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Bitstamp Example

This goal of this simple SMA crossover example is to show how to put all the pieces together to paper trade a strategy using realtime feeds supplied by Bitstamp (https://www.bitstamp.net/).

This example assumes that you’re already familiar with the basic concepts presented in the Tutorial section.

The key things to highlight are:

  1. We’re using pyalgotrade.strategy.BaseStrategy instead of pyalgotrade.strategy.BacktestingStrategy as the base class. This is not a backtest.
  2. Trade events get notified via the call to onBars. No need to manually subscribe.
  3. Order book update events are handled by manually subscribing to pyalgotrade.bitstamp.client.Client.getOrderBookUpdateEvent. This is needed to be up to date with latest bid and ask prices.
  4. The pyalgotrade.bitstamp.client.Client instance has to be included in the strategy event dispatch loop before running the strategy.
from pyalgotrade.bitstamp import client
from pyalgotrade.bitstamp import barfeed
from pyalgotrade.bitstamp import broker
from pyalgotrade import strategy
from pyalgotrade.technical import ma
from pyalgotrade.technical import cross


class Strategy(strategy.BaseStrategy):
    def __init__(self, cli, feed, brk):
        strategy.BaseStrategy.__init__(self, feed, brk)
        smaPeriod = 20
        self.__instrument = "BTC"
        self.__prices = feed[self.__instrument].getCloseDataSeries()
        self.__sma = ma.SMA(self.__prices, smaPeriod)
        self.__bid = None
        self.__ask = None
        self.__position = None
        self.__posSize = 0.05

        # Subscribe to order book update events to get bid/ask prices to trade.
        cli.getOrderBookUpdateEvent().subscribe(self.__onOrderBookUpdate)

    def __onOrderBookUpdate(self, orderBookUpdate):
        bid = orderBookUpdate.getBidPrices()[0]
        ask = orderBookUpdate.getAskPrices()[0]

        if bid != self.__bid or ask != self.__ask:
            self.__bid = bid
            self.__ask = ask
            self.info("Order book updated. Best bid: %s. Best ask: %s" % (self.__bid, self.__ask))

    def onEnterOk(self, position):
        self.info("Position opened at %s" % (position.getEntryOrder().getExecutionInfo().getPrice()))

    def onEnterCanceled(self, position):
        self.info("Position entry canceled")
        self.__position = None

    def onExitOk(self, position):
        self.__position = None
        self.info("Position closed at %s" % (position.getExitOrder().getExecutionInfo().getPrice()))

    def onExitCanceled(self, position):
        # If the exit was canceled, re-submit it.
        self.__position.exitLimit(self.__bid)

    def onBars(self, bars):
        bar = bars[self.__instrument]
        self.info("Price: %s. Volume: %s." % (bar.getClose(), bar.getVolume()))

        # Wait until we get the current bid/ask prices.
        if self.__ask is None:
            return

        # If a position was not opened, check if we should enter a long position.
        if self.__position is None:
            if cross.cross_above(self.__prices, self.__sma) > 0:
                self.info("Entry signal. Buy at %s" % (self.__ask))
                self.__position = self.enterLongLimit(self.__instrument, self.__ask, self.__posSize, True)
        # Check if we have to close the position.
        elif not self.__position.exitActive() and cross.cross_below(self.__prices, self.__sma) > 0:
            self.info("Exit signal. Sell at %s" % (self.__bid))
            self.__position.exitLimit(self.__bid)


def main():
    cli = client.Client()
    barFeed = barfeed.LiveTradeFeed(cli)
    brk = broker.PaperTradingBroker(1000, barFeed)
    strat = Strategy(cli, barFeed, brk)

    # It is VERY important to add the client to the event dispatch loop before running the strategy.
    strat.getDispatcher().addSubject(cli)
    strat.run()

if __name__ == "__main__":
    main()

The output should look like this:

2014-03-15 00:35:59,085 bitstamp [INFO] Initializing client.
2014-03-15 00:35:59,452 bitstamp [INFO] Connection established.
2014-03-15 00:35:59,453 bitstamp [INFO] Initialization ok.
2014-03-15 00:36:30,726 strategy [INFO] Order book updated. Best bid: 629.6. Best ask: 630.0
2014-03-15 00:39:04,829 strategy [INFO] Order book updated. Best bid: 628.89. Best ask: 630.0
2014-03-15 00:44:18,845 strategy [INFO] Price: 630.0. Volume: 0.01.
2014-03-15 00:44:18,894 strategy [INFO] Order book updated. Best bid: 630.0. Best ask: 631.49
2014-03-15 00:44:29,719 strategy [INFO] Price: 630.0. Volume: 0.02.
2014-03-15 00:44:59,861 strategy [INFO] Price: 631.49. Volume: 0.03360823.
2014-03-15 00:45:37,425 strategy [INFO] Order book updated. Best bid: 630.0. Best ask: 631.6
2014-03-15 00:45:39,848 strategy [INFO] Price: 631.6. Volume: 3.35089782.
2014-03-15 00:45:39,918 strategy [INFO] Price: 632.24. Volume: 0.136.
2014-03-15 00:45:39,971 strategy [INFO] Price: 632.24. Volume: 0.138.
2014-03-15 00:45:40,057 strategy [INFO] Price: 632.25. Volume: 0.09076537.
2014-03-15 00:45:40,104 strategy [INFO] Price: 632.42. Volume: 0.74011681.
2014-03-15 00:45:40,205 strategy [INFO] Order book updated. Best bid: 630.0. Best ask: 632.42
2014-03-15 00:48:30,005 strategy [INFO] Price: 630.0. Volume: 4.97.
2014-03-15 00:48:30,039 strategy [INFO] Price: 629.6. Volume: 0.09.
2014-03-15 00:48:30,121 strategy [INFO] Price: 629.54. Volume: 0.09.
.
.
.
2014-03-15 00:48:33,053 strategy [INFO] Price: 625.55. Volume: 1.296299.
2014-03-15 00:48:33,164 strategy [INFO] Price: 625.52. Volume: 0.0924981.
2014-03-15 00:48:33,588 strategy [INFO] Price: 625.45. Volume: 13.46260589.
2014-03-15 00:48:33,635 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 632.42
2014-03-15 00:48:33,727 strategy [INFO] Price: 625.45. Volume: 1.75.
2014-03-15 00:48:34,261 strategy [INFO] Price: 625.48. Volume: 0.1.
2014-03-15 00:48:34,908 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 631.39
2014-03-15 00:48:36,203 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 632.42
.
.
.
2014-03-15 00:49:01,945 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 631.39
2014-03-15 00:49:34,743 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 631.28
2014-03-15 00:49:57,651 strategy [INFO] Price: 629.26. Volume: 0.66893865.
2014-03-15 00:49:57,651 strategy [INFO] Entry signal. Buy at 631.28
2014-03-15 00:50:09,934 strategy [INFO] Order book updated. Best bid: 629.26. Best ask: 631.39
2014-03-15 00:50:20,786 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 631.39
2014-03-15 00:50:25,658 strategy [INFO] Price: 631.39. Volume: 0.01.
2014-03-15 00:50:25,732 strategy [INFO] Price: 631.39. Volume: 0.01.
2014-03-15 00:50:25,791 strategy [INFO] Price: 631.93. Volume: 0.5.
2014-03-15 00:50:25,847 strategy [INFO] Price: 632.42. Volume: 0.25988319.
2014-03-15 00:50:25,900 strategy [INFO] Price: 632.42. Volume: 0.184.
2014-03-15 00:50:25,952 strategy [INFO] Price: 632.42. Volume: 0.184.
2014-03-15 00:50:26,000 strategy [INFO] Price: 632.42. Volume: 0.184.
2014-03-15 00:50:26,065 strategy [INFO] Price: 632.44. Volume: 0.184.
2014-03-15 00:50:26,139 strategy [INFO] Price: 632.97. Volume: 0.092.
2014-03-15 00:50:26,300 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 629.0
2014-03-15 00:50:26,398 strategy [INFO] Price: 633.1. Volume: 0.16211681.
2014-03-15 00:50:29,850 strategy [INFO] Position opened at 629.0
2014-03-15 00:50:29,850 strategy [INFO] Price: 629.0. Volume: 0.25152623.
2014-03-15 00:50:29,850 strategy [INFO] Exit signal. Sell at 627.02
2014-03-15 00:50:37,294 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 633.1
2014-03-15 00:50:43,526 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 633.08
2014-03-15 00:51:07,604 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 632.99
2014-03-15 00:51:46,194 strategy [INFO] Order book updated. Best bid: 627.02. Best ask: 630.89
2014-03-15 00:52:08,223 strategy [INFO] Position closed at 627.02
2014-03-15 00:52:08,223 strategy [INFO] Price: 627.02. Volume: 0.0924979.
2014-03-15 00:52:08,290 strategy [INFO] Price: 627.02. Volume: 0.02.
2014-03-15 00:52:08,530 strategy [INFO] Order book updated. Best bid: 627.01. Best ask: 627.02
2014-03-15 00:52:35,347 strategy [INFO] Price: 630.89. Volume: 0.07.
2014-03-15 00:52:35,347 strategy [INFO] Entry signal. Buy at 627.02
2014-03-15 00:52:35,348 strategy [INFO] Price: 630.95. Volume: 0.09.
2014-03-15 00:52:35,428 strategy [INFO] Price: 631.0. Volume: 0.05.
.
.
.
2014-03-15 00:54:14,077 strategy [INFO] Order book updated. Best bid: 628.81. Best ask: 632.4
2014-03-15 00:54:21,084 strategy [INFO] Order book updated. Best bid: 631.0. Best ask: 632.4
2014-03-15 00:54:34,484 strategy [INFO] Price: 632.4. Volume: 0.296299.
2014-03-15 00:54:34,484 strategy [INFO] Exit signal. Sell at 631.0
2014-03-15 00:54:34,484 strategy [INFO] Position entry canceled
2014-03-15 00:54:34,578 strategy [INFO] Price: 632.45. Volume: 3.5.
2014-03-15 00:54:34,642 strategy [INFO] Price: 632.45. Volume: 0.5715.
2014-03-15 00:54:34,708 strategy [INFO] Price: 632.46. Volume: 0.136.
2014-03-15 00:54:34,789 strategy [INFO] Price: 632.46. Volume: 1.2682.
2014-03-15 00:54:34,885 strategy [INFO] Price: 632.46. Volume: 3.5.
2014-03-15 00:54:34,949 strategy [INFO] Price: 632.46. Volume: 5.25.
2014-03-15 00:54:35,029 strategy [INFO] Price: 632.47. Volume: 9.88740834.
2014-03-15 00:54:35,165 strategy [INFO] Price: 632.89. Volume: 18.24259574.
2014-03-15 00:54:35,165 strategy [INFO] Entry signal. Buy at 632.4
2014-03-15 00:54:35,286 strategy [INFO] Price: 633.0. Volume: 0.092.
2014-03-15 00:54:35,357 strategy [INFO] Price: 633.1. Volume: 0.37612853.
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.
.
2014-03-15 00:56:48,885 strategy [INFO] Order book updated. Best bid: 632.1. Best ask: 634.35
2014-03-15 00:56:57,234 strategy [INFO] Position opened at 632.1
2014-03-15 00:56:57,235 strategy [INFO] Price: 632.1. Volume: 0.66267992.
2014-03-15 00:56:57,235 strategy [INFO] Exit signal. Sell at 632.1
2014-03-15 00:56:57,268 strategy [INFO] Price: 631.83. Volume: 59.33732008.
2014-03-15 00:56:57,356 strategy [INFO] Order book updated. Best bid: 631.83. Best ask: 634.35
2014-03-15 00:57:03,528 strategy [INFO] Price: 631.83. Volume: 0.08267992.
2014-03-15 00:57:03,604 strategy [INFO] Order book updated. Best bid: 631.0. Best ask: 631.83
2014-03-15 00:57:04,824 strategy [INFO] Order book updated. Best bid: 631.0. Best ask: 634.34
2014-03-15 00:57:09,775 strategy [INFO] Order book updated. Best bid: 631.0. Best ask: 634.33
2014-03-15 00:57:11,112 strategy [INFO] Order book updated. Best bid: 632.1. Best ask: 634.33
2014-03-15 00:57:15,822 strategy [INFO] Position closed at 632.1
2014-03-15 00:57:15,822 strategy [INFO] Price: 632.1. Volume: 0.2.
2014-03-15 00:57:20,839 strategy [INFO] Price: 632.1. Volume: 0.46267992.
2014-03-15 00:57:22,065 strategy [INFO] Price: 631.2. Volume: 0.03732008.
2014-03-15 00:57:22,122 strategy [INFO] Price: 634.33. Volume: 0.135.
2014-03-15 00:57:22,122 strategy [INFO] Entry signal. Buy at 634.33
2014-03-15 00:57:22,184 strategy [INFO] Price: 634.34. Volume: 0.97972409.
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