timolson / cointrader Goto Github PK

Hi Tim, is there any reason for the old generics syntax being used in the code base rather than using the diamond syntax exclusively? Do you see any loss of value using the diamond syntax throughout?

Currently GeneralOrders are converted to SpecificOrders on the best-priced Market, but the Fund may not have a sufficient Position to execute the Trade. The GeneralOrder routing must break up the orders while obeying the limitation of the current Positions in the Fund. If there are insufficient Positions to execute the Trade, it should be reject()ed

Books are large in the database. Save them as diffs against the prior Book, taking full Book snapshots every so often.

Over time people might want to have additional esper config per module to allow module level epl files to acess particular clasess and methods rather than having a single esper cfg file for the current sungle context that loads all the coresponding epl files.

This would require each module to have it's own esper sevrice provider which i believe is quite a big departure from today.

Implement a basic backtesting mode

I need to write docs for each module

See wiki for how to add an Xchange

When replaying data and using the mock order sercive orderupdate events are created with the actual time not the replay time of when the order was created,causing the lasttime of the context to be updated and throw exception in advance time in the context class when the next backdated replay event is processed.

We need to save account names and passwords in an encrypted file, with a master password to enable access to the account file and live trading.

create a few convenience methods from querying market data from the database

Readme.md is getting too big

Document the idea of a Service
Document the OrderService and QuoteService

Add properties to set user/pass on all the Xchange adapters

Hi
Can you add this line of code?
/cointrader/src/main/java/org/cryptocoinpartners/schema/Currencies.java
public static final Currency RDD = crypto("RDD", 1e-8);

Implement the Order interfaces designed by Mike
Provide market and limit order execution through XChange for specific MarketListings

Hi

I've a problem with this method.
DiscreteAmount.roundedCountForBasis(price, market.getPriceBasis())

The variable price is 7.6E-7.
DiscreteAmount.roundedCountForBasis(price, market.getPriceBasis()) return 75. Thats not good.
I guess that I must market.getPriceBasis() change.

But where should/can I change this?

Exchange Cryptsy, DOGE/BTC

when the portfolio is instansiated from the strategyInstance, it is created with the positions set to null, resulting in any additions or removal of postions failing with null pointer.

Plan to ensure new Collection positions are instanisated with the portfolio.

Some markets are finally offering push data which XChange supports. We need to enhance XchangeData to support the streaming API where available

Hi,

I am trying to run cointrader following the wiki setup guide but it seems i cant run the console mode.

I get errors about a missing strategy (TurtelsStrategy):

21:12:34.057 [main] INFO  c.e.e.c.s.EPServiceProviderImpl - Initializing engine URI 'default' version 4.9.0
21:12:35.834 [main] DEBUG o.cryptocoinpartners.module.Context - no module file found for XchangeData.epl on classpath. Please ensure XchangeData.epl is in the resources directory.
21:12:35.848 [main] DEBUG o.cryptocoinpartners.module.Context - no module file found for BasicQuoteService.epl on classpath. Please ensure BasicQuoteService.epl is in the resources directory.
21:12:35.849 [main] DEBUG o.cryptocoinpartners.module.Context - subscribing private void org.cryptocoinpartners.module.BasicQuoteService.recordBook(org.cryptocoinpartners.schema.Book) with statement "select * from Book"
21:12:36.655 [main] DEBUG o.cryptocoinpartners.module.Context - subscribing private void org.cryptocoinpartners.module.BasicQuoteService.recordTrade(org.cryptocoinpartners.schema.Trade) with statement "select * from Trade"
21:12:36.675 [main] DEBUG o.cryptocoinpartners.module.Context - no module file found for XchangeAccountService.epl on classpath. Please ensure XchangeAccountService.epl is in the resources directory.
21:12:36.987 [main] INFO  c.e.e.c.s.StatementLifecycleSvcImpl - Failed to compile statement: Failed to resolve 'TurtelsStrategy.getMarket' to a property, single-row function, aggregation function, script, stream or class name com.espertech.esper.epl.expression.ExprValidationException: Failed to resolve 'TurtelsStrategy.getMarket' to a property, single-row function, aggregation function, script, stream or class name at com.espertech.esper.epl.expression.ExprNodeUtilResolveExceptionHandlerDefault.handle(ExprNodeUtilResolveExceptionHandlerDefault.java:31) ~[cointrader-0.3.0-SNAPSHOT-jar-with-dependencies.jar:na]

I have removed refereces to TurtelsStrategy in MockOrderService.epl and cointrader-esper.cfg.xml but still complaining that SubscribePortfolioEvent is not found:

23:30:47.109 [main] INFO  c.e.e.c.s.StatementLifecycleSvcImpl - Failed to compile statement: Failed to resolve event type: Event type or class named 'SubscribePortfolioEvent' was not found
com.espertech.esper.epl.expression.ExprValidationException: Failed to resolve event type: Event type or class named 'SubscribePortfolioEvent' was not found

I am using java 1.7.0 (Ubuntu).

Let me know if you need further information. Any help is much appreciated.

Thanks in advance,

See Wiki for how to add a new Xchange

The console command data [summary] seems to report a cached result instead of the latest information. Maybe this is the JPA EntityManagerFactory caching data?

dump-ticks currently only shows the best bid/ask but we want a deeper view of the order book.

add a property
savetickscsv.bookDepth
to set the maximum depth of book to output in the CSV

This post relates to knowm/XChange#576

Douggie and Tim it seems like I came upon the same idea as the both of you (link1 link2), which is integrating the Xchange feed and order handlers with an existing trading software package, such as Algo Trader. I noticed that both of you had given this software project a try and I wonder why you decided to start this project from scratch versus building upon Algo Trader?

1. Run the console
2. Use the 'csv' command to dump ticks to a file
3. Now the 'watch' command doesn't show any results. Are other modules also broken?

Both Amount and DecimalAmount still have some methods which throw Errors because they are unimplemented.

Coin Trader uses the JLine library to work with the console, which requires a DLL to be installed in Windows. Users can download the DLL from the JLine site but we should try to bundle the DLL as a resource if we can.

Report discrepencies between polled account information and internal accounting

ModuleLoader currently assumes org/cryptocoinpartners/module as the classpath for finding the module name. This needs refactored to iterate through a module.path configuration setting.

http://cryptocoinpartners.org/

The green buttons linking back to the github project are broken for me. Austin can you check?

Convert DiscreteAmount into just Amount. It should be immutable and preserve the orginal input type whether long/long or double or BigDecimal, but freely cast to the other forms. Record of remainder shall be accumulated until settlement() is called using a RemainderHandler.

Currently the context loads the default service provider config. Might want to load a cointrader specific cfg file to alter engine settings, incorprate libraries into epl statements etc.

When Coinbase is enabled in cointrader.properties, you get an exception from the XChange adapter about the service being unimplemented. Coinbase doesn't supply an order book since they are a market maker.

One way to resolve this is to mock an order book with one bid and one ask, at Coinbase's stated price, with the useraccount's trade limit as the volume. We should be able to get that information from the XChange class CoinbaseAccountServiceRaw

We should also have better configuration in the xchange properties to configure xchange queries. Look at the inner class XchangeData.FetchTradesRunnable.run() method, which gets called whenever a query is available from the RateLimiter.

Hi tim, hope all is well.

Wondered what your thoughts were on a stop loss order via the following implementation.

Strategy creates a general order of type stop loss with or without a market. This is then executed as a limit order as per the existing base order service,then any fills for an order that has a parent of filltype stop _loss,the base order service creates another general order of type stop limit that is triggered and converted to a specific order abd executed on the exchange nce the stop price is triggered.

Means a bit of a change to general order defination to be an order that is internal to coin trader and a specific order being an order placed to an external party, in which case a general order could have a market as it might be a order that the strategy has determined the market but wants to gain order types not avaiable on the market such as stop, iceberg, gtd, vwap etc but leverage cointraders synethic order types.

Let me know your thoughts.

Hi
In the file cointrader-default.properties is a mistake.
xchange.bitfinex.secretkey=BADA55
secretkey not work. It would be correct apisecret?

When running save-data on free tier aws, esper engine shutdown to to one of the threads not retuning within 100ms, resulting in a spin wait time out.

Back test and console modes work fine,so i suspect the save data run mode is making a http request that fails or does not return when running on aws, possible due to https authentication. The watch mode works fine from the console so the get ticker requests seem to work.

Implement Account
Connect through XChange to poll account information

After adding Coinbase & CampBXExchange as new entries to cointrader.properties, I commented them out (and had previously removed them from -default.properties. After entering "exchanges" into the console, they continue to show up as valid exchanges. (See screenshots attached)

Expected Behavior: Only those active exchanges should appear as options in console.

Coin Trader is a great fit for dependency injection. I hacked Module Loader but Guice is probably the way to go

Config has been updated to be a MapConfiguration from a CombinedConfiguration object. If no value is present in the map, it fails with a null pointer, rather then returning null as per the CombinedConfiguration object.

Possible work around is to try/catch and handle the null pointer and then set the default value in the MapConfiguration.

I am getting the following error when running the program with the "console" argument:

"
java.lang.Error: Could not find module named fake in module.path
at org.cryptocoinpartners.module.Context.attach(Context.java:132) ~[classes/:na]
at org.cryptocoinpartners.schema.StrategyInstance.afterAttach(StrategyInstance.java:64) ~[classes/:na]
at org.cryptocoinpartners.module.Context.attach(Context.java:158) ~[classes/:na]
at org.cryptocoinpartners.bin.ConsoleRunMode.init(ConsoleRunMode.java:115) ~[classes/:na]
at org.cryptocoinpartners.bin.ConsoleRunMode.run(ConsoleRunMode.java:40) ~[classes/:na]
at org.cryptocoinpartners.bin.Main.main(Main.java:100) ~[classes/:na]
"

I can see "fake" being set at line 114 in ConsoleRunModule.java though not sure what it's supposed to do.
Appreciate any help

I'm working on some rough mockups for a proposed UI in Balsamiq right now. I'll export them as PDF and submit a pull request when completed. Creating this issue to let other contributors know this is in progress. (Btw, I don't seem to have the ability to tag issues as "enhancement", "bug", etc.)

The Currencies class has a bunch of Currency singletons which define the symbol and basis. There are many Currencys commented out because I haven't done the basis research yet, so if you know the smallest unit the coin trades in, please add the information in Currencies, following the examples

    public static final Currency USD = fiat("USD",0.01);
    public static final Currency CNY = fiat("CNY",0.01);

    public static final Currency BTC = crypto("BTC",1e-8);
    public static final Currency LTC = crypto("LTC",1e-8);

Allow Orders to be placed against a Listing instead of MarketListing. Such orders may be routed to the best-priced Market which has a Position with sufficient buying power.

Java 8 has some great features which would work well with Coin Trader. For example, closures could be attached to Esper statements in a one-off fashion.
Does anyone have comments about migrating the project to Java 8?

When replaying book data, 25% of of CPU time is spent in this method, might want to look at improving performance

Currently, all market polling obeys limits per-Exchange, but we should allow different groupings. For example, a user might want to focus high-frequency on BTC.USD but only poll altcoins during spare queries.
Implementationwise, the TokenBucket could be instantiated 1-for-1 with the query groups, but we need to enforce Exchange-wide limits... must think on this

What does "organization" mean in context of the schema glossary? I see it referenced a couple of times but not explicitly defined.

Create a simple Strategy base class which implements a state machine. The states should reflect whether the Strategy is currently in a trade or not.

Currently, the watch command only accepts a Listing, but it should also be able to watch a specific Market.

Hibernate complains about the lack of a real connection manager. Let's add the c3p0 connection pool and configure it in persistence.xml

11:06:35.949 [main] WARN o.h.e.j.c.i.DriverManagerConnectionProviderImpl - HHH000402: Using Hibernate built-in connection pool (not for production use!)