kroutony
b6bd45b151
- Fix realized_pnl always being 0 on SELL (use amount*price instead of amount_usdt) - Add debug logging for all-HOLD LLM cycles (log sample HOLD reasons) - Fix nonce collision in Bitfinex API auth (add counter) - Fix timezone to UTC+8 in main, trade_logger, sync_cost_basis, check_errors - Fix stop-loss retry with longer delay after cancel - Add min order amount check in trader before BUY - Fix risk_manager to skip positions with amount <= 0 - Cap trade_history to 500 entries to prevent unbounded growth - Fix greedy regex in LLM response parser - Reset cost_tracking start dates to null Co-Authored-By: Claude Opus 4.6 (1M context) <noreply@anthropic.com>
288 lines
9.8 KiB
Python
288 lines
9.8 KiB
Python
import hashlib
|
|
import hmac
|
|
import json
|
|
import logging
|
|
import os
|
|
import time
|
|
|
|
import pandas as pd
|
|
import requests
|
|
|
|
import config
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Public API helpers
|
|
# ---------------------------------------------------------------------------
|
|
|
|
def _pub_get(path: str, params: dict | None = None) -> dict | list:
|
|
url = f"{config.BFX_BASE_URL}{path}"
|
|
resp = requests.get(url, params=params, timeout=15)
|
|
resp.raise_for_status()
|
|
return resp.json()
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Authenticated API helpers
|
|
# ---------------------------------------------------------------------------
|
|
|
|
_nonce_counter = 0
|
|
|
|
def _auth_post(path: str, body: dict | None = None) -> dict | list:
|
|
global _nonce_counter
|
|
body = body or {}
|
|
_nonce_counter += 1
|
|
nonce = str(int(time.time() * 1000000) + _nonce_counter)
|
|
body_json = json.dumps(body)
|
|
signature_payload = f"/api{path}{nonce}{body_json}"
|
|
sig = hmac.new(
|
|
config.BFX_API_SECRET.encode("utf-8"),
|
|
signature_payload.encode("utf-8"),
|
|
hashlib.sha384,
|
|
).hexdigest()
|
|
|
|
headers = {
|
|
"bfx-nonce": nonce,
|
|
"bfx-apikey": config.BFX_API_KEY,
|
|
"bfx-signature": sig,
|
|
"content-type": "application/json",
|
|
}
|
|
url = f"{config.BFX_AUTH_URL}{path}"
|
|
resp = requests.post(url, headers=headers, data=body_json, timeout=15)
|
|
if resp.status_code >= 400:
|
|
logger.error("API %s returned %d: %s", path, resp.status_code, resp.text[:500])
|
|
resp.raise_for_status()
|
|
return resp.json()
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Deposit history (cached locally, refreshed hourly)
|
|
# ---------------------------------------------------------------------------
|
|
|
|
# 2026-03-10 00:00:00 UTC in milliseconds
|
|
_DEPOSIT_START_MS = 1773100800000
|
|
_DEPOSIT_CACHE_FILE = "deposit_cache.json"
|
|
_DEPOSIT_CACHE_TTL = 3600 # 1 hour
|
|
|
|
|
|
def fetch_total_deposits() -> float:
|
|
"""Return net USDT deposits since 2026-03-10. Uses local cache, refreshes hourly."""
|
|
# Try cache first
|
|
if os.path.exists(_DEPOSIT_CACHE_FILE):
|
|
try:
|
|
with open(_DEPOSIT_CACHE_FILE) as f:
|
|
cache = json.load(f)
|
|
if time.time() - cache.get("ts", 0) < _DEPOSIT_CACHE_TTL:
|
|
return cache["total"]
|
|
except (json.JSONDecodeError, IOError, KeyError):
|
|
pass
|
|
|
|
# Cache miss or expired — fetch from API
|
|
total = _fetch_deposits_from_api()
|
|
if total > 0:
|
|
try:
|
|
with open(_DEPOSIT_CACHE_FILE, "w") as f:
|
|
json.dump({"total": total, "ts": time.time()}, f)
|
|
except IOError:
|
|
pass
|
|
return total
|
|
|
|
|
|
def _fetch_deposits_from_api() -> float:
|
|
"""Fetch net USDT deposits from Bitfinex API."""
|
|
try:
|
|
raw = _auth_post("/v2/auth/r/movements/UST/hist", {
|
|
"start": _DEPOSIT_START_MS,
|
|
"limit": 100,
|
|
})
|
|
except Exception as e:
|
|
logger.error("Failed to fetch deposit history: %s", e)
|
|
return 0.0
|
|
|
|
total = 0.0
|
|
for m in raw:
|
|
status = m[9] if len(m) > 9 else ""
|
|
if status != "COMPLETED":
|
|
continue
|
|
amount = float(m[12]) if len(m) > 12 else 0
|
|
total += amount # positive = deposit, negative = withdrawal
|
|
return total
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Public endpoints
|
|
# ---------------------------------------------------------------------------
|
|
|
|
def fetch_tickers(symbols: list[str] | None = None) -> dict:
|
|
"""Return {symbol: {bid, ask, last, volume, ...}} for given symbols."""
|
|
symbols = symbols or config.TOP_15_SYMBOLS
|
|
params = {"symbols": ",".join(symbols)}
|
|
raw = _pub_get("/v2/tickers", params)
|
|
tickers = {}
|
|
for t in raw:
|
|
sym = t[0]
|
|
tickers[sym] = {
|
|
"bid": t[1],
|
|
"bid_size": t[2],
|
|
"ask": t[3],
|
|
"ask_size": t[4],
|
|
"daily_change": t[5],
|
|
"daily_change_pct": t[6],
|
|
"last_price": t[7],
|
|
"volume": t[8],
|
|
"high": t[9],
|
|
"low": t[10],
|
|
}
|
|
return tickers
|
|
|
|
|
|
def fetch_candles(symbol: str, timeframe: str | None = None, limit: int | None = None) -> pd.DataFrame:
|
|
"""Return DataFrame with columns: timestamp, open, close, high, low, volume."""
|
|
timeframe = timeframe or config.CANDLE_TIMEFRAME
|
|
limit = limit or config.CANDLE_LIMIT
|
|
path = f"/v2/candles/trade:{timeframe}:{symbol}/hist"
|
|
raw = _pub_get(path, {"limit": limit, "sort": -1})
|
|
if not raw:
|
|
return pd.DataFrame()
|
|
df = pd.DataFrame(raw, columns=["timestamp", "open", "close", "high", "low", "volume"])
|
|
df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms")
|
|
return df
|
|
|
|
|
|
def fetch_order_book(symbol: str, precision: str = "P0") -> dict:
|
|
"""Return raw order book entries."""
|
|
path = f"/v2/book/{symbol}/{precision}"
|
|
raw = _pub_get(path, {"len": 25})
|
|
bids, asks = [], []
|
|
for entry in raw:
|
|
price, count, amount = entry[0], entry[1], entry[2]
|
|
if amount > 0:
|
|
bids.append({"price": price, "count": count, "amount": amount})
|
|
else:
|
|
asks.append({"price": price, "count": count, "amount": abs(amount)})
|
|
return {"bids": bids, "asks": asks}
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Authenticated endpoints
|
|
# ---------------------------------------------------------------------------
|
|
|
|
def fetch_account_status() -> dict:
|
|
"""Return wallet balances and active positions from Bitfinex."""
|
|
if config.PAPER_TRADING and not config.BFX_API_KEY:
|
|
return {"wallets": [], "positions": []}
|
|
try:
|
|
wallets_raw = _auth_post("/v2/auth/r/wallets")
|
|
wallets = []
|
|
for w in wallets_raw:
|
|
wallets.append({
|
|
"type": w[0],
|
|
"currency": w[1],
|
|
"balance": w[2],
|
|
"unsettled": w[3],
|
|
"available": w[4],
|
|
})
|
|
|
|
positions_raw = _auth_post("/v2/auth/r/positions")
|
|
positions = []
|
|
for p in positions_raw:
|
|
positions.append({
|
|
"symbol": p[0],
|
|
"status": p[1],
|
|
"amount": p[2],
|
|
"base_price": p[3],
|
|
"pnl": p[6] if len(p) > 6 else 0,
|
|
})
|
|
return {"wallets": wallets, "positions": positions}
|
|
except Exception as e:
|
|
logger.error("Failed to fetch account status: %s", e)
|
|
return {"wallets": [], "positions": []}
|
|
|
|
|
|
def fetch_active_orders() -> list[dict]:
|
|
"""Return list of active orders."""
|
|
if config.PAPER_TRADING and not config.BFX_API_KEY:
|
|
return []
|
|
try:
|
|
raw = _auth_post("/v2/auth/r/orders")
|
|
orders = []
|
|
for o in raw:
|
|
orders.append({
|
|
"id": o[0],
|
|
"symbol": o[3],
|
|
"amount": o[6],
|
|
"price": o[16],
|
|
"status": o[13],
|
|
"type": o[8],
|
|
})
|
|
return orders
|
|
except Exception as e:
|
|
logger.error("Failed to fetch active orders: %s", e)
|
|
return []
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Aggregation
|
|
# ---------------------------------------------------------------------------
|
|
|
|
def fetch_all_market_data(symbols: list[str] | None = None) -> dict:
|
|
"""Fetch tickers + candles (5m and 1h) for all symbols. Returns dict keyed by symbol."""
|
|
symbols = symbols or config.TOP_15_SYMBOLS
|
|
tickers = fetch_tickers(symbols)
|
|
data = {}
|
|
for sym in symbols:
|
|
try:
|
|
candles = fetch_candles(sym)
|
|
candles_htf = fetch_candles(sym, timeframe=config.HTF_TIMEFRAME, limit=config.HTF_CANDLE_LIMIT)
|
|
data[sym] = {
|
|
"ticker": tickers.get(sym, {}),
|
|
"candles": candles,
|
|
"candles_htf": candles_htf,
|
|
}
|
|
time.sleep(0.15) # Avoid Bitfinex rate limits
|
|
except Exception as e:
|
|
logger.warning("Failed to fetch data for %s: %s", sym, e)
|
|
return data
|
|
|
|
|
|
# ---------------------------------------------------------------------------
|
|
# Cache helpers
|
|
# ---------------------------------------------------------------------------
|
|
|
|
def _ensure_cache_dirs():
|
|
os.makedirs(config.CANDLES_CACHE_DIR, exist_ok=True)
|
|
os.makedirs(config.INDICATORS_CACHE_DIR, exist_ok=True)
|
|
|
|
|
|
def cache_market_data(market_data: dict, indicators_data: dict | None = None):
|
|
"""Write candle and indicator data to cache/ as JSON files."""
|
|
_ensure_cache_dirs()
|
|
for sym, md in market_data.items():
|
|
candles_df = md.get("candles")
|
|
if candles_df is not None and not candles_df.empty:
|
|
path = os.path.join(config.CANDLES_CACHE_DIR, f"{sym}.json")
|
|
candles_df.to_json(path, orient="records", date_format="iso")
|
|
if indicators_data:
|
|
for sym, ind_df in indicators_data.items():
|
|
if ind_df is not None and not ind_df.empty:
|
|
path = os.path.join(config.INDICATORS_CACHE_DIR, f"{sym}.json")
|
|
ind_df.to_json(path, orient="records", date_format="iso")
|
|
|
|
|
|
def load_cached_data() -> tuple[dict, dict]:
|
|
"""Load cached candles and indicators. Returns (candles_dict, indicators_dict)."""
|
|
_ensure_cache_dirs()
|
|
candles, indicators = {}, {}
|
|
for fname in os.listdir(config.CANDLES_CACHE_DIR):
|
|
if fname.endswith(".json"):
|
|
sym = fname[:-5]
|
|
path = os.path.join(config.CANDLES_CACHE_DIR, fname)
|
|
candles[sym] = pd.read_json(path, orient="records")
|
|
for fname in os.listdir(config.INDICATORS_CACHE_DIR):
|
|
if fname.endswith(".json"):
|
|
sym = fname[:-5]
|
|
path = os.path.join(config.INDICATORS_CACHE_DIR, fname)
|
|
indicators[sym] = pd.read_json(path, orient="records")
|
|
return candles, indicators
|