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The shock-breaking strategy

Author: It's all right., Date: 2020-05-13 13:53:46
Tags: Breakthrough

Strategy described

Upstream: The highest price of the last 30 K lines

Lower track: lowest price of the last 30 K lines

The width of the interval: (up rail - down rail) / (up rail + down rail)

If the range width is less than the threshold a, the price breaks out of the uptrend, buys into the open position, and the price breaks out of the downtrend plateau.

If the range width is less than the threshold a, the price breaks down, sells the open position, and the price breaks the uptrend.img

How to contact

If you are interested in this strategy, please contact +V:Irene11229 (Click on my homepage, I'll keep updating more strategies, and also get market analysis data from some of the top exchanges)

#!/usr/bin/env python3
# -*- coding: utf-8 -*-


import json
import time

import requests
from kumex.client import Trade


def check_response_data(response_data):
    if response_data.status_code == 200:
        try:
            d = response_data.json()
        except ValueError:
            raise Exception(response_data.content)
        else:
            if d and d.get('s'):
                if d.get('s') == 'ok':
                    return d
                else:
                    raise Exception("{}-{}".format(response_data.status_code, response_data.text))
    else:
        raise Exception("{}-{}".format(response_data.status_code, response_data.text))


def get_kline(s, r, f, t, timeout=5, is_sandbox=False):
    headers = {}
    url = 'https://kitchen.kumex.com/kumex-kline/history'
    if is_sandbox:
        url = 'https://kitchen-sdb.kumex.com/kumex-kline/history'
    uri_path = url
    data_json = ''
    p = []
    if s:
        p.append("{}={}".format('symbol', s))
    if r:
        p.append("{}={}".format('resolution', r))
    if f:
        p.append("{}={}".format('from', f))
    if t:
        p.append("{}={}".format('to', t))
    data_json += '&'.join(p)
    uri_path += '?' + data_json

    response_data = requests.request('GET', uri_path, headers=headers, timeout=timeout)
    return check_response_data(response_data)


class Shock(object):

    def __init__(self):
        # read configuration from json file
        with open('config.json', 'r') as file:
            config = json.load(file)

        self.api_key = config['api_key']
        self.api_secret = config['api_secret']
        self.api_passphrase = config['api_passphrase']
        self.sandbox = config['is_sandbox']
        self.symbol = config['symbol']
        self.resolution = int(config['resolution'])
        self.valve = float(config['valve'])
        self.leverage = float(config['leverage'])
        self.size = int(config['size'])
        self.trade = Trade(self.api_key, self.api_secret, self.api_passphrase, is_sandbox=self.sandbox)


if __name__ == "__main__":
    shock = Shock()

    while 1:
        time_to = int(time.time())
        time_from = time_to - shock.resolution * 60 * 35
        data = get_kline(shock.symbol, shock.resolution, time_from, time_to, is_sandbox=shock.sandbox)
        print('now time =', time_to)
        print('symbol closed time =', data['t'][-1])
        if time_to != data['t'][-1]:
            continue
        now_price = int(data['c'][-1])
        print('closed price =', now_price)
        # high_track
        high = data['h'][-31:-1]
        high.sort(reverse=True)
        high_track = float(high[0])
        print('high_track =', high_track)

        # low_track
        low = data['l'][-31:-1]
        low.sort()
        low_track = float(low[0])
        print('low_track =', low_track)

        # interval_range
        interval_range = (high_track - low_track) / (high_track + low_track)
        print('interval_range =', interval_range)

        order_flag = 0
        # current position qty of the symbol
        position_details = shock.trade.get_position_details(shock.symbol)
        position_qty = int(position_details['currentQty'])
        print('current position qty of the symbol =', position_qty)
        if position_qty > 0:
            order_flag = 1
        elif position_qty < 0:
            order_flag = -1

        if order_flag == 1 and now_price < low_track:
            order = shock.trade.create_limit_order(shock.symbol, 'sell', position_details['realLeverage'],
                                                   position_qty, now_price)
            print('order_flag == 1,order id =', order['orderId'])
            order_flag = 0
        elif order_flag == -1 and now_price > high_track:
            order = shock.trade.create_limit_order(shock.symbol, 'buy', position_details['realLeverage'],
                                                   position_qty, now_price)
            print('order_flag == -1,order id =', order['orderId'])
            order_flag = 0

        if interval_range < shock.valve and order_flag == 0:
            if now_price > high_track:
                order = shock.trade.create_limit_order(shock.symbol, 'buy', shock.leverage, shock.size, now_price)
                print('now price > high track,buy order id =', order['orderId'])
                order_flag = 1
            if now_price < high_track:
                order = shock.trade.create_limit_order(shock.symbol, 'sell', shock.leverage, shock.size, now_price)
                print('now price < high track,sell order id =', order['orderId'])
                order_flag = -1
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