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| """ | |
| The portfolio rebalancing bot will buy and sell to maintain a | |
| constant asset allocation ratio of exactly 20/80 = fiat/BTC | |
| """ | |
| import strategy | |
| import goxapi | |
| DISTANCE = 3 # percent price distance of next rebalancing orders | |
| MARKER = 7 # lowest digit of price to identify bot's own orders | |
| COIN = 1E8 # number of satoshi per coin, this is a constant. | |
| FAITLV = 2 | |
| BTCLV = 8 | |
| bfr = BTCLV / FAITLV | |
| def add_marker(price, marker): | |
| """encode a marker in the price value to find bot's own orders""" | |
| return price / 10 * 10 + marker | |
| def has_marker(price, marker): | |
| """return true if the price value has the marker""" | |
| return (price % 10) == marker | |
| def mark_own(price): | |
| """return the price with our own marker embedded""" | |
| return add_marker(price, MARKER) | |
| def is_own(price): | |
| """return true if this price has our own marker""" | |
| return has_marker(price, MARKER) | |
| class Strategy(strategy.Strategy): | |
| """a protfolio rebalancing bot""" | |
| def __init__(self, gox): | |
| strategy.Strategy.__init__(self, gox) | |
| self.temp_halt = False | |
| def slot_before_unload(self, _sender, _data): | |
| pass | |
| def slot_keypress(self, gox, (key)): | |
| """a key has been pressed""" | |
| if key == ord("c"): | |
| # cancel existing rebalancing orders and suspend trading | |
| self.debug("canceling all rebalancing orders") | |
| self.temp_halt = True | |
| self.cancel_orders() | |
| if key == ord("p"): | |
| # create the initial two rebalancing orders and start trading. | |
| # Before you do this the portfolio should already be balanced. | |
| # use "i" to show current status and "b" to rebalance with a | |
| # market order at current price. | |
| self.debug("adding new initial rebalancing orders") | |
| self.temp_halt = False | |
| self.place_orders() | |
| if key == ord("u"): | |
| # update the own order list, history, depth and wallet | |
| # by forcing what normally happens only after reconnect | |
| gox.client.channel_subscribe() | |
| if key == ord("i"): | |
| # print some information into the log file about | |
| # current status (how much currently out of balance) | |
| price = (gox.orderbook.bid + gox.orderbook.ask) / 2 | |
| vol_buy = self.get_buy_at_price(price) | |
| price_balanced = self.get_price_where_it_was_balanced() | |
| self.debug("BTC difference at current price:", | |
| goxapi.int2float(vol_buy, "BTC")) | |
| self.debug("Price where it would be balanced:", | |
| goxapi.int2float(price_balanced, self.gox.currency)) | |
| if key == ord("b"): | |
| # manually rebalance with market order at current price | |
| price = (gox.orderbook.bid + gox.orderbook.ask) / 2 | |
| vol_buy = self.get_buy_at_price(price) | |
| if abs(vol_buy) > 0.01 * COIN: | |
| self.temp_halt = True | |
| self.cancel_orders() | |
| if vol_buy > 0: | |
| self.debug("buy %f at market" % | |
| goxapi.int2float(vol_buy, "BTC")) | |
| gox.buy(0, vol_buy) | |
| else: | |
| self.debug("sell %f at market" % | |
| goxapi.int2float(-vol_buy, "BTC")) | |
| gox.sell(0, -vol_buy) | |
| def cancel_orders(self): | |
| """cancel all rebalancing orders, we identify | |
| them through the marker in the price value""" | |
| must_cancel = [] | |
| for order in self.gox.orderbook.owns: | |
| if is_own(order.price): | |
| must_cancel.append(order) | |
| for order in must_cancel: | |
| self.gox.cancel(order.oid) | |
| def get_price_where_it_was_balanced(self): | |
| """get the price at which it was perfectly balanced, given the current | |
| BTC and Fiat account balances. Immediately after a rebalancing order was | |
| filled this should be pretty much excactly the price where the order was | |
| filled (because by definition it should be quite exactly balanced then), | |
| so even after missing the trade message due to disconnect it should be | |
| possible to place the next 2 orders precisely around the new center""" | |
| currency = self.gox.currency | |
| fiat_have = goxapi.int2float(self.gox.wallet[currency], currency) | |
| btc_have = goxapi.int2float(self.gox.wallet["BTC"], "BTC") | |
| return goxapi.float2int(fiat_have * bfr / btc_have , currency) | |
| def get_buy_at_price(self, price_int): | |
| """calculate amount of BTC needed to buy at price to achieve | |
| rebalancing. price and return value are in mtgox integer format""" | |
| currency = self.gox.currency | |
| fiat_have = goxapi.int2float(self.gox.wallet[currency], currency) | |
| btc_have = goxapi.int2float(self.gox.wallet["BTC"], "BTC") | |
| price_then = goxapi.int2float(price_int, currency) | |
| btc_value_then = btc_have * price_then | |
| diff = (fiat_have * bfr - btc_value_then)/bfr | |
| diff_btc = diff / price_then | |
| must_buy = diff_btc / (BTCLV+FAITLV) * FAITLV | |
| return goxapi.float2int(must_buy, "BTC") | |
| def place_orders(self): | |
| """place two new rebalancing orders above and below center price""" | |
| center = self.get_price_where_it_was_balanced() | |
| self.debug( | |
| "center is %f" % goxapi.int2float(center, self.gox.currency)) | |
| currency = self.gox.currency | |
| step = int(center * DISTANCE / 100.0) | |
| next_sell = mark_own(center + step) | |
| next_buy = mark_own(center - step) | |
| sell_amount = -self.get_buy_at_price(next_sell) | |
| buy_amount = self.get_buy_at_price(next_buy) | |
| if sell_amount < 0.01 * COIN: | |
| sell_amount = int(0.01 * COIN) | |
| self.debug("WARNING! minimal sell amount adjusted to 0.01") | |
| if buy_amount < 0.01 * COIN: | |
| buy_amount = int(0.01 * COIN) | |
| self.debug("WARNING! minimal buy amount adjusted to 0.01") | |
| self.debug("new buy order %f at %f" % ( | |
| goxapi.int2float(buy_amount, "BTC"), | |
| goxapi.int2float(next_buy, currency) | |
| )) | |
| self.gox.buy(next_buy, buy_amount) | |
| self.debug("new sell order %f at %f" % ( | |
| goxapi.int2float(sell_amount, "BTC"), | |
| goxapi.int2float(next_sell, currency) | |
| )) | |
| self.gox.sell(next_sell, sell_amount) | |
| def slot_trade(self, gox, (date, price, volume, typ, own)): | |
| """a trade message has been receivd""" | |
| # not interested in other people's trades | |
| if not own: | |
| return | |
| # not interested in manually entered (not bot) trades | |
| if not is_own(price): | |
| return | |
| text = {"bid": "sold", "ask": "bought"}[typ] | |
| self.debug("*** %s %f at %f" % ( | |
| text, | |
| goxapi.int2float(volume, "BTC"), | |
| goxapi.int2float(price, gox.currency) | |
| )) | |
| self.check_trades() | |
| def slot_owns_changed(self, orderbook, _dummy): | |
| """status or amount of own open orders has changed""" | |
| self.check_trades() | |
| def check_trades(self): | |
| """find out if we need to place new orders and do it if neccesary""" | |
| # bot temporarily disabled | |
| if self.temp_halt: | |
| return | |
| # still waiting for submitted orders, | |
| # can wait for next signal | |
| if self.gox.count_submitted: | |
| return | |
| # we count the open and pending orders | |
| count = 0 | |
| count_pending = 0 | |
| book = self.gox.orderbook | |
| for order in book.owns: | |
| if is_own(order.price): | |
| if order.status == "open": | |
| count += 1 | |
| else: | |
| count_pending += 1 | |
| # as long as there are ANY pending orders around we | |
| # just do nothing and wait for the next signal | |
| if count_pending: | |
| return | |
| # if count is exacty 1 then one of the orders must have been filled, | |
| # now we cancel the other one and place two fresh orders in the | |
| # distance of DISTANCE around center price. | |
| if count == 1: | |
| self.cancel_orders() | |
| self.place_orders() |
i get this error
File 'home/user/goxtool/goxapi.py', line 385, in call
func(instance, sender, data)
File '/home/user/goxtool/_balancer.py', line 60, in slot_keypress
self.place_orders()
File '/home/user/goxtool/_balancer.py', line 135, in place_orders
center = self.get_price_where_it_was_balanced()
File '/home/user/goxtool/_balancer.py', line 117, in get_price_where_it_was_balanced
return goxapi.float2int(fiat_have * bfr / btc_have , currency)
ZeroDivisionError: float division by zero
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Hi!
What effect would 20/80 have over 50/50, would it grow Bitcoin faster? Thanks for sharing.