autotrade-sim.pl

   1 #!/usr/bin/perl
   2 #
   3 # Automated Bitcoin Trader - Simulator
   4 # (c) Petr Baudis <pasky@ucw.cz>  2011
   5 #
   6 # Feeds the trader simulated data based on RateHistory database. You can
   7 # import historical data using
   8 #       curl 'http://bitcoincharts.com/t/trades.csv?start=0&end='$(date +%s)'&symbol=mtgoxUSD' | ./import-csv.pl
   9 #
  10 # You can render the generated plot using
  11 #       gnuplot -persist -e 'plot "sim.plot" using 2 with lines title "buy", "sim.plot" using 3 with lines title "sell", "sim.plot" using 4 with lines title "btc", "sim.plot" using 5 with lines title "usd" axes x1y2, "sim.plot" using 6 with lines title "total" axes x1y2'
  12 #
  13 # Usage: ./autotrate-sim.pl START_BALANCE STARTTIME STEP ENDTIME
  14
  15 use warnings;
  16 use strict;
  17
  18
  19 use autotrade::MarketTools;
  20
  21 my ($usdbal, $start, $step, $stop) = @ARGV;
  22
  23 use autotrade::SQL;
  24 use autotrade::RateHistory;
  25 use autotrade::Market::Simulated;
  26 use autotrade::Trader::LowHigh;
  27 use autotrade::Trader::Slope;
  28
  29 my $dbh = autotrade::SQL::db_connect("autotrade-sim.sqlite");
  30 $dbh->do("PRAGMA synchronous = OFF");
  31 $dbh->do("DELETE FROM bitcoin_values");
  32 my $rh = autotrade::RateHistory->new(dbh => $dbh);
  33 my $m = autotrade::Market::Simulated->new(bal_btc => 0, bal_usd => str_curr($usdbal), rh => $rh);
  34 my $t = autotrade::Trader::Slope->new(dbh => $dbh, rh => $rh, m => $m, time_window => 1200, raise_threshold => 0.25, fall_threshold => -0.25);
  35
  36 open PLOT, ">sim.plot";
  37
  38 while ($start < $stop) {
  39         printf "%d: %s\n", $start, scalar localtime($start);
  40         my ($md, $n);
  41         do {
  42                 $md = $m->market_data($start);
  43         } while ($t->beat($md, $start));
  44         printf PLOT "%d %s %s %s %s %s\n", time,
  45                 curr_str($md->rate_buybtc()), curr_str($md->rate_sellbtc()),
  46                 curr_str($m->bal_btc()), curr_str($m->bal_usd()),
  47                 curr_str(curr_conv($m->bal_btc(), $md->rate_buybtc()) + $m->bal_usd());
  48         $start += $step;
  49         print "\n";
  50 }
  51
  52 printf "=== Final balance: %s BTC, %s USD => %s USD\n",
  53         curr_str($m->bal_btc()), curr_str($m->bal_usd()), curr_str(curr_conv($m->bal_btc(), $m->market_data($start)->rate_buybtc()) + $m->bal_usd());