Initial commit

This commit is contained in:
Dennis Thiessen
2017-11-20 13:31:41 +01:00
parent 95bdeee9e2
commit 1c330ae177
14 changed files with 552 additions and 450 deletions

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View File

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Crypto Arbitrage Bot
Crypto Tensor Bot
========================
This bot does arbitrage with crypto
This bot predicts a stock shart trend
---------------

View File

@@ -1,71 +1,113 @@
#!/usr/bin/python
from . import market_data_crawler, market_data_analyzer, shared_config
import time
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
import tensorflow as tf
import urllib.request, json
from tornado import gen
from tornado.ioloop import IOLoop
import tornado.web
import json
import sys
from bot.shared_config import *
class MainHandler(tornado.web.RequestHandler):
@gen.coroutine
def post(self):
print("POST received from IP {0}".format(self.request.remote_ip))
def main():
start_time = time.time()
response = {'error': False, 'msg': "None"}
request = json.loads(self.request.body.decode('utf-8'))
dump(yellow("Retrieving market data from API"))
if "token" not in request or request["token"] != "den":
response["msg"] = "Wrong token - no access granted"
self.write(json.dumps(response))
return
with urllib.request.urlopen("https://api.kraken.com/0/public/OHLC?pair=ETHUSD&interval=15") as url:
data = json.loads(url.read().decode())
timestamps = []
prices = []
volumes = []
pricevol = []
if "command" in request:
print("Command received: {0}".format(request["command"]))
for set in data["result"]['XETHZUSD'][-601:]:
timestamps.append(int(set[0]))
prices.append(float(set[4]))
volumes.append(float(set[6]))
pricevol.append([float(set[4]), float(set[6])])
if request["command"] == "start_bot":
shared_config.run_bot = True
elif request["command"] == "stop_bot":
shared_config.run_bot = False
else:
response["msg"] = "Unknown command"
dump(green("Retrieved API in {0:.3f}ms sec".format((time.time() - start_time)*100)))
dump(yellow("Initialize Tensorflow"))
self.write(json.dumps(response))
f_horizon = 1 # forecast horizon, one period into the future
num_periods = 20 # number of periods per vector we are using to predict one period ahead
inputs = 2 # number of vectors submitted
hidden = 100 # number of neurons we will recursively work through, can be changed to improve accuracy
output = 1 # number of output vectors
@gen.coroutine
def delete(self):
print("Stopping server...")
TS = np.array(pricevol)
TSo = np.array(prices)
response_json = json.dumps({'error': False, 'msg': "Server stopped"})
self.write(response_json)
x_data = TS[:(len(TS) - (len(TS) % num_periods))]
x_batches = x_data.reshape(-1, 20, 2)
IOLoop.instance().stop()
y_data = TSo[1:(len(TSo) - (len(TSo) % num_periods)) + f_horizon]
y_batches = y_data.reshape(-1, 20, 1)
def test_data(forecast, num_periods):
test_x_setup = TS[-(num_periods + forecast):]
testX = test_x_setup[:num_periods].reshape(-1, 20, 2)
testY = TSo[-(num_periods):].reshape(-1, 20, 1)
return testX, testY
class Application(tornado.web.Application):
def __init__(self):
handlers = [
(r"/?", MainHandler)
]
tornado.web.Application.__init__(self, handlers)
X_test, Y_test = test_data(f_horizon, num_periods)
tf.reset_default_graph() # We didn't have any previous graph objects running, but this would reset the graphs
@gen.coroutine
def run_bot():
while True:
yield gen.sleep(30)
if shared_config.run_bot:
market_data_analyzer.calculate_arbitrage_opportunities(['kraken', 'bitfinex', 'binance', 'hitbtc', 'gdax', 'bittrex', 'poloniex'])
X = tf.placeholder(tf.float32, [None, num_periods, inputs]) # create variable objects
y = tf.placeholder(tf.float32, [None, num_periods, output])
basic_cell = tf.contrib.rnn.BasicRNNCell(num_units=hidden, activation=tf.nn.relu) # create our RNN object
rnn_output, states = tf.nn.dynamic_rnn(basic_cell, X, dtype=tf.float32) # choose dynamic over static
def main(port):
app = Application()
app.listen(port)
run_bot()
IOLoop.instance().start()
learning_rate = 0.001 # small learning rate so we don't overshoot the minimum
stacked_rnn_output = tf.reshape(rnn_output, [-1, hidden]) # change the form into a tensor
stacked_outputs = tf.layers.dense(stacked_rnn_output, output) # specify the type of layer (dense)
outputs = tf.reshape(stacked_outputs, [-1, num_periods, output]) # shape of results
loss = tf.reduce_sum(tf.square(outputs - y)) # define the cost function which evaluates the quality of our model
optimizer = tf.train.AdamOptimizer(learning_rate=learning_rate) # gradient descent method
training_op = optimizer.minimize(
loss) # train the result of the application of the cost_function
init = tf.global_variables_initializer() # initialize all the variables
epochs = 1000 # number of iterations or training cycles, includes both the FeedFoward and Backpropogation
with tf.Session() as sess:
init.run()
dump(green("Initialized Tensorflow in {0:.3f}ms sec".format((time.time() - start_time) * 100)))
dump(yellow("Start Training"))
for ep in range(epochs):
sess.run(training_op, feed_dict={X: x_batches, y: y_batches})
if ep % 100 == 0:
mse = loss.eval(feed_dict={X: x_batches, y: y_batches})
print(ep, "\tMSE:", mse)
dump(green("Finished training in {0:.3f}ms sec".format((time.time() - start_time) * 100)))
dump(yellow("Start Predicting"))
y_pred = sess.run(outputs, feed_dict={X: X_test})
dump(green("Prediction finished in {0:.3f}ms sec".format((time.time() - start_time) * 100)))
dump(yellow("Start Plotting and output"))
actual_series = pd.Series(np.concatenate([np.ravel(X_test)[::2],np.ravel(Y_test)]))
actual_prediction = pd.Series(np.concatenate([np.ravel(X_test)[::2],np.ravel(y_pred)]))
plt.title("Forecast vs Actual", fontsize=14)
plt.plot(actual_series, "b-", markersize=10, label="Actual")
# plt.plot(pd.Series(np.ravel(Y_test)), "w*", markersize=10)
plt.plot(actual_prediction, "r-", markersize=7, label="Forecast")
plt.legend(loc="upper left")
plt.xlabel("Time Periods")
dump(green("Finished complete program in {0:.3f}ms sec".format((time.time() - start_time) * 100)))
plt.show()
if __name__ == '__main__':
port = int(sys.argv[1])
print("Starting arbitrage bot on port {0}...".format(port))
main(port)
print("Starting prediction ...")
main()

View File

@@ -1,70 +0,0 @@
#!/usr/bin/python
from . import market_data_crawler
from bot.shared_config import *
import time
import sys
import operator
import pprint
def calculate_arbitrage_opportunities(exchanges):
start_time = time.time()
market_data = market_data_crawler.update_market_data_for_symbol_and_exchange(exchanges)
sorted_market_data = {}
for exchange_name, order_books in market_data.items():
for order_book in order_books:
symbol = order_book['symbol']
new_dictionary = {symbol:
{exchange_name:
{"bids": order_book['bids'][:5],
"asks": order_book['asks'][:5],
"timestamp": order_book['timestamp']}}}
if symbol not in sorted_market_data.keys():
sorted_market_data.update(new_dictionary)
else:
sorted_market_data[symbol].update(new_dictionary[symbol])
dump(green(str(len(sorted_market_data))), "possible symbols found in total:", ' '.join(sorted_market_data.keys()))
market_opport = {}
for symbol, exchanges in sorted_market_data.items():
lowest_ask = None
highest_bid = None
market_opport.update({symbol: {}})
for exchange_name, order_book in exchanges.items():
if lowest_ask is None or lowest_ask['value'] < order_book['asks'][0]:
lowest_ask = {"exchange_name":exchange_name,
"value":order_book['asks'][0],
"order_book": order_book['asks'][:3]}
if highest_bid is None or highest_bid['value'] > order_book['bids'][0]:
highest_bid = {"exchange_name": exchange_name,
"value": order_book['bids'][0],
"order_book": order_book['bids'][:3]}
spread = float(highest_bid['value'][0]) - float(lowest_ask['value'][0])
market_opport[symbol].update({"highest_bid": highest_bid,
"lowest_ask": lowest_ask,
"spread": spread,
"spread_perc": round((spread / float(highest_bid['value'][0])) * 100, 2),
"symbol": symbol})
if spread > 0:
with open("market_opportunity_found.txt", "a") as file:
file.write("\n+n--- Arbitrage oppportunity found! ---\n\n")
pprint.pprint(market_opport[symbol], stream=file)
sorted_list = sorted(market_opport.values(), key=operator.itemgetter("spread_perc"), reverse=True)
with open("market_analyzation.txt", "w") as file:
pprint.pprint(sorted_list, stream=file)
print("--- Arbitrage oportunities calculated in {0:.3f}ms ---".format((time.time() - start_time)*100))
return market_opport
if __name__ == '__main__':
calculate_arbitrage_opportunities(sys.argv[1:])

View File

@@ -1,159 +0,0 @@
#!/usr/bin/python
from collections import defaultdict
from bot.shared_config import *
import sys
import time
import asyncio
import ccxt.async as ccxt
market_data = defaultdict(list)
def update_market_data_for_symbol_and_exchange(exchanges):
if len(exchanges) > 1:
start_time = time.time()
ids = list(exchanges)
exchanges = {}
for id in ids:
# instantiate the exchange by id
exchange = getattr(ccxt, id)()
# save it in a dictionary under its id for future use
exchanges[id] = exchange
dump(yellow('Loading'), 'market data for following exchanges:', ' '.join(ids))
exchanges = fetch_all_markets(exchanges)
allSymbols = [symbol for id in ids for symbol in exchanges[id].symbols]
# get all unique symbols
uniqueSymbols = list(set(allSymbols))
# filter out symbols that are not present on at least two exchanges
arbitrableSymbols = sorted([symbol for symbol in uniqueSymbols if allSymbols.count(symbol) > 1])
# filter out symbols which have a different basecoin
arbitrableSymbols = sorted([symbol for symbol in arbitrableSymbols if '/'+basecoin in symbol])
dump(yellow('Loading'), 'order books for following exchanges:', ' '.join(ids))
exchanges = fetch_all_order_books(exchanges, arbitrableSymbols)
dump(green('Finished!'), 'Responsetime:', red("{:.2f}ms".format((time.time() - start_time) * 100)))
with open("market_data.txt", "w") as file:
for exchange_name, order_books in market_data.items():
file.write("\nMarket: {}".format(exchange_name))
for order_book in order_books:
file.write("\n Order Book: {0}".format(order_book))
return market_data
else:
dump(red("Invalid number of arguments given"))
return None
def fetch_all_order_books(exchanges, arbitrableSymbols):
ob_start_time = time.time()
async def fetch_single_order_books(exchange, arbitrableSymbols):
order_books = []
available_symbols = (symbol for symbol in arbitrableSymbols if symbol in exchange.symbols)
for symbol in available_symbols:
# basic round-robin proxy scheduler
currentProxy = -1
maxRetries = len(proxies)
for numRetries in range(0, maxRetries):
# try proxies in round-robin fashion
currentProxy = (currentProxy + 1) % len(proxies)
try: # try to load exchange markets using current proxy
tmp_order_book = await exchange.fetch_order_book(symbol)
tmp_order_book['symbol'] = symbol
order_books.append(tmp_order_book)
break
except ccxt.DDoSProtection as e:
dump(yellow(type(e).__name__), e.args)
await asyncio.sleep(exchange.rateLimit / 500)
except ccxt.RequestTimeout as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.AuthenticationError as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.ExchangeNotAvailable as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.ExchangeError as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.NetworkError as e:
dump(yellow(type(e).__name__), e.args)
except Exception as e: # reraise all other exceptions
raise
dump(' ', green(exchange.id), 'loaded', green(str(len(order_books))), 'order books in', red("{:.2f}ms".format((time.time() - ob_start_time) * 100)))
market_data[exchange.id] = order_books
async_executor = []
for exchange_name, exchange in exchanges.items():
# add future to list
async_executor.append(asyncio.ensure_future(fetch_single_order_books(exchange, arbitrableSymbols)))
# wait till all futures in list completed
asyncio.get_event_loop().run_until_complete(asyncio.gather(*async_executor))
return exchanges
def fetch_all_markets(exchanges):
start_time_markets = time.time()
async def fetch_single_market(exchange):
# basic round-robin proxy scheduler
currentProxy = -1
maxRetries = len(proxies)
for numRetries in range(0, maxRetries):
# try proxies in round-robin fashion
currentProxy = (currentProxy + 1) % len(proxies)
try: # try to load exchange markets using current proxy
exchange.proxy = proxies[currentProxy]
await exchange.load_markets()
break
except ccxt.DDoSProtection as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.RequestTimeout as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.AuthenticationError as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.ExchangeNotAvailable as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.ExchangeError as e:
dump(yellow(type(e).__name__), e.args)
except ccxt.NetworkError as e:
dump(yellow(type(e).__name__), e.args)
except Exception as e: # reraise all other exceptions
raise
dump(' ', green(exchange.id), 'loaded', green(str(len(exchange.symbols))), 'markets')
async_executor = []
for exchange_name, exchange in exchanges.items():
# add future to list
async_executor.append(asyncio.ensure_future(fetch_single_market(exchange)))
# wait till all futures in list completed
asyncio.get_event_loop().run_until_complete(asyncio.gather(*async_executor))
dump(green('Loaded all markets!'), 'Responsetime:', red("{:.2f}ms".format((time.time() - start_time_markets) * 100)))
return exchanges
if __name__ == '__main__':
update_market_data_for_symbol_and_exchange(sys.argv[1:])

View File

@@ -33,12 +33,3 @@ def underline(s):
def dump(*args):
print(' '.join([str(arg) for arg in args]))
proxies = [
'', # no proxy by default
'https://cors-anywhere.herokuapp.com/',
]
basecoin = "ETH"
run_bot = False

View File

@@ -40,8 +40,8 @@ source_suffix = '.rst'
master_doc = 'index'
# General information about the project.
project = u'sample'
copyright = u'2012, Kenneth Reitz'
project = u'Crypto-Tensor Documentation'
copyright = u'2017, Dennis Thiessen'
# The version info for the project you're documenting, acts as replacement for
# |version| and |release|, also used in various other places throughout the
@@ -183,8 +183,8 @@ latex_elements = {
# Grouping the document tree into LaTeX files. List of tuples
# (source start file, target name, title, author, documentclass [howto/manual]).
latex_documents = [
('index', 'sample.tex', u'sample Documentation',
u'Kenneth Reitz', 'manual'),
('index', 'sample.tex', u'Crypto-Tensor Documentation',
u'Dennis Thiessen', 'manual'),
]
# The name of an image file (relative to this directory) to place at the top of
@@ -213,8 +213,8 @@ latex_documents = [
# One entry per manual page. List of tuples
# (source start file, name, description, authors, manual section).
man_pages = [
('index', 'sample', u'sample Documentation',
[u'Kenneth Reitz'], 1)
('index', 'sample', u'Crypto-Tensor Documentation',
[u'Dennis Thiessen'], 1)
]
# If true, show URL addresses after external links.
@@ -227,8 +227,8 @@ man_pages = [
# (source start file, target name, title, author,
# dir menu entry, description, category)
texinfo_documents = [
('index', 'sample', u'sample Documentation',
u'Kenneth Reitz', 'sample', 'One line description of project.',
('index', 'sample', u'Crypto-Tensor Documentation',
u'Dennis Thiessen', 'crypto-tensor', 'Predicts the future.',
'Miscellaneous'),
]

View File

@@ -1,4 +1,4 @@
nose
sphinx
tornado
ccxt
numpy
matplotlib
tensorflow
pandas

View File

@@ -12,13 +12,13 @@ with open('LICENSE') as f:
license = f.read()
setup(
name='sample',
name='crypto-tensor',
version='0.1.0',
description='Sample package for Python-Guide.org',
description='Package for Crypto-Tensor bot',
long_description=readme,
author='Kenneth Reitz',
author_email='me@kennethreitz.com',
url='https://github.com/kennethreitz/samplemod',
author='Dennis Thiessen',
author_email='dennis.thiessen@riskahead.de',
url='https://gitlab.riskahead.de/root/crypto-prediction',
license=license,
packages=find_packages(exclude=('tests', 'docs'))
)