cointrader
Coin Trader is a Java-based backend for trading cryptocurrencies, released under the Apache License. It features:
- Connectivity to many exchanges
- Control console (text)
- Basic order routing
- Simulated trading
- Live order execution
- Schema and persistence
- CSV output of market data
- Ad-hoc table reports
- Modular infrastructure
- Backtesting
- Accounting
- Library of quantitative indicators (TaLib)
- Bitcoin derivatives (Futures & Swaps)
- Implied price calculation across multiple markets
- Base currency accounting
- 24 Hr OHLC bars
Coin Trader's future goals include:
- Reconciliation
- Flexible data output
- Web console & graphing
Video
Tim presents Coin Trader at the SF Bitcoin Dev meetup.
Setup
Coin Trader requires Java JDK 1.8, Maven, and a SQL database (MySQL default).
Setup Instructions
Support
See the Wiki for more information.
There's no mailing list, so open a new issue for anything, help or just discussion. Tag it with "Question" and I'll follow through with you.
Automated Trading
To implement signals and automated strategies, you connect Esper event queries to Java code like this:
@When( "select avg(priceAsDouble) from Trade.win:time(30 sec)" )
void checkMovingAverage( double avg )
{
if( avg > trigger )
context.publish( new MyIndicator(5.31) );
}
@When( "select * from MyIndicator where myIndicatorValue > 5.0" )
void enterTrade( MyIndicator s )
{
orders.create( Listings.BTC_USD, 1.0 )
.withLimit( 650.25 )
.place();
}
You then attach this class to a Context to receive Esper event rows as method invocations.
24Hr OHLC Bars
Strategy needs to implement a .getInterval() method to return a double in seconds of the size of the bar.
Default simple statful stretegy is 86400 (24Hr) cointrader-esper.cfg.xml
<plugin-view factory-class="org.cryptocoinpartners.esper.OHLCBarPlugInViewFactory" name="ohlcbar" namespace="custom"/>
epl
- Create an esper named window to add the OHLC bars into
create window OHLCShortWindow.win:length(10) as select * from Bar; - Add the OHLC bars to it ``` insert into OHLCShortWindow select * from Trade.custom:ohlcbar(timestamp, priceCountAsDouble, market,TestStrategy.getInterval());
* Select values from OHLC bar window
select * from OHLCShortWindow as ohlc
#### TALIB Set Up
cointrader-esper.cfg.xml
epl
select coalesce(talib("atr", max, min, last, 9),0) as atr from OHLCShortWindow;
#### Console Demo
The Coin Trader Console gives you a peek into the engine.
$ ./cointrader.sh console
Coin Trader Console 0.3.0-SNAPSHOT
ct> help Type "help {command}" for more detailed information. Available commands: • attach • buy • csv • currencies • data • exchanges • exit • help • jpa • listings • markets • sell • set • unset • unwatch • watch • watches
ct> data summary +------------------+------------+-----------+ | Market | Num Trades | Num Books | +------------------+------------+-----------+ | BTCE:BTC.USD | 8149 | 2671 | | BITFINEX:BTC.USD | 3509 | 2551 | | BITSTAMP:BTC.USD | 1344 | 901 | | BITFINEX:DRK.USD | 1000 | 21 | | BITFINEX:DRK.BTC | 1000 | 21 | | BITFINEX:LTC.USD | 1000 | 22 | | BITFINEX:LTC.BTC | 1000 | 22 | | BTCCHINA:BTC.CNY | 134 | 31 | | BTCCHINA:LTC.CNY | 110 | 31 | | BTCCHINA:LTC.BTC | 102 | 31 | | BTER:BTC.CNY | 47 | 7 | | BTER:LTC.BTC | 38 | 84 | | BTER:DOGE.CNY | 26 | 7 | | BTER:NXT.CNY | 26 | 6 | | BTER:DRK.CNY | 23 | 6 | | BTER:DOGE.BTC | 23 | 6 | | BTER:LTC.CNY | 21 | 7 | | BTER:XCP.CNY | 20 | 6 | | BTER:DRK.BTC | 19 | 6 | | BTER:XCP.BTC | 18 | 12 | | BTER:NXT.USD | 2 | 6 | +------------------+------------+-----------+
ct> watch btc.usd now watching BTC.USD
ct> book: BITFINEX:BTC.USD 587.4 (0.317861) - 588.82 (-1.54641998) book: BTCE:BTC.USD 583.92 (0.01499999) - 585.99 (-0.01819054) book: BITSTAMP:BTC.USD 588.79 (0.99999999) - 590.33 (-0.19199999) book: BITFINEX:BTC.USD 587.4 (0.317861) - 588.81 (-13.94196839) book: BTCE:BTC.USD 583.92 (0.01499999) - 585.99 (-0.01819054) trade: BITSTAMP:BTC.USD 590.33 (0.03489999) book: BTCE:BTC.USD 583.92 (0.01499999) - 585.99 (-0.01819054) book: BITFINEX:BTC.USD 587.4 (0.317861) - 588.8 (-31.37994228) book: BTCE:BTC.USD 583.92 (0.01499999) - 585.99 (-0.01180944)
ct> unwatch btc.usd no longer watching BTC.USD
ct> buy 10.0 bitfinex:btc.usd Sending order SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000} Order has been placed. SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000}
ct> Filled order d5a2ff79-0eca-445d-a3b3-75d1e80265a7: Fill{order=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, market=BITFINEX:BTC.USD, price=585.57, volume=2.11486695} Order is partially filled SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000, averageFillPrice=585.57} Filled order d5a2ff79-0eca-445d-a3b3-75d1e80265a7: Fill{order=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, market=BITFINEX:BTC.USD, price=585.58, volume=7.88513305} Order has been completely filled. SpecificOrder{id=d5a2ff79-0eca-445d-a3b3-75d1e80265a7, parentOrder=null, market=BITFINEX:BTC.USD, volumeCount=1000000000, averageFillPrice=585.57788513305}
ct> buy 1 btc.usd Creating order GeneralOrder{id=a4664af4-a21d-4b77-a999-bc8a78a8d951, parentOrder=null, listing=BTC.USD, volume=1} Order has been placed. SpecificOrder{id=3ff02408-8269-4bf9-929f-8d2ca060f6fc, parentOrder=a4664af4-a21d-4b77-a999-bc8a78a8d951, market=BITSTAMP:BTC.USD, volumeCount=100000000}
ct> Filled order 3ff02408-8269-4bf9-929f-8d2ca060f6fc: Fill{order=3ff02408-8269-4bf9-929f-8d2ca060f6fc, market=BITSTAMP:BTC.USD, price=584.99, volume=1} Order has been completely filled. SpecificOrder{id=3ff02408-8269-4bf9-929f-8d2ca060f6fc, parentOrder=a4664af4-a21d-4b77-a999-bc8a78a8d951, market=BITSTAMP:BTC.USD, volumeCount=100000000, averageFillPrice=584.99} Order has been completely filled. GeneralOrder{id=a4664af4-a21d-4b77-a999-bc8a78a8d951, parentOrder=null, listing=BTC.USD, volume=1}
ct> buy 1 OKCOIN_THISWEEK:BTC.USD.THISWEEK limit 218.3
ct> exit
$ ```
