Support for Bitfinex margin trading

.gitignore

@@ -36,7 +36,7 @@ dwsync.xml
 *.espressostorage
 
 # Folders & files to ignore
-
+strategies/custom*
 node_modules
 candles.csv
 cexio.db
@@ -48,4 +48,4 @@ config.js
 config-*.js
 private-*.js
 private-*.toml
-SECRET-api-keys.json
+SECRET-api-keys.json

config/plugins/paperTrader.toml

@@ -1,8 +1,8 @@
-feeMaker = 0.25
-feeTaker = 0.25
+feeMaker = 0.1
+feeTaker = 0.1
 feeUsing = 'maker'
 slippage = 0.05
 
 [simulationBalance]
-asset = 1
-currency = 100
+asset = 0
+currency = 10000

config/plugins/tradingAdvisor.toml

@@ -1,9 +1,9 @@
 enabled = true
 
-candleSize = 60
+candleSize = 120
 historySize = 25
-method = "MACD"
+method = "RSI"
 
 [talib]
 enabled = false
-version = "1.0.2"
+version = "1.0.2"

exchanges/bitfinex.js

@@ -64,7 +64,7 @@ Trader.prototype.getPortfolio = function(callback) {
     if (err) return callback(err);
 
     // We are only interested in funds in the "exchange" wallet
-    data = data.filter(c => c.type === 'exchange');
+    data = data.filter(c => c.type === 'trading');
 
     const asset = _.find(data, c => c.currency.toUpperCase() === this.asset);
     const currency = _.find(data, c => c.currency.toUpperCase() === this.currency);
@@ -85,15 +85,30 @@ Trader.prototype.getPortfolio = function(callback) {
       currencyAmount = 0;
     }
 
-    const portfolio = [
-      { name: this.asset, amount: assetAmount },
-      { name: this.currency, amount: currencyAmount },
-    ];
-
-    callback(undefined, portfolio);
+    let processPositions = (err, operations) => {
+        if(err) return callback(err);
+        if(operations == undefined) {
+            log.error("got undefined operations list", err);
+            return callback()
+        }
+
+        operations.forEach((operation) => {
+            if(operation.symbol.toUpperCase().substr(0,3) == this.asset) {
+                assetAmount += parseFloat(operation.amount)
+            }
+        })
+
+        const portfolio = [
+              { name: this.asset, amount: assetAmount},
+              { name: this.currency, amount: currencyAmount },
+            ];
+
+        callback(undefined, portfolio);
+    };
+    this.bitfinex.active_positions(this.handleResponse('getPortfolio', processPositions))
   };
 
-  let handler = (cb) => this.bitfinex.wallet_balances(this.handleResponse('getPortfolio', cb));
+  let handler = (cb) => this.bitfinex.wallet_balances(this.handleResponse('getPortfolio', cb))
   util.retryCustom(retryForever, _.bind(handler, this), _.bind(process, this));
 }
 
@@ -118,32 +133,33 @@ Trader.prototype.getFee = function(callback) {
     callback(undefined, makerFee / 100);
 }
 
-Trader.prototype.submit_order = function(type, amount, price, callback) {
+Trader.prototype.submit_order = function(side, amount, price, callback, type) {
   let process = (err, data) => {
     if (err) return callback(err);
 
     callback(err, data.order_id);
   }
 
+
   amount = Math.floor(amount*100000000)/100000000;
   let handler = (cb) => this.bitfinex.new_order(this.pair,
     amount + '',
     price + '',
     this.name.toLowerCase(),
+    side,
     type,
-    'exchange limit',
     this.handleResponse('submitOrder', cb)
   );
 
   util.retryCustom(retryCritical, _.bind(handler, this), _.bind(process, this));
 }
 
 Trader.prototype.buy = function(amount, price, callback) {
-  this.submit_order('buy', amount, price, callback);
+  this.submit_order('buy', amount, price, callback, 'limit');
 }
 
 Trader.prototype.sell = function(amount, price, callback) {
-  this.submit_order('sell', amount, price, callback);
+  this.submit_order('sell', amount, price, callback, 'limit');
 }
 
 Trader.prototype.checkOrder = function(order_id, callback) {

importers/exchanges/bitfinex.js

@@ -76,7 +76,7 @@ var fetch = () => {
     // We need to slow this down to prevent hitting the rate limits
     setTimeout(() => {
       fetcher.getTrades(lastTimestamp, handleFetch);
-    }, 2500);
+    }, 2700);
   } else {
     lastTimestamp = from.valueOf();
     batch_start = moment(from);

plugins/paperTrader/paperTrader.js

@@ -1,6 +1,7 @@
 const _ = require('lodash');
 
 const util = require('../../core/util');
+var log = require('../../core/log.js');
 const ENV = util.gekkoEnv();
 
 const config = util.getConfig();
@@ -35,6 +36,8 @@ PaperTrader.prototype.relayTrade = function(advice) {
     action = 'sell';
   else if(what === 'long')
     action = 'buy';
+ else if(what === 'close')
+    action = 'close';
   else
     return;
 
@@ -74,17 +77,43 @@ PaperTrader.prototype.updatePosition = function(advice) {
   // virtually trade all {currency} to {asset}
   // at the current price (minus fees)
   if(what === 'long') {
+    // close short if exist
+    if(this.portfolio.asset < 0) {
+        this.portfolio.currency += this.portfolio.asset * price ;
+        this.portfolio.asset = 0;
+        this.trades++;
+    }
     this.portfolio.asset += this.extractFee(this.portfolio.currency / price);
     this.portfolio.currency = 0;
-    this.trades++;
   }
 
-  // virtually trade all {currency} to {asset}
+  // virtually trade all {asset} to {asset}
   // at the current price (minus fees)
   else if(what === 'short') {
-    this.portfolio.currency += this.extractFee(this.portfolio.asset * price);
-    this.portfolio.asset = 0;
-    this.trades++;
+    // close long if exist
+    if(this.portfolio.asset > 0) {
+        this.portfolio.currency += this.extractFee(this.portfolio.asset * price);
+        this.portfolio.asset = 0;
+    }     
+    if(this.portfolio.asset == 0) {
+        this.portfolio.asset = -this.portfolio.currency / price;
+        this.portfolio.currency += this.portfolio.currency;
+    }
+  }
+
+  else if (what === 'close') {
+      // close short if exist
+     if(this.portfolio.asset < 0) {
+        this.portfolio.currency += this.portfolio.asset * price ;
+        this.portfolio.asset = 0;
+        this.trades++;
+        //log.debug("SHORT", "end", this.portfolio.currency, this.portfolio.asset, price)      
+     }
+     if(this.portfolio.asset > 0) {
+        this.portfolio.currency += this.extractFee(this.portfolio.asset * price);
+        this.portfolio.asset = 0;
+        //log.debug("LONG", "end", this.portfolio.currency, this.portfolio.asset, price)      
+     }     
   }
 }
 

plugins/performanceAnalyzer/performanceAnalyzer.js

@@ -4,7 +4,7 @@ const moment = require('moment');
 const stats = require('../../core/stats');
 const util = require('../../core/util');
 const ENV = util.gekkoEnv();
-
+var log = require('../../core/log.js');
 const config = util.getConfig();
 const perfConfig = config.performanceAnalyzer;
 const watchConfig = config.watch;
@@ -74,31 +74,47 @@ PerformanceAnalyzer.prototype.processTrade = function(trade) {
 }
 
 PerformanceAnalyzer.prototype.logRoundtripPart = function(trade) {
-  // this is not part of a valid roundtrip
-  if(!this.roundTrip.entry && trade.action === 'sell') {
-    return;
-  }
-
   if(trade.action === 'buy') {
-    if (this.roundTrip.exit) {
-      this.roundTrip.id++;
-      this.roundTrip.exit = false
+    if(this.roundTrip.entry) {
+        this.roundTrip.exit = {
+         date: trade.date,
+         price: trade.price,
+         total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
+        }
+        this.handleRoundtrip();
     }
-
     this.roundTrip.entry = {
       date: trade.date,
       price: trade.price,
       total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
     }
-  } else if(trade.action === 'sell') {
+  } 
+  else if(trade.action === 'sell') {
+    if(this.roundTrip.entry) {
+        this.roundTrip.exit = {
+         date: trade.date,
+         price: trade.price,
+         total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
+        }
+        this.handleRoundtrip();
+    }
+    this.roundTrip.exit = false
+    this.roundTrip.entry = {
+      date: trade.date,
+      price: trade.price,
+      total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
+    }
+  } 
+  else if(trade.action === 'close') {
     this.roundTrip.exit = {
       date: trade.date,
       price: trade.price,
       total: trade.portfolio.currency + (trade.portfolio.asset * trade.price),
     }
-
     this.handleRoundtrip();
+    this.roundTrip.entry = false;
   }
+
 }
 
 PerformanceAnalyzer.prototype.round = function(amount) {
@@ -123,6 +139,8 @@ PerformanceAnalyzer.prototype.handleRoundtrip = function() {
   roundtrip.pnl = roundtrip.exitBalance - roundtrip.entryBalance;
   roundtrip.profit = (100 * roundtrip.exitBalance / roundtrip.entryBalance) - 100;
 
+  log.debug("PNL", roundtrip.profit)
+
   this.roundTrips[this.roundTrip.id] = roundtrip;
 
   // this will keep resending roundtrips, that is not ideal.. what do we do about it?
@@ -142,7 +160,7 @@ PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
   // the portfolio's balance is measured in {currency}
   let balance = this.current.currency + this.price * this.current.asset;
   let profit = balance - this.start.balance;
-
+  
   let timespan = moment.duration(
     this.dates.end.diff(this.dates.start)
   );
@@ -178,6 +196,7 @@ PerformanceAnalyzer.prototype.calculateReportStatistics = function() {
 
 PerformanceAnalyzer.prototype.finalize = function(done) {
   const report = this.calculateReportStatistics();
+  log.debug("Total Profit", report);
   this.handler.finalize(report);
   done();
 }

plugins/trader/trade.js

@@ -77,17 +77,25 @@ class Trade{
     let act = () => {
       var amount, price;
       if(this.action === 'BUY') {
-        amount = this.portfolio.getBalance(this.currency) / this.portfolio.ticker.ask;
-        if(amount > 0){
-            price = this.portfolio.ticker.bid;
-            this.buy(amount, price);
-        }
+        const amount = this.portfolio.getBalance(this.currency) / this.portfolio.ticker.ask;
+        if(amount > 0)
+            this.buy(amount);
+        else 
+            log.debug("no money for margin selling");
       } else if(this.action === 'SELL') {
-        amount = this.portfolio.getBalance(this.asset) - this.keepAsset;
-        if(amount > 0){
-            price = this.portfolio.ticker.ask;
-            this.sell(amount, price);
-        }
+        const amount = this.portfolio.getBalance(this.currency) / this.portfolio.ticker.ask;
+        if(amount > 0)
+            this.sell(amount);
+        else
+            log.debug("no money for margin selling");
+     } else if(this.action === 'CLOSE') {
+        const asset_amount = this.portfolio.getBalance(this.asset);
+        if(asset_amount < 0) 
+            this.buy(-asset_amount);
+        else if (asset_amount > 0)
+            this.sell(asset_amount);
+        else 
+            log.debug("nothing to close");
       }
     }
 
@@ -101,9 +109,9 @@ class Trade{
   // first do a quick check to see whether we can buy
   // the asset, if so BUY and keep track of the order
   // (amount is in asset quantity)
-  buy(amount, price) {
+  buy(amount) {
+    const  price = this.portfolio.ticker.bid;
     let minimum = 0;
-
     let process = (err, order) => {
       if(!this.isActive || this.isDeactivating){
         return log.debug(this.action, "trade class is no longer active")
@@ -120,7 +128,6 @@ class Trade{
           this.exchange.name
         );
       }
-
       log.info(
         'attempting to BUY',
         order.amount,
@@ -130,7 +137,6 @@ class Trade{
         'price:',
         order.price
       );
-
       this.exchange.buy(order.amount, order.price, _.bind(this.noteOrder,this) );
     }
 
@@ -145,7 +151,8 @@ class Trade{
   // first do a quick check to see whether we can sell
   // the asset, if so SELL and keep track of the order
   // (amount is in asset quantity)
-  sell(amount, price) {
+  sell(amount) {
+    const price = this.portfolio.ticker.ask;
     let minimum = 0;
     let process = (err, order) => {
 
@@ -156,7 +163,7 @@ class Trade{
       // if order to small
       if (!order.amount || order.amount < minimum) {
         return log.warn(
-          'wanted to buy',
+          'wanted to sell',
           this.currency,
           'but the amount is too small ',
           '(' + parseFloat(amount).toFixed(8) + ' @',
@@ -307,12 +314,12 @@ class Trade{
 
   getMinimum(price) {
     if(this.minimalOrder.unit === 'currency')
-      return minimum = this.minimalOrder.amount / price;
+      return this.minimalOrder.amount / price;
     else
-      return minimum = this.minimalOrder.amount;
+      return this.minimalOrder.amount;
   }
 }
 
 util.makeEventEmitter(Trade)
 
-module.exports = Trade
+module.exports = Trade