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server.js
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server.js
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const express = require('express')
const io_client = require('socket.io-client')
const path = require('path')
const binance = require('binance-api-node').default
const moment = require('moment')
const BigNumber = require('bignumber.js')
const _ = require('lodash')
const tulind = require('tulind')
const axios = require('axios')
const { Client } = require('pg')
const PORT = process.env.PORT || 4000
const INDEX = path.join(__dirname, 'index.html')
//////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////
// PLEASE EDIT THE FOLLOWING VARIABLES JUST BELOW
//////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////
const insert_into_db = false
const pg_connectionString = 'postgres://[email protected]:5432/postgres'
const pg_connectionSSL = false
// to monitor your strategy you can send your buy and sell signals to http://bitcoinvsaltcoins.com
const send_signal_to_bva = false
const bva_key = "replace_with_your_BvA_key"
const wait_time = 800
const nbt_vers = "0.2.4"
const pairs = ['BTCUSDT'] //, 'ETHBTC', 'XRPBTC', 'XRPETH']
const stratname = "DEMO STRATS"
//////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////////////////
console.log("insert_into_db: ", insert_into_db)
console.log("send_signal_to_bva: ", send_signal_to_bva)
/////////////////////
let pairData = {}
let openSignals = {}
const nbt_prefix = "nbt_"
const interv_time = 10000
/////////////////////////////////////////////////////////////////////////////////
let socket_client = {}
if (send_signal_to_bva) {
console.log("Connection to NBT HUB...")
// retrieve previous open signals from HUB
axios.get('https://bitcoinvsaltcoins.com/api/useropensignals?key=' + bva_key)
.then((response) => {
response.data.rows.map(s => {
openSignals[s.pair + s.stratname.replace(/\s+/g, '')] = {
buy_price: BigNumber(s.buy_price),
sell_price: BigNumber(s.sell_price),
stop_profit: Number(s.stop_profit),
stop_loss: Number(s.stop_loss),
type: s.type
}
})
console.log("Open Trades:", _.values(openSignals).length)
console.log(_.keys(openSignals))
})
.catch((e) => {
console.log("ERROR 8665")
console.log(e.response.data)
})
// create a socket client connection to send your signals to NBT Hub (http://bitcoinvsaltcoins.com)
socket_client = io_client('https://nbt-hub.herokuapp.com', { query: "v=" + nbt_vers + "&type=server&key=" + bva_key })
}
//////////////////////////////////////////////////////////////////////////////////
let pg_client
if (insert_into_db && pg_connectionString) {
console.log("Connecting to the Postgresql db...")
pg_client = new Client({
ssl: pg_connectionSSL,
connectionString: pg_connectionString,
})
pg_client.connect()
}
//////////////////////////////////////////////////////////////////////////////////
const server = express()
.use((req, res) => res.sendFile(INDEX))
.listen(PORT, () => console.log(`NBT server running on port ${PORT}`))
//////////////////////////////////////////////////////////////////////////////////
const binance_client = binance()
//////////////////////////////////////////////////////////////////////////////////
async function run() {
console.log(" ")
console.log("Total pairs: " + pairs.length)
console.log(" ")
console.log(JSON.stringify(pairs))
console.log(" ")
await sleep(wait_time)
await trackData()
}
//////////////////////////////////////////////////////////////////////////////////
async function trackData() {
console.log('----')
for (var i = 0, len = pairs.length; i < len; i++) {
console.log('--> ' + pairs[i])
if (insert_into_db) await createPgPairTable(pairs[i])
await trackPairData(pairs[i])
await sleep(wait_time) //let's be safe with the api biance calls
}
console.log('----')
}
function addCandle(pair, candle) {
pairData[pair].candle_opens.push(Number(candle.open))
pairData[pair].candle_closes.push(Number(candle.close))
pairData[pair].candle_lows.push(Number(candle.low))
pairData[pair].candle_highs.push(Number(candle.high))
pairData[pair].candle_volumes.push(Number(candle.volume))
}
function updateLastCandle(pair, candle) {
let index = pairData[pair].candle_opens.length - 1
pairData[pair].candle_opens[index] = Number(candle.open)
pairData[pair].candle_closes[index] = Number(candle.close)
pairData[pair].candle_lows[index] = Number(candle.low)
pairData[pair].candle_highs[index] = Number(candle.high)
pairData[pair].candle_volumes[index] = Number(candle.volume)
}
function initPairData(pair) {
pairData[pair] = {}
// price info
pairData[pair].price = BigNumber(0)
pairData[pair].prev_price = BigNumber(0)
// depth data
pairData[pair].sum_bids = BigNumber(0)
pairData[pair].sum_asks = BigNumber(0)
pairData[pair].first_bid_qty = BigNumber(0)
pairData[pair].first_ask_qty = BigNumber(0)
pairData[pair].first_bid_price = BigNumber(0)
pairData[pair].first_ask_price = BigNumber(0)
pairData[pair].volumes = []
pairData[pair].makers = []
pairData[pair].trades = []
// candle data
pairData[pair].candle_opens = []
pairData[pair].candle_closes = []
pairData[pair].candle_highs = []
pairData[pair].candle_lows = []
pairData[pair].candle_volumes = []
pairData[pair].interv_vols_sum = []
// indicator data
pairData[pair].srsi = null
}
async function trackPairData(pair) {
initPairData(pair)
// get start candles
const candles = await binance_client.candles({ symbol: pair, interval: '15m' })
for (var i = 0, len = candles.length; i < len; i++) {
addCandle(pair, candles[i])
}
await sleep(wait_time)
// setup candle websocket
const candlesWs = binance_client.ws.candles(pair, '15m', async candle => {
updateLastCandle(pair, candle)
if (candle.isFinal) {
addCandle(pair, candle)
}
try {
await tulind.indicators.stochrsi.indicator([pairData[pair].candle_closes], [100])
.then((results) => {
pairData[pair].srsi = BigNumber(results[0][results[0].length - 1] * 100)
})
}
catch (e) {
console.log(pair, "SRSI ERROR!!!")
pairData[pair].srsi = null
}
})
await sleep(wait_time)
// setup depth websocket
const depthWs = binance_client.ws.partialDepth({ symbol: pair, level: 10 }, depth => {
pairData[pair].sum_bids = _.sumBy(depth.bids, (o) => { return Number(o.quantity) })
pairData[pair].sum_asks = _.sumBy(depth.asks, (o) => { return Number(o.quantity) })
pairData[pair].first_bid_qty = BigNumber(depth.bids[0].quantity)
pairData[pair].first_ask_qty = BigNumber(depth.asks[0].quantity)
pairData[pair].first_bid_price = BigNumber(depth.bids[0].price)
pairData[pair].first_ask_price = BigNumber(depth.asks[0].price)
})
await sleep(wait_time)
// setup trade (1 per second)
const tradesWs = binance_client.ws.trades([pair], trade => {
pairData[pair].price = BigNumber(trade.price)
pairData[pair].volumes.unshift({
'timestamp': Date.now(),
'volume': parseFloat(trade.quantity),
})
pairData[pair].makers.unshift({
'timestamp': Date.now(),
'maker': trade.maker,
})
})
// loop to create signals (& save values to db)
setInterval(async () => {
let depth_report = ""
const last_sum_bids_bn = BigNumber(pairData[pair].sum_bids)
const last_sum_asks_bn = BigNumber(pairData[pair].sum_asks)
if (last_sum_bids_bn.isLessThan(last_sum_asks_bn)) {
depth_report = "-" + last_sum_asks_bn.dividedBy(last_sum_bids_bn).decimalPlaces(2).toString()
}
else {
depth_report = "+" + last_sum_bids_bn.dividedBy(last_sum_asks_bn).decimalPlaces(2).toString()
}
// calculate some extra values which depend on others
pairData[pair].interv_vols_sum.push(Number(_.sumBy(pairData[pair].volumes, 'volume')))
pairData[pair].trades.push(pairData[pair].volumes.length)
const makers_count = BigNumber(_.filter(pairData[pair].makers, (o) => { if (o.maker) return o }).length)
const makers_total = BigNumber(pairData[pair].makers.length)
const maker_ratio = makers_count > 0 ? makers_count.dividedBy(makers_total).times(100) : BigNumber(0)
// if data ready
if (pairData[pair].price.isGreaterThan(0)
&& pairData[pair].candle_closes.length
&& last_sum_bids_bn.isGreaterThan(0)
&& last_sum_asks_bn.isGreaterThan(0)
&& pairData[pair].interv_vols_sum.length
&& pairData[pair].first_bid_price > 0
&& pairData[pair].first_ask_price > 0
) {
const price_open = Number(pairData[pair].candle_opens[pairData[pair].candle_opens.length - 1])
const price_high = Number(pairData[pair].candle_highs[pairData[pair].candle_highs.length - 1])
const price_low = Number(pairData[pair].candle_lows[pairData[pair].candle_lows.length - 1])
const price_last = Number(pairData[pair].candle_closes[pairData[pair].candle_closes.length - 1])
const first_ask_price = pairData[pair].first_ask_price
const first_bid_price = pairData[pair].first_bid_price
// DATABASE INSERT
if (insert_into_db) {
const insert_values = [
Date.now(),
moment(Date.now()).format(),
Number(pairData[pair].price.toString()),
price_open,
price_high,
price_low,
price_last,
pairData[pair].interv_vols_sum[pairData[pair].interv_vols_sum.length - 1],
pairData[pair].trades[pairData[pair].trades.length - 1],
Number(maker_ratio.decimalPlaces(2).toString()),
Number(depth_report),
Number(last_sum_bids_bn),
Number(last_sum_asks_bn),
Number(pairData[pair].first_bid_price),
Number(pairData[pair].first_ask_price),
Number(pairData[pair].first_bid_qty),
Number(pairData[pair].first_ask_qty),
((pairData[pair].srsi === null) ? null : Number(pairData[pair].srsi.decimalPlaces(2).toString())),
]
const insert_query = 'INSERT INTO ' + nbt_prefix + pair
+ '(eventtime, datetime, price, candle_open, candle_high, candle_low, candle_close, sum_interv_vols, trades, makers_count, depth_report, sum_bids, sum_asks, first_bid_price, first_ask_price, first_bid_qty, first_ask_qty, srsi)'
+ ' VALUES($1,$2,$3,$4,$5,$6,$7,$8,$9,$10,$11,$12,$13,$14,$15,$16,$17,$18) RETURNING * '
pg_client.query(insert_query, insert_values)
.then(res => { })
.catch(e => { console.log(e) })
}
const signal_key = stratname.replace(/\s+/g, '')
//////// SIGNAL CONDITION ///////
let signalCheck = await checkSignal(pair)
if (signalCheck && !openSignals[pair + signal_key]) {
const signal = {
key: bva_key,
stratname: stratname,
pair: pair,
stop_loss: signalCheck.stopLoss,
stop_profit: signalCheck.takeProfit,
}
// store signal
const openSignal = {
type: signalCheck.isBuy ? "LONG" : "SHORT",
stop_loss: signal.stop_loss,
stop_profit: signal.stop_profit
}
if (openSignal.type === "LONG") {
signal.buy_price = Number(first_ask_price)
openSignal.buy_price = Number(first_ask_price)
} else {
signal.sell_price = Number(first_bid_price)
openSignal.sell_price = Number(first_bid_price)
}
console.log("OPEN", openSignal.type, signal)
if (send_signal_to_bva) { socket_client.emit(openSignal.type === "LONG" ? "buy_signal" : "sell_signal", signal) }
// store open signal
openSignals[pair + signal_key] = openSignal
}
else if (openSignals[pair + signal_key]) {
// check if needs to be closed
const openSignal = openSignals[pair + signal_key]
const pnl = openSignal.type === "LONG" ?
first_bid_price.minus(openSignal.buy_price).times(100).dividedBy(openSignal.buy_price) :
BigNumber(openSignal.sell_price).minus(first_ask_price).times(100).dividedBy(openSignal.sell_price)
if (pnl.isLessThan(openSignals[pair + signal_key].stop_loss) || pnl.isGreaterThan(openSignals[pair + signal_key].stop_profit)) {
const signal = {
key: bva_key,
stratname: stratname,
pair: pair
}
if (openSignal.type === "LONG") {
signal.sell_price = Number(first_bid_price)
} else {
signal.buy_price = Number(first_ask_price)
}
console.log("CLOSE", openSignal.type, signal)
if (send_signal_to_bva) { socket_client.emit(openSignal.type === "LONG" ? "sell_signal" : "buy_signal", signal) }
// remove open signal
delete openSignals[pair + signal_key]
}
}
pairData[pair].prev_price = price_last
}
// clean up arrays...
pairData[pair].makers = _.filter(pairData[pair].makers, (v) => { return (v.timestamp >= (Date.now() - interv_time)) })
pairData[pair].volumes = _.filter(pairData[pair].volumes, (v) => { return (v.timestamp >= (Date.now() - interv_time)) })
pairData[pair].candle_opens = pairData[pair].candle_opens.slice(pairData[pair].candle_opens.length - 10000, 10000)
pairData[pair].candle_closes = pairData[pair].candle_closes.slice(pairData[pair].candle_closes.length - 10000, 10000)
pairData[pair].candle_highs = pairData[pair].candle_highs.slice(pairData[pair].candle_highs.length - 10000, 10000)
pairData[pair].candle_lows = pairData[pair].candle_lows.slice(pairData[pair].candle_lows.length - 10000, 10000)
pairData[pair].candle_volumes = pairData[pair].candle_volumes.slice(pairData[pair].candle_volumes.length - 10000, 10000)
pairData[pair].interv_vols_sum = pairData[pair].interv_vols_sum.slice(pairData[pair].interv_vols_sum.length - 10000, 10000)
pairData[pair].trades = pairData[pair].trades.slice(pairData[pair].trades.length - 10000, 10000)
}, 1000)
}
/////////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////// SIGNAL DECLARATION - START /////////////////////////////////
//////////////////////////////// THIS IS WHERE YOU CODE YOUR STRATEGY ///////////////////////
/////////////////////////////////////////////////////////////////////////////////////////////
async function checkSignal(pair) {
try {
let rsi = await tulind.indicators.stochrsi.indicator([pairData[pair].candle_closes], [14])
let rsiLatest = rsi[0][rsi[0].length - 1]
let macd = await tulind.indicators.macd.indicator([pairData[pair].candle_closes], [12, 26, 9])
let macdOldest = macd[2][macd[2].length - 3]
let macdOlder = macd[2][macd[2].length - 2]
let macdNewest = macd[2][macd[2].length - 1]
if (macdNewest >= 0 && macdOlder < 0 && macdOldest < 0 && rsiLatest < 0.3) {
return { isBuy: true, takeProfit: 1, stopLoss: -1 }
}
if (macdNewest < 0 && macdOlder >= 0 && macdOldest >= 0 && rsiLatest > 0.7) {
return { isBuy: false, takeProfit: 1, stopLoss: -1 }
}
} catch (e) {
console.log(e)
}
return null
}
///////////////////////////////////////////////////////////////////////////////////////////
//////////////////////////////// SIGNAL DECLARATION - END /////////////////////////////////
///////////////////////////////////////////////////////////////////////////////////////////
async function createPgPairTable(pair) {
return pg_client.query('CREATE TABLE ' + nbt_prefix + pair + '(id bigserial primary key, eventtime bigint NOT NULL, datetime varchar(200), price decimal, candle_open decimal, candle_high decimal, candle_low decimal, candle_close decimal, sum_interv_vols decimal, trades integer, makers_count real, depth_report decimal, sum_bids real, sum_asks real, first_bid_price decimal, first_ask_price decimal, first_bid_qty decimal, first_ask_qty decimal, srsi real)')
.then(res => {
console.log("TABLE " + nbt_prefix + pair + " CREATION SUCCESS")
})
.catch(e => {
//console.log(e)
})
}
sleep = (x) => {
return new Promise(resolve => {
setTimeout(() => { resolve(true) }, x)
})
}
run()