How I tried to automated cryptocurrency trading

1. Automated cryptocurrency trading
VilniusPHP 0x40 Žilvinas Kuusas, 2018

2. Žilvinas Kuusas
Lead developer @ Estina
ISIGN.io e-signature solutions
VilniusPHP.lt | CleanPHP.lt | NoTrollsAllowed.com
t: @kuusas
e: zilvinas@kuusas.lt
About me

3. How did it all begin?

4. 2x in 1 month

5. Our office gems: crypto miner

7. 3 paths of crypto world
● Buy some cryptos and HODL for long
● Buy and TRADE for profit (buy low, sell high)
● Build a rig and MINE

8. When you have no patience
● HODL
● MINE
● TRADE !

9. Why cryptocurrencies is so attractive for wannabe traders?
● Huge price fluctuations
● No entrance fee
● No regulations
● No limits
● Market always goes up(despite some bloody periods)

10. Day trading
Pros
● It’s fun
● Fast $$$
Cons
● Daily commitment
● Discipline
● Skills
● Human factors
● MANUAL LABOR

12. THE BOT

13. Is it legal? YES

14. Trading platforms offers API
● Bittrex
● Bitfinex
● Kraken
● Binance
● Bitstamp
● ...
● Buy and Sell
● Withdraw
● Get market data
● Websockets for
LIVE data

15. What bot can do for you?
● High-frequency trading
● Arbitrage
● Scalping
● Swing trading
● Stop-loss protection
● Indicating
● Alerting

16. Existing open source solutions
Bot Technology Notes
Gekko JavaScript, Node Not suitable for
high-frequency trading
Bowhead PHP, Laravel Spaghetti monster
Lack of backtesting tools
ccxt JavaScript, Node
(generates Python and
PHP)
Supports 98 APIs
Missing trading strategies
freqtrade Python Found yesterday
No backtesting

17. Existing paid solutions
Bot Price Notes
MetaTrader 4 Has marketplace of robots
and indicators
Powerful, but uses invented
programming language.
Has bunch of free bots to
use.
Gunbot Starting 0.075 BTC It works.
CryptoTrader Starting 0.0016 BTC /
month
Cheap, hard to make it work
to generate expected profit.
BTC Robot Starting 9.99 $ / month Cheap, hard to make it work
to generate expected profit.
60 days back guarantee

19. Plan
● Select platform
● Collect data
● Trading strategy
● Implementation
● Backtesting
● Production

20. Select platform
Platform Reliability Maker (Limit order) Taker (Market order)
Bitfinex + 0.1% 0.2%
Kraken - 0.15% 0.15%
Binance + 0.1% 0.1%
Bitstamp + 0.25% 0.25%
Poloniex + 0.15% 0.25%
Bitthumb + 0.15% 0.15%
Bittrex + 0.25% 0.25%

21. $ git clone https://github.com/joeldg/bowhead
$ vi .env
$ mysql .. < app/Scripts/DBdump.sql
$ php artisan bowhead:websocket_bitfinex
Collect data
What we need:
● OHLC data
○ Open
○ High
○ Low
○ Close
● Volume data
For given time frame:
● 1 min
● 5 min
● 15 min
● 30 min
● 1 h

22. Collect data
$ git clone https://github.com/joeldg/bowhead
$ vi .env
$ mysql .. < app/Scripts/DBdump.sql
$ php artisan bowhead:websocket_bitfinex

24. Collect data 24/7
We need a server! ● Digital Ocean 10 $ / m
● Centos 7
● Ansible playbook:
○ PHP 7.2 !
○ mysql
○ supervisord
○ cronjob to periodically restart
services

25. Strategy - what should my bot do?
● Buy low, sell high
● React to all ups and downs
● Do it 24/7

26. My strategy choice -
scalping

27. BUY
SELL
BUY
BUY
BUY
BUY
BUY
BUY
BUY
SELL
SELL
SELL
SELL
SELL
SELL
SELL
SELL
Buy low, sell high

29. Implementation #1

30. Implementation
● When to buy? - BUY signal.
○ Place order - Call API.
● When to sell? - SELL signal.
○ Place order - Call API.

31. Technical Analysis implementation...

32. Reusing existing tools
● Using Bowhead bot predefined strategies
○ Requires PHP Trader extension
● SOURCE CreateOrderCommand.php

33. Backtesting

34. Start with:
● BTC ($50)
● ETH ($50)
● LTC ($50)
● BCH ($50)
Go live!
12 hours results:
● BTC ...
● ETH ...
● LTC ...
● BCH ...

35. Start with:
● BTC ($50)
● ETH ($50)
● LTC ($50)
● BCH ($50)
Go live!
12 hours results:
● BTC $49.8
● ETH $48.2
● LTC $47.6
● BCH $52.3

36. Start with:
● BTC ($50)
● ETH ($50)
● LTC ($50)
● BCH ($50)
Go live!
24 hours results:
● BTC $47.9
● ETH $49.1
● LTC $44.3
● BCH $54.3

37. WAIT, WHAT !?!?..

38. Debugging
I see nothing...

39. Backtesting: visualisation

40. Problems
● Orders not filled on time
● Outdated data
● Backtested and live code are not the same

41. Backtesting: visualisation

42. Implementation #2

43. My very own algorithm
● Buy on green
● Sell on red

44. My very own algorithm

45. Backtesting

46. Go live!
Never happened.

48. Implementation #3

49. Learning technical analysis
● What is a buy signal
● What is a sell signal

50. Understanding Technical Analysis tools
● Moving Average (MA)
● Exponential Moving Average (EMA)

52. More TA tools
● Average Directional Index - ADX
● Relative Strength Index - RSI
● Money Flow Index - MFI
● Moving Average Convergence Divergence -
MACD

53. Performance of latest algorithm
Market growth: ~ +6%
Bot earnings: ~ +9.6%

54. TA tools in PHP
trader_ma($data['close'], $period);
trader_ema($data['close'], $period);
trader_macd($data['close'], $period1, $period2);
trader_rsi($data['close'], $period)
trader_adx($data['high'], $data['low'], $data['close'], $period);
trader_mfi($data['high'], $data['low'], $data['close'], $data['volume'], $period)

55. @NOTES

56. Risk management
Risk-reward ratio

57. Stop-loss
Secure your $

58. Cryptocurrency market is unpredictable
Technical analysis tools and various patterns - what works on stock
markets, regular currencies trading, not necessarily will work with cryptos.

59. Algorithm Optimisation
Testing tons of parameters to find the best combination for given market
situation.

60. Emotionless trading?
Bot inherits emotions from his creator.

61. Backtesting
Technical analysis tools and various patterns - what works on stock
markets, regular currencies trading, not necessarily will work with cryptos.
And once again - market trend must be taken to account.

62. Version control
Version all the things!

63. Ačiū!
Coming soon: github.com/kuusas/ ...

64. [Spoiler alert]
Dirbantys Estinoje botą
gauna pirmi.