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@ -1,5 +1,5 @@ |
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/******************************************************************************
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/******************************************************************************
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* Copyright © 2014-2016 The SuperNET Developers. * |
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* Copyright © 2014-2017 The SuperNET Developers. * |
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* * |
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* * |
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* See the AUTHORS, DEVELOPER-AGREEMENT and LICENSE files at * |
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* See the AUTHORS, DEVELOPER-AGREEMENT and LICENSE files at * |
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* the top-level directory of this distribution for the individual copyright * |
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* the top-level directory of this distribution for the individual copyright * |
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@ -26,6 +26,9 @@ |
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#define TRADEBOTS_RAWFEATURESINCR 7 |
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#define TRADEBOTS_RAWFEATURESINCR 7 |
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#define TRADEBOTS_MAXPAIRS 1024 |
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#define TRADEBOTS_MAXPAIRS 1024 |
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#define _OCAS_PLUS_INF (-log(0.0)) |
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double OCAS_PLUS_INF,OCAS_NEG_INF; |
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double Tradebots_decays[TRADEBOTS_NUMDECAYS] = { 0.5, 0.666, 0.8, 0.9, 0.95, 0.99, 0.995, 0.999 }; |
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double Tradebots_decays[TRADEBOTS_NUMDECAYS] = { 0.5, 0.666, 0.8, 0.9, 0.95, 0.99, 0.995, 0.999 }; |
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int32_t Tradebots_answergaps[TRADEBOTS_NUMANSWERS] = { 5, 10, 15, 20, 30, 60, 120, 720 }; |
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int32_t Tradebots_answergaps[TRADEBOTS_NUMANSWERS] = { 5, 10, 15, 20, 30, 60, 120, 720 }; |
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@ -46,7 +49,7 @@ struct tradebot_arbpair |
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{ |
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{ |
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char base[32],rel[32]; |
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char base[32],rel[32]; |
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uint32_t lasttime,lastanswertime; FILE *fp; |
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uint32_t lasttime,lastanswertime; FILE *fp; |
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int32_t numexchanges,counter,btccounter,usdcounter,cnycounter; |
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int32_t numexchanges,counter,btccounter,usdcounter,cnycounter,refc; |
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double highbid,lowask,hblavolume,btcbid,btcask,btcvol,usdbid,usdask,usdvol,cnybid,cnyask,cnyvol; |
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double highbid,lowask,hblavolume,btcbid,btcask,btcvol,usdbid,usdask,usdvol,cnybid,cnyask,cnyvol; |
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double bidaves[TRADEBOTS_NUMDECAYS],askaves[TRADEBOTS_NUMDECAYS]; |
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double bidaves[TRADEBOTS_NUMDECAYS],askaves[TRADEBOTS_NUMDECAYS]; |
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double bidslopes[TRADEBOTS_NUMDECAYS],askslopes[TRADEBOTS_NUMDECAYS]; |
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double bidslopes[TRADEBOTS_NUMDECAYS],askslopes[TRADEBOTS_NUMDECAYS]; |
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@ -60,7 +63,7 @@ struct tradebot_arbpair |
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struct tradebot_arbpair Arbpairs[TRADEBOTS_MAXPAIRS],*Pair_NXTBTC,*Pair_BTCUSD,*Pair_BTCCNY; |
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struct tradebot_arbpair Arbpairs[TRADEBOTS_MAXPAIRS],*Pair_NXTBTC,*Pair_BTCUSD,*Pair_BTCCNY; |
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int32_t Tradebot_numarbpairs; |
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int32_t Tradebot_numarbpairs; |
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struct tradebot_arbpair *tradebot_arbpair_find(char *base,char *rel) |
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struct tradebot_arbpair *tradebots_arbpair_find(char *base,char *rel) |
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{ |
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{ |
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int32_t i; |
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int32_t i; |
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for (i=0; i<Tradebot_numarbpairs; i++) |
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for (i=0; i<Tradebot_numarbpairs; i++) |
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@ -134,13 +137,14 @@ uint32_t tradebots_featureset(double *highbidp,double *lowaskp,double *avep,doub |
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return(timestamp); |
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return(timestamp); |
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} |
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} |
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struct tradebot_arbpair *tradebot_arbpair_create(char *base,char *rel) |
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struct tradebot_arbpair *tradebots_arbpair_create(char *base,char *rel) |
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{ |
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{ |
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struct tradebot_arbpair *pair; char fname[1024]; double ave; |
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struct tradebot_arbpair *pair; char fname[1024]; double ave; |
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if ( Tradebot_numarbpairs < sizeof(Arbpairs)/sizeof(*Arbpairs) ) |
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if ( Tradebot_numarbpairs < sizeof(Arbpairs)/sizeof(*Arbpairs) ) |
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{ |
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{ |
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printf("new pair.%d (%s/%s)\n",Tradebot_numarbpairs,base,rel); |
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printf("new pair.%d (%s/%s)\n",Tradebot_numarbpairs,base,rel); |
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pair = &Arbpairs[Tradebot_numarbpairs++]; |
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pair = &Arbpairs[Tradebot_numarbpairs]; |
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pair->refc = Tradebot_numarbpairs++; |
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strcpy(pair->rel,rel); |
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strcpy(pair->rel,rel); |
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strcpy(pair->base,base); |
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strcpy(pair->base,base); |
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if ( strcmp(base,"NXT") == 0 && strcmp(rel,"BTC") == 0 ) |
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if ( strcmp(base,"NXT") == 0 && strcmp(rel,"BTC") == 0 ) |
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@ -240,20 +244,20 @@ int32_t tradebots_expandrawfeatures(double *svmfeatures,float *rawfeatures,uint3 |
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return(n); |
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return(n); |
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} |
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} |
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int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *pair) |
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int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *pair,float *rawfeatures,float *prevrawfeatures) |
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{ |
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{ |
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int32_t i,j,n,numpairfeatures,flag; struct tradebot_arbpair *ptr; uint32_t reftimestamp; |
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int32_t i,j,n,numpairfeatures,flag; struct tradebot_arbpair *ptr; uint32_t reftimestamp; |
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memcpy(&reftimestamp,pair->rawfeatures,sizeof(reftimestamp)); |
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memcpy(&reftimestamp,rawfeatures,sizeof(reftimestamp)); |
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if ( reftimestamp == 0 ) |
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if ( reftimestamp == 0 ) |
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return(-1); |
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return(-1); |
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numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,pair->rawfeatures,reftimestamp,pair->prevrawfeatures); |
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numpairfeatures = n = tradebots_expandrawfeatures(svmfeatures,rawfeatures,reftimestamp,prevrawfeatures); |
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if ( pair->numsvmfeatures != (1+pair->numpairs)*n ) |
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if ( 0 && pair->numsvmfeatures != (1+pair->numpairs)*n ) |
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{ |
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{ |
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for (i=0; i<pair->numpairs; i++) |
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for (i=0; i<pair->numpairs; i++) // need to do lookups
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{ |
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{ |
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flag = -1; |
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flag = -1; |
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if ( (ptr= tradebot_arbpair_find(pair->svmpairs[i][0],pair->svmpairs[i][1])) != 0 ) |
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if ( (ptr= tradebots_arbpair_find(pair->svmpairs[i][0],pair->svmpairs[i][1])) != 0 ) |
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flag = tradebots_expandrawfeatures(&svmfeatures[n],ptr->rawfeatures,reftimestamp,pair->rawfeatures); |
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flag = tradebots_expandrawfeatures(&svmfeatures[n],ptr->rawfeatures,reftimestamp,rawfeatures); |
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if ( flag < 0 ) |
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if ( flag < 0 ) |
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{ |
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{ |
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for (j=0; j<numpairfeatures; j++) |
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for (j=0; j<numpairfeatures; j++) |
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@ -261,11 +265,6 @@ int32_t tradebots_calcsvmfeatures(double *svmfeatures,struct tradebot_arbpair *p |
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} else n += flag; |
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} else n += flag; |
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} |
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} |
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} |
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} |
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if ( n != pair->numsvmfeatures ) |
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{ |
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printf("unexpected numsvmfeatures %d vs %d\n",n,pair->numsvmfeatures); |
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return(-1); |
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} |
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return(n); |
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return(n); |
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} |
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} |
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@ -287,6 +286,7 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair) |
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double highbid,lowask,futurebid,futureask,ave,vol,bidaves[TRADEBOTS_NUMDECAYS],askaves[TRADEBOTS_NUMDECAYS],bidslopes[TRADEBOTS_NUMDECAYS],askslopes[TRADEBOTS_NUMDECAYS]; |
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double highbid,lowask,futurebid,futureask,ave,vol,bidaves[TRADEBOTS_NUMDECAYS],askaves[TRADEBOTS_NUMDECAYS],bidslopes[TRADEBOTS_NUMDECAYS],askslopes[TRADEBOTS_NUMDECAYS]; |
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float rawfeatures[sizeof(pair->rawfeatures)/sizeof(*pair->rawfeatures)],futuremin,futuremax,minval,maxval,*hblas = 0; |
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float rawfeatures[sizeof(pair->rawfeatures)/sizeof(*pair->rawfeatures)],futuremin,futuremax,minval,maxval,*hblas = 0; |
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uint32_t timestamp,firsttime = 0; long fpos,savepos; int32_t flag,i,iter,j,ind,maxi; |
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uint32_t timestamp,firsttime = 0; long fpos,savepos; int32_t flag,i,iter,j,ind,maxi; |
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OCAS_PLUS_INF = _OCAS_PLUS_INF; OCAS_NEG_INF = -_OCAS_PLUS_INF; |
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if ( pair->fp != 0 ) |
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if ( pair->fp != 0 ) |
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{ |
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{ |
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for (iter=0; iter<2; iter++) |
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for (iter=0; iter<2; iter++) |
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@ -297,7 +297,7 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair) |
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{ |
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{ |
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savepos = ftell(pair->fp); |
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savepos = ftell(pair->fp); |
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timestamp = tradebots_featureset(&highbid,&lowask,&ave,&vol,bidaves,askaves,bidslopes,askslopes,rawfeatures); |
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timestamp = tradebots_featureset(&highbid,&lowask,&ave,&vol,bidaves,askaves,bidslopes,askslopes,rawfeatures); |
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printf("timestamp.%u firsttime.%u\n",timestamp,firsttime); |
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//printf("timestamp.%u firsttime.%u\n",timestamp,firsttime);
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if ( timestamp == 0 ) |
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if ( timestamp == 0 ) |
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continue; |
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continue; |
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if ( firsttime == 0 ) |
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if ( firsttime == 0 ) |
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@ -393,6 +393,66 @@ void tradebots_calcanswers(struct tradebot_arbpair *pair) |
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printf("ERROR: %s/%s not on feature boundary\n",pair->base,pair->rel); |
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printf("ERROR: %s/%s not on feature boundary\n",pair->base,pair->rel); |
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} |
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} |
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double get_yval(double *answerp,int32_t selector,int32_t ind,int32_t refc,int32_t answerind) |
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{ |
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float answer; struct tradebot_arbpair *pair; long savepos; |
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pair = &Arbpairs[refc]; |
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if ( pair->fp != 0 ) |
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{ |
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savepos = ftell(pair->fp); |
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fseek(pair->fp,ind*sizeof(pair->rawfeatures)+answerind*sizeof(*pair->rawfeatures),SEEK_SET); |
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if ( fread(&answer,1,sizeof(answer),pair->fp) != sizeof(answer) ) |
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answer = 0; |
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fseek(pair->fp,savepos,SEEK_SET); |
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if ( isnan(answer) != 0 ) |
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return(0); |
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if ( answer > .01 ) |
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answer = .01; |
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else if ( answer < -.01 ) |
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answer = -.01; |
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if ( answerp != 0 ) |
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*answerp = answer; |
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if ( answer > 0. ) |
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return(1.); |
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else if ( answer < 0. ) |
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return(-1.); |
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} |
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return(0.); |
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} |
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float *get_features(int32_t numfeatures,int32_t refc,int32_t ind) |
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{ |
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struct tradebot_arbpair *pair; long savepos; int32_t i,n; double svmfeatures[4096]; |
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float rawfeatures[sizeof(pair->rawfeatures)],prevrawfeatures[sizeof(pair->rawfeatures)],*svmf=0; |
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pair = &Arbpairs[refc]; |
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pair->numsvmfeatures = numfeatures; |
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if ( pair->fp != 0 && ind > 0 ) |
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{ |
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savepos = ftell(pair->fp); |
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fseek(pair->fp,(ind-1)*sizeof(pair->rawfeatures),SEEK_SET); |
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if ( fread(&prevrawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) && fread(&rawfeatures,1,sizeof(pair->rawfeatures),pair->fp) == sizeof(pair->rawfeatures) ) |
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{ |
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n = tradebots_calcsvmfeatures(svmfeatures,pair,rawfeatures,prevrawfeatures); |
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if ( n != pair->numsvmfeatures ) |
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{ |
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printf("unexpected numsvmfeatures %d vs %d\n",n,pair->numsvmfeatures); |
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//return(-1);
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} |
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svmf = calloc(n,sizeof(*svmf)); |
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for (i=0; i<n; i++) |
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svmf[i] = svmfeatures[i]; |
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} |
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fseek(pair->fp,savepos,SEEK_SET); |
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} |
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return(svmf); |
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} |
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double set_ocas_model(int refc,int answerind,double *W,double W0,int numfeatures,int firstweekind,int len,int bad,double dist,double predabs,int posA,int negA,double answerabs,double aveanswer) |
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{ |
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return(0.); |
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} |
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#include "tradebots_SVM.h" |
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static char *assetids[][2] = |
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static char *assetids[][2] = |
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{ |
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{ |
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{ "12071612744977229797", "UNITY" }, |
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{ "12071612744977229797", "UNITY" }, |
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@ -438,7 +498,7 @@ void tradebot_arbentry(struct tradebot_arbentry *arb,char *exchange,double price |
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} else printf("mismatched arbexchange? (%s vs %s)\n",arb->exchange,exchange); |
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} else printf("mismatched arbexchange? (%s vs %s)\n",arb->exchange,exchange); |
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} |
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} |
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struct tradebot_arbexchange *tradebot_arbexchange_find(struct tradebot_arbpair *pair,char *exchange) |
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struct tradebot_arbexchange *tradebots_arbexchange_find(struct tradebot_arbpair *pair,char *exchange) |
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{ |
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{ |
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int32_t i; |
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int32_t i; |
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for (i=0; i<pair->numexchanges; i++) |
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for (i=0; i<pair->numexchanges; i++) |
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@ -447,7 +507,7 @@ struct tradebot_arbexchange *tradebot_arbexchange_find(struct tradebot_arbpair * |
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return(0); |
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return(0); |
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} |
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} |
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struct tradebot_arbexchange *tradebot_arbexchange_create(struct tradebot_arbpair *pair,char *exchange) |
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struct tradebot_arbexchange *tradebots_arbexchange_create(struct tradebot_arbpair *pair,char *exchange) |
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{ |
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{ |
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if ( pair->numexchanges < sizeof(pair->exchanges)/sizeof(*pair->exchanges) ) |
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if ( pair->numexchanges < sizeof(pair->exchanges)/sizeof(*pair->exchanges) ) |
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{ |
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{ |
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@ -466,15 +526,15 @@ void tradebot_arbcandidate(struct supernet_info *myinfo,char *exchange,int32_t t |
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return; |
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return; |
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} |
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} |
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offset = (tradedir > 0) ? 0 : 1; |
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offset = (tradedir > 0) ? 0 : 1; |
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if ( (pair= tradebot_arbpair_find(base,rel)) == 0 ) |
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if ( (pair= tradebots_arbpair_find(base,rel)) == 0 ) |
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pair = tradebot_arbpair_create(base,rel); |
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pair = tradebots_arbpair_create(base,rel); |
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if ( pair == 0 ) |
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if ( pair == 0 ) |
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{ |
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{ |
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printf("cant get pair for %s %s/%s\n",exchange,base,rel); |
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printf("cant get pair for %s %s/%s\n",exchange,base,rel); |
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return; |
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return; |
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} |
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} |
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if ( (arbex= tradebot_arbexchange_find(pair,exchange)) == 0 ) |
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if ( (arbex= tradebots_arbexchange_find(pair,exchange)) == 0 ) |
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arbex = tradebot_arbexchange_create(pair,exchange); |
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arbex = tradebots_arbexchange_create(pair,exchange); |
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if ( arbex != 0 ) |
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if ( arbex != 0 ) |
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{ |
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{ |
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//printf("cand.%d %16s %s %12.6f (%5s/%-5s) at %12.8f profit %.03f\n",pair->numexchanges,exchange,tradedir<0?"ask":"bid",volume,base,rel,price,profitmargin);
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//printf("cand.%d %16s %s %12.6f (%5s/%-5s) at %12.8f profit %.03f\n",pair->numexchanges,exchange,tradedir<0?"ask":"bid",volume,base,rel,price,profitmargin);
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@ -617,13 +677,13 @@ void tradebot_arbcandidate(struct supernet_info *myinfo,char *exchange,int32_t t |
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{ |
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{ |
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if ( myinfo->svmfeatures == 0 ) |
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if ( myinfo->svmfeatures == 0 ) |
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myinfo->svmfeatures = calloc(sizeof(*myinfo->svmfeatures),pair->numsvmfeatures); |
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myinfo->svmfeatures = calloc(sizeof(*myinfo->svmfeatures),pair->numsvmfeatures); |
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if ( tradebots_calcsvmfeatures(myinfo->svmfeatures,pair) > 0 ) |
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if ( tradebots_calcsvmfeatures(myinfo->svmfeatures,pair,pair->rawfeatures,pair->prevrawfeatures) > 0 ) |
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tradebots_calcpreds(pair->RTpreds,pair,myinfo->svmfeatures); |
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tradebots_calcpreds(pair->RTpreds,pair,myinfo->svmfeatures); |
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} |
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} |
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} |
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} |
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pair->lasttime = (uint32_t)time(NULL); |
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pair->lasttime = (uint32_t)time(NULL); |
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} |
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} |
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if ( time(NULL) > pair->lastanswertime+3600 ) |
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if ( 0 && time(NULL) > pair->lastanswertime+3600 ) |
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{ |
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{ |
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tradebots_calcanswers(pair); |
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tradebots_calcanswers(pair); |
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pair->lastanswertime = (uint32_t)time(NULL); |
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pair->lastanswertime = (uint32_t)time(NULL); |
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@ -861,8 +921,8 @@ void tradebots_processprices(struct supernet_info *myinfo,struct exchange_info * |
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price = bidasks[1].price; |
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price = bidasks[1].price; |
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tradebot_arbcandidate(myinfo,exchange->name,-1,base,rel,price,volume,(uint32_t)time(NULL),profitmargin); |
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tradebot_arbcandidate(myinfo,exchange->name,-1,base,rel,price,volume,(uint32_t)time(NULL),profitmargin); |
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} |
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} |
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if ( (pair= tradebot_arbpair_find(base,rel)) == 0 ) |
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if ( (pair= tradebots_arbpair_find(base,rel)) == 0 ) |
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pair = tradebot_arbpair_create(base,rel); |
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pair = tradebots_arbpair_create(base,rel); |
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if ( pair != 0 ) |
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if ( pair != 0 ) |
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{ |
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{ |
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if ( strcmp(rel,"NXT") == 0 ) |
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if ( strcmp(rel,"NXT") == 0 ) |
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@ -885,3 +945,19 @@ void tradebots_processprices(struct supernet_info *myinfo,struct exchange_info * |
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} |
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} |
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} |
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} |
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} |
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} |
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#include "../includes/iguana_apidefs.h" |
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#include "../includes/iguana_apideclares.h" |
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TWO_STRINGS(tradebots,gensvm,base,rel) |
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{ |
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int32_t numfeatures = 532; struct tradebot_arbpair *pair; |
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if ( base[0] != 0 && rel[0] != 0 && (pair= tradebots_arbpair_find(base,rel)) != 0 && pair->fp != 0 ) |
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{ |
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tradebots_calcanswers(pair); |
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ocas_gen(pair->refc,numfeatures,0,(int32_t)(ftell(pair->fp) / sizeof(pair->rawfeatures))); |
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return(clonestr("{\"result\":\"success\"}")); |
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} else return(clonestr("{\"error\":\"cant find arbpair\"}")); |
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} |
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#include "../includes/iguana_apiundefs.h" |
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jl777
8 years ago