implement SMA, EMA in addition to WMA

algorithm/__init__.py

@@ -1,2 +1,2 @@
-from algorithm.wma    import WMA
+from algorithm.ma     import SMA, WMA, EMA, MA_Cross
 from algorithm.status import Status

algorithm/ma.py

@@ -0,0 +1,64 @@
+class SMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    sum = 0
+    n   = min(period, len(cands))
+    for i in range(n):
+      sum += cands[i][3]
+    return sum / n
+
+class EMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    n   = min(period, len(cands))
+    ret = 0
+    for i in range(n):
+      ret += cands[i][3]
+    ret /= n
+    for i in range(n):
+      ret = (2/(1+n))*(cands[n-i-1][3] - ret) + ret
+    return ret
+
+class WMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    sum = 0
+    den = 0
+    for i in range(min(period, len(cands))):
+      sum += cands[i][3] * (i+1)
+      den += i+1
+    return sum / den
+
+
+class MA_Cross:
+  def __init__(self, ma, unit, width):
+    self._ma    = ma
+    self._unit  = unit
+    self._width = width
+
+    self._period_short = 5
+    self._period_mid   = 21
+    self._period_long  = 55
+
+    self._posi_amp = 0.1
+
+  def judge(self, status):
+    cands = status.candles[self._unit]
+    short = self._ma.calc(cands, self._period_short)
+    mid   = self._ma.calc(cands, self._period_mid)
+    long  = self._ma.calc(cands, self._period_long)
+
+    width = mid * self._width
+    posi  = max(-1, min((short-long)/(2.5*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

algorithm/wma.py

@@ -1,33 +0,0 @@
-class WMA:
-  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(period, len(cands))):
-      sum += cands[i][3] * (i+1)
-      den += i+1
-    return sum / den

bitbank.py

@@ -5,7 +5,7 @@ import random
 import sys
 import time
 
-import algorithm
+import algorithm as algo
 
 
 FETCH_INTERVAL = 5
@@ -23,30 +23,39 @@ def init():
     return []
 
   procs = []
-  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", 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))
+  procs.append(Fetcher(pub, "xlm_jpy", 10*60))
+  procs.append(Proc(pri, "xlm_jpy",   5000, algo.MA_Cross(algo.EMA(), "1h", 0.01), 10*60))
+
+  procs.append(Fetcher(pub, "btc_jpy", 10*60))
+  procs.append(Proc(pri, "btc_jpy",   5000, algo.MA_Cross(algo.EMA(), "1h", 0.01), 10*60))
+
+  procs.append(Fetcher(pub, "eth_jpy", 10*60))
+  procs.append(Proc(pri, "eth_jpy",   5000, algo.MA_Cross(algo.EMA(), "1h", 0.01), 10*60))
+
+  procs.append(Fetcher(pub, "matic_jpy", 5))
+  procs.append(Proc(pri, "matic_jpy", 1000, algo.MA_Cross(algo.EMA(), "1m", 0.01), 5))
   return procs
 
 
 class Fetcher:
-  def __init__(self, pub, pair):
+  def __init__(self, pub, pair, interval):
+    self._interval    = interval
     self._last_update = 0
 
     self._pub  = pub
     self._pair = pair
 
+    self._candle_prev = {}
+
   def tick(self):
-    if time.time()-self._last_update < FETCH_INTERVAL:
+    now = time.time()
+    if now-self._last_update < self._interval:
       return
     try:
-      st = algorithm.Status()
+      st = algo.Status()
 
-      st.candles["1m"] = self._get_candle("1min")
-      st.candles["1h"] = self._get_candle("1hour")
+      st.candles["1m"] = self._get_candle("1min", 60)
+      st.candles["1h"] = self._get_candle("1hour", 60)
 
       st.price = st.candles["1m"][0][3]
 
@@ -54,19 +63,24 @@ class Fetcher:
       status[self._pair] = st
     except Exception as e:
       print("fetce error:", e)
-      return
+    self._last_update = now
 
-  def _get_candle(self, unit):
+  def _get_candle(self, unit, n, t = datetime.datetime.now(tz=datetime.timezone.utc)):
     data = self._pub.get_candlestick(
         self._pair,
         unit,
-        datetime.datetime.now(tz=datetime.timezone.utc).strftime("%Y%m%d"))
+        t.strftime("%Y%m%d"))
     data = data["candlestick"][0]["ohlcv"]
 
     ret = []
-    for i in range(min(60, len(data))):
+    for i in range(min(n, 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])])
+
+    if len(ret) < n:
+      t    = t - datetime.timedelta(days=1)
+      data = self._get_candle(unit, n-len(ret), t)
+      ret  = [*ret, *data]
     return ret
 
 
@@ -109,7 +123,7 @@ class Proc:
           amount = self._asset/st.price
           self._order_market(amount, "buy")
           self._buy_price = st.price
-          print(f"[bitbank: {self._pair}] <BUY> amount: {amount}")
+          print(f"[bitbank: {self._pair}] <BUY> +{amount} / -{self._asset}")
         except Exception as e:
           print(f"[bitbank: {self._pair}] buy error", e)
           self._buy_price = 0
@@ -117,7 +131,7 @@ class Proc:
         try:
           amount = self._asset/self._buy_price
           self._order_market(amount, "sell")
-          print(f"[bitbank: {self._pair}] <SELL> amount: {amount}")
+          print(f"[bitbank: {self._pair}] <SELL> -{amount} / +{amount*st.price}")
         except Exception as e:
           print(f"[bitbank: {self._pair}] sell error", e)
 

main.py

@@ -6,15 +6,19 @@ import time
 import bitbank
 
 
+alive = True
+
 def main():
+  global alive
   procs = [*bitbank.init()]
-  while True:
+  while alive:
     for i in range(len(procs)):
       procs[i].tick()
-    time.sleep(1)
+    time.sleep(0.5)
 
 def on_exit(sig, x):
-  print(f"received {sig}")
+  global alive
+  alive = False
 
 proc = multiprocessing.Process(target = main)
 proc.start()