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Make an Order

This article is only for educational purpose and doesn't provide any financial and investment advice.

In the previous article, we learned how to get K bar data. In this article, we will trade based on the K bar data

Calculate SMA(Simple Moving Average)​

Use SMA as an example, we use golden cross and death cross of long and short period of MA to determine the buying and selling points.

In __init__ function, we set long period as 10 and short period as 5.

self.long_window_size = 10
self.short_window_size = 5

We could save historical close price into close_price_history to calculate SMA.

If the data is not enough, talib would get NaN; we cannot determine golden cross or death cross at this point. We could directly return and wait for the next K bar.

def trade(self, candles):
exchange, pair, base, quote = CA.get_exchange_pair()

# get the latest 10 candles
if len(candles[exchange][pair]) < self.long_window_size + 1:
return
candles[exchange][pair] = candles[exchange][pair][:self.long_window_size + 1]
# use close price
close_price_history = [candle['close'] for candle in candles[exchange][pair]]

candles is sorted from the newest to the oldest; while talib consumes input from the oldest to the newest. Therefore, we reverse the data here.

    # convert to chronological order for talib
close_price_history.reverse()

Convert to np.array which talib accepts. Use talib to calculate long and short period SMA.

    # convert np.array
close_price_history = np.array(close_price_history)
long_ma_history = talib.SMA(close_price_history, self.long_window_size)
short_ma_history = talib.SMA(close_price_history, self.short_window_size)

Make an order​

Use CA.get_balance to get the available balance.

    # get available balance
base_balance = CA.get_balance(exchange, base)
quote_balance = CA.get_balance(exchange, quote)
available_base_amount = base_balance.available
available_quote_amount = quote_balance.available

Use the last 2 values of long_ma_history and short_ma_history to determine golden cross and death cross. Make an order after checking the available asset.

    if short_ma_history[-2] < long_ma_history[-2] and short_ma_history[-1] > long_ma_history[-1]:
CA.log('Golden Cross')
amount = 0.1
if available_quote_amount >= amount * close_price_history[-1]:
CA.log('Buy ' + base)
CA.buy(exchange, pair, amount, CA.OrderType.MARKET)
else:
CA.log('The asset is not enough.')
elif short_ma_history[-2] > long_ma_history[-2] and short_ma_history[-1] < long_ma_history[-1]:
CA.log('Death Cross')
if available_base_amount > 0:
CA.log('Sell ' + base)
CA.sell(exchange, pair, available_base_amount, CA.OrderType.MARKET)
else:
CA.log('The asset is not enough.')

Complete strategy code​

class Strategy(StrategyBase):
def __init__(self):
# strategy attributes
self.period = 60 * 60
self.subscribed_books = {}
self.options = {}

# define your attributes here
self.long_window_size = 10
self.short_window_size = 5

def on_order_state_change(self, order):
pass

def trade(self, candles):
exchange, pair, base, quote = CA.get_exchange_pair()

# get the latest 10 candles
if len(candles[exchange][pair]) < self.long_window_size + 1:
return
candles[exchange][pair] = candles[exchange][pair][:self.long_window_size + 1]
# use close price
close_price_history = [candle['close'] for candle in candles[exchange][pair]]

# convert to chronological order for talib
close_price_history.reverse()
# convert np.array
close_price_history = np.array(close_price_history)
long_ma_history = talib.SMA(close_price_history, self.long_window_size)
short_ma_history = talib.SMA(close_price_history, self.short_window_size)

# get available balance
base_balance = CA.get_balance(exchange, base)
quote_balance = CA.get_balance(exchange, quote)
available_base_amount = base_balance.available
available_quote_amount = quote_balance.available

if short_ma_history[-2] < long_ma_history[-2] and short_ma_history[-1] > long_ma_history[-1]:
CA.log('Golden Cross')
amount = 0.1
if available_quote_amount >= amount * close_price_history[-1]:
CA.log('Buy ' + base)
CA.buy(exchange, pair, amount, CA.OrderType.MARKET)
else:
CA.log('The asset is not enough.')
elif short_ma_history[-2] > long_ma_history[-2] and short_ma_history[-1] < long_ma_history[-1]:
CA.log('Death Cross')
if available_base_amount > 0:
CA.log('Sell ' + base)
CA.sell(exchange, pair, available_base_amount, CA.OrderType.MARKET)
else:
CA.log('The asset is not enough.')