{
 "cells": [
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   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Test persistance\n",
    "\n",
    "ohlcv and trades persistence with bar type and trade filtering and minsize support\n",
    "\n",
    "```\n",
    "/OHLCV/\n",
    "    ├── {bar_type}/  (1s)\n",
    "    │   ├── {resolution}/\n",
    "    │   │   ├── {filtered_trades}-{min_trade_size}/\n",
    "    │   │   │   ├── {day}/\n",
    "    │   │   │   │  └── hashedname.parquet\n",
    "```"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
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     "text": [
      "trades_df-BAC-2024-01-01T09_30_00-2024-05-14T16_00_00-CO4B7VPWUZF-100.parquet\n",
      "trades_df-BAC-2024-01-11T09:30:00-2024-01-12T16:00:00.parquet\n",
      "trades_df-SPY-2024-01-01T09:30:00-2024-05-14T16:00:00.parquet\n",
      "trades_df-BAC-2023-01-01T09_30_00-2024-05-25T16_00_00-47BCFOPUVWZ-100.parquet\n",
      "ohlcv_df-BAC-2024-01-11T09:30:00-2024-01-12T16:00:00.parquet\n",
      "trades_df-BAC-2024-05-15T09_30_00-2024-05-25T16_00_00-47BCFOPUVWZ-100.parquet\n",
      "ohlcv_df-BAC-2024-01-01T09_30_00-2024-05-25T16_00_00-47BCFOPUVWZ-100.parquet\n",
      "ohlcv_df-SPY-2024-01-01T09:30:00-2024-05-14T16:00:00.parquet\n",
      "ohlcv_df-BAC-2024-01-01T09_30_00-2024-05-14T16_00_00-CO4B7VPWUZF-100.parquet\n",
      "ohlcv_df-BAC-2023-01-01T09_30_00-2024-05-25T16_00_00-47BCFOPUVWZ-100.parquet\n"
     ]
    }
   ],
   "source": [
    "from v2realbot.tools.loadbatch import load_batch\n",
    "from v2realbot.utils.utils import zoneNY\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "import vectorbtpro as vbt\n",
    "from itables import init_notebook_mode, show\n",
    "import datetime\n",
    "from itertools import product\n",
    "from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, DATA_DIR\n",
    "import v2realbot.utils.config_handler as cfh\n",
    "init_notebook_mode(all_interactive=True)\n",
    "from v2realbot.enums.enums import BarType\n",
    "\n",
    "vbt.settings.set_theme(\"dark\")\n",
    "vbt.settings['plotting']['layout']['width'] = 1280\n",
    "vbt.settings.plotting.auto_rangebreaks = True\n",
    "# Set the option to display with pagination\n",
    "pd.set_option('display.notebook_repr_html', True)\n",
    "pd.set_option('display.max_rows', 10)  # Number of rows per page\n",
    "\n",
    "# Define the market open and close times\n",
    "market_open = datetime.time(9, 30)\n",
    "market_close = datetime.time(16, 0)\n",
    "entry_window_opens = 1\n",
    "entry_window_closes = 370\n",
    "\n",
    "forced_exit_start = 380\n",
    "forced_exit_end = 390\n",
    "\n",
    "#LOAD FROM BATCH\n",
    "# res, df = load_batch(batch_id=\"f1ac6651\", #138170bc 0fb5043a  bde6d0be f1ac6651\n",
    "#                      space_resolution_evenly=False,\n",
    "#                      indicators_columns=[\"Rsi14\"],\n",
    "#                      main_session_only=True,\n",
    "#                      verbose = False)\n",
    "# if res < 0:\n",
    "#     print(\"Error\" + str(res) + str(df))\n",
    "# df = df[\"bars\"]\n",
    "\n",
    "# basic_data = vbt.Data.from_data(vbt.symbol_dict({\"BAC\": df}), tz_convert=zoneNY)\n",
    "# #m1_data = basic_data[['Open', 'High', 'Low', 'Close', 'Volume']]\n",
    "# basic_data = basic_data.transform(lambda df: df.between_time('09:30', '16:00'))\n",
    "# #basic_data.info()\n",
    "\n",
    "#LOAD FROM PARQUET\n",
    "#list all files is dir directory with parquet extension\n",
    "dir = DATA_DIR + \"/notebooks/\"\n",
    "import os\n",
    "files = [f for f in os.listdir(dir) if f.endswith(\".parquet\")]\n",
    "print('\\n'.join(map(str, files)))\n",
    "file_name = \"ohlcv_df-BAC-2023-01-01T09_30_00-2024-05-25T16_00_00-47BCFOPUVWZ-100.parquet\"\n",
    "ohlcv_df = pd.read_parquet(dir+file_name,engine='pyarrow')\n",
    "\n",
    "#filter ohlcv_df to certain date range (assuming datetime index)\n",
    "#ohlcv_df = ohlcv_df.loc[\"2024-05-14 09:30\":\"2024-05-15 09:35\"]\n",
    "\n",
    "#add vwap column to ohlcv_df\n",
    "#ohlcv_df[\"hlcc4\"] = (ohlcv_df[\"close\"] + ohlcv_df[\"high\"] + ohlcv_df[\"low\"] + ohlcv_df[\"close\"]) / 4\n",
    "\n",
    "basic_data = vbt.Data.from_data(vbt.symbol_dict({\"BAC\": ohlcv_df}), tz_convert=zoneNY)"
   ]
  },
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      "text/plain": [
       "time\n",
       "2023-01-31 00:00:00-05:00    34.365180\n",
       "2023-02-28 00:00:00-05:00    35.438030\n",
       "2023-03-31 00:00:00-04:00    29.484466\n",
       "2023-04-30 00:00:00-04:00    29.031967\n",
       "2023-05-31 00:00:00-04:00    27.928008\n",
       "                               ...    \n",
       "2024-01-31 00:00:00-05:00    33.221474\n",
       "2024-02-29 00:00:00-05:00    33.582925\n",
       "2024-03-31 00:00:00-04:00    36.142510\n",
       "2024-04-30 00:00:00-04:00    36.945401\n",
       "2024-05-31 00:00:00-04:00    38.438940\n",
       "Freq: ME, Name: close, Length: 17, dtype: float64"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "#basic_data.data[\"BAC\"].info()\n",
    "#ohlcv_df group by week number of rows\n",
    "# ohlcv_df['close'].groupby(pd.Grouper(freq='ME')).mean()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#trade filtering\n",
    "exclude_conditions = cfh.config_handler.get_val('AGG_EXCLUDED_TRADES') #standard ['C','O','4','B','7','V','P','W','U','Z','F']\n",
    "minsize = 100\n",
    "exclude_conditions_str = ''.join(exclude_conditions)\n",
    "exclude_conditions_str"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "basic_data.data[\"BAC\"].info()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Aim is to store\n",
    "OHLCV grouped by symbol, day, resolution\n",
    "and \n",
    "bar type\n",
    "excluded_conditions\n",
    "minsize\n",
    "main session"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bartype= BarType.TIME\n",
    "resolution = \"1s\"\n",
    "trade_filter = exclude_conditions_str+\"-\"+str(minsize)\n",
    "dir = \"/OHLCV/\"+bartype+\"/\"+resolution+\"/\"+trade_filter+\"/\"\n",
    "#dir = DATA_DIR + dir\n",
    "basic_data.to_parquet(partition_by=\"day\", keep_groupby_names=False, path_or_buf=dir, mkdir_kwargs=dict(mkdir=True))  \n",
    "#partition_by=\"day\",\n",
    "\n",
    "#naloaduje partitionvana 1s data skrz 90 dni za 2s\n",
    "#day_data = vbt.ParquetData.pull(\"BAC\", paths=dir, filters=[(\"group\", \">\", \"2024-01-02\"),(\"group\", \"<=\", \"2024-01-09\")]) #, \n",
    "# day_data[\"2024-05-01\":\"2024-05-14\"].get()\n",
    "\n",
    "# day_data.data[\"BAC\"].info()\n",
    "\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#naloaduje partitionvana 1s data skrz 90 dni za 2s\n",
    "day_data = vbt.ParquetData.pull(\"BAC\", paths=dir, filters=[(\"group\", \">=\", \"2024-01-02\"),(\"group\", \"<=\", \"2024-01-09\")]) #, \n",
    "# day_data[\"2024-05-01\":\"2024-05-14\"].get()\n",
    "\n",
    "day_data.data[\"BAC\"].info()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "close = basic_data.close\n",
    "#group by close by day, using pandas grouper\n",
    "#close.groupby(pd.Grouper(freq='ME')).mean()\n",
    "\n",
    "#using Grouper of vectorbtpro\n",
    "#close.vbt.group_by(pd.Grouper(freq='ME')).mean()\n",
    "\n",
    "#basic_data.wrapper.get_columns()\n",
    "basic_data.wrapper.get_freq()\n",
    "# vbt.pdir(basic_data.wrapper)\n",
    "# basic_data.wrapper\n",
    "basic_data.wrapper.grouper.is_grouped()\n",
    "\n",
    "vbt.pdir(basic_data.wrapper.grouper)\n",
    "\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "grouper = basic_data.wrapper.index.vbt.get_grouper(\"ME\")\n",
    "\n",
    "for group, group_idx in grouper:\n",
    "    print(group, group_idx)\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#prevede 1milion dat (6mes 1s) na dict za 10ss\n",
    "df = day_data.data[\"BAC\"]\n",
    "df_dict = df.to_dict(orient='list')\n",
    "\n",
    "# Convert the index (which is the time) to a list of float timestamps\n",
    "df_dict['time'] = [timestamp.timestamp() for timestamp in df.index]\n",
    "\n",
    "df_dict"
   ]
  }
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