# Momentum based BTC trader
# Copyright (C) Sam Pollard, 2017 - All Rights Reserved
# Unauthorized copying of this file via any medium is strictly prohibited
# Proprietary and confidential
# Written by Sam Pollard <sam.d.pollard@gmail.com>, May 31, 2017.
# Template code taken from https://cryptotrader.org/backtests/KohMmsLg5Y8NSzJJQ

# If you're using this for margin trading, you must trade only with
# Poloniex, specifically BTC/USDT, though Bitfinex may work and trades BTC/USD
# The backtest should start with 100% of your starting account balance in BTC
# This is meant for a period of 1 day.

# Version 1, Backtest sent to Kory on May 30, 2017
# https://cryptotrader.org/backtests/WABzEG7wFsXAYd6Yp

# margin_trading and trading are mutually exclusive
mt = require 'margin_trading' # May only be done with Binfinex or Poloniex
# trading = require 'trading' # import core trading module
talib = require 'talib' # import technical analysis library

# Initialization method called before the script starts.
# Context object holds script data and will be passed to 'handle' method.
init: ->
    # note that init and handle methods don't need arguments
    # @data, @storage and @context can be accessed from anywhere in the code
    @context.OB = 90
    @context.OS = 25
    # This gets complaints at 0.003. For margin trading, it's
    # the amount of ETH (Poloniex) you trade. For trading,
    # it's the minimum %age of your assets you can order.
    @context.eps = 1e-6
    @context.invested = false # You start off all in BTC
    @context.open_short = 0.0
    @context.begin = true

# This method is called for each tick
handle: (context, data, storage)->
    # Poloniex: ETH/BTC
    # i.e. the instrument is eth, its price is per bitcoin
    instrument = data.instruments[0]
    price = instrument.price
    RSI = talib.RSI
           inReal: instrument.close
           startIdx: 0
           endIdx: instrument.close.length - 1
           optInTimePeriod: 2
    RSI_value = _.last(RSI)

    # TRADING
    # It appears cash and currency are the same thing
    #cash = @portfolio.positions[instrument.base()].amount
    #currency = @portfolio.positions[instrument.curr()].amount
    #assets = @portfolio.positions[instrument.asset()].amount

    # MARGIN TRADING
    info = mt.getMarginInfo instrument
    assets = info.margin_balance # The value of all trading assets in BTC (USD for Bitfinex)
    # debug "price = #{price}; assets = #{assets} btc; tradeable balance = #{info.tradable_balance} btc"
    cash = 0

    # Stretch and shift
    sf = 0.001
    plot
        RSI: RSI_value  * sf - 100*sf
        OB: @context.OB * sf - 100*sf
        OS: @context.OS * sf - 100*sf
        # TODO: Normalize holdings to the price of 1 ETH
        # Holdings: cash + assets * price
    # Notes:
    # The portfolio object gives access to information about funds
    # instrument.curr() returns base asset id e.g cny
    # instrument.asset() returns traded asset id, for example: "btc"

    # MARGIN TRADING
    pos = mt.getPosition instrument
    # check if position is open
    #if pos
    #    debug "position: #{pos.amount} @#{pos.price}"
    #    price = pos.price
    try
        if @context.invested && RSI_value < @context.OS
            if mt.sell instrument, 'limit', 0.99*info.tradable_balance/price, price, instrument.interval * 60
                pos = mt.getPosition instrument
                debug "Short sell; new position: #{pos.amount} #{instrument.asset()}"
                @context.invested = false
                @context.open_short = Math.abs(pos.amount)
                # addOrder takes single object as argument
                # takeProfitOrder = mt.addOrder
                #     instrument: instrument
                #     side: 'buy'
                #     type: 'limit'
                #     amount: amount
                #     price: instrument.price * 0.4
                # @storage.takeProfitOrder = takeProfitOrder.id
        else if RSI_value > @context.OB && info.tradable_balance > @context.eps && !@context.invested
            if mt.buy instrument, 'limit', 0.99*@context.open_short, price, instrument.interval * 60
                pos = mt.getPosition instrument
                if pos
                    debug "Buy; new position: #{pos.amount} #{instrument.asset()}"
                @context.invested = true
    catch e
        # the exception will be thrown if funds are not enough
        if e.errorType == "InsufficientFunds"
            error "insufficient funds: you have #{info.tradable_balance}"
        else
            throw e

    # TRADING
    # if RSI_value > @context.OB
    #     if cash > @context.eps * instrument.price
    #         # open long position
    #         #trading.buy instrument, "market", cash * (1.0 - @context.eps) / instrument.price
    #         info "Bought #{instrument.asset()} with #{cash} at #{instrument.price}"
    # else
    #     if RSI_value < @context.OS && assets > @context.eps * instrument.price
    #         #trading.sell instrument # close long position
    #         info "Sold #{assets} #{instrument.asset()} at #{instrument.price}"

# Unlike orders, open positions don't get cancelled when the bot is stopped
# the below snippet can be used to programmatically close it
onStop: ->
    instrument = @data.instruments[0]
    pos = mt.getPosition instrument
    if pos
        debug "Closing position"
        mt.closePosition instrument


# this method is called upon restart
onRestart: ->
    debug "Restart detected"
    # for example, we might need to cancel open orders
    for o in mt.getActiveOrders()
        mt.cancelOrder o