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polakowo
GitHub Repository: polakowo/vectorbt
 Path: blob/master/examples/TelegramSignals.ipynb
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Kernel: Python 3

In this example, we will build a Telegram bot that sends a signal once any Bollinger Band has been crossed. We will periodically query for the latest OHLCV data of the selected cryptocurrencies and append this data to our data pool. Additionally to receiving signals, any Telegram user can join the group and ask the bot to provide him with the current information. If the price change is higher than some number of standard deviations from the mean, while crossing the band, the bot sends a funny GIF.

import pandas as pd
import vectorbt as vbt
import logging

logging.basicConfig(format='%(asctime)s - %(name)s - %(levelname)s - %(message)s', level=logging.INFO)
logger = logging.getLogger(__name__)

# Telegram
vbt.settings.messaging['telegram']['token'] = "YOUR_TOKEN"

# Giphy
vbt.settings.messaging['giphy']['api_key'] = "YOUR_API_KEY"

# Data
SYMBOLS = ['BTC/USDT', 'ETH/USDT', 'ADA/USDT']
START = '1 hour ago UTC'
TIMEFRAME = '1m'
UPDATE_EVERY = vbt.utils.datetime.interval_to_ms(TIMEFRAME) // 1000  # in seconds
DT_FORMAT = '%d %b %Y %H:%M:%S %z'
IND_PARAMS = dict(
    timeperiod=20, 
    nbdevup=2, 
    nbdevdn=2
)
CHANGE_NBDEV = 2

data = vbt.CCXTData.download(SYMBOLS, start=START, timeframe=TIMEFRAME)

print(data.wrapper.index)
2021-03-23 17:07:34.598000+00:00 - 2021-03-23 18:07:00+00:00: : 1it [00:00, 1.91it/s] 2021-03-23 17:07:36.639000+00:00 - 2021-03-23 18:07:00+00:00: : 1it [00:00, 2.26it/s] 2021-03-23 17:07:38.885000+00:00 - 2021-03-23 18:07:00+00:00: : 1it [00:00, 1.80it/s]
DatetimeIndex(['2021-03-23 17:08:00+00:00', '2021-03-23 17:09:00+00:00', '2021-03-23 17:10:00+00:00', '2021-03-23 17:11:00+00:00', '2021-03-23 17:12:00+00:00', '2021-03-23 17:13:00+00:00', '2021-03-23 17:14:00+00:00', '2021-03-23 17:15:00+00:00', '2021-03-23 17:16:00+00:00', '2021-03-23 17:17:00+00:00', '2021-03-23 17:18:00+00:00', '2021-03-23 17:19:00+00:00', '2021-03-23 17:20:00+00:00', '2021-03-23 17:21:00+00:00', '2021-03-23 17:22:00+00:00', '2021-03-23 17:23:00+00:00', '2021-03-23 17:24:00+00:00', '2021-03-23 17:25:00+00:00', '2021-03-23 17:26:00+00:00', '2021-03-23 17:27:00+00:00', '2021-03-23 17:28:00+00:00', '2021-03-23 17:29:00+00:00', '2021-03-23 17:30:00+00:00', '2021-03-23 17:31:00+00:00', '2021-03-23 17:32:00+00:00', '2021-03-23 17:33:00+00:00', '2021-03-23 17:34:00+00:00', '2021-03-23 17:35:00+00:00', '2021-03-23 17:36:00+00:00', '2021-03-23 17:37:00+00:00', '2021-03-23 17:38:00+00:00', '2021-03-23 17:39:00+00:00', '2021-03-23 17:40:00+00:00', '2021-03-23 17:41:00+00:00', '2021-03-23 17:42:00+00:00', '2021-03-23 17:43:00+00:00', '2021-03-23 17:44:00+00:00', '2021-03-23 17:45:00+00:00', '2021-03-23 17:46:00+00:00', '2021-03-23 17:47:00+00:00', '2021-03-23 17:48:00+00:00', '2021-03-23 17:49:00+00:00', '2021-03-23 17:50:00+00:00', '2021-03-23 17:51:00+00:00', '2021-03-23 17:52:00+00:00', '2021-03-23 17:53:00+00:00', '2021-03-23 17:54:00+00:00', '2021-03-23 17:55:00+00:00', '2021-03-23 17:56:00+00:00', '2021-03-23 17:57:00+00:00', '2021-03-23 17:58:00+00:00', '2021-03-23 17:59:00+00:00', '2021-03-23 18:00:00+00:00', '2021-03-23 18:01:00+00:00', '2021-03-23 18:02:00+00:00', '2021-03-23 18:03:00+00:00', '2021-03-23 18:04:00+00:00', '2021-03-23 18:05:00+00:00', '2021-03-23 18:06:00+00:00', '2021-03-23 18:07:00+00:00'], dtype='datetime64[ns, UTC]', name='Open time', freq='T') 
def get_bbands(data):
    return vbt.IndicatorFactory.from_talib('BBANDS').run(
        data.get('Close'), **IND_PARAMS, hide_params=list(IND_PARAMS.keys()))


def get_info(bbands):
    info = dict()
    info['last_price'] = bbands.close.iloc[-1]
    info['last_change'] = (bbands.close.iloc[-1] - bbands.close.iloc[-2]) / bbands.close.iloc[-1]
    info['last_crossed_above_upper'] = bbands.close_crossed_above(bbands.upperband).iloc[-1]
    info['last_crossed_below_upper'] = bbands.close_crossed_below(bbands.upperband).iloc[-1]
    info['last_crossed_below_lower'] = bbands.close_crossed_below(bbands.lowerband).iloc[-1]
    info['last_crossed_above_lower'] = bbands.close_crossed_above(bbands.lowerband).iloc[-1]
    info['bw'] = (bbands.upperband - bbands.lowerband) / bbands.middleband
    info['last_bw_zscore'] = info['bw'].vbt.zscore().iloc[-1]
    info['last_change_zscore'] = bbands.close.vbt.pct_change().vbt.zscore().iloc[-1]
    info['last_change_pos'] = info['last_change_zscore'] >= CHANGE_NBDEV
    info['last_change_neg'] = info['last_change_zscore'] <= -CHANGE_NBDEV
    return info


def format_symbol_info(symbol, info):
    last_change = info['last_change'][symbol]
    last_price = info['last_price'][symbol]
    last_bw_zscore = info['last_bw_zscore'][symbol]
    return "{} ({:.2%}, {}, {:.2f})".format(symbol, last_change, last_price, last_bw_zscore)


def format_signals_info(emoji, signals, info):
    symbols = signals.index[signals]
    symbol_msgs = []
    for symbol in symbols:
        symbol_msgs.append(format_symbol_info(symbol, info))
    return "{} {}".format(emoji, ', '.join(symbol_msgs))

from telegram.ext import CommandHandler

class MyTelegramBot(vbt.TelegramBot):
    def __init__(self, data, *args, **kwargs):
        super().__init__(data=data, *args, **kwargs)
        
        self.data = data
        self.update_ts = data.wrapper.index[-1]
        
    @property
    def custom_handlers(self):
        return (CommandHandler('info', self.info_callback),)
    
    def info_callback(self, update, context):
        chat_id = update.effective_chat.id
        if len(context.args) != 1:
            self.send_message(chat_id, "Please provide one symbol.")
            return
        symbol = context.args[0]
        if symbol not in SYMBOLS:
            self.send_message(chat_id, f"There is no such symbol as \"{symbol}\".")
            return
            
        bbands = get_bbands(self.data)
        info = get_info(bbands)
        messages = [format_symbol_info(symbol, info)]
        message = '\n'.join(["{}:".format(self.update_ts.strftime(DT_FORMAT))] + messages)
        self.send_message(chat_id, message)
        
    @property
    def start_message(self):
        index = self.data.wrapper.index
        return f"""Hello! 

Starting with {len(index)} rows from {index[0].strftime(DT_FORMAT)} to {index[-1].strftime(DT_FORMAT)}."""
        
    @property
    def help_message(self):
        return """Message format:
[event] [symbol] ([price change], [new price], [bandwidth z-score])
    
Event legend:
⬆️ - Price went above upper band
⤵️ - Price retraced below upper band
⬇️ - Price went below lower band
⤴️ - Price retraced above lower band

GIF is sent once a band is crossed and the price change is 2 stds from the mean."""

telegram_bot = MyTelegramBot(data)
telegram_bot.start(in_background=True)
2021-03-23 19:07:41,319 - vectorbt.utils.messaging - INFO - Initializing bot 2021-03-23 19:07:41,325 - vectorbt.utils.messaging - INFO - Loaded chat ids [447924619] 2021-03-23 19:07:41,444 - vectorbt.utils.messaging - INFO - Running bot vectorbt_bot 2021-03-23 19:07:41,461 - apscheduler.scheduler - INFO - Scheduler started 2021-03-23 19:07:41,629 - vectorbt.utils.messaging - INFO - 447924619 - Bot: "I'm back online!" 
class MyDataUpdater(vbt.DataUpdater):
    def __init__(self, data, telegram_bot, **kwargs):
        super().__init__(data, telegram_bot=telegram_bot, **kwargs)
        
        self.telegram_bot = telegram_bot
        self.update_ts = data.wrapper.index[-1]
        
    def update(self):
        super().update()
        self.update_ts = pd.Timestamp.now(tz=TZ_CONVERT)
        self.telegram_bot.data = self.data
        self.telegram_bot.update_ts = self.update_ts
        
        bbands = get_bbands(self.data)
        info = get_info(bbands)
        
        messages = []
        if info['last_crossed_above_upper'].any():
            messages.append(format_signals_info('⬆️', info['last_crossed_above_upper'], info))
        if info['last_crossed_below_upper'].any():
            messages.append(format_signals_info('⤵️', info['last_crossed_below_upper'], info))
        if info['last_crossed_below_lower'].any():
            messages.append(format_signals_info('⬇️', info['last_crossed_below_lower'], info))
        if info['last_crossed_above_lower'].any():
            messages.append(format_signals_info('⤴️', info['last_crossed_above_lower'], info))
            
        if len(messages) > 0:
            message = '\n'.join(["{}:".format(self.update_ts.strftime(DT_FORMAT))] + messages)
            self.telegram_bot.send_message_to_all(message)
        if (info['last_crossed_above_upper'] & info['last_change_pos']).any():
            self.telegram_bot.send_giphy_to_all("launch")
        if (info['last_crossed_below_lower'] & info['last_change_neg']).any():
            self.telegram_bot.send_giphy_to_all("fall")

data_updater = MyDataUpdater(data, telegram_bot)
data_updater.update_every(UPDATE_EVERY)
2021-03-23 19:07:41,670 - vectorbt.utils.schedule - INFO - Starting schedule manager with jobs [Every 60 seconds do update() (last run: [never], next run: 2021-03-23 19:08:41)] 2021-03-23 19:08:47,689 - vectorbt.data.updater - INFO - Updated data has 61 rows from 2021-03-23 17:08:00+00:00 to 2021-03-23 18:08:00+00:00 2021-03-23 19:08:47,822 - numexpr.utils - INFO - NumExpr defaulting to 4 threads. 2021-03-23 19:09:15,117 - vectorbt.utils.messaging - INFO - 447924619 - User: "/info BTC/USDT" 2021-03-23 19:09:15,281 - vectorbt.utils.messaging - INFO - 447924619 - Bot: "23 Mar 2021 18:08:47 +0000: BTC/USDT (0.08%, 55638.07, -1.06)" 2021-03-23 19:09:54,766 - vectorbt.data.updater - INFO - Updated data has 62 rows from 2021-03-23 17:08:00+00:00 to 2021-03-23 18:09:00+00:00 2021-03-23 19:10:08,781 - vectorbt.utils.schedule - INFO - Stopping schedule manager 
telegram_bot.stop()
2021-03-23 19:10:08,791 - vectorbt.utils.messaging - INFO - Stopping bot 2021-03-23 19:10:08,793 - apscheduler.scheduler - INFO - Scheduler has been shut down