3.0.1rc1

CHANGELOG.md

@@ -1,7 +1,18 @@
-## 3.0.0rc21 - 2024-03-13
+## 3.0.1rc1 - 2024-03-19
+### Fix
+* Cyclic Backtesting workflow
+
+### Update
+* Up requirements for exchanges-wrapper==2.1.2
+
+
+## 3.0.0rc22 - 2024-03-13
 ### Fix
 * `Analytics`: Refine unload and processing assets data
 
+### Update
+* Up requirements for exchanges-wrapper==2.1.0
+
 ## 3.0.0rc20 - 2024-03-12
 ### Fix
 * `cancel_order_call()`: incorrect using asyncio.wait_for()

README.md

@@ -26,7 +26,7 @@ All risks and possible losses associated with use of this strategy lie with you.
 Strongly recommended that you test the strategy in the demo mode before using real bidding.
 
 ## Important notices
-* After update to `3.0.0`, the configuration files `cli_XX_AAABBB.py` for all running trading pairs
+* After update to `3.0.1`, the configuration files `cli_XX_AAABBB.py` for all running trading pairs
 should be updated. Use templates for reference.
 
 * You cannot run multiple pairs with overlapping currencies on the same account!

martin_binance/__init__.py

@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc21"
+__version__ = "3.0.1rc1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 

martin_binance/backtest/OoTSP.py

@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc15"
+__version__ = "3.0.1rc1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -67,6 +67,7 @@ def main():
         print_study_result(study)
         print(f"Study instance saved to {storage_name} for later use")
     elif answers.get('mode') == 'Analise saved study session':
+        # noinspection PyArgumentList
         study = optuna.load_study(study_name=study_name, storage=storage_name)
 
         print(f"Best value: {study.best_value}")

martin_binance/backtest/optimizer.py

@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2024 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc4"
+__version__ = "3.0.1rc1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -49,8 +49,9 @@ def try_trade(mbs, skip_log, **kwargs):
     return float(mbs.ex.SESSION_RESULT.get('profit', 0)) + float(mbs.ex.SESSION_RESULT.get('free', 0))
 
 
-def optimize(study_name, cli, n_trials, storage_name=None, skip_log=True, show_progress_bar=False):
+def optimize(study_name, cli, n_trials, storage_name=None, prm_best=None, skip_log=True, show_progress_bar=False):
     sys.excepthook = notify_exception
+    optuna.logging.set_verbosity(optuna.logging.WARNING)
 
     def objective(_trial):
         params = {
@@ -70,12 +71,13 @@ def objective(_trial):
     spec = iu.spec_from_file_location("strategy", cli)
     mbs = iu.module_from_spec(spec)
     spec.loader.exec_module(mbs)
-    optuna.logging.set_verbosity(optuna.logging.WARNING)
     _study = optuna.create_study(study_name=study_name, storage=storage_name, direction="maximize")
-    try:
-        _study.optimize(objective, n_trials=n_trials, gc_after_trial=True, show_progress_bar=show_progress_bar)
-    except KeyboardInterrupt:
-        pass  # ignore
+
+    if prm_best:
+        logger.info(f"Previous best params: {prm_best}")
+        _study.enqueue_trial(prm_best)
+
+    _study.optimize(objective, n_trials=n_trials, gc_after_trial=True, show_progress_bar=show_progress_bar)
     return _study
 
 
@@ -90,18 +92,32 @@ async def run_optimize(*args):
     logger.level = logging.INFO
     formatter = logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s")
     #
-    fh = logging.handlers.RotatingFileHandler(Path(LOG_PATH, sys.argv[5]), maxBytes=500000, backupCount=5)
+    fh = logging.handlers.RotatingFileHandler(Path(LOG_PATH, sys.argv[6]), maxBytes=500000, backupCount=5)
     fh.setFormatter(formatter)
     fh.setLevel(logging.INFO)
     logger.addHandler(fh)
     #
-    study = optimize(sys.argv[1], sys.argv[2], int(sys.argv[3]), storage_name=sys.argv[4])
-    logger.info(f"Optimal parameters: {study.best_params} for get {study.best_value}")
-    new_value = study.best_value
-    _value = study.get_trials()[0].value
-    if new_value > _value:
-        res = study.best_params
-        res |= {'new_value': any2str(new_value), '_value': any2str(_value)}
-        print(json.dumps(res))
+    prm_best = None
+    try:
+        prm_best = json.loads(sys.argv[5])
+        study = optimize(
+            sys.argv[1],
+            sys.argv[2],
+            int(sys.argv[3]),
+            storage_name=sys.argv[4],
+            prm_best=prm_best
+        )
+    except KeyboardInterrupt:
+        pass  # ignore
+    except Exception as ex:
+        logger.info(f"optimizer: {ex}")
     else:
-        print(json.dumps({}))
+        logger.info(f"Optimal parameters: {study.best_params} for get {study.best_value}")
+        new_value = study.best_value
+        _value = study.get_trials()[0].value
+        if new_value > _value or not prm_best:
+            res = study.best_params
+            res |= {'new_value': any2str(new_value), '_value': any2str(_value)}
+            print(json.dumps(res))
+        else:
+            print(json.dumps({}))

martin_binance/cli_0_BTCUSDT.py.template

@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0"
+__version__ = "3.0.1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -37,11 +37,10 @@ import martin_binance.params as ex
 ex.SYMBOL = 'BTCUSDT'
 # Exchange setup, see list of exchange in ms_cfg.toml
 ex.ID_EXCHANGE = 0  # See ms_cfg.toml Use for collection of statistics *and get client connection*
-ex.FEE_IN_PAIR = True  # Fee pays in pair
 ex.FEE_MAKER = Decimal('0.1')  # standard exchange Fee for maker
 ex.FEE_TAKER = Decimal('0.1')  # standard exchange Fee for taker
-ex.FEE_SECOND = False  # On KRAKEN fee always in second coin
-ex.FEE_BNB_IN_PAIR = False  # Binance fee in BNB and BNB is base asset
+ex.FEE_FIRST = False  # For example fee in BNB and BNB in pair, and it is base asset
+ex.FEE_SECOND = False  # For example fee in BNB and BNB in pair, and it is quote asset
 ex.GRID_MAX_COUNT = 5  # Maximum counts for placed grid orders
 # Trade parameter
 ex.START_ON_BUY = True  # First cycle direction
@@ -147,8 +146,6 @@ def trade(strategy=None):
         except Exception as _err:
             print(f"Error: {_err}")
         loop.run_until_complete(loop.shutdown_asyncgens())
-        if ex.MODE in ('T', 'TC'):
-            loop.close()
     return strategy
 
 

martin_binance/cli_1_BTCUSDT.py.template

@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0"
+__version__ = "3.0.1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -37,12 +37,11 @@ import martin_binance.params as ex
 ex.SYMBOL = 'BTCUSDT'
 # Exchange setup, see list of exchange in ms_cfg.toml
 ex.ID_EXCHANGE = 1  # See ms_cfg.toml Use for collection of statistics *and get client connection*
-ex.FEE_IN_PAIR = True  # Fee pays in pair
 ex.FEE_MAKER = Decimal('0.08')  # standard exchange Fee for maker
 ex.FEE_TAKER = Decimal('0.1')  # standard exchange Fee for taker
-ex.FEE_SECOND = False  # On KRAKEN fee always in second coin
-ex.FEE_BNB_IN_PAIR = False  # Binance fee in BNB and BNB is base asset
-ex.GRID_MAX_COUNT = 5  # Maximum counts for placed grid orders
+ex.FEE_FIRST = False  # For example fee in BNB and BNB in pair, and it is base asset
+ex.FEE_SECOND = False  # For example fee in BNB and BNB in pair, and it is quote asset
+ex.GRID_MAX_COUNT = 3  # Maximum counts for placed grid orders
 # Trade parameter
 ex.START_ON_BUY = True  # First cycle direction
 ex.AMOUNT_FIRST = Decimal('0.05')  # Deposit for Sale cycle in first currency
@@ -147,8 +146,6 @@ def trade(strategy=None):
         except Exception as _err:
             print(f"Error: {_err}")
         loop.run_until_complete(loop.shutdown_asyncgens())
-        if ex.MODE in ('T', 'TC'):
-            loop.close()
     return strategy
 
 

martin_binance/cli_2_TESTBTCTESTUSDT.py.template

@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0"
+__version__ = "3.0.1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -37,11 +37,10 @@ import martin_binance.params as ex
 ex.SYMBOL = 'TESTBTCTESTUSDT'
 # Exchange setup, see list of exchange in ms_cfg.toml
 ex.ID_EXCHANGE = 2  # See ms_cfg.toml Use for collection of statistics *and get client connection*
-ex.FEE_IN_PAIR = True  # Fee pays in pair
 ex.FEE_MAKER = Decimal('0.1')  # standard exchange Fee for maker
 ex.FEE_TAKER = Decimal('0.17')  # standard exchange Fee for taker
-ex.FEE_SECOND = False  # On KRAKEN fee always in second coin
-ex.FEE_BNB_IN_PAIR = False  # Binance fee in BNB and BNB is base asset
+ex.FEE_FIRST = False  # For example fee in BNB and BNB in pair, and it is base asset
+ex.FEE_SECOND = False  # For example fee in BNB and BNB in pair, and it is quote asset
 ex.GRID_MAX_COUNT = 5  # Maximum counts for placed grid orders
 # Trade parameter
 ex.START_ON_BUY = True  # First cycle direction
@@ -147,8 +146,6 @@ def trade(strategy=None):
         except Exception as _err:
             print(f"Error: {_err}")
         loop.run_until_complete(loop.shutdown_asyncgens())
-        if ex.MODE in ('T', 'TC'):
-            loop.close()
     return strategy
 
 

martin_binance/cli_3_BTCUSDT.py.template

@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0"
+__version__ = "3.0.1"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -37,11 +37,10 @@ import martin_binance.params as ex
 ex.SYMBOL = 'BTCUSDT'
 # Exchange setup, see list of exchange in ms_cfg.toml
 ex.ID_EXCHANGE = 3  # See ms_cfg.toml Use for collection of statistics *and get client connection*
-ex.FEE_IN_PAIR = True  # Fee pays in pair
 ex.FEE_MAKER = Decimal('0.1')  # standard exchange Fee for maker
 ex.FEE_TAKER = Decimal('0.15')  # standard exchange Fee for taker
-ex.FEE_SECOND = False  # On KRAKEN fee always in second coin
-ex.FEE_BNB_IN_PAIR = False  # Binance fee in BNB and BNB is base asset
+ex.FEE_FIRST = False  # For example fee in BNB and BNB in pair, and it is base asset
+ex.FEE_SECOND = False  # For example fee in BNB and BNB in pair, and it is quote asset
 ex.GRID_MAX_COUNT = 5  # Maximum counts for placed grid orders
 # Trade parameter
 ex.START_ON_BUY = True  # First cycle direction
@@ -70,7 +69,7 @@ ex.COLLECT_ASSETS = False  # Transfer free asset to main account, valid for suba
 ex.ADAPTIVE_TRADE_CONDITION = True
 ex.BB_CANDLE_SIZE_IN_MINUTES = 60
 ex.BB_NUMBER_OF_CANDLES = 20
-ex.KBB = 1.0  # k for Bollinger Band
+ex.KBB = 2.0  # k for Bollinger Band
 # Parameter for calculate price of grid orders by logarithmic scale
 # If -1 function is disabled, can take a value from 0 to infinity (in practice no more 1000)
 # When 0 - logarithmic scale, increase parameter the result is approaching linear
@@ -147,8 +146,6 @@ def trade(strategy=None):
         except Exception as _err:
             print(f"Error: {_err}")
         loop.run_until_complete(loop.shutdown_asyncgens())
-        if ex.MODE in ('T', 'TC'):
-            loop.close()
     return strategy
 
 

martin_binance/client.py

@@ -4,7 +4,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc7"
+__version__ = "3.0.0rc22"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -14,6 +14,7 @@
 
 import grpclib.exceptions
 import shortuuid
+import traceback
 
 from exchanges_wrapper import martin as mr, Channel, Status, GRPCError
 
@@ -90,24 +91,20 @@ async def send_request(self, _request, _request_type, **kwargs):
         except asyncio.CancelledError:
             pass  # Task cancellation should not be logged as an error
         except grpclib.exceptions.StreamTerminatedError:
-            logger.warning("Have not connection to gRPC server")
+            raise UserWarning("Have not connection to gRPC server")
+        except ConnectionRefusedError as ex:
+            raise UserWarning("Connection to gRPC server broken")
         except GRPCError as ex:
             status_code = ex.status
-            if (
-                (status_code == Status.UNAVAILABLE
-                 and 'failed to connect to all addresses' in ex.message)
-                    or
-                (status_code == Status.UNKNOWN
-                 and "No client exist" in ex.message)
-            ):
+            if status_code == Status.UNAVAILABLE:
                 self.client = None
                 raise UserWarning(
                     "Connection to gRPC server failed, wait connection..."
                 ) from ex
-            if status_code == Status.RESOURCE_EXHAUSTED:
-                raise
-            logger.debug(f"Exception on send request {_request}: {status_code.name}, {ex.message}")
+            logger.debug(f"Send request {_request}: {status_code.name}, {ex.message}")
             raise
+        except Exception as ex:
+            logger.error(f"Exception on send request {ex}")
         else:
             if res is None:
                 self.client = None