improve WMA algorithm

algorithm/wma.py

@@ -1,22 +1,33 @@
 class WMA:
-  def __init__(self, unit, period, width):
-    self._unit   = unit
-    self._period = period
-    self._width  = width
+  def __init__(self, unit, width):
+    self._unit         = unit
+    self._width        = width
+
+    self._period_short = 7
+    self._period_mid   = 15
+    self._period_long  = 60
+
+    self._posi_amp = 0.1
 
   def judge(self, status):
     cands = status.candles[self._unit]
+    short = self._wma(cands, self._period_short)
+    mid   = self._wma(cands, self._period_mid)
+    long  = self._wma(cands, self._period_long)
+
+    width = mid * self._width
+    posi  = max(-1, min((short-long)/width, 1)) * self._posi_amp
+
+    diff  = short - mid
+    if diff < 0:
+      return max(-1, diff/width+posi)  # sell
+    else:
+      return min(1, diff/width+posi)  # buy
+
+  def _wma(self, cands, period):
     sum = 0
     den = 0
-    for i in range(min(self._period-1, len(cands)-1)):
-      sum += cands[i+1][3] * (i+1)
+    for i in range(min(period, len(cands))):
+      sum += cands[i][3] * (i+1)
       den += i+1
-    avg   = sum / den
-    price = cands[0][3]
-
-    width = price * self._width
-    diff  = price - avg
-    if diff < 0:
-      return max(-1, diff/width)  # sell
-    else:
-      return min(1, diff/width)  # buy
+    return sum / den

bitbank.py

@@ -26,9 +26,9 @@ def init():
   procs.append(Fetcher(pub, "btc_jpy"))
   procs.append(Fetcher(pub, "eth_jpy"))
   procs.append(Fetcher(pub, "matic_jpy"))
-  procs.append(Proc(pri, "btc_jpy",   5000, algorithm.WMA("1h", 8, 0.01), 10*60))
-  procs.append(Proc(pri, "eth_jpy",   5000, algorithm.WMA("1h", 8, 0.01), 10*60))
-  procs.append(Proc(pri, "matic_jpy", 5000, algorithm.WMA("1m", 8, 0.01), 5))
+  procs.append(Proc(pri, "btc_jpy",   5000, algorithm.WMA("1h", 0.01), 10*60))
+  procs.append(Proc(pri, "eth_jpy",   5000, algorithm.WMA("1h", 0.01), 10*60))
+  procs.append(Proc(pri, "matic_jpy", 5000, algorithm.WMA("1m", 0.01), 5))
   return procs
 
 
@@ -60,11 +60,11 @@ class Fetcher:
     data = self._pub.get_candlestick(
         self._pair,
         unit,
-        datetime.datetime.now().strftime("%Y%m%d"))
+        datetime.datetime.now(tz=datetime.timezone.utc).strftime("%Y%m%d"))
     data = data["candlestick"][0]["ohlcv"]
 
     ret = []
-    for i in range(min(30, len(data))):
+    for i in range(min(60, len(data))):
       j = len(data)-i-1
       ret.append([float(data[j][0]), float(data[j][1]), float(data[j][2]), float(data[j][3])])
     return ret
@@ -82,7 +82,8 @@ class Proc:
     self._algo     = algo
     self._interval = interval
 
-    self._buy_price = None
+    self._last_order = None
+    self._buy_price = 0
 
     self._asset = asset
 
@@ -98,7 +99,8 @@ class Proc:
 
     pbsi = self._bsi
     bsi  = self._algo.judge(status[self._pair])
-    self._bsi = bsi
+    if bsi != 0:
+      self._bsi = bsi
 
     print(f"[bitbank: {self._pair}] BSI {pbsi} -> {bsi}")
     if bsi*pbsi < 0:
@@ -109,18 +111,19 @@ class Proc:
           self._buy_price = st.price
           print(f"[bitbank: {self._pair}] <BUY> amount: {amount}")
         except Exception as e:
-          self._buy_price = None
           print(f"[bitbank: {self._pair}] buy error", e)
-      elif self._buy_price is not None:
+          self._buy_price = 0
+      elif self._buy_price > 0:
         try:
           amount = self._asset/self._buy_price
-          self._order_market(self._asset/self._buy_price, "sell")
+          self._order_market(amount, "sell")
           print(f"[bitbank: {self._pair}] <SELL> amount: {amount}")
         except Exception as e:
           print(f"[bitbank: {self._pair}] sell error", e)
 
   def _order_market(self, amount, sell_or_buy):
-    self._pri.order(self._pair, None, str(amount), sell_or_buy, "market")
+    order = self._pri.order(self._pair, None, str(amount), sell_or_buy, "market")
+    self._last_order = order
 
   def _order_limit(self, price, sell_or_buy):
     try_price = price

main.py

@@ -13,7 +13,7 @@ def main():
       procs[i].tick()
     time.sleep(1)
 
-def on_exit(sig):
+def on_exit(sig, x):
   print(f"received {sig}")
 
 proc = multiprocessing.Process(target = main)