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mv techniclaindicators pkg to talib
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there was an issue with tfjs building included within this pkg
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JSapp.me committed Jun 12, 2019
1 parent b2d596c commit a192265
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Showing 3 changed files with 75 additions and 25 deletions.
19 changes: 11 additions & 8 deletions backtest.js
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Original file line number Diff line number Diff line change
Expand Up @@ -4,7 +4,7 @@ var colors = require('colors')
const plotly = require('plotly')('ploty_username', 'ploty_key') // use your own info https://plot.ly/api_signup
const _ = require('lodash')
const moment = require('moment')
const StochRSI = require('technicalindicators').stochasticrsi
const talib = require('talib')

//////////////////////////////////////////////////////////////////////////////////

Expand Down Expand Up @@ -78,14 +78,17 @@ async function backtest(lines) {

let srsi = new BigNumber(0)
try {
const srsi_res = StochRSI({
values: prices.y,
rsiPeriod: 100,
stochasticPeriod: 100,
kPeriod: 1,
dPeriod: 1,
var srsi_result = talib.execute({
name: 'STOCHRSI',
startIdx: 0 ,
endIdx: prices.y.length -1,
inReal: prices.y,
optInTimePeriod: 100, //RSI 14 default
optInFastK_Period: 100, // K 5 default
optInFastD_Period: 1, // D 3 default
optInFastD_MAType: 0 // type of Fast D default 0
})
srsi = BigNumber(srsi_res[srsi_res.length-1].k)
srsi = BigNumber(srsi_result.result.outFastK[srsi_result.result.outFastK.length-1])
}
catch (e) {
srsi = BigNumber(0)
Expand Down
2 changes: 1 addition & 1 deletion package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -32,6 +32,6 @@
"socket.io": "^2.2.0",
"socket.io-client": "^2.2.0",
"sound-player": "^1.0.13",
"technicalindicators": "^2.0.8"
"talib": "^1.1.2"
}
}
79 changes: 63 additions & 16 deletions server.js
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,7 @@ const express = require('express')
const socketIO = require('socket.io')
const io_client = require('socket.io-client')
const path = require('path')
const StochRSI = require('technicalindicators').stochasticrsi
const talib = require('talib')
const binance = require('binance-api-node').default
const moment = require('moment')
const BigNumber = require('bignumber.js')
Expand Down Expand Up @@ -33,6 +33,8 @@ console.log("sound_alert: ", sound_alert)
console.log("insert_into_files: ", insert_into_files)
console.log("send_signal_to_bva: ", send_signal_to_bva)

/////////////////////////////////////////////////////////////////////////////////

let socket_client = {}
if (send_signal_to_bva) {
// create a socket client connection to send your signals to NBT Hub (http://bitcoinvsaltcoins.com)
Expand Down Expand Up @@ -61,9 +63,12 @@ let volumes = {}
let trades = {}
let makers = {}
let interv_vols_sum = {}
let candle_prices = {}
let candle_opens = {}
let candle_closes = {}
let candle_lowes = {}
let candle_highs = {}
let candle_volumes = {}
let candle_ohlcv = {}
let srsi = {}
let signaled_pairs = {}
let buy_prices = {}
Expand Down Expand Up @@ -126,7 +131,7 @@ async function get_pairs() {
async function trackData() {
for (var i = 0, len = pairs.length; i < len; i++) {
await trackPairData(pairs[i])
await sleep(wait_time)
await sleep(wait_time) //let's be safe with the api biance calls
}
}

Expand All @@ -142,9 +147,12 @@ async function trackPairData(pair) {
volumes[pair] = []
makers[pair] = []
trades[pair] = []
candle_prices[pair] = []
candle_opens[pair] = []
candle_closes[pair] = []
candle_highs[pair] = []
candle_lowes[pair] = []
candle_volumes[pair] = []
candle_ohlcv[pair] = []
prev_price = new BigNumber(0)
prev_bid = new BigNumber(0)
prev_ask = new BigNumber(0)
Expand All @@ -153,32 +161,69 @@ async function trackPairData(pair) {

const candles_15 = await binance_client.candles({ symbol: pair, interval: '15m' })
for (var i = 0, len = candles_15.length; i < len; i++) {
candle_prices[pair].push(Number(candles_15[i].close))
candle_closes[pair].push(Number(candles_15[i].close))
candle_lowes[pair].push(Number(candles_15[i].low))
candle_highs[pair].push(Number(candles_15[i].high))
candle_volumes[pair].push(Number(candles_15[i].volume))
candle_volumes[pair].push(Number(candles_15[i].volume))
candle_ohlcv[pair].push([
Number(candles_15[i].closeTime),
Number(candles_15[i].open),
Number(candles_15[i].high),
Number(candles_15[i].low),
Number(candles_15[i].close),
Number(candles_15[i].volume),
])
}

await sleep(wait_time)

const candles_clean = binance_client.ws.candles(pair, '15m', async candle => {
if (candle.isFinal) {
candle_prices[pair].push(Number(candle.close))
candle_opens[pair].push(Number(candle.open))
candle_closes[pair].push(Number(candle.close))
candle_lowes[pair].push(Number(candle.low))
candle_highs[pair].push(Number(candle.high))
candle_volumes[pair].push(Number(candle.volume))
candle_ohlcv[pair].push([
Number(candle.closeTime),
Number(candle.open),
Number(candle.high),
Number(candle.low),
Number(candle.close),
Number(candle.volume),
])
}
else {
candle_prices[pair][candle_prices[pair].length-1] = Number(candle.close)
candle_opens[pair][candle_opens[pair].length-1] = Number(candle.open)
candle_closes[pair][candle_closes[pair].length-1] = Number(candle.close)
candle_lowes[pair][candle_lowes[pair].length-1] = Number(candle.low)
candle_highs[pair][candle_highs[pair].length-1] = Number(candle.high)
candle_volumes[pair][candle_volumes[pair].length-1] = Number(candle.volume)
candle_ohlcv[pair].push([
Number(candle.closeTime),
Number(candle.open),
Number(candle.high),
Number(candle.low),
Number(candle.close),
Number(candle.volume),
])
}
const srsi_res = StochRSI({
values: candle_prices[pair],
rsiPeriod: 100,
stochasticPeriod: 100,
kPeriod: 1,
dPeriod: 1,

//var function_desc = talib.explain("STOCHRSI")
//console.dir(function_desc)

var srsi_result = talib.execute({
name: 'STOCHRSI',
startIdx: 0 ,
endIdx: candle_closes[pair].length -1,
inReal: candle_closes[pair],
optInTimePeriod: 100, //RSI 14 default
optInFastK_Period: 100, // K 5 default
optInFastD_Period: 1, // D 3 default
optInFastD_MAType: 0 // type of Fast D default 0
})
srsi[pair] = BigNumber(srsi_res[srsi_res.length-1].k)
srsi[pair] = BigNumber(srsi_result.result.outFastK[srsi_result.result.outFastK.length-1])

const max_sum_asks_bn = new BigNumber(_.max(sum_asks[pair]))
const min_sum_asks_bn = new BigNumber(_.min(sum_asks[pair]))
Expand Down Expand Up @@ -227,7 +272,7 @@ async function trackPairData(pair) {
//////// SELL SIGNAL DECLARATION ///////
curr_price = BigNumber(first_bid_price[pair])
pnl = curr_price.minus(buy_prices[pair+signal_key]).times(100).dividedBy(buy_prices[pair+signal_key])
if ( candle_prices[pair][candle_prices[pair].length-1] < candle_prices[pair][candle_prices[pair].length-2]
if ( candle_closes[pair][candle_closes[pair].length-1] < candle_closes[pair][candle_closes[pair].length-2]
&& (pnl.isLessThan(stop_loss_pnl) || pnl.isGreaterThan(stop_profit_pnl))
&& signaled_pairs[pair+signal_key]
) {
Expand Down Expand Up @@ -301,7 +346,8 @@ async function trackPairData(pair) {
const makers_total = new BigNumber(makers[pair].length)
const maker_ratio = makers_count > 0 ? makers_count.dividedBy(makers_total).times(100) : new BigNumber(0)

report.text = moment().format().grey.padStart(20) +
if (pair === "BTCUSDT") {
report.text = moment().format().grey.padStart(20) +
pair.white.padStart(20) +
(prev_price.isEqualTo(prices[pair]) ? colors.grey(prices[pair]).padStart(30) : prev_price.isLessThan(prices[pair]) ? colors.green(prices[pair]).padStart(30) : colors.red(prices[pair]).padStart(30)) +
colors.white(interv_vols_sum[pair].decimalPlaces(3).toString()).padStart(30) +
Expand All @@ -311,6 +357,7 @@ async function trackPairData(pair) {
colors.grey(last_sum_bids_bn.toFormat(2)).padStart(30) +
colors.grey(last_sum_asks_bn.toFormat(2)).padStart(30) +
colors.cyan(srsi[pair].decimalPlaces(2).toFormat(2)).padStart(20)
}

if (BigNumber.isBigNumber(srsi[pair]) && prices[pair].isGreaterThan(0) && last_sum_bids_bn.isGreaterThan(0) && last_sum_asks_bn.isGreaterThan(0)) {

Expand Down

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