Isis ATP [Automated Trading Platform] - Discussion

[BCB]

ATP is OFF waiting for update

[BCB]

Anyone else notice that the Ask price hasn't budged in several hours?

I think that is just you.  My has moved and is currently accurate.

[isis]

ATP is OFF waiting for update

Thanks for the info.  Looks like the old version was just trading all the way up and down the curve, thus any gains or losses were the result of the bitcoin market itself and not any optimum peak/valley capture.

The corrected algorithm should capture within a few percentage points of a peak or valley (sell / buy respectively).

Problem is the market is currently dead flat, without momentum trades will not occur.

As soon as I can get a few more trades in I'll get a new commit up for everyone.

[isis]

Added an overall PL, 0.2% is about what I would expect considering the market right now looks like a pancake.

I'm going to commit now.

Code:

Sep 17, 2012 2:53:39 PM org.open.payment.alliance.isis.atp.TradingAgent run
INFO: Ticker Size: 201 | Trend Arrow: 8.0 | Bid Arrow: 0.0 | Ask Arrow: 0.0 | VWAP: USD 11.86921
Sep 17, 2012 2:53:39 PM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: Weight is 0.03980099502487562
Sep 17, 2012 2:53:39 PM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: Attempting to sell 0.0635747044776119390853776069949532256941893137991428375244140625 of 1.59731445 BTC available
Sep 17, 2012 2:53:40 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Successfully sold 0.0635747044776119390853776069949532256941893137991428375244140625 at current market price.
Sep 17, 2012 2:53:40 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Current P/L: BTC -0.83268555 | -34.26689500%
Sep 17, 2012 2:53:40 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Current P/L: USD 9.86083 | 34.47200%
Sep 17, 2012 2:53:40 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: Overall P/L: 0.20510500%
Sep 17, 2012 2:53:40 PM org.open.payment.alliance.isis.atp.TradingAgent marketOrder
INFO: AccountInfo [username=isis, wallets=[Wallet [balance= BTC 1.59731445], Wallet [balance= USD 38.46642], Wallet [balance= EUR 0.09964], Wallet [balance= GBP 0.07921], Wallet [balance= AUD 0.22792], Wallet [balance= CAD 0.21845], Wallet [balance= CHF 0.10945], Wallet [balance= JPY 9.773], Wallet [balance= CNY 0.72304], Wallet [balance= DKK 0.7253], Wallet [balance= HKD 9.80315], Wallet [balance= NZD 0.15005], Wallet [balance= PLN 0.36728], Wallet [balance= RUB 3.59428], Wallet [balance= SEK 0.757], Wallet [balance= THB 3.90461]]]

[Raoul Duke]

If we save several jar files each one on it's own dir is it possible to have each one trade a different currency pair or does the fact of the config file being stored on the .java dir makes that impossible?

[isis]

If we save several jar files each one on it's own dir is it possible to have each one trade a different currency pair or does the fact of the config file being stored on the .java dir makes that impossible?

If I were doing that I would run each under it's own user.  Otherwise the configs are shared for all instances on a per-user basis.

I'm going to give you a multi-currency arbitrage version in the next 48 hours though.

[Raoul Duke]

I'm going to give you a multi-currency arbitrage version in the next 48 hours though.

I'll wait for the multi-currency version then.

[isis]

I'm going to give you a multi-currency arbitrage version in the next 48 hours though.

I'll wait for the multi-currency version then.

Let me clarify that.  The arbitrage bot is only for Psy at the present time because we're all very poor and if anyone tries to run it without at least 32 BTC in their account they are very likely to be bankrupt very quickly and Psy is crazy enough to try it and let us know how it works out

[Raoul Duke]

I'm going to give you a multi-currency arbitrage version in the next 48 hours though.

I'll wait for the multi-currency version then.

Let me clarify that.  The arbitrage bot is only for Psy at the present time because we're all very poor and if anyone tries to run it without at least 32 BTC in their account they are very likely to be bankrupt very quickly and Psy is crazy enough to try it and let us know how it works out

Lets hope the current version doesn't syphon the 100 BTC away lol

[BCB]

USD
GPB
EUR

What other currency has significant trading volume?

[isis]

cant there be a smaller arbitrage version for 3 or 4 currencies , for those who want to test with small amounts of btc

The arbitrage engine will trade all currencies that you have mtgox wallets for.
Your settings should in theory be able to limit your losses, but until that's.  1validated id hate to see someone lose out big because it wasn't bothering to obey trading limits .  100 BTC is enough to stay in the game and weather the maximum loss I could see the engine generating.

[isis]

yes i was thinking of those 3 (6 btc?) , instead of putting 2 btc at each currency (32 btc)

The math I used to come up with 32 is 1 btc in each currency and 16 BTC sitting there for slush.
Regardless of current volume the arbitrage engine would be looking at the order book and using a matrix to determine the cheapest place to buy and the most profitable place to sell.  By definition this is going to generate volume since it would be providing liquidity to illiquid markets.

Hence my fear of having it run unchecked.

[isis]

With the latest release just ignore the "Overall PL" field.  It's useless, I forgot to normalize the values to the same units before doing the math.

I'll fix it in the next commit, but that's not coming for a bit.

[isis]

Code:

Sep 18, 2012 12:30:21 AM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: Weight is 0.053691275167785234
Sep 18, 2012 12:30:21 AM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: Attempting to sell 0.0137985181208053688283091120503343063319334760308265686035156250 of 0.2569974 BTC available
Sep 18, 2012 12:30:21 AM org.open.payment.alliance.isis.atp.TradingAgent evalAsk
INFO: 0.0137985181208053688283091120503343063319334760308265686035156250 was less than the configured limit of 0.02
There just isn't enough momentum to trade at this time.

?

Your minimum trade amount of 0.02 that you have configured is greater than the amount that the trader decided should be sold 0.013....
Rather than kick it up to the minimum it now notifies you that there isn't enough momentum to reasonably guarantee a profit with a trade of that size.

If the model holds, eventually the market will either move up to your minimum trade threshold, in which case it will execute a trade of at least 0.02, or the market momentum will slow down (possibly reversing) and you won't be stuck with an trade that didn't meet your minimum size requirements.

That minBtc field should probably be the MtGox minimum plus any trading fees  0.0106 for the algorithm to work as designed, especially on lower balances.

You can edit this setting by editing the prefs.xml (on linux) or registry (on windows) and modifying the minBTC field.  The application will pick up the change the next time it passes by that section of code.

Thanks for asking!

[Raoul Duke]

Code:

Set 18, 2012 1:20:52 AM org.open.payment.alliance.isis.atp.TradingAgent run
INFO: Ticker Size: 137 | Trend Arrow: -2.0 | Bid Arrow: 1.0 | Ask Arrow: 0.0 | VWAP: USD 11.92644
Set 18, 2012 1:20:52 AM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: Weight is -0.014598540145985401
Set 18, 2012 1:20:53 AM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: Attempting to buy -14.542811824817517768847797976494717886453145183622837066650390625 BTC
Set 18, 2012 1:20:53 AM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: -14.542811824817517768847797976494717886453145183622837066650390625 was less than the configured minimum of 0.12
There just isn't enough momentum to trade at this time.

Is this a bug?
It's not buying BTC because of it. A negative number is always less than a positive one. Something's not right there.
Or is this expected behaviour?

The 0.12 it talks about is USD $0.12.

[Shirik]

Came here to post the same as the two above.

Code:

Sep 17, 2012 6:21:31 PM org.open.payment.alliance.isis.atp.TradingAgent run
INFO: Ticker Size: 124 | Trend Arrow: -5.0 | Bid Arrow: -6.0 | Ask Arrow: 0.0 | VWAP: USD 11.85941
Sep 17, 2012 6:21:31 PM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: Weight is -0.04032258064516129
Sep 17, 2012 6:21:31 PM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: Attempting to buy -2.64425685483870960402648375708878347722929902374744415283203125 BTC
Sep 17, 2012 6:21:31 PM org.open.payment.alliance.isis.atp.TradingAgent evalBid
INFO: -2.64425685483870960402648375708878347722929902374744415283203125 was less than the configured minimum of 0.01
There just isn't enough momentum to trade at this time.

[Raoul Duke]

same for me, due to trending down

Not that I'm worried, because if it was buying BTC at market price I would be losing money lol

[MtGoxTraderBot]

Thats what I mentioned in the other thread, the EMA wont work very well if you are not selling at opposite ends of the swings. From what I have seen the bots everyone running are doing they are doing .01 whenever the price swings either way and damn the fees.

[jasinlee]

Java didnt drink its coffee this morning.

[Shirik]

Are there any unit tests associated with this trading agent?

Based on the number of defects identified so far, the software engineer in me is kicking in and going "you really shouldn't be playing with this until it has better test coverage"