autotrade-lohi.pl

   1 #!/usr/bin/perl
   2 #
   3 # Automated Bitcoin Trader - Low-High
   4 # (c) Petr Baudis <pasky@ucw.cz>  2011
   5 #
   6 # The automated trader maintains no persistent data except in MtGox
   7 # order book. We still expect periodical user inspections; if you want
   8 # to withdraw money, raise minbalance appropriately first and let enough
   9 # outstanding transactions finish; alternatively, to withdraw k USD,
  10 # in MtGox web interface place a buy order on k BTC @ 1 USD.
  11 #
  12 # Algorithm:
  13 #
  14 # We simply aim to generate profit by buying bitcoints and selling them
  15 # at somewhat higher price to generate at least required margin. Each
  16 # transaction is $bamount BTC and we seek to gain profit at least
  17 # $sellmargin USD on it, therefore placing a sell order at $bamount*rate
  18 # + fees + $sellmargin.
  19 #
  20 # Problems:
  21 # 1. We buy coins immediately after selling them, incurring huge transaction
  22 # costs.
  23 # 2. We get blocked at local maximum, helpless when BTC start falling.
  24 #
  25 # Possible solutions:
  26 # 1. Follow derivation over multiple timeframes.
  27 # 2. Re-targetting old sell orders to avoid long-term blocks.
  28 # 3. When price is dropping, sell part of investment if passing original
  29 # value, so that we can re-invest in valley.
  30 #
  31 #
  32 # TODO:
  33 # We expire old buy orders. If it is older than $buyage minutes, throw
  34 # it away, it is not going to happen.
  35 #
  36 # TODO:
  37 # We also expire (re-target to current settings) old sell orders.
  38 # We compute the expiration loss (we bought for X, now we are selling
  39 # for less than X + margin), expected transaction loss (we expect to
  40 # do $exptransperday successful transactions per day, how much we could
  41 # make if the money was not sitting on idle sell order for all this time?)
  42 # and when the ratio goes over $resellratio (say, 1) we accept the loss
  43 # and sell the bitcoins to return them to circulation.
  44 #
  45 # Fee model:
  46 #
  47 # MtGox charges $tfee (0.0065) per transaction from the transaction value,
  48 # i.e. the whole amount being charged.  In a sell order (and re-targeting
  49 # old sell orders!), we must top the target with fee compensation. E.g. for
  50 # 20USD w/ 0.1USD profit margin, fees amount to 0.24USD!.
  51
  52 # TODO: Better buy price selection based on market depth.
  53 # TODO: Auto-adjust $sellmargin based on volatility?
  54 # TODO: Auto-adjust $interval based on volatility?
  55
  56 use warnings;
  57 use strict;
  58
  59
  60 # Configuration section.
  61
  62 # First, trading parameters.
  63
  64 my $bamount = 0.618; # [BTC] transaction size
  65 my $sellmargin = 0.1; # [USD] sell order above current rate plus this margin; this * bamount is how much we make per transaction (up to fees!).
  66 my $minbalance = 10; # [USD] minimum balance to keep on account
  67
  68
  69 # Then, information about our trader.
  70
  71 my $interval = 20; # [s] trade cycle period
  72 my $tfee = 0.0065; # [ratio] transaction fee - multiply by transaction amount
  73
  74 our @mgrc = split /\n/, `cat ~/.mgrc`;
  75 use WebService::MtGox;
  76 my $t = WebService::MtGox->new(user => $mgrc[0], password => $mgrc[1]);
  77
  78
  79 # Configuration end.
  80
  81
  82 sub currency {
  83         sprintf '%.3f', $_[0];
  84 }
  85
  86 sub tfee_compensation {
  87         my ($buy, $sell) = @_;
  88         # This solves the equation
  89         #       (buy + (sell + fees)) * tfee = fees
  90         # returning $fees - the amount we need to charge extra for
  91         # bitcoints to compensate for transaction fees.
  92         return ($buy + $sell) * $tfee / (1 - $tfee);
  93 }
  94
  95 my $last_balance;
  96
  97 sub should_trade {
  98         my $binfo = $t->list();
  99         my $balance = $binfo->{usds};
 100         print "\t\tBasic balance $balance\n";
 101         foreach my $o (@{$binfo->{orders}}) {
 102                 if ($o->{type} == '2') {
 103                         print "\t\t- Buy order $o->{amount} @ $o->{price}\n";
 104                         $balance -= $o->{amount} * $o->{price};
 105                 }
 106         }
 107         print "\tEffective balance $balance\n";
 108         $last_balance = $balance - $minbalance;
 109         return $balance > $minbalance;
 110 }
 111
 112 sub do_trade {
 113         my $tinfo = $t->get_ticker()->{ticker};
 114         my $brate = $tinfo->{sell};
 115         my $srate = $brate + $sellmargin;
 116         my $fees = currency(tfee_compensation($brate, $srate));
 117         $srate += $fees;
 118         print "\t\tCurrent buy rate $tinfo->{buy}, our buy rate $brate, fees $fees, sell rate $srate\n";
 119
 120         my $uamount = currency($brate * $bamount);
 121         my $uamount2 = currency($srate * $bamount);
 122         print "\t\tWould buy $bamount BTC for $uamount USD (balance $last_balance USD), will sell for $uamount2 USD\n";
 123         if ($last_balance <= $uamount) {
 124                 print "\tNot enough funds.\n";
 125                 return 0;
 126         }
 127
 128         $t->buy(amount => $bamount, price => $brate);
 129         $t->sell(amount => $bamount, price => $srate);
 130         print "\t* Orders PLACED. *\n";
 131         return 1;
 132 }
 133
 134
 135 while (1) {
 136         print "... ".localtime." check\n";
 137         while (should_trade() and do_trade()) {
 138                 sleep 1;
 139         }
 140         print "... ".localtime." check finished.\n\n";
 141         sleep $interval;
 142 }