Merge pull request #415 from enarjord/v5.9.12_AU_delay

V5.9.12 au delay

README.md

@@ -4,7 +4,7 @@
 
 :warning: **Use at own risk** :warning:
 
-v5.9.11
+v5.9.12
 
 
 ## Overview

auto_profit_transfer.py

@@ -79,6 +79,7 @@ async def main():
             # traceback.print_exc()
             income = []
         income = [e for e in income if e["transaction_id"] not in already_transferred_ids]
+        income = [x for x in income if x['timestamp'] > now - 1000 * 60 * 60 * 24]
         income = [e for e in income if e["token"] == args.quote]
         profit = sum([e["income"] for e in income])
         to_transfer = round_dynamic(profit * args.percentage, 4)
@@ -88,9 +89,6 @@ async def main():
             try:
                 transferred = await bot.transfer_from_derivatives_to_spot(args.quote, to_transfer)
                 logging.info(f"income: {profit} transferred {to_transfer} {args.quote}")
-                if exchange == "bybit":
-                    if "ret_msg" not in transferred or transferred["ret_msg"] not in ["OK", "success"]:
-                        print(f"error with transfer {transferred}")
                 logging.info(f"{transferred}")
                 already_transferred_ids.update([e["transaction_id"] for e in income])
                 json.dump(list(already_transferred_ids), open(transfer_log_fpath, "w"))

backtest.py

@@ -11,7 +11,7 @@
 import pandas as pd
 
 from downloader import Downloader, load_hlc_cache
-from njit_funcs import backtest_static_grid, round_
+from njit_funcs import round_
 from njit_funcs_recursive_grid import backtest_recursive_grid
 from njit_funcs_neat_grid import backtest_neat_grid
 from njit_clock import backtest_clock
@@ -61,14 +61,6 @@ def backtest(config: dict, data: np.ndarray, do_print=False) -> (list, bool):
             config["maker_fee"],
             **xk,
         )
-    elif passivbot_mode == "static_grid":
-        return backtest_static_grid(
-            data,
-            config["starting_balance"],
-            config["latency_simulation_ms"],
-            config["maker_fee"],
-            **xk,
-        )
     else:
         raise Exception(f"unknown passivbot mode {passivbot_mode}")
 
@@ -172,17 +164,12 @@ async def main():
         help="disable plotting",
     )
     args = parser.parse_args()
-    if args.symbol is None:
-        tmp_cfg = load_hjson_config(args.backtest_config_path)
-        symbols = (
-            tmp_cfg["symbol"] if type(tmp_cfg["symbol"]) == list else tmp_cfg["symbol"].split(",")
-        )
-    else:
-        symbols = args.symbol.split(",")
-    for symbol in symbols:
-        args = parser.parse_args()
-        args.symbol = symbol
-        config = await prepare_backtest_config(args)
+    config = prepare_backtest_config(args)
+    for symbol in config["symbols"]:
+        if "symbol" not in config or symbol != config["symbol"]:
+            args = parser.parse_args()
+            args.symbols = symbol
+            config = prepare_backtest_config(args)
         config["n_parts"] = args.n_parts
         live_config = load_live_config(args.live_config_path)
         if "spot" in config["market_type"]:

configs/backtest/default.hjson

@@ -5,7 +5,29 @@
   # exchange from api-keys.json is used
   user: binance_01
 
-  symbol: specify_symbol
+  # symbols with data since earlier than 2021-05-01
+  symbols: [
+    "BTCUSDT", "ETHUSDT", "BCHUSDT", "XRPUSDT", "EOSUSDT",
+    "LTCUSDT", "TRXUSDT", "ETCUSDT", "LINKUSDT", "XLMUSDT",
+    "ADAUSDT", "XMRUSDT", "DASHUSDT", "ZECUSDT", "XTZUSDT",
+    "BNBUSDT", "ATOMUSDT", "ONTUSDT", "IOTAUSDT", "BATUSDT",
+    "VETUSDT", "NEOUSDT", "QTUMUSDT", "IOSTUSDT", "THETAUSDT",
+    "ALGOUSDT", "ZILUSDT", "KNCUSDT", "ZRXUSDT", "COMPUSDT",
+    "OMGUSDT", "DOGEUSDT", "SXPUSDT", "KAVAUSDT", "BANDUSDT",
+    "RLCUSDT", "WAVESUSDT", "MKRUSDT", "SNXUSDT", "DOTUSDT",
+    "DEFIUSDT", "YFIUSDT", "BALUSDT", "CRVUSDT", "TRBUSDT",
+    "RUNEUSDT", "SUSHIUSDT", "EGLDUSDT", "SOLUSDT", "ICXUSDT",
+    "STORJUSDT", "BLZUSDT", "UNIUSDT", "AVAXUSDT", "FTMUSDT",
+    "ENJUSDT", "FLMUSDT", "TOMOUSDT", "RENUSDT", "KSMUSDT",
+    "NEARUSDT", "AAVEUSDT", "FILUSDT", "RSRUSDT", "LRCUSDT",
+    "MATICUSDT", "OCEANUSDT", "BELUSDT", "CTKUSDT", "AXSUSDT",
+    "ALPHAUSDT", "ZENUSDT", "SKLUSDT", "GRTUSDT", "1INCHUSDT",
+    "CHZUSDT", "SANDUSDT", "ANKRUSDT", "LITUSDT", "UNFIUSDT",
+    "REEFUSDT", "RVNUSDT", "SFPUSDT", "XEMUSDT", "COTIUSDT",
+    "CHRUSDT", "MANAUSDT", "ALICEUSDT", "HBARUSDT", "ONEUSDT",
+    "LINAUSDT", "STMXUSDT", "DENTUSDT", "CELRUSDT", "HOTUSDT",
+    "MTLUSDT", "OGNUSDT", "NKNUSDT", "DGBUSDT",
+  ]
   latency_simulation_ms: 1000
 
   # specify starting balance in terms of margin token (i.e. usdt for usdt-m, coin for inverse coin-m)
@@ -14,7 +36,7 @@
   # format YYYY-MM-DD
   # end_date may be set to "now" or "today" to use current day (UTC) as end_date
   start_date: 2020-01-01
-  end_date: 2023-07-24
+  end_date: now
 
   # Reduce disk usage and improve some optimize speed with the slim analysis
   slim_analysis: true

configs/forager/example_config.hjson

@@ -1,6 +1,6 @@
 {
-  // supported exchanges: [kucoin, okx, bybit, binance]
-  user: binance_01
+  // supported exchanges: [kucoin, okx, bybit, binance, bitget]
+  user: bybit_01
   twe_long: 1.6
   twe_short: 0.8
   n_longs: 6
@@ -10,14 +10,21 @@
   ohlcv_interval: 1h
   leverage: 10
   price_distance_threshold: 0.3
+  passivbot_root_dir: "~/passivbot"
 
   // set to zero to disable
   volume_clip_threshold: 0.51  // include 51% of the highest volume coins
   unilateralness_clip_threshold: 0.49 // include 49% of symbols with lowest unilateralness
   noisiness_clip_threshold: 0.52 // include 52% of symbols with highest noisiness
 
+  // don't allow symbols younger than threshold. Format YYYY-MM. Set to 0 to allow all symbols.
+  market_age_threshold: 2021-06
+
   max_n_panes: 8
 
+  // start bots with x seconds delay
+  sleep_interval: 5
+
   // forager restarts bots every x minutes
   update_interval_minutes: 60
 
@@ -27,35 +34,62 @@
     SYM2USDT
   ]
 
-  // if symbol is missing from live_configs_map, default to this config
-  default_config_path: configs/live/clock_mode.example.json
+  // if approved_symbols_long is empty, all symbols are approved for longs
+  approved_symbols_long: [
+    BTCUSDT
+    XMRUSDT
+    XRPUSDT
+    BCHUSDT
+  ]
 
-  // if true, allow only symbols present in live_configs_map or live_configs_map_{long/short}
-  // if false, will use default_config_path when symbol is missing from live_configs_map
-  approved_symbols_only: false
+  // if approved_symbols_short is empty, all symbols are approved for shorts
+  approved_symbols_short: [
+    BTCUSDT
+    ETHUSDT
+    DOGEUSDT
+    EOSUSDT
+  ]
 
-  // if symbol is present in live_configs_map_{long/short}, use that config for {long/short}
-  // elif symbol is present in live_configs_map, use that config for {long/short}
-  // else use default_config_path for {long/short}
+  // Specify directory containing live configs.
+  // They are sorted alphabetically, then the first config whose filename includes symbol is selected.
+  // Set to "" to disable
+  live_configs_dir_long: "configs/live/single_symbol_optimizations/recursive_grid/"
+  live_configs_dir_short: "configs/live/single_symbol_optimizations/clock/"
 
+  // overrides live_configs_dir
   live_configs_map: {
     BTCUSDT: configs/live/clock_mode.example.json
     ETHUSDT: configs/live/neat_grid_mode.example.json
-    DOGEUSDT: configs/live/recursive_grid_mode.example.json
+    DOGEUSDT: configs/live/single_symbol_optimizations/recursive_grid/DOGEUSDT.json
+    LTCUSDT: configs/live/single_symbol_optimizations/recursive_grid/LTCUSDT.json
+    ADAUSDT: configs/live/neat_grid_mode.example.json
   }
 
-  // will override long configs from live_configs_map
+  // overrides long configs from live_configs_map
   live_configs_map_long: {
     BTCUSDT: configs/live/clock_mode.example.json
     XMRUSDT: configs/live/neat_grid_mode.example.json
-    XRPUSDT: configs/live/recursive_grid_mode.example.json
+    XRPUSDT: configs/live/single_symbol_optimizations/clock/XRPUSDT.json
+    BCHUSDT: configs/live/clock_mode.example.json
+    XLMUSDT: configs/live/neat_grid_mode.example.json
   }
 
-  // will override short configs from live_configs_map
+  // overrides short configs from live_configs_map
   live_configs_map_short: {
     BTCUSDT: configs/live/clock_mode.example.json
     ETHUSDT: configs/live/neat_grid_mode.example.json
     DOGEUSDT: configs/live/recursive_grid_mode.example.json
+    EOSUSDT: configs/live/single_symbol_optimizations/clock/EOSUSDT.json
+    MATICUSDT: configs/live/neat_grid_mode.example.json
   }
 
+  // if symbol is missing from live_configs_map, default to this config
+  default_config_path: configs/live/clock_mode.example.json
+
+  // if symbol is approved:
+  // if symbol is present in live_configs_map_{long/short}, use that config for {long/short}
+  // elif symbol is present in live_configs_map, use that config for {long/short}
+  // elif there is a filename in live_configs_dir_{long/short} containing symbol, use that config for {long/short}
+  // else use default_config_path for {long/short}
+
 }

configs/live/single_symbol_optimizations/clock/1000FLOKIUSDT.json

@@ -0,0 +1,37 @@
+{"config_name": "clock_0days",
+ "long": {"backwards_tp": true,
+          "delay_between_fills_minutes_close": 1397.8199291138544,
+          "delay_between_fills_minutes_entry": 793.1004339866311,
+          "delay_weight_close": 54.16698659813556,
+          "delay_weight_entry": 11.304365076226238,
+          "ema_dist_close": 0.002733527861907303,
+          "ema_dist_entry": -0.000346237700325354,
+          "ema_span_0": 521.6924137710201,
+          "ema_span_1": 754.3854297676163,
+          "enabled": true,
+          "markup_range": 0.00675618003034359,
+          "min_markup": 0.00964021986412634,
+          "n_close_orders": 3,
+          "qty_pct_close": 0.01270611205690984,
+          "qty_pct_entry": 0.012330519289802042,
+          "wallet_exposure_limit": 1,
+          "we_multiplier_close": 0,
+          "we_multiplier_entry": 46.15137992696264},
+ "short": {"backwards_tp": true,
+           "delay_between_fills_minutes_close": 566.728048226077,
+           "delay_between_fills_minutes_entry": 98.60896944334999,
+           "delay_weight_close": 0.0012662552903666487,
+           "delay_weight_entry": 10.46322317873434,
+           "ema_dist_close": 0.003,
+           "ema_dist_entry": -0.008628095599072209,
+           "ema_span_0": 226.33627318454913,
+           "ema_span_1": 225.73496090568048,
+           "enabled": true,
+           "markup_range": 0.0026059276449264266,
+           "min_markup": 0.0040488502429980484,
+           "n_close_orders": 2,
+           "qty_pct_close": 0.010878416974961412,
+           "qty_pct_entry": 0.010011407123709742,
+           "wallet_exposure_limit": 1,
+           "we_multiplier_close": 0,
+           "we_multiplier_entry": 23.220265927651216}}

configs/live/single_symbol_optimizations/clock/1000LUNCUSDT.json

@@ -0,0 +1,37 @@
+{"config_name": "clock_0days",
+ "long": {"backwards_tp": true,
+          "delay_between_fills_minutes_close": 779.6536453291249,
+          "delay_between_fills_minutes_entry": 1214.798732179154,
+          "delay_weight_close": 28.14781741347243,
+          "delay_weight_entry": 16.16470641363938,
+          "ema_dist_close": -0.0032429746111499957,
+          "ema_dist_entry": -0.006282852707930733,
+          "ema_span_0": 1222.8727708274653,
+          "ema_span_1": 1303.9427372273854,
+          "enabled": true,
+          "markup_range": 0.059185801107474845,
+          "min_markup": 0.008944422760875825,
+          "n_close_orders": 9,
+          "qty_pct_close": 0.016598324712223573,
+          "qty_pct_entry": 0.010035975591842971,
+          "wallet_exposure_limit": 1,
+          "we_multiplier_close": 0,
+          "we_multiplier_entry": 45.50122992716007},
+ "short": {"backwards_tp": true,
+           "delay_between_fills_minutes_close": 927.5536393402995,
+           "delay_between_fills_minutes_entry": 76.65521428223664,
+           "delay_weight_close": 4.0912562091058975,
+           "delay_weight_entry": 0.4026069516881707,
+           "ema_dist_close": 0.0027286292890744213,
+           "ema_dist_entry": -0.0024395190240046735,
+           "ema_span_0": 1029.0821444294024,
+           "ema_span_1": 1110.6017165946846,
+           "enabled": true,
+           "markup_range": 0.0037852668244971474,
+           "min_markup": 0.0022884136867671575,
+           "n_close_orders": 6,
+           "qty_pct_close": 0.012226923140416623,
+           "qty_pct_entry": 0.010209693427915594,
+           "wallet_exposure_limit": 1,
+           "we_multiplier_close": 0,
+           "we_multiplier_entry": 30.520846381647537}}

configs/live/single_symbol_optimizations/clock/1000PEPEUSDT.json

@@ -0,0 +1,37 @@
+{"config_name": "clock_0days",
+ "long": {"backwards_tp": true,
+          "delay_between_fills_minutes_close": 1283.4591567628113,
+          "delay_between_fills_minutes_entry": 847.3109094024388,
+          "delay_weight_close": 86.7018425814027,
+          "delay_weight_entry": 9.202275996516597,
+          "ema_dist_close": 0.001476526444402524,
+          "ema_dist_entry": -0.011085874949114493,
+          "ema_span_0": 1037.287459168743,
+          "ema_span_1": 833.8803170014027,
+          "enabled": true,
+          "markup_range": 0.05291181517152272,
+          "min_markup": 0.0010745438344220344,
+          "n_close_orders": 2,
+          "qty_pct_close": 0.010378997269844847,
+          "qty_pct_entry": 0.012389144143921827,
+          "wallet_exposure_limit": 1,
+          "we_multiplier_close": 0,
+          "we_multiplier_entry": 44.19997879451239},
+ "short": {"backwards_tp": true,
+           "delay_between_fills_minutes_close": 1440,
+           "delay_between_fills_minutes_entry": 770.6426023185443,
+           "delay_weight_close": 8.917925567623623,
+           "delay_weight_entry": 5.086389066337287,
+           "ema_dist_close": 0.0016710347504039428,
+           "ema_dist_entry": -0.01151431025507491,
+           "ema_span_0": 1312.4148910387232,
+           "ema_span_1": 388.665918167387,
+           "enabled": true,
+           "markup_range": 0.02047099068754597,
+           "min_markup": 0.008792030549710284,
+           "n_close_orders": 5,
+           "qty_pct_close": 0.012909025258383385,
+           "qty_pct_entry": 0.01,
+           "wallet_exposure_limit": 1,
+           "we_multiplier_close": 0,
+           "we_multiplier_entry": 37.37968923364722}}

configs/live/single_symbol_optimizations/clock/1000SHIBUSDT.json

@@ -0,0 +1,37 @@
+{"config_name": "clock_0days",
+ "long": {"backwards_tp": true,
+          "delay_between_fills_minutes_close": 1275.6988333409186,
+          "delay_between_fills_minutes_entry": 931.8437442632235,
+          "delay_weight_close": 53.37104892529714,
+          "delay_weight_entry": 40.28095136690261,
+          "ema_dist_close": 0.0009723204313784626,
+          "ema_dist_entry": -0.003149000025455873,
+          "ema_span_0": 1327.038010186341,
+          "ema_span_1": 1215.141691018625,
+          "enabled": true,
+          "markup_range": 0.00727310979516928,
+          "min_markup": 0.0022237885862061205,
+          "n_close_orders": 9,
+          "qty_pct_close": 0.02629128545232999,
+          "qty_pct_entry": 0.01610331987228494,
+          "wallet_exposure_limit": 1,
+          "we_multiplier_close": 0,
+          "we_multiplier_entry": 40.06507052070499},
+ "short": {"backwards_tp": true,
+           "delay_between_fills_minutes_close": 1363.0016361019966,
+           "delay_between_fills_minutes_entry": 1235.2899997332424,
+           "delay_weight_close": 54.455512306587714,
+           "delay_weight_entry": 17.364312169662973,
+           "ema_dist_close": 0.0029987754468503817,
+           "ema_dist_entry": -0.004092425393016123,
+           "ema_span_0": 21.340514779566984,
+           "ema_span_1": 1003.7073183223773,
+           "enabled": true,
+           "markup_range": 0.014174601672917621,
+           "min_markup": 0.008181892665205713,
+           "n_close_orders": 4,
+           "qty_pct_close": 0.010201652774253018,
+           "qty_pct_entry": 0.015023064343410681,
+           "wallet_exposure_limit": 1,
+           "we_multiplier_close": 0,
+           "we_multiplier_entry": 9.959537257387307}}