View file src/colab/binance_grid_trading.py - Download
# -*- coding: utf-8 -*-
"""binance_grid_trading.ipynb
Automatically generated by Colab.
Original file is located at
https://colab.research.google.com/drive/1MUzGQR534yMDNI0SauNqK-Quoy930ldi
SIMULATION OF BINANCE GRID TRADING
Get the prices here : https://www.binance.com/en/landing/data
and upload them to your Google Drive.
"""
from google.colab import drive
drive.mount('/content/drive')
import numpy as np
from datetime import datetime, timedelta
def load_hist(filename):
n = 0
global price_hist
f = open(filename)
while (line := f.readline()) != '':
fields = line.strip().split(',')
dt = datetime.utcfromtimestamp(int(fields[0])/1000)
high = float(fields[2])
low = float(fields[3])
if float(fields[1]) <= float(fields[4]): # up candle
first = low
second = high
else: # down candle
first = high
second = low
price_hist[dt] = first
price_hist[dt + timedelta(milliseconds=500)] = second
n = n+1
f.close()
print(f"{n} candles loaded")
price_hist = {}
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-02.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-03.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-04.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-05.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-06.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-07.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-08.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-09.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-10.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-11.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-12.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-13.csv')
load_hist('drive/MyDrive/BTCUSDT-1s-2024-09-14.csv')
import matplotlib.pyplot as plt
plt.figure(figsize=(15,6))
plt.plot(list(price_hist.keys()), list(price_hist.values()))
plt.show()
def compute_params():
global price_step
global order_amount
global fees
price_step = (high - low) / steps
order_amount = (usdt_amount - reserved) / ((steps * 1.054) + 1.05)
fees = order_amount / 1000
# Parameters
low = 55738.82 # @param {type:"number"}
high = 60671.96 # @param {type:"number"}
steps = 19 # @param {type:"number"}
usdt_amount = 15000 # @param {type:"number"}
stop_loss = 1 # @param {type:"number"}
take_profit = 64000 # @param {type:"number"}
reserved = 42.86 # @param {type:"number"}
# Calculated values
compute_params()
print(f"Price Step: {price_step:7.2f}")
print(f"Order Amount: {order_amount:7.2f}")
print(f"Fees: {fees:7.4f}")
import math
def level_of_price(price):
if price < low: return -1
if price > high: return steps
l = math.floor((price - low) / price_step)
return l
level_of_price(61000)
def price_of_level(level):
price = low + level * price_step
return price
price_of_level(3)
init_price = list(price_hist.values())[0]
print(init_price)
# Commented out IPython magic to ensure Python compatibility.
# %%script echo Disabled
#
# # Répartir usdt_amount proportionnellement au nombre de lignes en dessous du cours initial pour usdt et au dessus du cours initial pour crypto
# usdt = usdt_amount * 6 / 20
# crypto = (usdt_amount * 14 / 20) / init_price
# print(f"Start with {usdt} USDT and {crypto} BTC")
for i in range(steps+1):
print(f"{i:3} {price_of_level(i):9.2f}")
print(list(price_hist.keys())[0])
print(list(price_hist.keys())[-1])
dt1 = list(price_hist.keys())[1000]
print(dt1)
dt_begin = list(price_hist.keys())[0]
dt_end = list(price_hist.keys())[-1]
duration = dt_end - dt_begin
print(duration)
if duration.total_seconds() / 3600 <= 48:
first_hour = dt_begin.replace(minute=0, second=0, hour=dt_begin.hour+1)
else:
first_hour = dt_begin.replace(hour=0, minute=0, second=0, day=dt_begin.day+1)
print(first_hour)
print(first_hour + timedelta(hours=1))
def draw_chart():
plt.figure(figsize=(15,6))
plt.plot(list(price_hist.keys()), list(price_hist.values()))
hour = first_hour
while hour < dt_end:
plt.axvline(x=hour, color='grey', linestyle='-')
if duration.total_seconds() / 3600 <= 48:
hour = hour + timedelta(hours=1)
else:
hour = hour + timedelta(days=1)
for i in range(steps+1):
plt.axhline(y=price_of_level(i), color='grey', linestyle='-')
plt.show()
draw_chart()
crypto_hist = {}
def trade(price_hist, disp=False):
#global usdt
#global crypto
global crypto_hist
# Répartir usdt_amount proportionnellement au nombre de lignes en dessous du cours initial pour usdt et au dessus du cours initial pour crypto
init_price = list(price_hist.values())[0]
usdt = usdt_amount * (init_price - low) / (high - low)
crypto = (usdt_amount - usdt) / init_price
crypto_hist = {}
if disp:
print(f"Initial price: {init_price:9.2f}, USDT: {usdt:9.2f}, crypto: {crypto:9.6f}")
level = level_of_price(init_price)
trend = 0
nt = 0
for dt, price in price_hist.items():
if price < stop_loss: break
if price > take_profit: break
previous_level = level
level = level_of_price(price)
if level < previous_level:
for i in range(previous_level, level, -1):
previous_trend = trend
trend = -1
if trend == previous_trend:
nt = nt + 1
trade_price = price_of_level(i)
# Buy cryptos for order_amount USDT
usdt = usdt - order_amount - fees
crypto_hist[dt - timedelta(milliseconds=100)] = crypto
crypto = crypto + order_amount / trade_price
crypto_hist[dt] = crypto
total = usdt + crypto * price
if disp:
print(f"{dt.strftime('%Y-%m-%d %H:%M:%S')} L{i:3d} ({trade_price:9.2f} ) baisse: {nt:3d} ACHAT -> USDT:{usdt:9.2f}, crypto:{crypto:9.6f}, total:{total:9.2f} gain:{total-usdt_amount:9.2f}")
elif level > previous_level:
for i in range(previous_level, level):
previous_trend = trend
trend = 1
if trend == previous_trend:
nt = nt + 1
trade_price = price_of_level(i+1)
# Sell cryptos for order_amount USDT
usdt = usdt + order_amount - fees
crypto_hist[dt - timedelta(milliseconds=100)] = crypto
crypto = crypto - order_amount / trade_price
crypto_hist[dt] = crypto
total = usdt + crypto * price
if disp:
print(f"{dt.strftime('%Y-%m-%d %H:%M:%S')} L{i:3d} ({trade_price:9.2f} ) hausse: {nt:3d} VENTE -> USDT:{usdt:9.2f}, crypto:{crypto:9.6f}, total:{total:9.2f} gain:{total-usdt_amount:9.2f}")
return total - usdt_amount
def draw_crypto_hist():
plt.figure(figsize=(15,6))
x_values = list(crypto_hist.keys())
y_values = list(crypto_hist.values())
plt.plot(x_values, y_values)
plt.show()
steps = 19
compute_params()
trade(price_hist, True)
draw_crypto_hist()
steps = 18
compute_params()
trade(price_hist, False)
gains = [0 for i in range(0, 30)]
for steps in range(2, 30):
compute_params()
gain = trade(price_hist, False)
gains[steps] = gain
print(f"{steps:3d} steps: price step:{price_step:8.2f} gain:{gain:8.2f}")
plt.figure(figsize=(15,6))
plt.plot(gains)
plt.show()
steps = 5
compute_params()
draw_chart()
trade(price_hist, True)
draw_crypto_hist()