Add modifier to customize drift from high price #23
Description
Add modifier to customize drift from high price
sats-stacker/exchange/kraken.go
Line 201 in db77283
"github.com/sirupsen/logrus"
"github.com/urfave/cli/v2"
"math/big"
"reflect"
"strconv"
"strings"
//"time"
)
type Kraken struct {
Name string
Action string
ApiKey string
SecretKey string
Crypto string
Fiat string
Api *krakenapi.KrakenApi
Pair string
BalanceCrypto float64
BalanceFiat float64
Ticker krakenapi.PairTickerInfo
Ask string
AskFloat float64
UserRef int32
}
const MIN_BTC_AMOUNT = 0.0002
//func getTimeInfo() (time.Time, time.Time, time.Duration) {
// // Always use the local timezone
// loc, _ := time.LoadLocation("Local")
//
// now := time.Now().In(loc)
// year, month, day := now.Date()
//
// // Start is TODAY at 00:00
// start := time.Date(year, month, day, 0, 0, 0, 0, now.Location())
//
// // END is now
// end := now
//
// return start, end, end.Sub(start)
//}
func (k *Kraken) Config(c *cli.Context) error {
k.Name = strings.ToTitle("kraken")
k.ApiKey = c.String("api-key")
k.SecretKey = c.String("secret-key")
k.Crypto = "XBT"
return nil
}
func (k *Kraken) Init(c *cli.Context) error {
k.Fiat = strings.ToUpper(c.String("fiat"))
k.Pair = "X" + k.Crypto + "Z" + k.Fiat
k.Api = krakenapi.New(k.ApiKey, k.SecretKey)
k.Action = c.Command.FullName()
if k.Action != "withdraw" {
// Initialize the current Balance
balance, err := k.Api.Balance()
if err != nil {
return errors.New("Failed to get Balance. Check API and SECRET Keys")
}
// Extract Values from Kraken Responses
refBalance := reflect.ValueOf(balance)
k.BalanceCrypto = reflect.Indirect(refBalance).FieldByName("X" + k.Crypto).Interface().(float64)
k.BalanceFiat = reflect.Indirect(refBalance).FieldByName("Z" + k.Fiat).Interface().(float64)
// Get the current ticker for the given PAIR
ticker, err := k.Api.Ticker(k.Pair)
if err != nil {
return fmt.Errorf("Failed to get ticker for pair %s: %s", k.Pair, err)
}
k.Ticker = ticker.GetPairTickerInfo(k.Pair)
k.Ask = ticker.GetPairTickerInfo(k.Pair).Ask[0]
k.AskFloat, err = strconv.ParseFloat(k.Ask, 64)
if err != nil {
return fmt.Errorf("Failed to get Ask price for pair %s: %s", k.Pair, err)
}
}
return nil
}
//func (k *Kraken) closedOrderTodayForUserRef(orders *krakenapi.ClosedOrdersResponse, c *cli.Context) (string, krakenapi.Order, error) {
//
// for id, v := range orders.Closed {
// if v.Status == "closed" {
// return id, v, nil
// }
// }
// return "", krakenapi.Order{}, nil
//}
func (k *Kraken) priceModifierBasedOnGapFromHighPrice(c *cli.Context) (float64, error) {
// 15 interval will give a week worth of data
ohlcs, err := k.Api.OHLCWithInterval(k.Pair, "15")
if err != nil {
return 0.0, fmt.Errorf("Failed to get OHLC Data for pair %s: %s", k.Pair, err)
}
// Find highest price in the range of OHLC
var highest float64
for _, o := range ohlcs.OHLC {
if o.High > highest {
highest = o.High
}
}
// max modifier is 40% ( applied to the discount price ) when the gap is >= 25%
maxDiscountModifier := 40.0
var discountModifier float64
// Is the highest price from the last week more than GAP PERCENTAGE over the current ask price ?
gapPrice := highest - k.AskFloat
if gapPrice > 0 {
gapPercentage := gapPrice / highest * 100
if gapPercentage > c.Float64("high-price-gap-percentage") {
// calculate modifier
discountModifier = gapPercentage / 25.0 * maxDiscountModifier
if discountModifier > maxDiscountModifier {
discountModifier = maxDiscountModifier
}
log.WithFields(logrus.Fields{
"action": k.Action,
"pair": k.Pair,
"arg-gap-interval": "7d",
"arg-gap-percentage": c.Float64("high-price-gap-percentage"),
"highest": highest,
"ask": k.AskFloat,
"gap": gapPrice,
"gap-percentage": gapPercentage,
"discount-modifier": discountModifier,
}).Debug("Price Gap calculator")
}
}
return discountModifier, nil
}
func (k *Kraken) createOrderArgs(c *cli.Context, volume float64, price string, longshot bool) (map[string]string, error) {
args := make(map[string]string)
// Simple DCA
if k.Action == "stack" {
args["orderType"] = "market"
} else if k.Action == "btd" {
args["orderType"] = "limit"
} else {
return args, fmt.Errorf("Unknown Action: %s", k.Action)
}
validate := "false"
if c.Bool("dry-run") {
validate = "true"
args["validate"] = "true"
}
args["userref"] = fmt.Sprintf("%d", k.UserRef)
args["volume"] = strconv.FormatFloat(volume, 'f', 8, 64)
args["price"] = price
args["oflags"] = "fciq" // "buy" button will actually sell the quote currency in exchange for the base currency, pay fee in the the quote currenty ( fiat )
// If volume < MIN_BTC_AMOUNT then error - this is the minimum kraken order volume
if volume < MIN_BTC_AMOUNT {
return args, fmt.Errorf("Minimum volume for BTC Order on Kraken is %f got %s. Consider increasing the amount of Fiat", MIN_BTC_AMOUNT, args["volume"])
}
log.WithFields(logrus.Fields{
"action": k.Action,
"pair": k.Pair,
"type": "buy",
"orderType": args["orderType"],
"volume": args["volume"],
"price": args["price"],
"dryrun": validate,
"orderFlags": args["oflags"],
"userref": args["userref"],
}).Debug("Order to execute")
return args, nil
}
func (k *Kraken) BuyTheDips(c *cli.Context) (result string, e error) {
// TODO Handle cancel only mode from Kraken
// TODO Add modifier to customize drift from high price
k.UserRef = 300
log.WithFields(logrus.Fields{
"action": "btd",
"userRef": k.UserRef,
}).Info("Buying the DIPs on " + k.Name)
log.WithFields(logrus.Fields{
"action": "btd",
"crypto": k.Crypto,
"cryptoBalance": k.BalanceCrypto,
"fiat": k.Fiat,
"fiatBalance": k.BalanceFiat,
"ask": k.Ask,
"budget": c.Float64("budget"),
"n-orders": c.Int64("n-orders"),
}).Debug("Balance before any action is taken")
// Calculate order values from budget
// Each _Unit_ will have the double the value of the unit before
var totalOrderUnits int64
var fiatValueUnit float64
totalOrders := c.Int64("n-orders")
for totalOrders != 0 {
totalOrderUnits += totalOrders
totalOrders -= 1
}
fiatValueUnit = c.Float64("budget") / float64(totalOrderUnits)
//var dipOrders []map[string]string
log.WithFields(logrus.Fields{
"action": "btd",
"budget": c.Float64("budget"),
"total-sats": fmt.Sprintf("%.8f", c.Float64("budget")/k.AskFloat),
"dip-percentage": c.Int64("dip-percentage"),
"dip-increments": c.Int64("dip-increments"),
"n-orders": c.Int64("n-orders"),
"total-units": totalOrderUnits,
"fiat-value-unit": fiatValueUnit,
}).Debug("Calculating orders")
var dipOrders []map[string]string
var orderNumber int64
//Calculate DIP Discount for this order
modifier, err := k.priceModifierBasedOnGapFromHighPrice(c)
if err != nil {
modifier = 0.0
}
for orderNumber != c.Int64("n-orders") {
// Discount based on order number
discount := float64(c.Int64("dip-percentage") + (orderNumber * c.Int64("dip-increments")))
// Calculate modifier to apply to discount based on the gap from the Highest Weekly price
discountModifier := (float64(discount) * modifier) / float64(100.0)
dipDiscountedPrice := (k.AskFloat / float64(100)) * (float64(100.0) - discount + discountModifier)
dipVolume := (fiatValueUnit * float64(orderNumber+1)) / dipDiscountedPrice
log.WithFields(logrus.Fields{
"action": "btd",
"order-number": orderNumber + 1,
"ask-price": k.Ask,
"dip-discount": discount - discountModifier,
"dip-price": dipDiscountedPrice,
"dip-volume": dipVolume,
}).Debug(fmt.Sprintf("Creating discounted order %d", orderNumber+1))
// Create Order and add to list
dipOrderArgs, _ := k.createOrderArgs(c, dipVolume, fmt.Sprintf("%.1f", dipDiscountedPrice), false)
// If volume < MIN_BTC_AMOUNT then do not add to the list, skip to next iteration
if dipVolume < MIN_BTC_AMOUNT {
orderNumber += 1
continue
}
dipOrders = append(dipOrders, dipOrderArgs)
log.WithFields(logrus.Fields{
"action": "btd",
"order-number": orderNumber + 1,
}).Debug("Added Order to list")
orderNumber += 1
}
if len(dipOrders) == 0 {
return "", fmt.Errorf("No Orders were added to the list")
}
//Cancel any open order with our UserRef
if !c.Bool("dry-run") {
openordersArgs := make(map[string]string)
//openordersArgs["trades"] = "true"
openordersArgs["userref"] = fmt.Sprintf("%d", k.UserRef)
resp, _ := k.Api.OpenOrders(openordersArgs)
if len(resp.Open) > 0 {
_, err := k.Api.CancelOrder(fmt.Sprintf("%d", k.UserRef))
if err != nil {
return "", fmt.Errorf("Failed to Cancel Orders for UserRef: %d - %s", k.UserRef, err)
}
log.WithFields(logrus.Fields{
"action": "btd",
"userref": k.UserRef,
}).Info(fmt.Sprintf("%d Open Orders Canceled", len(resp.Open)))
}
}
//Place Orders
orderNumber = 0
for orderNumber != int64(len(dipOrders)) {
thisOrder := dipOrders[orderNumber]
order, err := k.Api.AddOrder(k.Pair, "buy", thisOrder["orderType"], thisOrder["volume"], thisOrder)
if err != nil {
log.WithFields(logrus.Fields{
"action": "btd",
"userref": thisOrder["userref"],
"order-number": orderNumber + 1,
}).Error(fmt.Sprintf("Error Creating orderNumber %d: %s", orderNumber+1, err))
orderNumber += 1
continue
}
var orderId string
if c.Bool("dry-run") {
orderId = "DRY-RUN"
} else {
orderId = strings.Join(order.TransactionIds, ",")
}
log.WithFields(logrus.Fields{
"action": "btd",
"order": order.Description.Order,
"orderId": orderId,
"order-number": orderNumber + 1,
"dryrun": thisOrder["validate"],
"orderType": thisOrder["orderType"],
"volume": thisOrder["volume"],
"askPrice": k.Ask,
"price": thisOrder["price"],
"orderFlags": thisOrder["oflags"],
"userref": thisOrder["userref"],
}).Info(fmt.Sprintf("Order Placed %d", orderNumber+1))
orderNumber += 1
}
return "", nil
}
func (k *Kraken) Stack(c *cli.Context) (result string, e error) {
k.UserRef = 100
log.WithFields(logrus.Fields{
"action": "stack",
"userRef": k.UserRef,
}).Info("Stacking some sats on " + k.Name)
log.WithFields(logrus.Fields{
"action": "stack",
"crypto": k.Crypto,
"cryptoBalance": k.BalanceCrypto,
"fiat": k.Fiat,
"fiatBalance": k.BalanceFiat,
"ask": k.Ask,
}).Debug("Balance before placing the Order")
volume := (c.Float64("amount") / k.AskFloat)
orderArgs, err := k.createOrderArgs(c, volume, k.Ask, false)
if err != nil {
return "", fmt.Errorf("Failed to create args to place order: %s", err)
}
// Place the Order
order, err := k.Api.AddOrder(k.Pair, "buy", orderArgs["orderType"], orderArgs["volume"], orderArgs)
if err != nil {
log.WithFields(logrus.Fields{
"action": "btd",
"userref": k.UserRef,
}).Error(fmt.Sprintf("Error Creating order: %s", err))
return "", fmt.Errorf("Failed to place order: %s", err)
}
var orderId string
if c.Bool("dry-run") {
orderId = "DRY-RUN"
} else {
orderId = strings.Join(order.TransactionIds, ",")accc025e52fed7977012a2c16b07315bae3851cc