switching between strategies

Sim-fo commented 9 years ago

Thank you for the Avarice bot, very useful program. Unfortunately, I fail to adjust the program for switching between strategies. Is it possible to use volatility indicator for switching between that? For example: if StdDev > 0.2 works only EMA if StdDev < 0.2 works only FullStochRSID

It would be great especially for oscillators, if the indicator value and buying/selling decision would be calculated every 2 secs depending on API but not after forming the candle.

RealJohnGalt commented 9 years ago

You have two improvements listed.

Currently only one configuration may be used per indicator, but I agree it would be a great improvement to offer multiple configurations per indicator instance. This will definitely be implemented in the future. I've been thinking of making TradeIndicators capable of being a dictionary with configuration included, but leave legacy support intact so basic users would still be able to configure easily.
Right now the only option is to aggregate your indicator settings for lower candle sizes. The issue is that with some indicators you will begin trading more off false signals than you otherwise would. This can even be seen with aggregating a 15m indicator configuration on 1m candles. For an oscillator I don't think this could be as large of an issue (except that if SingleTrade is set to false, more trades will occur).

For now you could run two separate instances of the software in two separate directories with your StdDev/EMA and StdDev/FullStochRSID configurations.

I'll be leaving this issue open until these improvements are implemented. Thank you for bringing them up.

Sim-fo commented 9 years ago

For now you could run two separate instances of the software in two separate directories with your StdDev/EMA and StdDev/FullStochRSID configurations.

Thanks for advise, I thought about it. With a pair of EMA/StdDev all is clear - [['StdDev', 'EMA']]. It's works. What should I do if I want to FullStochRSID works only if treshold StdDev less than 0.4? How can I limit the treshold on the opposite side?

RealJohnGalt commented 9 years ago

I didn't even catch that we don't currently support that for volatility indicators. Give me a bit and there will be a new configurable for volatility indicators to allow that.

Sim-fo commented 9 years ago

Thank you!

RealJohnGalt commented 9 years ago

Part of this was implemented in 7db27f6e. There was also an issue in master which was breaking some combined indicators which is now fixed.

Currently you will need to run two separate instances of the software in separate directories to accomplish what you want. I have changes planned later on for this, but it's quite a bit of rewriting as of now.

For FullStochRSID and StdDev, you would run [['FullStochRSID', 'StdDev']]. Then set StdDev's VolatilityThresholdOver to False.

Sim-fo commented 9 years ago

Thank you, it's working. But the third version of the program sometimes can't connect through websocket protocol, I get such errors:

Connecting to Private OKCoin WebSocket...
Connecting to Public OKCoin WebSocket...
Future/Task exception was never retrieved
future: Task(<initialize>)<exception=UnboundLocalError("local variable 'ws' referenced before       assignment",)>
Traceback (most recent call last):
  File "/home/ubuntu/workspace/okcoin/WebSocketAPI.py", line 30, in initialize
    ws = yield from websockets.connect(url)
  File "/home/ubuntu/.local/lib/python3.4/site-packages/websockets/client.py", line 120, in connect
    factory, wsuri.host, wsuri.port, **kwds)
  File "/usr/lib/python3.4/asyncio/base_events.py", line 437, in create_connection
    sock, protocol_factory, ssl, server_hostname)
  File "/usr/lib/python3.4/asyncio/base_events.py", line 453, in _create_connection_transport
    yield from waiter
  File "/usr/lib/python3.4/asyncio/futures.py", line 348, in __iter__
    yield self  # This tells Task to wait for completion.
  File "/usr/lib/python3.4/asyncio/tasks.py", line 351, in _wakeup
    value = future.result()
  File "/usr/lib/python3.4/asyncio/futures.py", line 243, in result
    raise self._exception
  File "/usr/lib/python3.4/asyncio/selector_events.py", line 598, in _on_handshake
    self._sock.do_handshake()
  File "/usr/lib/python3.4/ssl.py", line 805, in do_handshake
    self._sslobj.do_handshake()
ConnectionResetError: [Errno 104] Connection reset by peer

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/usr/lib/python3.4/asyncio/tasks.py", line 298, in _step
    result = coro.throw(exc)
  File "/home/ubuntu/workspace/okcoin/WebSocketAPI.py", line 35, in initialize
    OKCoinWSPublic.Ticker = yield from ws.recv()
UnboundLocalError: local variable 'ws' referenced before assignment>>

The second version at the same time connects without any problems. Is it a problem on okcoin.com with websocket protocol or bug of the third version the program? When I used the second version... I didn't have such problem

And sometimes I get these errors:

EMAwbic: -2.6382200447091063e-14 %
Exception in thread Thread-343:
Traceback (most recent call last):
  File "/usr/lib/python3.4/threading.py", line 920, in _bootstrap_inner
    self.run()
  File "/usr/lib/python3.4/threading.py", line 1186, in run
    self.function(*self.args, **self.kwargs)
  File "/home/ubuntu/workspace/genutils.py", line 16, in do_every
    worker_func()
  File "avarice.py", line 39, in RunCommon
    {executor.submit(getattr(indicators, ind).indicator()): ind for ind in gc.IndicatorList}
  File "avarice.py", line 39, in <dictcomp>
    {executor.submit(getattr(indicators, ind).indicator()): ind for ind in gc.IndicatorList}
  File "/home/ubuntu/workspace/indicators.py", line 236, in indicator
    ldb.price_list, storage.getlist('FRAMA_Short_list'), gc.FRAMA.ShortPeriod))
  File "/home/ubuntu/workspace/indicators.py", line 53, in FRAMA
    * (Helpers.FractalDimension(list1, period1) - 1))
  File "/home/ubuntu/workspace/indicators.py", line 48, in FractalDimension
    D = (math.log(N1 + N2) - math.log(N3)) / math.log(2)
ValueError: math domain error

Traceback (most recent call last):
  File "/usr/lib/python3.4/threading.py", line 920, in _bootstrap_inner
    self.run()
  File "/usr/lib/python3.4/threading.py", line 1186, in run
    self.function(*self.args, **self.kwargs)
  File "/home/ubuntu/workspace/genutils.py", line 16, in do_every
    worker_func()
  File "avarice.py", line 39, in RunCommon
    {executor.submit(getattr(indicators, ind).indicator()): ind for ind in gc.IndicatorList}
  File "avarice.py", line 39, in <dictcomp>
    {executor.submit(getattr(indicators, ind).indicator()): ind for ind in gc.IndicatorList}
  File "/home/ubuntu/workspace/indicators.py", line 416, in indicator
    'KDJ_FastK_list', Helpers.FastStochK(ldb.price_list, gc.KDJ.FastKPeriod))
  File "/home/ubuntu/workspace/indicators.py", line 71, in FastStochK
    - LowestPeriod)) * 100
ZeroDivisionError: float division by zero

Exception in thread Thread-39:
Traceback (most recent call last):
  File "/usr/lib/python3.4/threading.py", line 920, in _bootstrap_inner
    self.run()
  File "/usr/lib/python3.4/threading.py", line 1186, in run
    self.function(*self.args, **self.kwargs)
  File "/home/ubuntu/workspace/genutils.py", line 16, in do_every
    worker_func()
  File "avarice.py", line 44, in RunCommon
    trd.TradeFromStrategy()
  File "/home/ubuntu/workspace/trader.py", line 77, in TradeFromStrategy
    TradeAmount = GetTradeAmount('sell', st.Trade_dict['TradeVolume'])
  File "/home/ubuntu/workspace/trader.py", line 19, in GetTradeAmount
    ta = gu.RoundIfGreaterThan((volume / 100) * el.GetFree('asset'), 3)
  File "/home/ubuntu/workspace/exchangelayer.py", line 39, in GetFree
    okwspriv.userinfo())[-1]['data']['info']['funds']['free'][gc.API.Asset]
  File "/home/ubuntu/workspace/okcoin/WebSocketAPI.py", line 70, in userinfo
    'parameters':{ 'api_key':'" + self.api_key + "', 'sign':'" + sign + "'} }")
  File "/home/ubuntu/.local/lib/python3.4/site-packages/websocket/_core.py", line 686, in send
    return self.send_frame(frame)
  File "/home/ubuntu/.local/lib/python3.4/site-packages/websocket/_core.py", line 712, in send_frame
    l = self._send(data)
  File "/home/ubuntu/.local/lib/python3.4/site-packages/websocket/_core.py", line 923, in _send
    return self.sock.send(data)
  File "/usr/lib/python3.4/ssl.py", line 679, in send
    v = self._sslobj.write(data)
ssl.SSLError: [SSL: BAD_WRITE_RETRY] bad write retry (_ssl.c:1636)

Maybe that happens because for oscillators I set the interval less than one minute? Or there could be other reasons?

RealJohnGalt commented 9 years ago

For your first issue: Make sure that each of your software instances are updated. OKCoin has also been having major connection issues which would stop most new connections (paired with bad downtime). This is outside of their update times also, and I've noticed similar behavior. Avarice doesn't try indefinitely to connect for the public connection, and these exceptions may occur if a connection can't be established in the two attempts. I'll be sure to catch those with a printed error.

For your second issues, I just submitted a few new commits to catch these exceptions. You're correct they'd be less likely to occur at larger candle sizes, but they shouldn't pop up for you any longer.

Since just after the last OKCoin update, I haven't seen any connection issues while testing. Hopefully this lasts.

Sim-fo commented 9 years ago

Thank you very much! Now everything works perfectly.

Galts-Gulch / avarice

switching between strategies #13