidebar.js │ └── serviceWorker.js ├── docker-compose.prod.yml └── docker-compose.yml ================================================ FILE CONTENTS ================================================ ================================================ FILE: .gitignore ================================================ .DS_Store *.pyc config.yml *.log .pytest_cache __pycache__ .vscode cbpro-trader/daemon/config.live cbpro-trader/daemon/config.sandbox ================================================ FILE: LICENSE ================================================ GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007 Copyright (C) 2007 Free Software Foundation, Inc. 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But first, please read . ================================================ FILE: README.md ================================================ # cbpro-trader cbpro-trader is a bot to automate trading on the Coinbase Pro cryptocurrency exchange. It is based around the ta-lib and coinbasepro-python libraries, allowing easy trading based on technical analysis indicators. The bot can monitor and trade any ticker supported by Coinbase Pro, and will even trade between cryptocurrencies if the opportunity is better. ## Disclaimer This bot is still in early stages and may have bugs. The strategies also need major reworking. **Do not use with any money you are not 100% willing to lose.** ## Installation ### Docker A docker-compose file is included to try to ease installation. If you are using the `web` frontend, you can simply run `docker-compose up` and then visit the URL provided by the frontend server. If you are using the `curses` or `debug` frontends, you can run `docker-compose build cbpro` `docker run -it cbpro-trader_cbpro -v $ABSOLUTE_PATH_TO_PROJECT/cbpro-trader/cbpro-trader/daemon/:/cbpro-trader/:Z` to build and run the image, making sure to replace the absolute path of the project, then`python3 ./cbpro-trader.py` to start the bot You will need to run `docker-compose up --build` if you change the config after the initial build. ### Manual You can install most requirements with `cd ./cbpro-trader` `pip install -r ./requirements.txt` then run with `python3 ./cbpro-trader.py` Note that it is currently pointing to a custom version of the coinbasepro-python library until I can push my OrderBook changes upstream. Also note that the TA-Lib python library is actually a wrapper for the ta-lib C library, so you will need to install that before. See the "Dependencies" section on https://github.com/mrjbq7/ta-lib for more information on that. ## Configuration Copy config.yml.sample to config.yml and include your `key`, `secret`, and `passphrase` values from your Coinbase Pro API key. | Name | Type | Description | | ------------ | ------- | -------------------------------------------------------------------------------- | | key | string | Coinbase API key | | secret | string | Coinbase API secret | | passphrase | string | Coinbase API passphrase | | sandbox | boolean | Set to 'yes' to use Coinbase sandbox servers (for testing) | | live | boolean | Set to 'yes' to to toggle live trading | | frontend | string | Which frontend to use - 'console', 'web' or 'debug'. See below for more info. | | web_config | boolean | Set to 'yes' to allow setting config from the web API | | logging | boolean | Set to 'yes' to add additional logging to debug.log file | | fiat | string | Which fiat currency to use - e.g. 'USD' or 'EUR' | | max_slippage | float | Max percentage change in limit orders before executing a market order | | periods | list | A YAML list of periods, each including the options listed in the periods section | For each period in the `periods` list, include the following options | Name | Type | Description | | ------- | ------- | ------------------------------------------------------------------------------ | | name | string | The display name of the period | | product | string | The Coinbase product to trade | | length | integer | The period length in minutes | | trade | boolean | Set to 'yes' to trade this period | | meta | boolean | Set to 'yes' if this is a 'meta' product (one that does not exist on Coinbase) | Set `live` to `yes` **only if** you want the bot to execute **actual trades.** The bot will still collect data and calculate indicators when `live` is set to `no`. You may also wish to test functionality with a Coinbase Pro sandbox API key first. In config.yml you can list as many periods as you would like under the periods section. Periods will be used for trading logic only if their `trade:` attribute is set to `yes`, otherwise they are just used for gathering indicator data. There is experimental support for 'meta' periods, which can be used for comparing 2 products that do not currently have a Coinbase Pro trading pair, by setting the `meta:` attribute to `yes` in the period description. The only real use case for this right now is LTC-ETH. Trading on meta periods is not yet supported (work in progress). `frontend` can have the following values * `web` - a web based frontend to be viewed in your web browser (WORK IN PROGRESS) * `curses` - an ncurses display of balances, indicator values, recent candlesticks and trades and current open orders or `debug` which will print the same infromation to the console, line-by-line, as it is available. * `debug` used for debugging (obviously). ## Tweaking indicators and trade logic I'm currently working on making indicators and trade strategies more configurable, but if you're handy with Python, any indicators from TA-Lib can be added, as desired. Trade logic can also obviously be modified as well. ### Design The IndicatorSubsystem class contains several methods to calculate indicators. Simple ones are already included, such as `calculate_macd()` and `calculate_obv()`. These methods write to the dictionary `IndicatorSubsystem.current_indicators` which is eventually used by `TradeEngine.determine_trades()` to determine if the bot should trade. ### Adding indicators To add a new indicator, first create the new method, following the naming convention. For example, if adding Simple Moving Average (SMA), `calculate_sma()` In the new method, you will probably want to use TA-LIB to calculate the indicator. Refer to http://mrjbq7.github.io/ta-lib/ for API documentation. For our example: `sma = talib.SMA(closing_prices, timeperiod=10)` Note that `closing_prices` and `volumes` are already available in the IndicatorSubsystem. Now, just add the most recent of this calculated value to the `current_indicators` dictionary, so that it is available to `TradeEngine`. You will need to add the indicator to the correct key, determined by `period_name` as well. This is to support multiple periods. `self.current_indicators[period_name]['sma'] = sma[-1]` ### Modifying trade logic Trade logic can obviously be modified as desired. Just make your decisions in `TradeEngine.determine_trades()`. `TradeEngine.determine_trades()` has access to the `IndicatorSubsystem.current_indicators` as `indicators`, as was discussed earlier. When issuing a buy order, be sure to set `product.buy_flag = True` and `product.sell_flag = False` before starting the buy order thread. This is to be sure that if there is a sell order pending, it will be cancelled and the sell thread will be closed. The same obviously holds true when issueing a sell order. ================================================ FILE: cbpro-trader/daemon/Dockerfile ================================================ FROM ubuntu:18.04 # Set locale ENV LANG C.UTF-8 # Allow for curses interface ENV TERM xterm # Update Ubuntu & install system dependencies RUN apt-get update RUN apt-get upgrade -y RUN apt-get install -y python3 python3-pip git locales # Build and install ta-lib ADD https://downloads.sourceforge.net/project/ta-lib/ta-lib/0.4.0/ta-lib-0.4.0-src.tar.gz / RUN tar xzvf ta-lib-0.4.0-src.tar.gz WORKDIR /ta-lib/ RUN ./configure --prefix=/usr RUN make RUN make install # Copy bot files RUN mkdir -p /cbpro-trader COPY ./requirements.txt / # Install Python dependencies WORKDIR / RUN pip3 install numpy==1.15.2 RUN pip3 install -r ./requirements.txt WORKDIR /cbpro-trader/ ================================================ FILE: cbpro-trader/daemon/cbpro-trader.py ================================================ # # bitcoin-trade.py # Mike Cardillo # # Main program for interacting with Coinbase Pro websocket and managing trade data import cbpro import period import indicators import engine import yaml import queue import time import interface import logging import datetime import threading from decimal import Decimal from websocket import WebSocketConnectionClosedException class CBProTrader(object): def __init__(self): with open("config.yml", 'r') as ymlfile: self.config = yaml.load(ymlfile, Loader=yaml.Loader) self.logger = logging.getLogger('trader-logger') self.logger.setLevel(logging.DEBUG) if self.config['logging']: self.logger.addHandler(logging.FileHandler("debug.log")) if self.config['frontend'] == 'debug': self.logger.addHandler(logging.StreamHandler()) self.error_logger = logging.getLogger('error-logger') self.error_logger.addHandler(logging.FileHandler("error.log")) self.initializing = False self.web_interface = None self.init_engine_and_indicators() def init_interface(self): if self.web_interface: self.web_interface.indicator_subsys = self.indicator_subsys self.web_interface.trade_engine = self.trade_engine else: if self.config['frontend'] == 'curses': curses_enable = True else: curses_enable = False self.interface = interface.cursesDisplay(enable=curses_enable) if self.config['frontend'] == 'web': self.web_interface = interface.web(self.indicator_subsys, self.trade_engine, self.config, self.init_engine_and_indicators) self.server_thread = threading.Thread(target=self.web_interface.start, daemon=True) self.server_thread.start() def init_engine_and_indicators(self): self.initializing = True try: self.cbpro_websocket.close() except: pass # Periods to update indicators for self.indicator_period_list = [] # Periods to actively trade on (typically 1 per product) self.trade_period_list = {} # List of products that we are actually monitoring self.product_list = set() fiat_currency = self.config['fiat'] if self.config['sandbox']: api_url = "https://api-public.sandbox.pro.coinbase.com" else: api_url = "https://api.pro.coinbase.com" auth_client = cbpro.AuthenticatedClient(self.config['key'], self.config['secret'], self.config['passphrase'], api_url=api_url) for cur_period in self.config['periods']: self.logger.debug("INITIALIZING %s", cur_period['name']) if cur_period.get('meta'): new_period = period.MetaPeriod(period_size=(60 * cur_period['length']), fiat=fiat_currency, product=cur_period['product'], name=cur_period['name'], cbpro_client=auth_client) else: new_period = period.Period(period_size=(60 * cur_period['length']), product=cur_period['product'], name=cur_period['name'], cbpro_client=auth_client) self.indicator_period_list.append(new_period) self.product_list.add(cur_period['product']) if cur_period['trade']: if self.trade_period_list.get(cur_period['product']) is None: self.trade_period_list[cur_period['product']] = [] self.trade_period_list[cur_period['product']].append(new_period) max_slippage = Decimal(str(self.config['max_slippage'])) self.trade_engine = engine.TradeEngine(auth_client, product_list=self.product_list, fiat=fiat_currency, is_live=self.config['live'], max_slippage=max_slippage) self.cbpro_websocket = engine.TradeAndHeartbeatWebsocket(fiat=fiat_currency, sandbox=self.config['sandbox']) self.cbpro_websocket.start() self.indicator_period_list[0].verbose_heartbeat = True self.indicator_subsys = indicators.IndicatorSubsystem(self.indicator_period_list) self.last_indicator_update = time.time() self.init_interface() self.initializing = False def start(self): while(True): if not self.initializing: try: if self.cbpro_websocket.error: raise self.cbpro_websocket.error msg = self.cbpro_websocket.websocket_queue.get(timeout=15) for product in self.trade_engine.products: product.order_book.process_message(msg) if msg.get('type') == "match": for cur_period in self.indicator_period_list: cur_period.process_trade(msg) if time.time() - self.last_indicator_update >= 1.0: for cur_period in self.indicator_period_list: self.indicator_subsys.recalculate_indicators(cur_period) for product_id, period_list in self.trade_period_list.items(): self.trade_engine.determine_trades(product_id, period_list, self.indicator_subsys.current_indicators) self.last_indicator_update = time.time() elif msg.get('type') == "heartbeat": for cur_period in self.indicator_period_list: cur_period.process_heartbeat(msg) for product_id, period_list in self.trade_period_list.items(): if len(self.indicator_subsys.current_indicators[cur_period.name]) > 0: self.trade_engine.determine_trades(product_id, period_list, self.indicator_subsys.current_indicators) self.trade_engine.print_amounts() self.interface.update(self.trade_engine, self.indicator_subsys.current_indicators, self.indicator_period_list, msg) except KeyboardInterrupt: self.trade_engine.close(exit=True) self.cbpro_websocket.close() self.interface.close() break except Exception as e: self.error_logger.exception(datetime.datetime.now()) self.trade_engine.close() self.cbpro_websocket.close() self.cbpro_websocket.error = None # Period data cannot be trusted. Re-initialize for cur_period in self.indicator_period_list: cur_period.initialize() time.sleep(10) self.cbpro_websocket.start() cbprotrader = CBProTrader() cbprotrader.start() ================================================ FILE: cbpro-trader/daemon/config.yml.sample ================================================ key: mykey secret: mysecret passphrase: mypassphrase sandbox: yes live: no frontend: curses web_config: no logging: no fiat: USD max_slippage: 0.10 periods: - name: BTC product: BTC-USD length: 5 trade: yes meta: no - name: ETH product: ETH-USD length: 15 trade: yes meta: no - name: LTC product: LTC-USD length: 30 trade: yes meta: no - name: LTCETH product: LTC-ETH length: 30 trade: no meta: yes ================================================ FILE: cbpro-trader/daemon/engine/OrderBookCustom.py ================================================ import cbpro import time import logging class OrderBookCustom(cbpro.OrderBook): def __init__(self, product_id='BTC-USD', auth_client=None): self.logger = logging.getLogger('trader-logger') self.error_logger = logging.getLogger('error-logger') super(OrderBookCustom, self).__init__(product_id=product_id) if auth_client is not None: self._client = auth_client def is_ready(self): try: super(OrderBookCustom, self).get_ask() except (ValueError, AttributeError): return False return True def get_ask(self): while not self.is_ready(): time.sleep(0.01) return super(OrderBookCustom, self).get_ask() def get_bid(self): while not self.is_ready(): time.sleep(0.01) return super(OrderBookCustom, self).get_bid() ================================================ FILE: cbpro-trader/daemon/engine/Product.py ================================================ import time from .OrderBookCustom import OrderBookCustom class Product(object): def __init__(self, auth_client, product_id='BTC-USD'): self.product_id = product_id self.order_book = OrderBookCustom(product_id=product_id, auth_client=auth_client) self.order_in_progress = False self.buy_flag = False self.sell_flag = False self.open_orders = [] self.order_thread = None self.meta = True self.last_signal_switch = time.time() cbpro_products = auth_client.get_products() while not isinstance(cbpro_products, list): # May be rate limited time.sleep(3) cbpro_products = auth_client.get_products() for cbpro_product in cbpro_products: if product_id == cbpro_product.get('id'): self.meta = False # If product_id is in response, it must be a real product self.quote_increment = cbpro_product.get('quote_increment') self.min_size = cbpro_product.get('base_min_size') ================================================ FILE: cbpro-trader/daemon/engine/TradeAndHeartbeatWebsocket.py ================================================ import datetime import logging import queue import cbpro from websocket import WebSocketConnectionClosedException class TradeAndHeartbeatWebsocket(cbpro.WebsocketClient): def __init__(self, fiat='USD', sandbox=False): self.logger = logging.getLogger('trader-logger') self.error_logger = logging.getLogger('error-logger') self.fiat_currency = fiat self.products = ["BTC-" + self.fiat_currency, "ETH-" + self.fiat_currency] self.channels = ['full', 'heartbeat'] if sandbox: url="wss://ws-feed-public.sandbox.pro.coinbase.com" else: url="wss://ws-feed.pro.coinbase.com" super(TradeAndHeartbeatWebsocket, self).__init__(products=self.products, channels=self.channels, url=url) def on_open(self): self.websocket_queue = queue.Queue() self.stop = False self.logger.debug("-- CBPRO Websocket Opened ---") def on_close(self): self.logger.debug("-- CBPRO Websocket Closed ---") def on_error(self, e): self.error_logger.exception(datetime.datetime.now()) self.error = e self.stop = True raise e def close(self): if not self.stop: self.on_close() self.stop = True self.thread.join() try: if self.ws: self.ws.close() except WebSocketConnectionClosedException: self.error_logger.exception(datetime.datetime.now()) pass def on_message(self, msg): self.websocket_queue.put(msg) ================================================ FILE: cbpro-trader/daemon/engine/TradeEngine.py ================================================ import time import logging import threading import datetime import itertools from decimal import Decimal, ROUND_DOWN from .Product import Product class TradeEngine(): def __init__(self, auth_client, product_list=['BTC-USD', 'ETH-USD', 'LTC-USD'], fiat='USD', is_live=False, max_slippage=Decimal('0.10')): self.logger = logging.getLogger('trader-logger') self.error_logger = logging.getLogger('error-logger') self.auth_client = auth_client self.product_list = product_list self.fiat_currency = fiat self.is_live = is_live self.market_orders = True # TODO: make this a config option self.available_products = [] self.products = [] self.balances = {} self.stop_update_order_thread = False self.last_order_update = time.time() self.all_open_orders = [] self.recent_fills = [] for product in self.product_list: self.products.append(Product(auth_client, product_id=product)) self.last_balance_update = 0 self.update_amounts() self.init_available_products() self.last_balance_update = time.time() self.max_slippage = max_slippage self.update_order_thread = threading.Thread(target=self.update_orders, name='update_orders') self.update_order_thread.start() def close(self, exit=False): if exit: self.stop_update_order_thread = True for product in self.products: # Setting both flags will close any open order threads product.buy_flag = False product.sell_flag = False # Cancel any orders that may still be remaining product.order_in_progress = False try: self.auth_client.cancel_all() except Exception: self.error_logger.exception(datetime.datetime.now()) def get_product_by_product_id(self, product_id='BTC-USD'): for product in self.products: if product.product_id == product_id: return product return None def init_available_products(self): for product in self.auth_client.get_products(): self.available_products.append(product.get('id')) def update_orders(self): while not self.stop_update_order_thread: need_updating = False for product in self.products: if product.order_in_progress: need_updating = True if time.time() - self.last_order_update >= 1.0: self.temp_recent_fills = [] try: for product in self.products: self.temp_recent_fills += list(itertools.islice(self.auth_client.get_fills(product_id=product.product_id), 5)) self.recent_fills = sorted(self.temp_recent_fills, key=lambda x: x['created_at'], reverse=True)[:5] except Exception: self.error_logger.exception(datetime.datetime.now()) if need_updating: try: self.all_open_orders = list(self.auth_client.get_orders()) for product in self.products: product.open_orders = [] for order in self.all_open_orders: self.get_product_by_product_id(order.get('product_id')).open_orders.append(order) except Exception: self.error_logger.exception(datetime.datetime.now()) elif not need_updating: self.all_open_orders = [] self.last_order_update = time.time() time.sleep(0.01) def round_fiat(self, money): return Decimal(money).quantize(Decimal('.01'), rounding=ROUND_DOWN) def round_coin(self, money): return Decimal(money).quantize(Decimal('.00000001'), rounding=ROUND_DOWN) def update_amounts(self): if time.time() - self.last_balance_update > 1.0: try: self.last_balance_update = time.time() ret = self.auth_client.get_accounts() if isinstance(ret, list): for account in ret: self.balances[account['currency']] = self.round_coin(account.get('available')) except Exception: self.error_logger.exception(datetime.datetime.now()) return self.balances['fiat_equivalent'] = Decimal('0.0') for product in self.products: if not product.meta and product.order_book.get_current_ticker() and product.order_book.get_current_ticker().get('price'): self.balances['fiat_equivalent'] += self.get_base_currency_from_product_id(product.product_id, update=False) * Decimal(product.order_book.get_current_ticker().get('price')) self.balances['fiat_equivalent'] += self.balances[self.fiat_currency] def print_amounts(self): self.logger.debug("[BALANCES] %s: %.2f BTC: %.8f" % (self.fiat_currency, self.balances[self.fiat_currency], self.balances['BTC'])) def place_buy(self, product=None, partial='1.0'): amount = self.get_quoted_currency_from_product_id(product.product_id) * Decimal(partial) bid = product.order_book.get_ask() - Decimal(product.quote_increment) amount = self.round_coin(Decimal(amount) / Decimal(bid)) if amount < Decimal(product.min_size): amount = self.get_quoted_currency_from_product_id(product.product_id) bid = product.order_book.get_ask() - Decimal(product.quote_increment) amount = self.round_coin(Decimal(amount) / Decimal(bid)) if amount >= Decimal(product.min_size): self.logger.debug("Placing buy... Price: %.8f Size: %.8f" % (bid, amount)) ret = self.auth_client.place_limit_order(product.product_id, "buy", size=str(amount), price=str(bid), post_only=True) if ret.get('status') == 'pending' or ret.get('status') == 'open': product.open_orders.append(ret) return ret else: ret = {'status': 'done'} return ret def buy(self, product=None, amount=None): product.order_in_progress = True last_order_update = 0 starting_price = product.order_book.get_ask() - Decimal(product.quote_increment) try: ret = self.place_buy(product=product, partial='0.5') bid = ret.get('price') amount = self.get_quoted_currency_from_product_id(product.product_id) while product.buy_flag and (amount >= Decimal(product.min_size) or len(product.open_orders) > 0): if (((product.order_book.get_ask() - Decimal(product.quote_increment)) / starting_price) - Decimal('1.0')) * Decimal('100.0') > self.max_slippage: self.auth_client.cancel_all(product_id=product.product_id) self.auth_client.place_market_order(product.product_id, "buy", funds=str(self.get_quoted_currency_from_product_id(product.product_id))) product.order_in_progress = False return if ret.get('status') == 'rejected' or ret.get('status') == 'done' or ret.get('message') == 'NotFound': ret = self.place_buy(product=product, partial='0.5') bid = ret.get('price') elif not bid or Decimal(bid) < product.order_book.get_ask() - Decimal(product.quote_increment): if len(product.open_orders) > 0: ret = self.place_buy(product=product, partial='1.0') else: ret = self.place_buy(product=product, partial='0.5') for order in product.open_orders: if order.get('id') != ret.get('id'): self.auth_client.cancel_order(order.get('id')) bid = ret.get('price') if ret.get('id') and time.time() - last_order_update >= 1.0: try: ret = self.auth_client.get_order(ret.get('id')) last_order_update = time.time() except ValueError: self.error_logger.exception(datetime.datetime.now()) pass amount = self.get_quoted_currency_from_product_id(product.product_id) time.sleep(0.01) self.auth_client.cancel_all(product_id=product.product_id) amount = self.get_quoted_currency_from_product_id(product.product_id) except Exception: product.order_in_progress = False self.error_logger.exception(datetime.datetime.now()) self.auth_client.cancel_all(product_id=product.product_id) product.order_in_progress = False def place_sell(self, product=None, partial='1.0'): amount = self.round_coin(self.get_base_currency_from_product_id(product.product_id) * Decimal(partial)) if amount < Decimal(product.min_size): amount = self.get_base_currency_from_product_id(product.product_id) ask = product.order_book.get_bid() + Decimal(product.quote_increment) if amount >= Decimal(product.min_size): self.logger.debug("Placing sell... Price: %.2f Size: %.8f" % (ask, amount)) ret = self.auth_client.place_limit_order(product.product_id, "sell", size=str(amount), price=str(ask), post_only=True) if ret.get('status') == 'pending' or ret.get('status') == 'open': product.open_orders.append(ret) return ret else: ret = {'status': 'done'} return ret def sell(self, product=None, amount=None): product.order_in_progress = True last_order_update = 0 starting_price = product.order_book.get_bid() + Decimal(product.quote_increment) try: ret = self.place_sell(product=product, partial='0.5') ask = ret.get('price') amount = self.get_base_currency_from_product_id(product.product_id) while product.sell_flag and (amount >= Decimal(product.min_size) or len(product.open_orders) > 0): if (Decimal('1') - ((product.order_book.get_bid() + Decimal(product.quote_increment)) / starting_price)) * Decimal('100.0') > self.max_slippage: self.auth_client.cancel_all(product_id=product.product_id) self.auth_client.place_market_order(product.product_id, "sell", size=str(self.get_base_currency_from_product_id(product.product_id))) product.order_in_progress = False return if ret.get('status') == 'rejected' or ret.get('status') == 'done' or ret.get('message') == 'NotFound': ret = self.place_sell(product=product, partial='0.5') ask = ret.get('price') elif not ask or Decimal(ask) > product.order_book.get_bid() + Decimal(product.quote_increment): if len(product.open_orders) > 0: ret = self.place_sell(product=product, partial='1.0') else: ret = self.place_sell(product=product, partial='0.5') for order in product.open_orders: if order.get('id') != ret.get('id'): self.auth_client.cancel_order(order.get('id')) ask = ret.get('price') if ret.get('id') and time.time() - last_order_update >= 1.0: try: ret = self.auth_client.get_order(ret.get('id')) except ValueError: self.error_logger.exception(datetime.datetime.now()) pass last_order_update = time.time() amount = self.get_base_currency_from_product_id(product.product_id) time.sleep(0.01) self.auth_client.cancel_all(product_id=product.product_id) amount = self.get_base_currency_from_product_id(product.product_id) except Exception: product.order_in_progress = False self.error_logger.exception(datetime.datetime.now()) self.auth_client.cancel_all(product_id=product.product_id) product.order_in_progress = False def get_base_currency_from_product_id(self, product_id, update=True): if update: self.update_amounts() return self.balances[product_id[:3]] def get_quoted_currency_from_product_id(self, product_id): self.update_amounts() return self.balances[product_id[4:]] def determine_trades(self, product_id, period_list, indicators): self.update_amounts() if self.is_live: product = self.get_product_by_product_id(product_id) new_buy_flag = True new_sell_flag = False for cur_period in period_list: # Moving Average Strategy new_buy_flag = new_buy_flag and Decimal(indicators[cur_period.name]['sma_trend']) > Decimal('0.0') new_sell_flag = new_sell_flag or Decimal(indicators[cur_period.name]['sma_trend']) < Decimal('0.0') if product_id == 'LTC-BTC' or product_id == 'ETH-BTC': ltc_or_eth_fiat_product = self.get_product_by_product_id(product_id[:3] + '-' + self.fiat_currency) btc_fiat_product = self.get_product_by_product_id('BTC-' + self.fiat_currency) new_buy_flag = new_buy_flag and ltc_or_eth_fiat_product.buy_flag new_sell_flag = new_sell_flag and btc_fiat_product.buy_flag if new_buy_flag: if product.sell_flag: product.last_signal_switch = time.time() product.sell_flag = False product.buy_flag = True amount = self.round_fiat(self.get_quoted_currency_from_product_id(product_id)) if amount >= Decimal(product.min_size): if self.market_orders: ret = self.auth_client.place_market_order(product.product_id, "buy", funds=str(amount)) self.logger.debug(ret) self.logger.debug(amount) else: if not product.order_in_progress: bid = product.order_book.get_ask() - Decimal(product.quote_increment) amount = self.round_coin(Decimal(amount) / Decimal(bid)) product.order_thread = threading.Thread(target=self.buy, name='buy_thread', kwargs={'product': product}) product.order_thread.start() elif new_sell_flag: if product.buy_flag: product.last_signal_switch = time.time() product.buy_flag = False product.sell_flag = True amount_of_coin = self.round_coin(self.get_base_currency_from_product_id(product_id)) if amount_of_coin >= Decimal(product.min_size): if self.market_orders: self.auth_client.place_market_order(product.product_id, "sell", size=str(amount_of_coin)) else: if not product.order_in_progress: product.order_thread = threading.Thread(target=self.sell, name='sell_thread', kwargs={'product': product}) product.order_thread.start() else: product.buy_flag = False product.sell_flag = False ================================================ FILE: cbpro-trader/daemon/engine/__init__.py ================================================ from .OrderBookCustom import OrderBookCustom from .Product import Product from .TradeEngine import TradeEngine from .TradeAndHeartbeatWebsocket import TradeAndHeartbeatWebsocket ================================================ FILE: cbpro-trader/daemon/indicators/IndicatorSubsystem.py ================================================ import talib import logging import numpy as np from decimal import Decimal class IndicatorSubsystem: def __init__(self, period_list): self.logger = logging.getLogger('trader-logger') self.current_indicators = {} self.period_list = period_list for period in self.period_list: self.current_indicators[period.name] = {} def recalculate_indicators(self, cur_period): total_periods = len(cur_period.candlesticks) if total_periods > 0: closing_prices = cur_period.get_closing_prices() closing_prices_close = np.append(closing_prices, cur_period.cur_candlestick.close) self.highs = np.append(cur_period.get_highs(), cur_period.cur_candlestick.high) self.lows = np.append(cur_period.get_lows(), cur_period.cur_candlestick.low) volumes = np.append(cur_period.get_volumes(), cur_period.cur_candlestick.volume) self.calculate_sma(cur_period.name, closing_prices_close) self.current_indicators[cur_period.name]['close'] = cur_period.cur_candlestick.close self.current_indicators[cur_period.name]['total_periods'] = total_periods def calculate_sma(self, period_name, closing_prices): sma = talib.SMA(closing_prices, timeperiod=9) self.current_indicators[period_name]['sma'] = sma[-1] self.current_indicators[period_name]['sma_trend'] = sma[-1] - sma[-2] def calculate_adx(self, period_name, close): adx = talib.ADX(self.highs, self.lows, close, timeperiod=14) self.current_indicators[period_name]['adx'] = adx[-1] def calculate_bbands(self, period_name, close): timeperiod = 20 upperband_1, middleband_1, lowerband_1 = talib.BBANDS(close, timeperiod=timeperiod, nbdevup=1, nbdevdn=1, matype=0) self.current_indicators[period_name]['bband_upper_1'] = upperband_1[-1] self.current_indicators[period_name]['bband_lower_1'] = lowerband_1[-1] upperband_2, middleband_2, lowerband_2 = talib.BBANDS(close, timeperiod=timeperiod, nbdevup=2, nbdevdn=2, matype=0) self.current_indicators[period_name]['bband_upper_2'] = upperband_2[-1] self.current_indicators[period_name]['bband_lower_2'] = lowerband_2[-1] def calculate_macd(self, period_name, closing_prices): macd, macd_sig, macd_hist = talib.MACD(closing_prices, fastperiod=12, slowperiod=26, signalperiod=9) self.current_indicators[period_name]['macd'] = macd[-1] self.current_indicators[period_name]['macd_sig'] = macd_sig[-1] self.current_indicators[period_name]['macd_hist'] = macd_hist[-1] self.current_indicators[period_name]['macd_hist_diff'] = Decimal(macd_hist[-1]) - Decimal(macd_hist[-2]) def calculate_vol_macd(self, period_name, volumes): macd, macd_sig, macd_hist = talib.MACD(volumes, fastperiod=50, slowperiod=200, signalperiod=14) self.current_indicators[period_name]['vol_macd'] = macd[-1] self.current_indicators[period_name]['vol_macd_sig'] = macd_sig[-1] self.current_indicators[period_name]['vol_macd_hist'] = macd_hist[-1] def calculate_avg_volume(self, period_name, volumes): avg_vol = talib.SMA(volumes, timeperiod=15) self.current_indicators[period_name]['avg_volume'] = avg_vol[-1] def calculate_obv(self, period_name, closing_prices, volumes): obv = talib.OBV(closing_prices, volumes) obv_ema = talib.EMA(obv, timeperiod=3) self.current_indicators[period_name]['obv_ema'] = obv_ema[-1] self.current_indicators[period_name]['obv'] = obv[-1] def calculate_sar(self, period_name, highs, lows): sar = talib.SAR(highs, lows) self.current_indicators[period_name]['sar'] = sar[-1] def calculate_stochrsi(self, period_name, closing_prices): fastk, fastd = talib.STOCHRSI(closing_prices, timeperiod=14, fastk_period=3, fastd_period=3, fastd_matype=0) self.current_indicators[period_name]['stochrsi_fastk'] = fastk[-1] self.current_indicators[period_name]['stochrsi_fastd'] = fastd[-1] def calculate_stoch(self, period_name, closing_prices): slowk, slowd = talib.STOCH(self.highs, self.lows, closing_prices, fastk_period=14, slowk_period=2, slowk_matype=0, slowd_period=3, slowd_matype=0) self.current_indicators[period_name]['stoch_slowk'] = slowk[-1] self.current_indicators[period_name]['stoch_slowd'] = slowd[-1] def calculate_mfi(self, period_name, highs, lows, closing_prices, volumes): mfi = talib.MFI(highs, lows, closing_prices, volumes) self.current_indicators[period_name]['mfi'] = mfi[-1] ================================================ FILE: cbpro-trader/daemon/indicators/__init__.py ================================================ from .IndicatorSubsystem import IndicatorSubsystem ================================================ FILE: cbpro-trader/daemon/interface/__init__.py ================================================ from .cursesDisplay import cursesDisplay from .web import web ================================================ FILE: cbpro-trader/daemon/interface/cursesDisplay.py ================================================ import curses import time import logging from decimal import Decimal class cursesDisplay: def __init__(self, enable=True): self.enable = enable if not self.enable: return self.logger = logging.getLogger('trader-logger') self.stdscr = curses.initscr() self.pad = curses.newpad(23, 120) self.order_pad = curses.newpad(10, 120) self.timestamp = "" self.last_order_update = 0 curses.start_color() curses.noecho() curses.cbreak() curses.init_pair(1, curses.COLOR_BLACK, curses.COLOR_GREEN) curses.init_pair(2, curses.COLOR_BLACK, curses.COLOR_RED) self.stdscr.keypad(1) self.pad.addstr(1, 0, "Waiting for a trade...") def update_balances(self, trade_engine): self.pad.addstr(0, 0, "%s: %.2f BTC: %.8f" % (trade_engine.fiat_currency, trade_engine.balances[trade_engine.fiat_currency], trade_engine.balances['BTC'])) self.pad.addstr(1, 0, "%s_EQUIV: %.2f" % (trade_engine.fiat_currency, trade_engine.balances['fiat_equivalent'])) def update_candlesticks(self, period_list): starty = self.starty if starty < self.signal_end_y + 1: starty = self.signal_end_y + 1 for cur_period in period_list: cur_stick = cur_period.cur_candlestick if cur_stick.new is False: self.pad.addstr(starty, 0, "%s - %s O: %f H: %f L: %f C: %f V: %f" % (cur_period.name, cur_stick.time, cur_stick.open, cur_stick.high, cur_stick.low, cur_stick.close, cur_stick.volume), self.print_color(cur_stick.close, cur_stick.open)) starty += 1 self.starty = starty def update_heartbeat(self): self.pad.addstr(0, 83, self.timestamp) def update_indicators(self, period_list, indicators): starty = self.starty for cur_period in period_list: stoch_diff = Decimal(indicators[cur_period.name]['stoch_slowk']) - Decimal(indicators[cur_period.name]['stoch_slowd']) obv_diff = Decimal(indicators[cur_period.name]['obv']) - Decimal(indicators[cur_period.name]['obv_ema']) self.pad.addstr(starty, 0, "%s - OBV_DIFF: %f STOCH_DIFF: %f ADX: %f" % (cur_period.name, obv_diff, stoch_diff, indicators[cur_period.name]['adx']), self.print_color(Decimal(obv_diff), Decimal('0.0'))) starty += 1 self.starty = starty + 1 def update_fills(self, trade_engine): self.pad.addstr(9, 0, "Recent Fills") starty = 10 for fill in trade_engine.auth_client.get_fills(limit=5)[0]: self.pad.addstr(starty, 0, "%s Price: %s Size: %s Time: %s" % (fill.get('side').upper(), fill.get('price'), fill.get('size'), fill.get('created_at'))) starty += 1 def update_orders(self, trade_engine): starty = 0 self.order_pad.addstr(starty, 0, "Open Orders") if time.time() - self.last_order_update > 3.0: self.order_pad.erase() self.order_pad.addstr(starty, 0, "Open Orders") order_in_progress = False # First check if trade engine has any open orders for product in trade_engine.products: if product.order_in_progress: order_in_progress = True starty += 1 if not trade_engine.all_open_orders: self.order_pad.addstr(starty, 0, 'None') for order in trade_engine.all_open_orders: self.order_pad.addstr(starty, 0, "%s %s Price: %s Size: %s Status: %s" % (order.get('side').upper(), order.get('product_id'), order.get('price'), order.get('size'), order.get('status'))) starty += 1 self.last_order_update = time.time() height, width = self.stdscr.getmaxyx() if height > (self.padsize + 1): self.order_pad.refresh(0, 0, (self.padsize + 1), 0, (height - 1), (width - 1)) def update_signals(self, trade_engine): starty = 1 for product in trade_engine.products: if product.buy_flag: text = 'BUY' color = curses.color_pair(1) elif product.sell_flag: text = 'SELL' color = curses.color_pair(2) else: text = 'NONE' color = curses.color_pair(0) self.pad.addstr(starty, 93, "%s: %s" % (product.product_id, text), color) starty += 1 self.signal_end_y = starty def update(self, trade_engine, indicators, period_list, msg): if not self.enable: return self.padsize = (len(period_list) * 2) + 3 self.pad.resize(self.padsize, 120) self.starty = 2 if msg.get('type') == "heartbeat": self.timestamp = msg.get('time') self.pad.erase() self.update_balances(trade_engine) self.update_heartbeat() self.update_signals(trade_engine) # Make sure indicator dict is populated if len(indicators[period_list[0].name]) > 0: self.update_indicators(period_list, indicators) self.update_candlesticks(period_list) self.update_orders(trade_engine) height, width = self.stdscr.getmaxyx() self.pad.refresh(0, 0, 0, 0, (height - 1), (width - 1)) def print_color(self, a, b, c=None, d=None): # If a > b, print green, otherwise red if c and d: if Decimal(a) > Decimal(b) and Decimal(c) > Decimal(d): return curses.color_pair(1) else: return curses.color_pair(2) else: if Decimal(a) > Decimal(b): return curses.color_pair(1) else: return curses.color_pair(2) def close(self): if not self.enable: return curses.nocbreak() self.stdscr.keypad(0) curses.echo() curses.endwin() ================================================ FILE: cbpro-trader/daemon/interface/web.py ================================================ import os from flask import Flask, request, jsonify from gevent.pywsgi import WSGIServer class web(object): def __init__(self, indicator_subsys, trade_engine, config, init_engine_and_indicators): self.indicator_subsys = indicator_subsys self.trade_engine = trade_engine self.config = config self.init_engine_and_indicators = init_engine_and_indicators app = Flask(__name__) self.app = app @app.route('/products/') def products(): return jsonify(self.trade_engine.available_products) @app.route('/periods/') @app.route('/periods/') def periods(periodName=None): period_data = [] if periodName is None: for period in self.indicator_subsys.period_list: period_data.append(period.name) return jsonify(period_data) else: for period in self.indicator_subsys.period_list: if period.name == periodName: period_data = period.candlesticks.tolist() + [period.cur_candlestick.to_list()] return jsonify([{ 'time': stick[0].timestamp(), 'low': stick[1], 'high': stick[2], 'open': stick[3], 'close': stick[4] } for stick in period_data]) @app.route('/indicators/') @app.route('/indicators/') def indicators(periodName=None): if periodName is None: return jsonify(self.indicator_subsys.current_indicators) else: return jsonify(self.indicator_subsys.current_indicators.get(periodName)) @app.route('/orders/') @app.route('/orders/') def orders(productId=None): return jsonify({'orders': trade_engine.all_open_orders, 'fills': trade_engine.recent_fills}) @app.route('/balances/') @app.route('/balances/') def balances(currency=None): balances = trade_engine.balances.copy() for key in balances: balances[key] = '{0:.8f}'.format(balances[key]) return jsonify(balances) @app.route('/flags/') def flags(): flags = {} for product in self.trade_engine.products: if product.buy_flag is True: flags[product.product_id] = "buy" else: flags[product.product_id] = "sell" return jsonify(flags) @app.route('/config/', methods=['GET', 'POST']) def config(periodName=None): if self.config.get("web_config"): if request.method == 'POST': self.trade_engine.close() new_config = request.get_json() self.config.update(new_config) init_engine_and_indicators() # Remove key/secret info from the response new_config = self.config.copy() del new_config['key'] del new_config['secret'] del new_config['passphrase'] else: new_config = {'web_config': False} return jsonify(new_config) def start(self): if 'PRODUCTION' in os.environ: http_server = WSGIServer(('', 8080), self.app) http_server.serve_forever() else: self.app.run(host='0.0.0.0') ================================================ FILE: cbpro-trader/daemon/period/Candlestick.py ================================================ import logging import numpy as np class Candlestick: def __init__(self, isotime=None, existing_candlestick=None, prev_close=None): self.logger = logging.getLogger('trader-logger') self.new = True if isotime: self.time = isotime.replace(second=0, microsecond=0) self.volume = 0 if prev_close: self.open = prev_close self.high = prev_close self.low = prev_close self.close = prev_close else: self.time = isotime.replace(second=0, microsecond=0) self.open = None self.high = None self.low = None self.close = None elif existing_candlestick is not None: self.new = False self.time, self.low, self.high, self.open, self.close, self.volume = existing_candlestick def add_trade(self, new_trade): self.new = False if not self.open: self.open = new_trade.price if not self.high: self.high = new_trade.price elif new_trade.price > self.high: self.high = new_trade.price if not self.low: self.low = new_trade.price elif new_trade.price < self.low: self.low = new_trade.price self.close = new_trade.price self.volume = self.volume + new_trade.volume self.logger.debug("[TRADE] Time: %s Price: %f Vol: %f" % (new_trade.time, new_trade.price, new_trade.volume)) def close_candlestick(self, period_name, prev_stick=None): self.logger.debug("Candlestick Closed!") if self.close is None: self.new = False self.open = prev_stick[4] # Closing price self.high = prev_stick[4] self.low = prev_stick[4] self.close = prev_stick[4] self.print_stick(period_name) return np.array([self.time, self.low, self.high, self.open, self.close, self.volume]) def to_list(self): return [self.time, self.low, self.high, self.open, self.close, self.volume] def print_stick(self, period_name): self.logger.debug("[CANDLESTICK %s] Time: %s Open: %s High: %s Low: %s Close: %s Vol: %s" % (period_name, self.time, self.open, self.high, self.low, self.close, self.volume)) ================================================ FILE: cbpro-trader/daemon/period/MetaPeriod.py ================================================ import copy import cbpro import datetime import time import numpy as np import pytz from decimal import Decimal from .Period import Period class MetaPeriod(Period): def __init__(self, period_size=60, name='Period', product='BTC-USD', fiat='USD', initialize=True, cbpro_client=cbpro.PublicClient()): self.base = product[:3] + '-' + fiat self.quoted = product[4:] + '-' + fiat super(MetaPeriod, self).__init__(period_size=period_size, name=name, product=product, initialize=True, cbpro_client=cbpro_client) def process_trade(self, msg): newmsg = copy.deepcopy(msg) if msg.get('product_id') == self.base: newmsg['product_id'] = self.product quoted_last = Decimal(msg.get('price')) / Decimal(self.cur_candlestick.close) total_price = quoted_last + Decimal(msg.get('price')) newmsg['size'] = Decimal(msg.get('size')) * (Decimal(msg.get('price')) / total_price) newmsg['price'] = Decimal(msg.get('price')) / quoted_last elif msg.get('product_id') == self.quoted: newmsg['product_id'] = self.product base_last = Decimal(self.cur_candlestick.close) * Decimal(msg.get('price')) total_price = base_last + Decimal(msg.get('price')) newmsg['size'] = Decimal(msg.get('size')) * (Decimal(msg.get('price')) / total_price) newmsg['price'] = base_last / Decimal(msg.get('price')) super(MetaPeriod, self).process_trade(msg=newmsg) def get_historical_data(self, num_periods=200): end = datetime.datetime.utcnow() end_iso = end.isoformat() start = end - datetime.timedelta(seconds=(self.period_size * num_periods)) start_iso = start.isoformat() ret_base = self.cbpro_client.get_product_historic_rates(self.base, granularity=self.period_size, start=start_iso, end=end_iso) ret_quoted = self.cbpro_client.get_product_historic_rates(self.quoted, granularity=self.period_size, start=start_iso, end=end_iso) # Check if we got rate limited, which will return a JSON message while not isinstance(ret_base, list): time.sleep(3) ret_base = self.cbpro_client.get_product_historic_rates(self.base, granularity=self.period_size, start=start_iso, end=end_iso) while not isinstance(ret_quoted, list): time.sleep(3) ret_quoted = self.cbpro_client.get_product_historic_rates(self.quoted, granularity=self.period_size, start=start_iso, end=end_iso) hist_data_base = np.array(ret_base, dtype='object') hist_data_quoted = np.array(ret_quoted, dtype='object') array_size = min(len(ret_base), len(ret_quoted)) hist_data_base.resize(array_size, 6) hist_data_quoted.resize(array_size, 6) for row in hist_data_base: row[0] = datetime.datetime.fromtimestamp(row[0], pytz.utc) for row in hist_data_quoted: row[0] = datetime.datetime.fromtimestamp(row[0], pytz.utc) hist_data = np.ndarray((len(hist_data_base), 6), dtype='object') hist_data[:, 0] = hist_data_base[:, 0] hist_data[:, [1,2,3,4]] = hist_data_base[:, [1,2,3,4]]/hist_data_quoted[:, [1,2,3,4]] total_price = (hist_data_base[:, 4] + hist_data_quoted[:, 4]) hist_data[:, 5] = ((hist_data_base[:, 4] / total_price) * hist_data_base[:, 5]) + ((hist_data_base[:, 4] / total_price) * hist_data_quoted[:, 5]) hist_data[:, 5] = hist_data[:, 5] * hist_data[:, 4] return np.flipud(hist_data) ================================================ FILE: cbpro-trader/daemon/period/Period.py ================================================ import logging import cbpro import datetime import time import dateutil import pytz import trade import numpy as np from .Candlestick import Candlestick class Period: def __init__(self, period_size=60, name='Period', product='BTC-USD', initialize=True, cbpro_client=cbpro.PublicClient()): self.period_size = period_size self.name = name self.product = product self.first_trade = True self.verbose_heartbeat = False # CBPRO historical data is not up-to-date # We need to update data 10 minutes after closing the first period self.updated_hist_data = False self.time_of_first_candlestick_close = None self.logger = logging.getLogger('trader-logger') self.error_logger = logging.getLogger('error-logger') self.cbpro_client = cbpro_client if initialize: self.initialize() else: self.candlesticks = np.array([]) def initialize(self): self.candlesticks = self.get_historical_data() self.cur_candlestick = Candlestick(existing_candlestick=self.candlesticks[-1]) self.candlesticks = self.candlesticks[:-1] self.cur_candlestick_start = self.cur_candlestick.time def get_historical_data(self, num_periods=200): end = datetime.datetime.utcnow() end_iso = end.isoformat() start = end - datetime.timedelta(seconds=(self.period_size * num_periods)) start_iso = start.isoformat() ret = None # Check if we got rate limited, which will return a JSON message while not isinstance(ret, list): try: time.sleep(3) ret = self.cbpro_client.get_product_historic_rates(self.product, granularity=self.period_size, start=start_iso, end=end_iso) except Exception: self.error_logger.exception(datetime.datetime.now()) hist_data = np.array(ret, dtype='object') for row in hist_data: row[0] = datetime.datetime.fromtimestamp(row[0], pytz.utc) return np.flipud(hist_data) def update_historical_data(self): updated_sticks = self.get_historical_data(num_periods=5) for new_stick in updated_sticks: for idx, old_stick in enumerate(self.candlesticks[-10:]): if new_stick[0] == old_stick[0]: self.candlesticks[-10 + idx] = new_stick self.updated_hist_data = True def process_heartbeat(self, msg): if not self.updated_hist_data and self.time_of_first_candlestick_close \ and datetime.datetime.now() - self.time_of_first_candlestick_close >= datetime.timedelta(minutes=10): self.update_historical_data() isotime = dateutil.parser.parse(msg.get('time')) if isotime: if self.verbose_heartbeat: self.logger.debug("[HEARTBEAT] " + str(isotime) + " " + str(msg.get('last_trade_id'))) if isotime - self.cur_candlestick_start > datetime.timedelta(seconds=self.period_size): self.close_candlestick() self.new_candlestick(self.cur_candlestick.time + datetime.timedelta(seconds=self.period_size)) def process_trade(self, msg): if msg.get('product_id') == self.product: cur_trade = trade.Trade(msg) isotime = dateutil.parser.parse(msg.get('time')).replace(microsecond=0) if isotime < self.cur_candlestick.time: prev_stick = Candlestick(existing_candlestick=self.candlesticks[-1]) self.candlesticks = self.candlesticks[:-1] prev_stick.add_trade(cur_trade) self.add_stick(prev_stick) else: if isotime > self.cur_candlestick.time + datetime.timedelta(seconds=self.period_size): self.close_candlestick() self.new_candlestick(self.cur_candlestick.time + datetime.timedelta(seconds=self.period_size)) self.cur_candlestick.add_trade(cur_trade) self.cur_candlestick.print_stick(self.name) def get_highs(self): return np.array(self.candlesticks[:, 2], dtype='f8') def get_lows(self): return np.array(self.candlesticks[:, 1], dtype='f8') def get_closing_prices(self): return np.array(self.candlesticks[:, 4], dtype='f8') def get_volumes(self): return np.array(self.candlesticks[:, 5], dtype='f8') def new_candlestick(self, isotime): prev_close = self.cur_candlestick.close self.cur_candlestick = Candlestick(isotime=isotime, prev_close=prev_close) self.cur_candlestick_start = isotime.replace(second=0, microsecond=0) def add_stick(self, stick_to_add): self.candlesticks = np.row_stack((self.candlesticks, stick_to_add.close_candlestick(self.name))) def close_candlestick(self): if not self.updated_hist_data: self.time_of_first_candlestick_close = datetime.datetime.now() if len(self.candlesticks) > 0: self.candlesticks = np.row_stack((self.candlesticks, self.cur_candlestick.close_candlestick(period_name=self.name, prev_stick=self.candlesticks[-1]))) else: self.candlesticks = np.array([self.cur_candlestick.close_candlestick(self.name)]) ================================================ FILE: cbpro-trader/daemon/period/__init__.py ================================================ from .Candlestick import Candlestick from .Period import Period from .MetaPeriod import MetaPeriod ================================================ FILE: cbpro-trader/daemon/requirements.txt ================================================ astroid==2.3.3 atomicwrites==1.2.1 attrs==18.2.0 bintrees==2.0.7 -e git+https://github.com/mcardillo55/coinbasepro-python.git@d2b8bed627339723ab214430fe93ade2331d757e#egg=cbpro Click==7.0 Flask==1.1.1 gevent==20.5.0 greenlet==0.4.15 isort==4.3.21 itsdangerous==1.1.0 Jinja2==2.10.3 lazy-object-proxy==1.4.3 MarkupSafe==1.1.1 mccabe==0.6.1 more-itertools==4.3.0 numpy==1.15.2 pluggy==0.8.0 py==1.7.0 pylint==2.4.4 pymongo==3.5.1 pytest==4.0.1 pytest-mock==1.10.0 python-dateutil==2.6.0 pytz==2017.2 PyYAML==5.1 requests==2.20.0 six==1.13.0 sortedcontainers==2.1.0 TA-Lib==0.4.17 websocket-client==0.40.0 Werkzeug==0.16.0 wrapt==1.11.2 ================================================ FILE: cbpro-trader/daemon/tests/__init__.py ================================================ ================================================ FILE: cbpro-trader/daemon/tests/test_period.py ================================================ # # test_period.py # Mike Cardillo # # Pytest tests on the period file import period import trade import datetime import numpy as np class TestCandlestick(object): def setup_class(self): fake_trade_dict = {"sequence": "12345", "trade_id": "123", "time": "2018-11-29T05:21:06Z", "price": "38.50", "size": "105.34"} self.fake_trade = trade.Trade(fake_trade_dict) self.test_datetime = datetime.datetime(2018, 6, 10, 11, 13, 58, 384) self.test_datetime_zero_sec_ms = datetime.datetime(2018, 6, 10, 11, 13, 0, 0) def test_init_with_isotime_and_prev_close(self): prev_close = 58.30 candlestick = period.Candlestick(isotime=self.test_datetime, prev_close=prev_close) assert candlestick.new is True assert candlestick.time == self.test_datetime_zero_sec_ms assert candlestick.open == 58.30 assert candlestick.high == 58.30 assert candlestick.low == 58.30 assert candlestick.close == 58.30 assert candlestick.volume == 0 def test_init_with_isotime_without_prev_close(self): candlestick = period.Candlestick(isotime=self.test_datetime) assert candlestick.new is True assert candlestick.time == self.test_datetime_zero_sec_ms assert candlestick.open is None assert candlestick.high is None assert candlestick.low is None assert candlestick.close is None assert candlestick.volume == 0 def test_init_without_isotime(self): existing_candlestick = [self.test_datetime_zero_sec_ms, 58.00, 59.50, 58.10, 58.50, 15235.235] candlestick = period.Candlestick(existing_candlestick=existing_candlestick) assert candlestick.new is False assert candlestick.time == self.test_datetime_zero_sec_ms assert candlestick.open == 58.10 assert candlestick.high == 59.50 assert candlestick.low == 58.00 assert candlestick.close == 58.50 assert candlestick.volume == 15235.235 def test_add_trade__new_open(self): candlestick = period.Candlestick(isotime=self.test_datetime) candlestick.add_trade(self.fake_trade) assert candlestick.new is False assert candlestick.open == 38.50 assert candlestick.high == 38.50 assert candlestick.low == 38.50 assert candlestick.close == 38.50 assert candlestick.volume == 105.34 def test_add_trade__higher_high(self): existing_candlestick = [self.test_datetime_zero_sec_ms, 25.57, 35.57, 30.25, 31.25, 15235.235] candlestick = period.Candlestick(existing_candlestick=existing_candlestick) candlestick.add_trade(self.fake_trade) assert candlestick.high == 38.50 assert candlestick.close == 38.50 assert candlestick.volume == 15235.235 + 105.34 def test_add_trade__lower_low(self): existing_candlestick = [self.test_datetime_zero_sec_ms, 39.57, 42.45, 40.25, 39.87, 15235.235] candlestick = period.Candlestick(existing_candlestick=existing_candlestick) candlestick.add_trade(self.fake_trade) assert candlestick.low == 38.50 assert candlestick.close == 38.50 assert candlestick.volume == 15235.235 + 105.34 def test_close_candlestick__all_fields_none(self): candlestick = period.Candlestick(isotime=self.test_datetime) prev_stick = [self.test_datetime_zero_sec_ms, 39.57, 42.45, 40.25, 39.87, 15235.235] ret = candlestick.close_candlestick("TEST STICK", prev_stick=prev_stick) assert candlestick.new is False assert isinstance(ret, type(np.array([]))) np.testing.assert_array_equal(ret, [self.test_datetime_zero_sec_ms, 39.87, 39.87, 39.87, 39.87, 0]) def test_close_candlestick__close_not_none(self): existing_candlestick = [self.test_datetime_zero_sec_ms, 58.00, 59.50, 58.10, 58.50, 15235.235] candlestick = period.Candlestick(existing_candlestick=existing_candlestick) ret = candlestick.close_candlestick("TEST STICK") assert isinstance(ret, type(np.array([]))) np.testing.assert_array_equal(ret, existing_candlestick) class TestPeriod(object): def setup_class(self): self.start_time = datetime.datetime.now(datetime.timezone.utc) self.fake_hist_data = [[self.start_time.timestamp(), 123.4, 133.5, 124.6, 132.3, 3485.38], [(self.start_time + datetime.timedelta(minutes=5)).timestamp(), 122.3, 135.4, 123.7, 133.4, 4385.25], [(self.start_time + datetime.timedelta(minutes=10)).timestamp(), 120.2, 130.2, 132.5, 131.2, 3859.42]] def test_init__initalize_false(self): test_period = period.Period(period_size=15, name="BTC15", product="BTC-USD", initialize=False) assert isinstance(test_period, period.Period) assert test_period.period_size == 15 assert test_period.name == "BTC15" assert test_period.product == "BTC-USD" assert test_period.verbose_heartbeat is False assert isinstance(test_period.candlesticks, type(np.array([]))) np.testing.assert_array_equal(test_period.candlesticks, np.array([])) def test_init__initalize_true(self, mocker): mocker.patch("cbpro.PublicClient.get_product_historic_rates", return_value=self.fake_hist_data) test_period = period.Period(period_size=5, name="ETH5", product="ETH-USD", initialize=True) assert isinstance(test_period, period.Period) assert test_period.period_size == 5 assert test_period.name == "ETH5" assert test_period.product == "ETH-USD" assert test_period.verbose_heartbeat is False assert isinstance(test_period.candlesticks, type(np.array([]))) assert len(test_period.candlesticks) == len(self.fake_hist_data) - 1 assert isinstance(test_period.cur_candlestick, period.Candlestick) assert test_period.cur_candlestick_start == self.start_time assert isinstance(test_period.candlesticks[0], type(np.array([]))) ================================================ FILE: cbpro-trader/daemon/trade/Trade.py ================================================ import dateutil.parser import logging class Trade: def __init__(self, msg): self.seq = int(msg.get('sequence')) self.trade_id = int(msg.get('trade_id')) self.time = dateutil.parser.parse(msg.get('time')) self.price = float(msg.get('price')) self.volume = float(msg.get('size')) self.logger = logging.getLogger('trader-logger') def print_trade(self): self.logger.debug("[TRADE] Trade ID: %d Price: %f Volume: %f" % (self.trade_id, self.price, self.volume)) ================================================ FILE: cbpro-trader/daemon/trade/__init__.py ================================================ from .Trade import Trade ================================================ FILE: cbpro-trader/web/.gitignore ================================================ # See https://help.github.com/articles/ignoring-files/ for more about ignoring files. # dependencies /node_modules /.pnp .pnp.js # testing /coverage # production /build # misc .DS_Store .env.local .env.development.local .env.test.local .env.production.local npm-debug.log* yarn-debug.log* yarn-error.log* ================================================ FILE: cbpro-trader/web/Dockerfile ================================================ FROM node:13.6.0 # Install node dependencies WORKDIR /frontend/ RUN npm install ================================================ FILE: cbpro-trader/web/README.md ================================================ This project was bootstrapped with [Create React App](https://github.com/facebook/create-react-app). ## Available Scripts In the project directory, you can run: ### `npm start` Runs the app in the development mode.
Open [http://localhost:3000](http://localhost:3000) to view it in the browser. The page will reload if you make edits.
You will also see any lint errors in the console. ### `npm test` Launches the test runner in the interactive watch mode.
See the section about [running tests](https://facebook.github.io/create-react-app/docs/running-tests) for more information. ### `npm run build` Builds the app for production to the `build` folder.
It correctly bundles React in production mode and optimizes the build for the best performance. The build is minified and the filenames include the hashes.
Your app is ready to be deployed! See the section about [deployment](https://facebook.github.io/create-react-app/docs/deployment) for more information. ### `npm run eject` **Note: this is a one-way operation. Once you `eject`, you can’t go back!** If you aren’t satisfied with the build tool and configuration choices, you can `eject` at any time. This command will remove the single build dependency from your project. Instead, it will copy all the configuration files and the transitive dependencies (Webpack, Babel, ESLint, etc) right into your project so you have full control over them. All of the commands except `eject` will still work, but they will point to the copied scripts so you can tweak them. At this point you’re on your own. You don’t have to ever use `eject`. The curated feature set is suitable for small and middle deployments, and you shouldn’t feel obligated to use this feature. However we understand that this tool wouldn’t be useful if you couldn’t customize it when you are ready for it. ## Learn More You can learn more in the [Create React App documentation](https://facebook.github.io/create-react-app/docs/getting-started). To learn React, check out the [React documentation](https://reactjs.org/). ### Code Splitting This section has moved here: https://facebook.github.io/create-react-app/docs/code-splitting ### Analyzing the Bundle Size This section has moved here: https://facebook.github.io/create-react-app/docs/analyzing-the-bundle-size ### Making a Progressive Web App This section has moved here: https://facebook.github.io/create-react-app/docs/making-a-progressive-web-app ### Advanced Configuration This section has moved here: https://facebook.github.io/create-react-app/docs/advanced-configuration ### Deployment This section has moved here: https://facebook.github.io/create-react-app/docs/deployment ### `npm run build` fails to minify This section has moved here: https://facebook.github.io/create-react-app/docs/troubleshooting#npm-run-build-fails-to-minify ================================================ FILE: cbpro-trader/web/package.json ================================================ { "name": "web", "version": "0.1.0", "private": true, "dependencies": { "lightweight-charts": "^3.1.5", "react": "^16.9.0", "react-dom": "^16.9.0", "react-redux": "^7.1.3", "react-scripts": "3.1.1", "redux": "^4.0.4" }, "scripts": { "start": "react-scripts start", "build": "react-scripts build", "test": "react-scripts test", "eject": "react-scripts eject" }, "eslintConfig": { "extends": "react-app" }, "browserslist": { "production": [ ">0.2%", "not dead", "not op_mini all" ], "development": [ "last 1 chrome version", "last 1 firefox version", "last 1 safari version" ] }, "proxy": "http://cbpro:5000" } ================================================ FILE: cbpro-trader/web/public/index.html ================================================ Coinbase Pro Trader
================================================ FILE: cbpro-trader/web/public/manifest.json ================================================ { "short_name": "React App", "name": "Create React App Sample", "icons": [ { "src": "favicon.ico", "sizes": "64x64 32x32 24x24 16x16", "type": "image/x-icon" }, { "src": "logo192.png", "type": "image/png", "sizes": "192x192" }, { "src": "logo512.png", "type": "image/png", "sizes": "512x512" } ], "start_url": ".", "display": "standalone", "theme_color": "#000000", "background_color": "#ffffff" } ================================================ FILE: cbpro-trader/web/public/robots.txt ================================================ # https://www.robotstxt.org/robotstxt.html User-agent: * ================================================ FILE: cbpro-trader/web/src/App.css ================================================ #chart-controller { display: flex; height: 100vh; } #chart { flex: 1; } #collapse-button { display: flex; justify-content: center; align-items: center; color: rgb(19, 23, 34); background-color: rgb(217, 217, 217); width: 15px; } #collapse-button:hover { background-color: #A6A6A6; } #config { padding: 10px; } #period-list { overflow-y: auto; list-style-type: none; padding: 0px; margin: 0px; } #sidebar { display: grid; grid-template-rows: 1fr 2fr; max-height: 100vh; width: 300px; } #primary-selector { display: grid; grid-template-columns: 1fr 1fr 1fr; border-top: 5px solid; border-bottom: 5px solid; } #primary-section { overflow-y: auto; } #secondary-section { overflow-y: auto; } #secondary-details { overflow-x: auto; white-space: nowrap; } #secondary-selector { display: grid; grid-template-columns: 1fr 1fr 1fr; border-top: 5px solid; border-bottom: 5px solid; } #tooltip { display: block; position: absolute; top: 3px; left: 10px; z-index: -1; } #tooltip-title { font-size: 26px; } #tooltip-prices { font-size: 18px; } #details { font-weight: bold; } #last-trade { font-size: 28px; } .active-button{ background-color: rgb(33, 56, 77); } .collapsed { grid-template-columns: 124fr 1fr !important; } #balances { padding-top: 0px; list-style-type: none; overflow-y: auto; } .currency { font-weight: bold; } .indicator-data { font-weight: normal; } .indicator { margin: 8px 0px; } .sidebar-section { padding: 10px; } .sidebar-section h2.first-h2{ margin-top: 0px; } .flag-title { font-weight: bold; } button { color: rgb(120, 123, 134); background: rgb(19, 23, 34); text-decoration: none; border: 1px solid; padding: 10px; outline: none !important; } button:hover { background-color: #2a2e39; } li.period{ display: block; padding: 10px; text-decoration: none; height: 20px; } li:nth-child(odd).period{ background-color: rgb(28, 32, 48); } li.focused.period{ background-color: rgb(33, 56, 77); } body { color: rgb(217, 217, 217); background: rgb(19, 23, 34); } th { border-right: 1px solid; border-bottom: 1px solid; } th:last-child { border-right: 0; } td { border-right: 1px solid; } td:last-child { border-right: 0; } input, select { margin: 5px; } input[type=text], input[type=number]{ width: 100px; } label { display: inline-block; width: 100px; text-align: right; } input[type=submit]{ display: block; margin-left: 25% } ================================================ FILE: cbpro-trader/web/src/App.js ================================================ import React from 'react'; import ChartController from './containers/ChartController' import './App.css'; function App() { return (
); } export default App; ================================================ FILE: cbpro-trader/web/src/App.test.js ================================================ import React from 'react'; import ReactDOM from 'react-dom'; import App from './App'; it('renders without crashing', () => { const div = document.createElement('div'); ReactDOM.render(, div); ReactDOM.unmountComponentAtNode(div); }); ================================================ FILE: cbpro-trader/web/src/actions/index.js ================================================ export const changeActivePeriod = period_name => ({ type: 'CHANGE_ACTIVE_PERIOD', period_name }) export const changePrimarySection = section_name => ({ type: 'CHANGE_PRIMARY_SECTION', section_name }) export const changeSecondarySection = section_name => ({ type: 'CHANGE_SECONDARY_SECTION', section_name }) export const updateBalances = balances => ({ type: 'UPDATE_BALANCES', balances }) export const updateFlags = flags => ({ type: 'UPDATE_FLAGS', flags }) export const addPeriod = period_name => ({ type: 'ADD_PERIOD', period_name }) export const clearPeriods = () => ({ type: 'CLEAR_PERIODS' }) export const updateCandlesticks = candlesticks => ({ type: 'UPDATE_CANDLESTICKS', candlesticks }) export const updateIndicators = indicators => ({ type: 'UPDATE_INDICATORS', indicators }) export const updateOrders = orders => ({ type: 'UPDATE_ORDERS', orders }) ================================================ FILE: cbpro-trader/web/src/components/Balances.jsx ================================================ import React from 'react'; function Balances(props) { const { balances } = props; return(
    { Object.keys(balances).map((currency, idx) => { return(
  • { currency.toUpperCase() }: { balances[currency] }
    • ) }) }
) } export default Balances; ================================================ FILE: cbpro-trader/web/src/components/Chart.jsx ================================================ import React from 'react'; import * as LightweightCharts from 'lightweight-charts'; import Tooltip from './Tooltip'; function Chart (props) { const ref = React.useRef(null); const [chart, setChart] = React.useState(null); const [initialZoomSet, setInitialZoomSet] = React.useState(false); // Tracks if we have set the initial zoom yet const [tooltipPrices, setTooltipPrices] = React.useState({}); const [hovering, setHovering] = React.useState(false); // True if hovering a data series; const [candlestickSeries, setCandlestickSeries] = React.useState(null); const { active_period, candlesticks } = props; if (ref.current && !chart) { setChart(LightweightCharts.createChart(ref.current, { width: 0, height: 0, layout: { backgroundColor: 'Transparent', textColor: 'rgba(255, 255, 255, 0.9)', }, grid: { vertLines: { color: 'rgba(197, 203, 206, 0.5)', }, horzLines: { color: 'rgba(197, 203, 206, 0.5)', }, }, crosshair: { mode: LightweightCharts.CrosshairMode.Normal, }, rightPriceScale: { borderColor: 'rgba(197, 203, 206, 0.8)', }, timeScale: { timeVisible: true, borderColor: 'rgba(197, 203, 206, 0.8)', }, })); } React.useEffect(() => { if(chart) { let series = chart.addCandlestickSeries({ upColor: '#53b987', downColor: '#eb4d5c', borderDownColor: '#eb4d5c', borderUpColor: '#53b987', wickDownColor: '#eb4d5c', wickUpColor: '#53b987', }); setCandlestickSeries(series); chart.subscribeCrosshairMove(function(param) { if (param.seriesPrices.size) { setHovering(true); setTooltipPrices(param.seriesPrices.get(series)); } else { setHovering(false); } }) }; }, [chart]); React.useEffect(() => { if (candlesticks.length && candlestickSeries) { candlestickSeries.setData(candlesticks); if (!hovering) { setTooltipPrices(candlesticks[candlesticks.length - 1]); } } if (!initialZoomSet && chart && chart.timeScale().getVisibleRange()) { let timeDiff = candlesticks[candlesticks.length -1]['time'] - candlesticks[candlesticks.length -2]['time']; chart.timeScale().setVisibleRange({ from: candlesticks[candlesticks.length -1]['time'] - (timeDiff * 30), // Show 30 candles by default to: candlesticks[candlesticks.length -1]['time'], }) setInitialZoomSet(true); setTooltipPrices(candlesticks[candlesticks.length - 1]) } }, [candlesticks, candlestickSeries, chart, hovering, initialZoomSet]); function resizeChart() { if (chart) { chart.resize(0, 0); chart.resize(ref.current.clientWidth, ref.current.clientHeight); } } window.addEventListener('resize', () => resizeChart()); resizeChart(); return (
) } export default Chart; ================================================ FILE: cbpro-trader/web/src/components/CollapseButton.jsx ================================================ import React from 'react'; function CollapseButton(props) { const buttonDirection = props.collapsed ? "<" : ">" return (
{buttonDirection}
) } export default CollapseButton; ================================================ FILE: cbpro-trader/web/src/components/Config.jsx ================================================ import React, { Component } from 'react' import { connect } from 'react-redux' import { addPeriod, changeActivePeriod, clearPeriods } from '../actions' import SelectAvailable from './SelectAvailable' class Config extends Component { constructor(){ super(); this.SERVER = process.env.REACT_APP_SERVER || ''; this.state = {"config": {"periods": []}} this.handleConfigChange = this.handleConfigChange.bind(this) this.handlePeriodChange = this.handlePeriodChange.bind(this) this.handleSubmit = this.handleSubmit.bind(this) } componentDidMount() { fetch(this.SERVER + '/config/') .then(response => response.json()) .then(myJson => this.setState({"config": myJson})) } handleConfigChange(event) { this.setState({ config: {...this.state.config, [event.target.name]: this.parseEventData(event) } }) } handlePeriodChange(event) { let idx = event.target.name.split("+")[0] let name = event.target.name.split("+")[1] let periods = [...this.state.config.periods] let period = {...periods[idx], [name]: this.parseEventData(event)} periods[idx] = period this.setState({ config: {...this.state.config, periods: periods } }) } handleSubmit(event){ event.preventDefault() fetch(this.SERVER + '/config/', { method: 'POST', headers: { 'Content-Type': 'application/json', }, body: JSON.stringify(this.state.config) }) .then(() => { this.props.clearPeriods() fetch(this.SERVER + "/periods/") .then(response => { return response.json() }) .then(myJson => { myJson.map((period_name, idx) => { (idx === 0) && this.props.changeActivePeriod(period_name); return this.props.addPeriod(period_name); }) }) }) } parseEventData(event) { switch (event.target.type) { case "select-one": switch (event.target.name.split("+")[1]) { case "length": return parseFloat(event.target.value) default: return event.target.value } case "text": return event.target.value case "number": return parseFloat(event.target.value) case "checkbox": return event.target.checked default: return event.target.value } } parseType(data) { switch (typeof(data)) { case "text": return "text" case "number": return "number" case "boolean": return "checkbox" default: return "text" } } createInput(label, value, period) { let type = this.parseType(value) let checked = type === "checkbox" && value ? "checked" : "" let parsedLabel; if (period) { parsedLabel = label.split("+")[1] } else { parsedLabel = label } switch (parsedLabel) { case "product": return case "length": return default: return } } prettifyLabel(label) { return label.charAt(0).toUpperCase() + label.replace('_', ' ').slice(1) } render() { if (this.state.config['web_config']) { let periods_list = this.state.config["periods"].map((period, idx) => { return( Object.keys(period).map((period_value, idx2) => { return(
{this.createInput(idx + "+" + period_value, period[period_value], true)}
) }) ) }); let config_list = Object.keys(this.state.config).map((config, idx) => { if (config === "periods") { return(
Periods: {periods_list}
) } else { return (
{this.createInput(config, this.state.config[config], false)}
) } }); return (
{config_list}
); } else { return (

Web config disabled

) } } } const mapDispatchToProps = dispatch => ({ addPeriod: period_name => dispatch(addPeriod(period_name)), changeActivePeriod: period_name => dispatch(changeActivePeriod(period_name)), clearPeriods: () => dispatch(clearPeriods()) }) export default connect(null, mapDispatchToProps)(Config); ================================================ FILE: cbpro-trader/web/src/components/Details.jsx ================================================ import React from 'react'; function Details(props) { const { indicators } = props; return(
Last Trade
{indicators.close && indicators.close.toFixed(2)}
{ Object.keys(indicators).map((indicator, idx) => { return(
{indicator.toUpperCase()}
{indicators[indicator]}
) }) }
) } export default Details; ================================================ FILE: cbpro-trader/web/src/components/Flags.jsx ================================================ import React from 'react'; function Flags(props) { const { flags } = props; return(

Flags

{ Object.keys(flags).map((flag, idx) => { return(
{ flag.toUpperCase() }: { flags[flag].toUpperCase() }
) }) }
) } export default Flags; ================================================ FILE: cbpro-trader/web/src/components/Orders.jsx ================================================ import React from 'react'; function Orders(props) { const { orders } = props; return(

Orders

{ orders['orders'].map((order, idx) => { return( ) }) }
Product Side Size Price Filled Fee
{order.product_id} {order.side.toUpperCase()} {order.size} {parseFloat(order.price).toFixed(2)} {order.filled_size} {parseFloat(order.fill_fees).toFixed(8)}

Fills

{ orders['fills'].map((fill, idx) => { return( ) }) }
Product Side Size Price Fee
{fill.product_id} {fill.side.toUpperCase()} {fill.size} {parseFloat(fill.price).toFixed(2)} {parseFloat(fill.fee).toFixed(8)}
) } export default Orders; ================================================ FILE: cbpro-trader/web/src/components/SelectAvailable.jsx ================================================ import React, { Component } from 'react' class SelectAvailable extends Component { constructor(props){ super(props) this.SERVER = process.env.REACT_APP_SERVER || '' this.state = {options: []} } componentDidMount() { if (this.props.url) { fetch(this.SERVER + this.props.url) .then(response => response.json()) .then(myJson => this.setState({options: myJson})) } else if (this.props.options) { this.setState({options: this.props.options}) } } render() { let options = this.state.options.map((option, idx) => { return }) return ( ) } } export default SelectAvailable; ================================================ FILE: cbpro-trader/web/src/components/Sidebar.jsx ================================================ import React from 'react'; import DetailsContainer from '../containers/DetailsContainer' import FlagsContainer from '../containers/FlagsContainer' import OrdersContainer from '../containers/OrdersContainer' import BalancesContainer from '../containers/BalancesContainer'; import Config from '../components/Config'; function Sidebar(props) { const { active_period, period_list, primary_section, secondary_section, changePrimarySection, changeSecondarySection, changeActivePeriod } = props; let period_list_map = period_list.map((period_name, idx) => { return(
  • {changeActivePeriod(period_name)}}>{period_name}
    • ) }) return ( ) } export default Sidebar; ================================================ FILE: cbpro-trader/web/src/components/Tooltip.jsx ================================================ import React from 'react'; function Tooltip (props) { return (
    {props.title}
    O: {props.prices.open} H: {props.prices.high} L: {props.prices.low} C: {props.prices.close}
    ) } export default Tooltip; ================================================ FILE: cbpro-trader/web/src/containers/BalancesContainer.jsx ================================================ import { connect } from 'react-redux' import Balances from '../components/Balances' const mapStateToProps = state => ({ balances: state.sidebar.balances }) export default connect(mapStateToProps)(Balances); ================================================ FILE: cbpro-trader/web/src/containers/ChartContainer.jsx ================================================ import { connect } from 'react-redux' import Chart from '../components/Chart' const mapStateToProps = state => ({ active_period: state.chart.active_period, candlesticks: state.chart.candlesticks }) export default connect(mapStateToProps)(Chart); ================================================ FILE: cbpro-trader/web/src/containers/ChartController.jsx ================================================ import React, { Component } from 'react' import { connect } from 'react-redux' import { addPeriod, changeActivePeriod, updateCandlesticks, updateIndicators, updateFlags, updateOrders, updateBalances } from '../actions' import CollapseButton from '../components/CollapseButton' import SidebarContainer from '../containers/SidebarContainer' import ChartContainer from '../containers/ChartContainer' class ChartController extends Component { constructor() { super(); this.SERVER = process.env.REACT_APP_SERVER || ''; this.state = {sidebarCollapsed: false}; } componentDidMount() { fetch(this.SERVER + "/periods/") .then(response => { return response.json() }) .then(myJson => { myJson.map((period_name, idx) => { (idx === 0) && this.props.changeActivePeriod(period_name); return this.props.addPeriod(period_name); }) }) .then( setInterval(() => this.update(), 1000) ) } update() { if (this.props.active_period) { fetch(this.SERVER + "/periods/" + this.props.active_period) .then(response => { return response.json() }) .then(myJson => { this.props.updateCandlesticks(myJson) }) if (this.props.primary_section === "balances") { fetch(this.SERVER + "/balances/") .then(response => { return response.json() }) .then(myJson => { this.props.updateBalances(myJson) }) } switch(this.props.secondary_section) { case "details": fetch(this.SERVER + "/indicators/" + this.props.active_period) .then(response => { return response.json() }) .then(myJson => { this.props.updateIndicators(myJson) }) break; case "flags": fetch(this.SERVER + "/flags/") .then(response => { return response.json() }) .then(myJson => { this.props.updateFlags(myJson) }) break; case "orders": fetch(this.SERVER + "/orders/") .then(response => { return response.json() }) .then(myJson => { this.props.updateOrders(myJson) }) break; default: break; } } } render() { this.update(); return (
    {this.setState({sidebarCollapsed: !this.state.sidebarCollapsed})}} /> {!this.state.sidebarCollapsed && }
    ) } } const mapStateToProps = state => ({ active_period: state.chart.active_period, primary_section: state.sidebar.primary_section, secondary_section: state.sidebar.secondary_section }) const mapDispatchToProps = dispatch => ({ addPeriod: period_name => dispatch(addPeriod(period_name)), changeActivePeriod: period_name => dispatch(changeActivePeriod(period_name)), updateCandlesticks: candlesticks => dispatch(updateCandlesticks(candlesticks)), updateIndicators: indicators => dispatch(updateIndicators(indicators)), updateFlags: flags => dispatch(updateFlags(flags)), updateOrders: orders => dispatch(updateOrders(orders)), updateBalances: balances => dispatch(updateBalances(balances)) }) export default connect(mapStateToProps, mapDispatchToProps)(ChartController); ================================================ FILE: cbpro-trader/web/src/containers/DetailsContainer.jsx ================================================ import { connect } from 'react-redux' import Details from '../components/Details' const mapStateToProps = state => ({ indicators: state.sidebar.indicators }) export default connect(mapStateToProps)(Details); ================================================ FILE: cbpro-trader/web/src/containers/FlagsContainer.jsx ================================================ import { connect } from 'react-redux' import Flags from '../components/Flags' const mapStateToProps = state => ({ flags: state.sidebar.flags }) export default connect(mapStateToProps)(Flags); ================================================ FILE: cbpro-trader/web/src/containers/OrdersContainer.jsx ================================================ import { connect } from 'react-redux' import Orders from '../components/Orders' const mapStateToProps = state => ({ orders: state.sidebar.orders }) export default connect(mapStateToProps)(Orders); ================================================ FILE: cbpro-trader/web/src/containers/SidebarContainer.jsx ================================================ import { connect } from 'react-redux' import { changeActivePeriod, changePrimarySection, changeSecondarySection } from '../actions' import Sidebar from '../components/Sidebar' const mapStateToProps = state => ({ period_list: state.chart.period_list, active_period: state.chart.active_period, primary_section: state.sidebar.primary_section, secondary_section: state.sidebar.secondary_section }) const mapDispatchToProps = dispatch => ({ changeActivePeriod: period_name => dispatch(changeActivePeriod(period_name)), changePrimarySection: section_name => dispatch(changePrimarySection(section_name)), changeSecondarySection: section_name => dispatch(changeSecondarySection(section_name)) }) export default connect(mapStateToProps, mapDispatchToProps)(Sidebar); ================================================ FILE: cbpro-trader/web/src/index.css ================================================ body { margin: 0; font-family: -apple-system, BlinkMacSystemFont, "Segoe UI", "Roboto", "Oxygen", "Ubuntu", "Cantarell", "Fira Sans", "Droid Sans", "Helvetica Neue", sans-serif; -webkit-font-smoothing: antialiased; -moz-osx-font-smoothing: grayscale; } code { font-family: source-code-pro, Menlo, Monaco, Consolas, "Courier New", monospace; } ================================================ FILE: cbpro-trader/web/src/index.js ================================================ import React from 'react'; import ReactDOM from 'react-dom'; import './index.css'; import App from './App'; import * as serviceWorker from './serviceWorker'; import { createStore } from 'redux' import { Provider } from 'react-redux' import rootReducer from './reducers/index' const store = createStore(rootReducer) ReactDOM.render( , document.getElementById('root')); // If you want your app to work offline and load faster, you can change // unregister() to register() below. Note this comes with some pitfalls. // Learn more about service workers: https://bit.ly/CRA-PWA serviceWorker.unregister(); ================================================ FILE: cbpro-trader/web/src/reducers/chart.js ================================================ const chart = (state = {period_list: [], candlesticks: [], indicators: []}, action) => { switch (action.type) { case 'CHANGE_ACTIVE_PERIOD': return { ...state, active_period: action.period_name } case 'ADD_PERIOD': return { ...state, period_list: [...state.period_list, action.period_name] } case 'CLEAR_PERIODS': return { ...state, period_list: [] } case 'UPDATE_CANDLESTICKS': return { ...state, candlesticks: action.candlesticks } default: return state } } export default chart; ================================================ FILE: cbpro-trader/web/src/reducers/index.js ================================================ import { combineReducers } from 'redux' import chart from './chart' import sidebar from './sidebar' export default combineReducers({ chart, sidebar }) ================================================ FILE: cbpro-trader/web/src/reducers/sidebar.js ================================================ const sidebar = (state = {indicators: [], flags: {}, balances: {}, orders: {'fills': [], 'orders': []}, primary_section: "periods", secondary_section: "details"}, action) => { switch (action.type) { case 'CHANGE_PRIMARY_SECTION': return { ...state, primary_section: action.section_name } case 'CHANGE_SECONDARY_SECTION': return { ...state, secondary_section: action.section_name } case 'UPDATE_BALANCES': return { ...state, balances: action.balances } case 'UPDATE_INDICATORS': return { ...state, indicators: action.indicators } case 'UPDATE_FLAGS': return { ...state, flags: action.flags } case 'UPDATE_ORDERS': return { ...state, orders: action.orders } default: return state } } export default sidebar; ================================================ FILE: cbpro-trader/web/src/serviceWorker.js ================================================ // This optional code is used to register a service worker. // register() is not called by default. // This lets the app load faster on subsequent visits in production, and gives // it offline capabilities. However, it also means that developers (and users) // will only see deployed updates on subsequent visits to a page, after all the // existing tabs open on the page have been closed, since previously cached // resources are updated in the background. // To learn more about the benefits of this model and instructions on how to // opt-in, read https://bit.ly/CRA-PWA const isLocalhost = Boolean( window.location.hostname === 'localhost' || // [::1] is the IPv6 localhost address. window.location.hostname === '[::1]' || // 127.0.0.1/8 is considered localhost for IPv4. window.location.hostname.match( /^127(?:\.(?:25[0-5]|2[0-4][0-9]|[01]?[0-9][0-9]?)){3}$/ ) ); export function register(config) { if (process.env.NODE_ENV === 'production' && 'serviceWorker' in navigator) { // The URL constructor is available in all browsers that support SW. const publicUrl = new URL(process.env.PUBLIC_URL, window.location.href); if (publicUrl.origin !== window.location.origin) { // Our service worker won't work if PUBLIC_URL is on a different origin // from what our page is served on. This might happen if a CDN is used to // serve assets; see https://github.com/facebook/create-react-app/issues/2374 return; } window.addEventListener('load', () => { const swUrl = `${process.env.PUBLIC_URL}/service-worker.js`; if (isLocalhost) { // This is running on localhost. Let's check if a service worker still exists or not. checkValidServiceWorker(swUrl, config); // Add some additional logging to localhost, pointing developers to the // service worker/PWA documentation. navigator.serviceWorker.ready.then(() => { console.log( 'This web app is being served cache-first by a service ' + 'worker. To learn more, visit https://bit.ly/CRA-PWA' ); }); } else { // Is not localhost. Just register service worker registerValidSW(swUrl, config); } }); } } function registerValidSW(swUrl, config) { navigator.serviceWorker .register(swUrl) .then(registration => { registration.onupdatefound = () => { const installingWorker = registration.installing; if (installingWorker == null) { return; } installingWorker.onstatechange = () => { if (installingWorker.state === 'installed') { if (navigator.serviceWorker.controller) { // At this point, the updated precached content has been fetched, // but the previous service worker will still serve the older // content until all client tabs are closed. console.log( 'New content is available and will be used when all ' + 'tabs for this page are closed. See https://bit.ly/CRA-PWA.' ); // Execute callback if (config && config.onUpdate) { config.onUpdate(registration); } } else { // At this point, everything has been precached. // It's the perfect time to display a // "Content is cached for offline use." message. console.log('Content is cached for offline use.'); // Execute callback if (config && config.onSuccess) { config.onSuccess(registration); } } } }; }; }) .catch(error => { console.error('Error during service worker registration:', error); }); } function checkValidServiceWorker(swUrl, config) { // Check if the service worker can be found. If it can't reload the page. fetch(swUrl) .then(response => { // Ensure service worker exists, and that we really are getting a JS file. const contentType = response.headers.get('content-type'); if ( response.status === 404 || (contentType != null && contentType.indexOf('javascript') === -1) ) { // No service worker found. Probably a different app. Reload the page. navigator.serviceWorker.ready.then(registration => { registration.unregister().then(() => { window.location.reload(); }); }); } else { // Service worker found. Proceed as normal. registerValidSW(swUrl, config); } }) .catch(() => { console.log( 'No internet connection found. App is running in offline mode.' ); }); } export function unregister() { if ('serviceWorker' in navigator) { navigator.serviceWorker.ready.then(registration => { registration.unregister(); }); } } ================================================ FILE: docker-compose.prod.yml ================================================ version: "3" services: cbpro: ports: - "8080:8080" environment: PRODUCTION: 'true' ================================================ FILE: docker-compose.yml ================================================ version: "3" services: cbpro: build: ./cbpro-trader/daemon command: python3 ./cbpro-trader.py volumes: - ./cbpro-trader/daemon/:/cbpro-trader/:Z web: build: ./cbpro-trader/web command: bash -c "npm install && npm start" volumes: - ./cbpro-trader/web/:/frontend/:Z