study("MACD DEMA",shorttitle='MACD DEMA')
//by ToFFF
sma = input(12,title='DEMA Courte')
lma = input(26,title='DEMA Longue')
tsp = input(9,title='Signal')
dolignes = input(true,title="Lignes")

MMEslowa = ema(close,lma)
MMEslowb = ema(MMEslowa,lma)
DEMAslow = ((2 * MMEslowa) - MMEslowb )

MMEfasta = ema(close,sma)
MMEfastb = ema(MMEfasta,sma)
DEMAfast = ((2 * MMEfasta) - MMEfastb)

LigneMACDZeroLag = (DEMAfast - DEMAslow)

MMEsignala = ema(LigneMACDZeroLag, tsp)
MMEsignalb = ema(MMEsignala, tsp)
Lignesignal = ((2 * MMEsignala) - MMEsignalb )

MACDZeroLag = (LigneMACDZeroLag - Lignesignal)

swap1 = MACDZeroLag>0?green:red

plot(MACDZeroLag,color=swap1,style=columns,title='Histo',histbase=0)
p1 = plot(dolignes?LigneMACDZeroLag:na,color=blue,title='LigneMACD')
p2 = plot(dolignes?Lignesignal:na,color=red,title='Signal')
fill(p1, p2, color=blue)
hline(0)

It often happens that Gekko has a crash when he gets advice sell / buy. Is there a way for Gekko to return to advice from the previous process after reboot? So if before the crash he had an advice to sell, he gets a new sell advice after restarting.

Hi all,

I have setup Telegram but its not pushing advice to telegram i need to request it, have i missed something in the setup or is this not a feature gekko has?

Thanks

Gekko has support for a telegram bot that can respond to commands. I've extended it so you can do stuff like

Initiate manual buys/sells
Tweak strategy parameters on the fly
Query internal state
Send messages from your strategy via telegram

... and so on

There's just one teeny teeny problem, it needs resolving against the latest changes in the main gekko depot.

If anyone's interested in this, shout, and I'll take a look at resolving the overlaps so you can grab the PR.

If you want to take a look at the changes it's here

https://github.com/askmike/gekko/pull/2103

Cheers
z

This is a story about curiosity and exploration. And how after countless evenings of debugging, tinkering and making mistakes (read: losing money) I ended up with a small piece of code that was moving serious money and pocketing a bit as well. Let me lead you down the rabbit hole of my creation: Agent Smith.

[for the impatient, scroll down to "The Climax".]



It all started on a rainy night in May of 2017 (I was living in Galway, Ireland and it rains an awful lot in the west coast). Playing more and more with the cryptocurrency exchange Poloniex I started to worry about the execution price of doing trades on some markets because of illiquid orderbooks:

When you have some Bitcoin and you want to trade them for Ether (two different cryptocurrencies) you can do that on Poloniex directly on their BTC/ETH market. If you want to trade instantly you will need to buy the Ether from someone who is currently offering to sell it (called an "ask offer"), the only alternative is creating your own offer to buy (a "bid offer") hoping that someone will sell them to you. Usually taking an ask offer is fine as there are a number of people currently willing to buy and sell (all publically visible in something called the "orderbook"). But in some scenarios of heavy price movements (like during a crash) I noticed that the prices being offered were terrible, there are moments when the cheapest way to buy Ether for Bitcoin on Poloniex is not buying directly on the ETH/BTC market but by taking a stranger path: Sell your Bitcoin into USDT and use those to buy the Ether. This is very unintuitive since every time you do a trade you have to pay fees. Doing two trades means twice the amount of fees compared to a single trade.

When working on trading systems you often come across situations where the markets don't always behave in your advantage when you are trying to do something specific. Sometimes you can measure and (statistically) predict these situations. Even more rarely you can exploit them, those are called market inefficiencies. Taming them can be a hard and bumpy path and most don't tend to stick around for long (due to natural shifts in the markets). Whatever the case: you will have to fight tooth and nail for them since you might not be the only one knowing about it.

Enter arbitrage

Imagine a cheese market where people are buying and selling cheese all day long. If you know a certain shop selling Gouda cheese for $10 and you hear someone saying he is willing to buy a Gouda cheese for $11 you just found a way to make $1! Arbitrage is a well understood and studied practice in a lot of markets. There are huge arbitrage opportunities between Bitcoin on different exchanges:



Just like the Gouda cheese, you can see that Bitcoin is trading at a different price wherever you look. Though compared to a few months ago the prices are a lot more similar (or in other words, the markets are more efficient). Doing Bitcoin arbitrage can be as simple as buying bitcoin on the exchange where it is cheap (in this picture Bittrex) and sending it over and selling it on the one where it expensive (in this picture HitBTC).

Unfortunately doing this kind of arbitrage is a tough nut to crack, in order to do this these are factors you need to take into account:

- The cost of trading (buying and selling), these are trading fees.*
- The cost of moving the money (withdrawing and depositing), different fees.
- The price at which you can actually trade: the picture above does not show the price for which you can buy or sell at a market, just what price of the last trade was. You actually have to buy from the lowest ask and sell to the highest bid (the bid is always lower than the ask, meaning this eats into your profit).
- The amount of money you actually can buy or sell based on the top ask and bid.
- The risk of having a lot of money on multiple exchanges.
- The risk of moving a lot of money to different exchanges via your bank account: usually banks don't like it when you receive thousands of dollars a day from a company in one country and you send it to a company in another country (looks an awful lot like money laundering). Though this very much depends where you are based and what kind of relationship you have with your bank.
- The risk of not being fast enough: unfortunately you are probably not the first one to see this opportunity, turning this whole thing into a race. Inefficiencies exploitable by arbitrage are inherintly zero sum: there is only a fixed amount of money to be made, and a lot of people are out to get it. This is the reason you won't find any good arbitrage bots online.
- The risk of holding bitcoin at all (called market exposure).

*Fees are not always equal, I'll go over this more in "Speed is not everything" down below.

Tri arb

However there are a lot of ways to do arbitrage, including exploiting the inefficiency I saw on Poloniex. Poloniex has a lot of different cryptocurrencies you can trade on a lot of different of markets. Going back to the BTC/ETH example: there are three different currencies linked between three markets:



You can trade any of these three currencies for one another directly on the market. Each time you do you have two costs:

- You need to pay a fee to Poloniex, this is called a taker fee.
- In case of buying you need to go all the way down from the price people are offering to sell at to the price people are offering to buy at (this difference is called the spread).

This means that if you have some Bitcoin, you can trade them into Ether, you can trade those into USDT and finally you can convert these back into Bitcoin. Doing this is not the best deal, because you almost always lose money.

Note the almost in there, let's talk about the time you don't lose money but actually make money

Equilibrium



Imagine the red numbers describing the prices of the market, for simplicity sake let's say they describe the type of order (bid or ask) we are taking in the example above (by going Bitcoin -> Ether -> USDT -> Bitcoin). In this situation you would lose money doing these three trades, since you'd lose out on fees for each trade. Let's assume your fee is 1% and you start with 1 Bitcoin:

- You trade your 1 Bitcoin into 10 Ether, after paying the fee you have 9.9 Ether
- You trade your 9.9 Ether into 990 USDT, after paying the fee you have 989.01 USDT
- You trade your 989.01 USDT into 0.98901 Bitcoin, after paying the fee you have 0.979[..] BTC

But the sharp readers among you might have noticed a clue:

Quote:But in some scenarios of heavy price movements (like during a crash) I noticed that [...]

hi
 PRICE_FILTER data: {"code":-1013,"msg":"Filter failure: PRICE_FILTER"}

Gekko encountered an error and can't continue
[binance.js] Error -1013: Filter failure: PRICE_FILTER 



gekko tradebot cli is working

trade cuts in half when trading
---------------------------------

• 2018-04-13 02:44:36 (DEBUG): [binance.js] (addOrder) returned an error, retrying: Error: Error -1021: Timestamp for this request was 1000ms ahead of the server's time.
  2018-04-13 02:44:39 (ERROR): [binance.js] (addOrder) returned an irrecoverable error: Error: Error -1013: Filter failure: PRICE_FILTER
  2018-04-13 02:44:39 (DEBUG): [binance.js] entering "setOrder" callback after api call, err: [binance.js] Error -1013: Filter failure: PRICE_FILTER data: {"code":-1013,"msg":"Filter failure: PRICE_FILTER"}
  
  
  Gekko encountered an error and can't continue
  
  Error:
  
  [binance.js] Error -1013: Filter failure: PRICE_FILTER 
  
  
  
  Meta debug info:
  
  Gekko version: v0.5.14
  Nodejs version: v8.11.1
  
  
  

Hey all,

  Just curious which candle interval you use the most when testing your strats?
 
  I tend to use 1-minute candles when testing in paper trading.. and various for backtesting.

   Also, do you disable slippage when backtesting? or always leave it on?

Thank you

Hi,

Does anyone know if it's possible to declare a new indicator in the strat.check section of a custom strategy (instead of the strat.init section)?


I am trying to use dynamic parameters on my indicators. They change depending on actual market condition.

Thanks in advance.

hi


(gekko cli mode trading)

how to display remote ssh gekko trading
thank you

Hello, 

This is the situation:

I set a strategy, for example:

BTC-BTS

RSI
Candle size - 1 HOUR
History size - 1 

I let it run for a couple of days and there are no trades made.

Then I run the same strategy as backtesting on the same period and it shows several trades, with profit.

I tried on poloniex and binance. 
With different coin pairs 
With different strategies
Both on windows and Linux. 

Same thing happens in every time.

Can anyone tell me what am I doing wrong, please?