import numpy as np
import matplotlib
import matplotlib.pyplot as plt
import random

#textfile = 'test.txt'
#textfile = 'ETH.txt'
textfile = 'SPREADS.txt'
howFarBack = 14000
nLen = 1000
EMAlen = 900
EMA2len = 50
EMA3len = 50

rsiMin = 30
rsiMax = 70

def ExpMovingAverage(values, window):
    weights = np.exp(np.linspace(-1., 0., window))
    weights /= weights.sum()
    a = np.convolve(values, weights, mode='full')[:len(values)]
    a[:window] = a[window]
    return a

def rsiFunc(prices, n=300):
    deltas = np.diff(prices)
    seed = deltas[:n+1]
    up = seed[seed>=0].sum()/n
    down = -seed[seed<0].sum()/n
    rs = up/down
    rsi = np.zeros_like(prices)
    rsi[:n] = 100. - 100./(1. +rs)

    for i in range(n, len(prices)):
        delta = deltas[i-1]

        if delta>0:
            upval = delta
            downval = 0.
        else:
            upval = 0.
            downval = -delta

        up = (up*(n-1)+ upval)/n
        down = (down*(n-1) + downval)/n

        rs = up/down
        rsi[i] = 100. - 100./(1.+rs)
    return rsi


def testingData():
    btcDatear = []
    BFXbidar = []
    BFXaskar = []
    GDAXbidar = []
    GDAXaskar = []
    GbBa = []
    GaBb = []
    BbGa = []
    BaGb = []


    try:
        sourceCode = open(textfile, 'r').read()
        splitSource = sourceCode.split('\n')

        for eachLine in splitSource[-howFarBack:]:
            splitLine = eachLine.split(', ')
            btcDate = splitLine[0]
            BFXbid = splitLine[1]
            BFXask = splitLine[2]
            GDAXbid = splitLine[3]
            GDAXask = splitLine[4]

            btcDatear.append(float(btcDate))
            BFXbidar.append(float(BFXbid))
            BFXaskar.append(float(BFXask))
            GDAXbidar.append(float(GDAXbid))
            GDAXaskar.append(float(GDAXask))
            GbBa.append(float (float(GDAXbid) - float(BFXask)))
            GaBb.append(float(float(GDAXask) - float(BFXbid)))
            BbGa.append(float(float(BFXbid) - float(GDAXask)))
            BaGb.append(float(float(BFXask) - float(GDAXbid)))


    except Exception, e:
        print "failed raw data", str(e)

    EMA = ExpMovingAverage(BbGa, EMAlen)
    EMA2 = ExpMovingAverage(BbGa, EMA2len)
    #EMA3 = ExpMovingAverage(btcPricear, EMA3len)
    rsiLine = rsiFunc(BbGa, n=nLen)
    rsiLine2 = rsiFunc(BbGa, n=nLen)
    #rsiLine3 = rsiFunc(EMA2, n=nLen)
    #rsiLine4 = rsiFunc(EMA3, n=nLen)

    ax1 = plt.subplot2grid((6, 4), (4,0), rowspan=2, colspan=4)
    ax1.plot(btcDatear, BFXbidar, color = 'b')
    ax1.plot(btcDatear, BFXaskar, color = 'b')
    ax1.plot(btcDatear, GDAXbidar, color = 'g')
    ax1.plot(btcDatear, GDAXaskar, color = 'g')
    ax1.grid(True)

    ax2 = plt.subplot2grid((6, 4), (1,0),sharex= ax1, rowspan=3, colspan=4)
    ax2.grid(True)



    ax2.plot(btcDatear, GbBa, color = 'g')
    #ax2.plot(btcDatear, GaBb, color = "b")
    ax2.plot(btcDatear, BbGa, color = 'g')
    #ax2.plot(btcDatear, (rsiLine2/100), color='b')
    #ax2.plot(btcDatear, BaGb, color = 'b')
    ax2.plot(btcDatear, EMA, color = 'y')
    #ax2.plot(btcDatear, EMA2, color = 'y')
    ax2.set_yticks([-3,-2,-1.66, -1.33, -1, 0, 1, 1.33, 1.66, 2, 3])

    ax3 = plt.subplot2grid((6, 4), (0,0),sharex= ax1, rowspan=1, colspan=4)
    ax3.grid(True)
    ax3.plot(btcDatear, (rsiLine), color="r")
    ax3.set_yticks([47,53])

    plt.show()
#############################################################
def backTesting():
    btcDatear = []
    BFXbidar = []
    BFXaskar = []
    GDAXbidar = []
    GDAXaskar = []
    GbBa = []
    GaBb = []
    BbGa = []
    BaGb = []
    initSpread = []
    spreads = 0


    try:
        sourceCode = open(textfile, 'r').read()
        splitSource = sourceCode.split('\n')

        for eachLine in splitSource[-howFarBack:]:
            splitLine = eachLine.split(', ')
            btcDate = splitLine[0]
            BFXbid = splitLine[1]
            BFXask = splitLine[2]
            GDAXbid = splitLine[3]
            GDAXask = splitLine[4]

            btcDatear.append(float(btcDate))
            BFXbidar.append(float(BFXbid))
            BFXaskar.append(float(BFXask))
            GDAXbidar.append(float(GDAXbid))
            GDAXaskar.append(float(GDAXask))
            GbBa.append(float (float(GDAXbid) - float(BFXask)))
            GaBb.append(float(float(GDAXask) - float(BFXbid)))
            BbGa.append(float(float(BFXbid) - float(GDAXask)))
            BaGb.append(float(float(BFXask) - float(GDAXbid)))
    except Exception, e:
        print "failed raw data", str(e)

        GDAXusd = 10
        GDAXltc = 13.1
        BFXusd = 363
        BFXltc = 0.88
        trades= 0

        x= 0
        stance = 'none'
        lastBoughtFor = 0
        totalProfit = 0
        while x < len(GaBb):
            ############################################
            ###########################################
            rand =  "%.2f"%(random.uniform(-0.01, 0.04))
            ############################################
            #print GbBa[x], GaBb[x], BbGa[x], BaGb[x]
            #if GbBa[x] > 1.5:
                #print GbBa[x]
            #if BbGa[x] > -1.3:
                #print BbGa[x]
            if BFXusd > BFXaskar[x] and GDAXltc > 1 and float(GbBa[x]) >= float(1.28):
                openFee = ((BFXaskar[x] + GDAXbidar[x]) * 0.002)
                initSpread.append((float(GbBa[x])- openFee))
                spreads = spreads + 1
                GDAXltc = GDAXltc - 1
                GDAXusd = GDAXusd + float(GDAXbidar[x])
                BFXusd = BFXusd - float(BFXaskar[x])
                BFXltc = BFXltc + 1
                #print spreads, GbBa[x]


            if spreads > 0 and float(BbGa[x]) >= float(-1.13) and float(GDAXusd) > float(GDAXaskar[x]) and float(BFXltc) > float(1):
                closeFee = ((BFXbidar[x] + GDAXaskar[x]) * 0.002)
                totalProfit = totalProfit + ((float(initSpread[0]) + float(BbGa[x]))- closeFee)
                print ((float(initSpread[0]) + float(BbGa[x]))-closeFee), float(initSpread[0]),float(BbGa[x])
                del initSpread[0]
                spreads = spreads - 1
                GDAXltc = GDAXltc + 1
                GDAXusd = GDAXusd - float(GDAXaskar[x])
                BFXusd = BFXusd + float(BFXbidar[x])
                BFXltc = BFXltc - 1
                trades= trades +1
                #print

            x += 1
        print "total profit:", totalProfit
        print trades
backTesting()
testingData()
#