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| Rejected Sell Trades Can Lose 10% Of Your Portfolio... Or More |
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Posted by: crypto49er - 01-14-2019, 11:05 PM - Forum: Technical Discussion
- Replies (2)
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I had seen this issue for sometime but I finally came up with a really rough fix. I would really appreciate if someone can write the code to do this asynchronously.
Issue: (Known to occur in Coinbase Pro, but can occur for any exchange that lets you use limit orders) When Gekko issues a sell order, in the seconds that it receives the current price from the exchange and before it sends the sell order to the exchange, the price went up. Normally, that's a good thing. This shows there's so much volume that your order shouldn't have any problem getting filled. The problem is, when the order goes to the exchange, the exchange rejects it because Gekko is now trying to sell below the ask price. Once the order is rejected, Gekko doesn't retry the order. Technically, even if Gekko did, it would get a message back from the exchange "HTTP 400 Error: order not found" and it will continue to get this message until the retry attempts are exhausted. So that's the issue. If your strategy issued a sell order to get out of the market in anticipation of further drops, you're now screwed!!! Gekko will be holding the bag for you while the crypto goes down in price from 2% to 5% to 10% (on a bad day) or more if you are trading an extremely volatile crypto.
To Test This: Modify sticky.js inside the exchange/orders folder. In line 129, replace this:
Code: return r(ticker.ask);
with:
Code: return r(ticker.ask - 0.03);
If you want to see rejected buy trades, you can modify line 111 from this:
Code: return r(ticker.bid);
with:
Code: return r(ticker.bid + 0.03);
This essentially tricks Gekko into selling below ask or buying above bid prices. For rejected buy trades, they don't cost you anything except for potential gain. But that could be a lot! Anyway, the next time your strategy issues a buy/sell order, you will see the rejected trade error in the console. It looks something like this.
Quote:2019-01-14 16:07:18 (INFO): Trader Received advice to go long. Buying ETC
2019-01-14 16:07:18 (DEBUG): Creating order to buy 2.174301930195067 ETC
Mon Jan 14 2019 16:07:23 GMT-0500 (EST) {}
sticky create
buy
2019-01-14 16:07:23 (DEBUG): [ORDER] statusChange: SUBMITTED
2019-01-14 16:07:23 (DEBUG): [ORDER] statusChange: OPEN
2019-01-14 16:07:24 (DEBUG): [ORDER] statusChange: REJECTED
2019-01-14 16:07:24 (INFO): [ORDER] summary: { price: 0,
amount: 0,
date: moment("1969-12-31T19:00:00.000"),
side: 'buy',
orders: 1 }
2019-01-14 16:07:24 (DEBUG): syncing private data
I know ETC was 51% attacked recently. This is just a test and ETC is the cheapest crypto I have access to on Coinbase Pro. But do note the erroneous 1969 date listed in console. It usually is 12/31/1969 or 1/1/1970. If you ever seen this in the past, your trade failed to execute.
Solution: I am not an advanced coder in Javascript, so this isn't the cleanest solution, but it works. The idea is to have your strategy issue another buy order after getting the "rejected" message from the exchange. One thing I noticed while coming up with this is if you try to issue another buy order, Gekko completely ignores it and doesn't even output a message to console. I'm guessing this is because older strategies send multiple buy orders and Gekko has to ignore them. So the only way to get Gekko to accept a new buy order is to issue a sell order first.
The files I modified are:
config file
gdax.js
strategy file
In the config file, we are going to store the state of "rejected" so the other files can read/write to them. I just added the following before the last line. You can probably add them anywhere.
Code: config.IssueState = {
rejected: false,
side: 'sell',
}
In gdax.js, we are going to give it the ability to write to the rejected variable in the config file, so we need to add this at the top where the other required files are declared.
Code: var config = require('../../core/util.js').getConfig();
Now, in the checkOrder function, in the if (status == 'pending') section, I changed it from:
Code: if(status == 'pending') {
// technically not open yet, but will be soon
return callback(undefined, { executed: false, open: true, filledAmount: 0 });
} if (status === 'done' || status === 'settled') {
return callback(undefined, { executed: true, open: false });
} else if (status === 'rejected') {
return callback(undefined, { executed: false, open: false });
} else if(status === 'open' || status === 'active') {
return callback(undefined, { executed: false, open: true, filledAmount: parseFloat(data.filled_size) });
}
to:
Code: if(status == 'pending') {
// technically not open yet, but will be soon
return callback(undefined, { executed: false, open: true, filledAmount: 0 });
} if (status === 'done' || status === 'settled') {
config.IssueState.rejected = false;
return callback(undefined, { executed: true, open: false });
} else if (status === 'rejected') {
if (data.reject_reason == 'post only' ) {
config.IssueState.rejected = true;
config.IssueState.side = data.side;
}
return callback(undefined, { executed: false, open: false });
} else if(status === 'open' || status === 'active') {
return callback(undefined, { executed: false, open: true, filledAmount: parseFloat(data.filled_size) });
}
In the strategy, I again have to give it the ability to access the config file by adding this at the top, where all the other required files are declared:
Code: var config = require ('../core/util.js').getConfig();
I then added a variable to check how often to check if the "rejected" variable is still true. This is a global variable at the top where other variables are placed.
Code: var waitForRejectedRetry = 0;
So instead this is the code in the check function of the strategy:
Code: if (config.IssueState.rejected){
if (waitForRejectedRetry == 0){
if (config.IssueState.side == 'buy'){
this.advice('short'); // To reset previous buy order by issuing a sell order
this.advice('long');
} else {
this.advice('long'); // To reset previous sell order by issuing a buy order
this.advice('short');
}
waitForRejectedRetry = 11;
}
if (waitForRejectedRetry > 0) {
waitForRejectedRetry--;
}
}
I tested this and confirmed that it works. Don't forget to remove the code in sticky.js otherwise every order will be rejected. If you're interested to simulating a scenario where every other trade starting with the first is a rejected trade, you can modify sticky.js to read from the "rejected" variable from the config file. I will include the code in a reply post if anyone is interested.
I now have to implement this in all of the strategies that I use. I can't wait for the official fix from AskMike. I know it is on his to-do list.
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| https://www.newhealthera.com/trialix/ |
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Posted by: glynjing - 01-14-2019, 04:50 AM - Forum: General Discussion
- No Replies
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we recommend that you try to go back to your ex even if you are married to a good-looking millionaire younger than you. You have more possibilities Do not look at the details When you enter a place with the intention of flirting,
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| Coming up with a "Strategy"-strategy |
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Posted by: wilbertvdl - 01-13-2019, 11:43 PM - Forum: Automated Trading
- No Replies
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Hi all,
I'm wondering: how do you guys define which strategy you are eventually going to use in live trading?
I've been doing a fair bit of backtesting, with both manual parameters setting and bruteforce/gekkoga results. Both on various strategies like MACD, RSI_BULL_BEAR(_ADX), RSI, etc. And of course on various timeframes.
With all these combinations I obviously get very mixed results. One strategy with a certain set of parameters perform better on certain timeframes and other strategies better on other timeframes.
As far as I can see it there are a couple of steps involved in defining what strategy you're going to use:
Determine which asset/currency you're going to trade;
BTC/USDT, ETH/BTC, XRP/ETH, etc.
What timeframe would you like to cover in your upcoming trade-periode;
Are you looking for shortterm (few weeks, a month) or longer term (months, year) trade-period?
What timeframe in the history would resemble your upcoming trade-periode (I guess this requires some feeling for the market);
Do you expect your upcoming trade-periode to be overall bullish or bearish?
Was there a time-span in history with a comparable trend?
What is the actual trade strategy you're going to use?
Do you base that on trying out a couple of strategies? Do you have a go-to strategy?
Finding the right parameters
(brutforce/gekkoga)backtesting?
To papertrade or not to papertrade?
Once you have your tradeperiod, strategy and parameters, do you actually start papertrading or do you start live-trading based on your research so far?
To be honest, I'm quite struggling with these steps. Perhaps my aproach is faulty or my knowledge lacking.
How did you come up with the set-up you're using for live-trading and which strategy are you using?
I would love to read it!
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| Gekko Bot |
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Posted by: SebastianJu - 01-13-2019, 10:50 PM - Forum: General Discussion
- No Replies
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Hello everyone,
Just found the forum through Mikes post on bitcointalk, ages old in crypto times, I guess, but great read.
I wanted to see what the gekko bot is, is it a proof of concept bot? It looks like everyone is written in js, so performance wasn't a target it seems. Probably more for testing strategies, not for anything that relies on high frequency trades.
So I guess the backtesting functionality is the bots strenght, probably it's easy to include different indicators and such.
Out of interest, I once bought a bot on tradewave (honeybadger), never was able to test it back then and when I checked back, might be more than a year later, tradewave was gone already. : Only the free version of the bot is used by someone on cryptotrader, while not performing really impressive. I believe the owner only used something like crossing ma's and pattern recognitions, really simple indicators. So is testing things like that the target of Gekko bot? Is the dev maybe on here as well, on first sight it looks like some great minds gathered here.
Thanks for all your thoughts so far!
Sebastian
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| Parameter optimization of Neural strategies |
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Posted by: Bychance - 01-13-2019, 05:27 AM - Forum: Strategy Development
- Replies (2)
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Hi friends,
Is there any guide on how to optimize the parameters for neural strategies? I found several posts about using the genetic algorithm to optimize the parameters. I did not see any information if it can be used for neural strategies as well. However, I could not run the genetic algorithm and appreciate if anybody could help. The steps mentioned by Gekko warez did not work for me. I found some others had the same problem with running the genetic algorithm.
Thanks,
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| Multiple assets trading |
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Posted by: Bychance - 01-13-2019, 05:21 AM - Forum: Strategy Development
- Replies (3)
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Hi friends,
I started using Gekko currently. I'm using Linux commandline to run gekko. I added several alts and started trading based on BNB. Is there any way to limit the buy and sell of each coin based on its balance? Because I noticed that the trading bot used my total BNB balance just for one coin. It will be ideal if the trading bot just could buy and sell based on each coin's balance and add each profit (if any!) for further trading of that coin.
Thanks
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| I can not start the web interface |
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Posted by: vam - 01-12-2019, 06:20 PM - Forum: Technical Support
- No Replies
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I installed gekko in docker in a virtual machine without nginx. When I try to access it from the host machine, I see this popup:
Disconnected
Something happened to either Gekko or the connection. Please check the terminal where Gekko is running or your network connection.
[i]This message is shown when the UI is unable to open a websocket connection with the Gekko Server.[/i]
Tell me something I'm doing wrong?
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| Installing Gekko (Dependencies) help |
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Posted by: nwksaxman - 01-11-2019, 05:50 PM - Forum: Technical Support
- No Replies
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attempting to install Gekko on a raspberry pi 3b+. however the code in the section on "Installing Gekko's dependencies" isn't working. I get "-bash nom: command not found". can someone point me in the right direction. thanks!
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