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calculate init_buy_jpy by min_unit_cc_bought_jpy
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@seii-saintway
seii-saintway committed Jan 30, 2021
1 parent 8d7ec5b commit e88dfa8
Showing 1 changed file with 54 additions and 38 deletions.
92 changes: 54 additions & 38 deletions graph/main-martingale.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -31,20 +31,31 @@
"BACKUP_RATE = 1\n",
"\n",
"TRADE_UNIT = 0.0001\n",
"INIT_BUY_JPY = 5000\n",
"INIT_SELL_JPY = 5000\n",
"MAX_TRADED_JPY = 350000\n",
"MAX_BOUGHT_JPY = 1350000\n",
"\n",
"TRADABLE_UNIT_CC_GAIN_JPY = 25000 # TODO: self-adaptive by trend analysis\n",
"TRADABLE_UNIT_CC_LOSS_JPY = 125000\n",
"GAINABLE_UNIT_CC_SOLD_JPY = 25000 # TODO: self-adaptive by trend analysis\n",
"LOSSABLE_UNIT_CC_BOUGHT_JPY = 125000\n",
"\n",
"MIN_UNIT_CC_INIT_TRADE_JPY = 10000\n",
"MAX_UNIT_CC_INIT_TRADE_JPY = MIN_UNIT_CC_INIT_TRADE_JPY << 10\n",
"MAX_UNIT_CC_LOSS_JPY = MAX_UNIT_CC_INIT_TRADE_JPY\n",
"MIN_UNIT_CC_TRADE_JPY = 5000\n",
"MAX_UNIT_CC_TRADE_JPY = MIN_UNIT_CC_TRADE_JPY << 10\n",
"LOSSABLE_UNIT_CC_SELL_JPY = MAX_UNIT_CC_TRADE_JPY\n",
"\n",
"MAX_GAIN_JPY = MAX_TRADED_JPY << 10 # useless\n",
"MAX_LOSS_JPY = MAX_TRADED_JPY << 10 # useless\n",
"MAX_TOTAL_LOST_JPY = MAX_TRADED_JPY << 10"
"MAX_GAIN_JPY = MAX_BOUGHT_JPY << 10 # useless\n",
"MAX_LOSS_JPY = MAX_BOUGHT_JPY << 10 # useless\n",
"MAX_LOST_JPY = MAX_BOUGHT_JPY << 10"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"import math\n",
"MIN_UNIT_CC_BOUGHT_JPY = 15000\n",
"INIT_SELL_JPY = 50\n",
"INIT_BUY_JPY = MAX_BOUGHT_JPY / math.exp(LOSSABLE_UNIT_CC_BOUGHT_JPY / (MIN_UNIT_CC_BOUGHT_JPY - MIN_UNIT_CC_TRADE_JPY))\n",
"INIT_BUY_JPY"
]
},
{
Expand Down Expand Up @@ -101,7 +112,7 @@
" self.total_gained_fiat_money = 0\n",
"\n",
" def get_usage(self):\n",
" return self.used_fiat_money / MAX_TRADED_JPY\n",
" return self.used_fiat_money / MAX_BOUGHT_JPY\n",
"\n",
" def get_robot_title(self):\n",
" robot_status_description = f'{self.get_usage() * 100:.2f}%'\n",
Expand Down Expand Up @@ -153,13 +164,13 @@
" self.bought_unit_amount = 0\n",
" self.used_fiat_money = 0\n",
" self.bought_amount = 0\n",
" self.bought_average_fiat_price = None # MAX_UNIT_CC_INIT_TRADE_JPY\n",
" self.bought_average_fiat_price = None # MAX_UNIT_CC_TRADE_JPY\n",
"\n",
" def clear_sold_status(self):\n",
" self.sold_unit_amount = 0\n",
" self.got_fiat_money = 0\n",
" self.sold_amount = 0\n",
" self.sold_average_fiat_price = None # MAX_UNIT_CC_INIT_TRADE_JPY\n",
" self.sold_average_fiat_price = None # MAX_UNIT_CC_TRADE_JPY\n",
"\n",
" def trim_bought_status(self):\n",
" if self.bought_unit_amount > 0:\n",
Expand Down Expand Up @@ -307,23 +318,28 @@
" self.fsh = open('sample-history.txt', 'a', 1)\n",
" self.fth = open('transaction-history.txt', 'a', 1)\n",
" return self\n",
" \n",
"\n",
" def __exit__(self):\n",
" self.fsh.close()\n",
" self.fth.close()\n",
"\n",
" def get_price(self):\n",
" import requests\n",
" while True:\n",
" try:\n",
" now_ticker = self.pub.get_ticker('eth_jpy')\n",
" return {\n",
" 'now_sell_fiat_price': int(now_ticker.get('buy', '0')) * (1 - 0.0012),\n",
" 'now_buy_fiat_price': int(now_ticker.get('sell', '1')) * (1 + 0.0012)\n",
" }\n",
" except requests.exceptions.ConnectionError:\n",
" import time\n",
" time.sleep(SAMPLE_INTERVAL / TEST_RATIO)\n",
" now_ticker = self.pub.get_ticker('eth_jpy')\n",
" return {\n",
" 'now_sell_fiat_price': int(now_ticker.get('buy', '0')) * (1 - 0.0012),\n",
" 'now_buy_fiat_price': int(now_ticker.get('sell', '1')) * (1 + 0.0012)\n",
" }\n",
"# import requests\n",
"# while True:\n",
"# try:\n",
"# now_ticker = self.pub.get_ticker('eth_jpy')\n",
"# return {\n",
"# 'now_sell_fiat_price': int(now_ticker.get('buy', '0')) * (1 - 0.0012),\n",
"# 'now_buy_fiat_price': int(now_ticker.get('sell', '1')) * (1 + 0.0012)\n",
"# }\n",
"# except requests.exceptions.ConnectionError:\n",
"# import time\n",
"# time.sleep(SAMPLE_INTERVAL / TEST_RATIO)\n",
"\n",
" def get_portfolio(self):\n",
" return Portfolio([\n",
Expand Down Expand Up @@ -532,12 +548,12 @@
"from scipy import optimize as opt\n",
"from numpy.lib import scimath\n",
"\n",
"def get_trade_unit_amount(now_trade_jpy, traded_unit_amount, traded_jpy, tradable_unit_cc_diff_jpy, init_jpy):\n",
"def get_trade_unit_amount(now_trade_jpy, traded_unit_amount, traded_jpy, mutable_unit_cc_traded_jpy, max_traded_jpy, init_jpy):\n",
" if traded_unit_amount == 0:\n",
" return 1\n",
" avg_jpy = traded_jpy / (TRADE_UNIT * traded_unit_amount)\n",
" diff_jpy = abs(now_trade_jpy - avg_jpy)\n",
" min_diff_jpy = tradable_unit_cc_diff_jpy / scimath.log(MAX_TRADED_JPY / init_jpy)\n",
" min_diff_jpy = mutable_unit_cc_traded_jpy / scimath.log(max_traded_jpy / init_jpy)\n",
" return math.ceil(\n",
" traded_jpy * opt.fsolve(\n",
" lambda c: [\n",
Expand Down Expand Up @@ -592,7 +608,7 @@
" )\n",
"\n",
" send_slack(\n",
" f'{new_status} => Support level is {MIN_UNIT_CC_INIT_TRADE_JPY} JPY.',\n",
" f'{new_status} => Support level is {MIN_UNIT_CC_TRADE_JPY} JPY.',\n",
" 'Power by https://jhub.name/', 'good' if new_status.get_total_gain_fiat_money() > 0 else 'danger'\n",
" )\n",
"\n",
Expand All @@ -603,7 +619,7 @@
" f'{new_status.robot_name} is turned to Mock', 'Power by https://jhub.name/', 'good'\n",
" )\n",
"\n",
" if new_status.total_gained_fiat_money < -MAX_TOTAL_LOST_JPY:\n",
" if new_status.total_gained_fiat_money < -MAX_LOST_JPY:\n",
" break\n",
"\n",
" new_status.sample_number += 1\n",
Expand All @@ -627,7 +643,7 @@
"\n",
" if status.sold_unit_amount > 0 and status.now_sell_fiat_price > status.sold_average_fiat_price:\n",
" trade_unit_amount = min(\n",
" get_trade_unit_amount(status.now_sell_fiat_price, status.sold_unit_amount, status.got_fiat_money, TRADABLE_UNIT_CC_GAIN_JPY, INIT_SELL_JPY),\n",
" get_trade_unit_amount(status.now_sell_fiat_price, status.sold_unit_amount, status.got_fiat_money, GAINABLE_UNIT_CC_SOLD_JPY, status.used_fiat_money + status.got_fiat_money, INIT_SELL_JPY),\n",
" status.bought_unit_amount\n",
" )\n",
" if trade_unit_amount > 0:\n",
Expand All @@ -646,12 +662,12 @@
" status.please_sell_unit_amount = status.bought_unit_amount\n",
" status.cooling_time = SAD_COOLING_TIME\n",
"\n",
" if status.bought_average_fiat_price is not None and status.now_sell_fiat_price < status.bought_average_fiat_price - MAX_UNIT_CC_LOSS_JPY and status.get_usage() > 90/100:\n",
" if status.bought_average_fiat_price is not None and status.now_sell_fiat_price < status.bought_average_fiat_price - LOSSABLE_UNIT_CC_SELL_JPY and status.get_usage() > 90/100:\n",
" status.sample_number = 0\n",
" status.please_sell_unit_amount = status.bought_unit_amount\n",
" status.cooling_time = SAD_COOLING_TIME\n",
"\n",
" if status.bought_unit_amount > 0 and status.now_sell_fiat_price < MIN_UNIT_CC_INIT_TRADE_JPY:\n",
" if status.bought_unit_amount > 0 and status.now_sell_fiat_price < MIN_UNIT_CC_TRADE_JPY:\n",
" status.please_sell_unit_amount = status.bought_unit_amount\n",
" status.cooling_time = SAD_COOLING_TIME\n",
"\n",
Expand All @@ -660,14 +676,14 @@
" bookkeeper.fsh.write(f'{status}\\n')\n",
" continue\n",
"\n",
" if status.used_fiat_money < INIT_BUY_JPY and INIT_BUY_JPY - status.used_fiat_money <= (MAX_TRADED_JPY - status.used_fiat_money) * 0.75 \\\n",
" and status.now_buy_fiat_price > MIN_UNIT_CC_INIT_TRADE_JPY and status.now_buy_fiat_price < MAX_UNIT_CC_INIT_TRADE_JPY:\n",
" if status.used_fiat_money < INIT_BUY_JPY and INIT_BUY_JPY - status.used_fiat_money <= (MAX_BOUGHT_JPY - status.used_fiat_money) * 0.75 \\\n",
" and status.now_buy_fiat_price > MIN_UNIT_CC_TRADE_JPY and status.now_buy_fiat_price < MAX_UNIT_CC_TRADE_JPY:\n",
" status.sample_number = 0\n",
" status.please_buy_unit_amount = math.ceil((INIT_BUY_JPY - status.used_fiat_money) / status.now_buy_fiat_price / status.trade_unit)\n",
"\n",
" if status.used_fiat_money >= INIT_BUY_JPY and status.bought_average_fiat_price is not None and status.now_buy_fiat_price < status.bought_average_fiat_price:\n",
" trade_unit_amount = get_trade_unit_amount(status.now_buy_fiat_price, status.bought_unit_amount, status.used_fiat_money, TRADABLE_UNIT_CC_LOSS_JPY, INIT_BUY_JPY)\n",
" while trade_unit_amount > 0 and status.now_buy_fiat_price * status.trade_unit * trade_unit_amount > (MAX_TRADED_JPY - status.used_fiat_money) * 0.75:\n",
" trade_unit_amount = get_trade_unit_amount(status.now_buy_fiat_price, status.bought_unit_amount, status.used_fiat_money, LOSSABLE_UNIT_CC_BOUGHT_JPY, MAX_BOUGHT_JPY, INIT_BUY_JPY)\n",
" while trade_unit_amount > 0 and status.now_buy_fiat_price * status.trade_unit * trade_unit_amount > (MAX_BOUGHT_JPY - status.used_fiat_money) * 0.75:\n",
" trade_unit_amount >>= 1\n",
" if trade_unit_amount > 0:\n",
" status.sample_number = 0\n",
Expand All @@ -688,7 +704,7 @@
"\n",
" if status.sample_number % NOTIFY_RATE == 0:\n",
" send_slack(\n",
" f'{status} => Support level is {MIN_UNIT_CC_INIT_TRADE_JPY} JPY.',\n",
" f'{status} => Support level is {MIN_UNIT_CC_TRADE_JPY} JPY.',\n",
" 'Power by https://jhub.name/', 'good' if status.get_total_gain_fiat_money() > 0 else 'danger'\n",
" )\n",
"\n",
Expand Down

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