diff --git a/testy/normalizePrices.py b/testy/normalizePrices.py new file mode 100644 index 0000000..43c21a9 --- /dev/null +++ b/testy/normalizePrices.py @@ -0,0 +1,43 @@ +from v2realbot.utils.utils import price2dec + +bacprice = 28.90 +cprice = 45.00 + +bacma = [28.90,28.95,28.96] +bactick = [0.1, 0.1, 0.1] + +cma = [45, 45.50, 45.90] + + +baseprice = 28.90 +basetick = 0.01 + + +baseratio = cprice/baseprice + +ctick = baseratio*basetick + +#print(ctick) + +#normalized price for tick 0.01 +NORMALIZED_TICK_BASE_PRICE = 30.00 + +# prevede normalizovany tick na tick relevantni dane cene +# u cen pod 30, vrací 0.01. U cen nad 30 vrací pomerne zvetsene, +def get_tick(price: float, normalized_ticks: float = 0.01): + """ + prevede normalizovany tick na tick odpovidajici vstupni cene + vysledek je zaokoruhleny na 2 des.mista + + u cen pod 30, vrací 0.01. U cen nad 30 vrací pomerne zvetsene, + + """ + if price 50 + - rusime pendingbuye + - netriggerujeme buy + +""" +stratvars = AttributeDict(maxpozic = 400, + def_mode_from = 200, + chunk = 10, + MA = 2, + Trend = 2, + profit = 0.02, + def_profit = 0.01, + lastbuyindex=-6, + pendingbuys={}, + limitka = None, + limitka_price = None, + jevylozeno=0, + vykladka=5, + curve = [0.01, 0.01, 0.01, 0, 0.02, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01], + curve_def = [0.02, 0.02, 0.02, 0, 0, 0.02, 0, 0, 0, 0.02], + blockbuy = 0, + ticks2reset = 0.04, + consolidation_bar_count = 10, + slope_lookback = 300, + lookback_offset = 20, + minimum_slope = -0.05, + first_buy_market = False + ) +##toto rozparsovat a strategii spustit stejne jako v main +toml_string = """ +[[strategies]] +name = "V1 na BAC" +symbol = "BAC" +script = "ENTRY_backtest_strategyVykladaci" +class = "StrategyOrderLimitVykladaci" +open_rush = 0 +close_rush = 0 +[strategies.stratvars] +maxpozic = 200 +chunk = 10 +MA = 6 +Trend = 5 +profit = 0.02 +lastbuyindex=-6 +pendingbuys={} +limitka = "None" +jevylozeno=0 +vykladka=5 +curve = [0.01, 0.01, 0.01,0.01, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01] +blockbuy = 0 +ticks2reset = 0.04 +[[strategies.add_data]] +symbol="BAC" +rectype="bar" +timeframe=5 +update_ltp=true +align="round" +mintick=0 +minsize=100 +exthours=false +""" + +def next(data, state: StrategyState): + print(10*"*","NEXT START",10*"*") + #ic(state.avgp, state.positions) + #ic(state.vars) + #ic(data) + + # + def is_defensive_mode(): + akt_pozic = int(state.positions) + max_pozic = int(state.vars.maxpozic) + def_mode_from = safe_get(state.vars, "def_mode_from") + if def_mode_from == None: def_mode_from = max_pozic/2 + if akt_pozic >= int(def_mode_from): + state.ilog(e=f"DEFENSIVE mode ACTIVE {state.vars.def_mode_from=}", msg=state.positions) + return True + else: + state.ilog(e=f"STANDARD mode ACTIVE {state.vars.def_mode_from=}", msg=state.positions) + return False + + def get_limitka_price(): + def_profit = safe_get(state.vars, "def_profit") + if def_profit == None: def_profit = state.vars.profit + cena = float(state.avgp) + if is_defensive_mode(): + return price2dec(cena+get_tick(cena,float(def_profit))) + else: + return price2dec(cena+get_tick(cena,float(state.vars.profit))) + + def consolidation(): + ##CONSOLIDATION PART - moved here, musí být před nákupem, jinak to dělalo nepořádek v pendingbuys + #docasne zkusime konzolidovat i kdyz neni vylozeno (aby se srovnala limitka ve vsech situacich) + if state.vars.jevylozeno == 1 or 1==1: + ##CONSOLIDATION PART kazdy Nty bar dle nastaveni + if int(data["index"])%int(state.vars.consolidation_bar_count) == 0: + print("***CONSOLIDATION ENTRY***") + state.ilog(e="CONSOLIDATION ENTRY ***") + + orderlist = state.interface.get_open_orders(symbol=state.symbol, side=None) + #pro jistotu jeste dotahneme aktualni pozice + state.avgp, state.positions = state.interface.pos() + + #print(orderlist) + pendingbuys_new = {} + limitka_old = state.vars.limitka + #print("Puvodni LIMITKA", limitka_old) + #zaciname s cistym stitem + state.vars.limitka = None + state.vars.limitka_price = None + limitka_found = False + limitka_qty = 0 + limitka_filled_qty = 0 + for o in orderlist: + if o.side == OrderSide.SELL: + + if limitka_found: + state.ilog(e="nalezeno vicero sell objednavek, bereme prvni, ostatni - rusime") + result=state.interface.cancel(o.id) + state.ilog(e="zrusena objednavka"+str(o.id), message=result) + continue + + #print("Nalezena LIMITKA") + limitka_found = True + state.vars.limitka = o.id + state.vars.limitka_price = o.limit_price + limitka_qty = int(o.qty) + limitka_filled_qty = int(o.filled_qty) + + #aktualni mnozstvi = puvodni minus filled + if limitka_filled_qty is not None: + print("prepocitavam filledmnozstvi od limitka_qty a filled_qty", limitka_qty, limitka_filled_qty) + limitka_qty = int(limitka_qty) - int(limitka_filled_qty) + ##TODO sem pridat upravu ceny + if o.side == OrderSide.BUY and o.order_type == OrderType.LIMIT: + pendingbuys_new[str(o.id)]=float(o.limit_price) + + state.ilog(e="Konzolidace limitky", msg=f"stejna:{(str(limitka_old)==str(state.vars.limitka))}", limitka_old=str(limitka_old), limitka_new=str(state.vars.limitka), limitka_new_price=state.vars.limitka_price, limitka_qty=limitka_qty, limitka_filled_qty=limitka_filled_qty) + + #pokud mame + + #neni limitka, ale mela by byt - vytváříme ji + if int(state.positions) > 0 and state.vars.limitka is None: + state.ilog(e="Limitka neni, ale mela by být.", msg=f"{state.positions=}") + price=get_limitka_price() + state.vars.limitka = asyncio.run(state.interface.sell_l(price=price, size=int(state.positions))) + state.vars.limitka_price = price + if state.vars.limitka == -1: + state.ilog(e="Vytvoreni limitky neprobehlo, vracime None", msg=f"{state.vars.limitka=}") + state.vars.limitka = None + state.vars.limitka_price = None + else: + state.ilog(e="Vytvořena nová limitka", limitka=str(state.vars.limitka), limtka_price=state.vars.limitka_price, qty=state.positions) + + #existuje a nesedi mnozstvi nebo cena + elif state.vars.limitka is not None and int(state.positions) > 0 and ((int(state.positions) != int(limitka_qty)) or float(state.vars.limitka_price) != float(get_limitka_price())): + #limitka existuje, ale spatne mnostvi - updatujeme + state.ilog(e=f"Limitka existuje, ale spatne mnozstvi nebo CENA - updatujeme", msg=f"{state.positions=} {limitka_qty=} {state.vars.limitka_price=}", nastavenacena=state.vars.limitka_price, spravna_cena=get_limitka_price(), pos=state.positions, limitka_qty=limitka_qty) + #snad to nespadne, kdyztak pridat exception handling + puvodni = state.vars.limitka + #TBD zde odchytit nejak result + state.vars.limitka = asyncio.run(state.interface.repl(price=get_limitka_price(), orderid=state.vars.limitka, size=int(state.positions))) + + if state.vars.limitka == -1: + state.ilog(e="Replace limitky neprobehl, vracime puvodni", msg=f"{state.vars.limitka=}", puvodni=puvodni) + state.vars.limitka = puvodni + else: + limitka_qty = int(state.positions) + state.ilog(e="Změněna limitka", limitka=str(state.vars.limitka), limitka_price=state.vars.limitka_price, limitka_qty=limitka_qty) + + #tbd pokud se bude vyskytovat pak pridat ještě konzolidaci ceny limitky + + if pendingbuys_new != state.vars.pendingbuys: + state.ilog(e="Rozdilna PB prepsana", pb_new=pendingbuys_new, pb_old = state.vars.pendingbuys) + print("ROZDILNA PENDINGBUYS přepsána") + print("OLD",state.vars.pendingbuys) + state.vars.pendingbuys = unpackb(packb(pendingbuys_new)) + print("NEW", state.vars.pendingbuys) + else: + print("PENDINGBUYS sedí - necháváme", state.vars.pendingbuys) + state.ilog(e="PB sedi nechavame", pb_new=pendingbuys_new, pb_old = state.vars.pendingbuys) + print("OLD jevylozeno", state.vars.jevylozeno) + if len(state.vars.pendingbuys) > 0: + state.vars.jevylozeno = 1 + else: + state.vars.jevylozeno = 0 + print("NEW jevylozeno", state.vars.jevylozeno) + state.ilog(e="Nove jevylozeno", msg=state.vars.jevylozeno) + + #print(limitka) + #print(pendingbuys_new) + #print(pendingbuys) + #print(len(pendingbuys)) + #print(len(pendingbuys_new)) + #print(jevylozeno) + print("***CONSOLIDATION EXIT***") + state.ilog(e="CONSOLIDATION EXIT ***") + else: + state.ilog(e="No time for consolidation", msg=data["index"]) + print("no time for consolidation", data["index"]) + + #mozna presunout o level vys + def vyloz(): + ##prvni se vyklada na aktualni cenu, další jdou podle krivky, nula v krivce zvyšuje množství pro následující iteraci + #curve = [0.01, 0.01, 0, 0, 0.01, 0, 0, 0, 0.02, 0, 0, 0, 0.03, 0,0,0,0,0, 0.02, 0,0,0,0,0,0, 0.02] + curve = state.vars.curve + ##defenzivni krivka pro + curve_def = state.vars.curve_def + #vykladani po 5ti kusech, když zbývají 2 a méně, tak děláme nový výklad + vykladka = state.vars.vykladka + #kolik muzu max vylozit + kolikmuzu = int((int(state.vars.maxpozic) - int(state.positions))/int(state.vars.chunk)) + akt_pozic = int(state.positions) + max_pozic = int(state.vars.maxpozic) + + #mame polovinu a vic vylozeno, pouzivame defenzicni krivku + if is_defensive_mode(): + state.ilog(e="DEF: Pouzivame defenzivni krivku", akt_pozic=akt_pozic, max_pozic=max_pozic, curve_def=curve_def) + curve = curve_def + #zaroven docasne menime ticks2reset na defenzivni 0.06 + state.vars.ticks2reset = 0.06 + state.ilog(e="DEF: Menime tick2reset na 0.06", ticks2reset=state.vars.ticks2reset, ticks2reset_backup=state.vars.ticks2reset_backup) + else: + #vracime zpet, pokud bylo zmeneno + if state.vars.ticks2reset != state.vars.ticks2reset_backup: + state.vars.ticks2reset = state.vars.ticks2reset_backup + state.ilog(e="DEF: Menime tick2reset zpet na"+str(state.vars.ticks2reset), ticks2reset=state.vars.ticks2reset, ticks2reset_backup=state.vars.ticks2reset_backup) + + if kolikmuzu < vykladka: vykladka = kolikmuzu + + if len(curve) < vykladka: + vykladka = len(curve) + qty = int(state.vars.chunk) + last_price = price2dec(state.interface.get_last_price(state.symbol)) + #profit = float(state.vars.profit) + price = last_price + state.ilog(e="BUY Vykladame", msg=f"first price {price=} {vykladka=}", curve=curve, ema=state.indicators.ema[-1], trend=state.vars.Trend, price=price, vykladka=vykladka) + ##prvni se vyklada na aktualni cenu, další jdou podle krivky, nula v krivce zvyšuje množství pro následující iteraci + + ##VAR - na zaklade conf. muzeme jako prvni posilat MARKET order + if safe_get(state.vars, "first_buy_market") == True: + #pri defenzivnim rezimu pouzivame vzdy LIMIT order + if is_defensive_mode(): + state.ilog(e="DEF mode on, odesilame jako prvni limitku") + state.buy_l(price=price, size=qty) + else: + state.ilog(e="Posilame jako prvni MARKET order") + state.buy(size=qty) + else: + state.buy_l(price=price, size=qty) + print("prvni limitka na aktuální cenu. Další podle křivky", price, qty) + for i in range(0,vykladka-1): + price = price2dec(float(price - get_tick(price, curve[i]))) + if price == last_price: + qty = qty + int(state.vars.chunk) + else: + state.buy_l(price=price, size=qty) + #print(i,"BUY limitka - delta",curve[i]," cena:", price, "mnozstvi:", qty) + qty = int(state.vars.chunk) + last_price = price + state.vars.blockbuy = 1 + state.vars.jevylozeno = 1 + + #CBAR protection, only 1x order per CBAR - then wait until another confirmed bar + if state.vars.blockbuy == 1 and state.rectype == RecordType.CBAR: + if state.bars.confirmed[-1] == 0: + print("OCHR: multibuy protection. waiting for next bar") + return 0 + # pop potvrzeni jeste jednou vratime (aby se nekoupilo znova, je stale ten stejny bar) + # a pak dalsi vejde az po minticku + else: + # pro vykladaci + state.vars.blockbuy = 0 + return 0 + + state.ilog(e="-----") + + #EMA INDICATOR - + #plnime MAcko - nyni posilame jen N poslednich hodnot + #zaroven osetrujeme pripady, kdy je malo dat a ukladame nulu + try: + ma = int(state.vars.MA) + #poslednich ma hodnot + source = state.bars.close[-ma:] #state.bars.vwap + ema_value = ema(source, ma) + state.indicators.ema.append(trunc(ema_value[-1],3)) + except Exception as e: + state.ilog(e="EMA ukladame 0", message=str(e)+format_exc()) + state.indicators.ema.append(0) + + #RSI14 INDICATOR + try: + ##mame v atributech nastaveni? + rsi_dont_buy_above = safe_get(state.vars, "rsi_dont_buy_above") + if rsi_dont_buy_above == None: + rsi_dont_buy_above = 50 + rsi_buy_signal = False + rsi_dont_buy = False + rsi_length = 14 + source = state.bars.close #[-rsi_length:] #state.bars.vwap + rsi_res = rsi(source, rsi_length) + rsi_value = trunc(rsi_res[-1],3) + state.indicators.RSI14.append(rsi_value) + rsi_dont_buy = rsi_value > rsi_dont_buy_above + rsi_buy_signal = rsi_value < 40 + state.ilog(e=f"RSI {rsi_length=} {rsi_value=} {rsi_dont_buy=} {rsi_buy_signal=}", rsi_indicator=state.indicators.RSI14[-5:]) + except Exception as e: + state.ilog(e=f"RSI {rsi_length=} ukladame 0", message=str(e)+format_exc()) + state.indicators.RSI14.append(0) + + + #SLOPE INDICATOR + #úhel stoupání a klesání vyjádřený mezi -1 až 1 + #pravý bod přímky je aktuální cena, levý je průměr X(lookback offset) starších hodnot od slope_lookback. + #obsahuje statický indikátor (angle) pro vizualizaci + try: + slope = 99 + slope_lookback = int(state.vars.slope_lookback) + minimum_slope = float(state.vars.minimum_slope) + lookback_offset = int(state.vars.lookback_offset) + + if len(state.bars.close) > (slope_lookback + lookback_offset): + array_od = slope_lookback + lookback_offset + array_do = slope_lookback + lookbackprice_array = state.bars.vwap[-array_od:-array_do] + #obycejný prumer hodnot + lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3) + + #výpočet úhlu + slope = ((state.bars.close[-1] - lookbackprice)/lookbackprice)*100 + slope = round(slope, 4) + state.indicators.slope.append(slope) + + #angle je ze slope + state.statinds.angle = dict(time=state.bars.time[-1], price=state.bars.close[-1], lookbacktime=state.bars.time[-slope_lookback], lookbackprice=lookbackprice, minimum_slope=minimum_slope) + + #slope MA vyrovna vykyvy ve slope, dále pracujeme se slopeMA + slope_MA_length = 5 + source = state.indicators.slope[-slope_MA_length:] + slopeMAseries = ema(source, slope_MA_length) #state.bars.vwap + slopeMA = slopeMAseries[-1] + state.indicators.slopeMA.append(slopeMA) + + state.ilog(e=f"{slope=} {slopeMA=}", msg=f"{lookbackprice=}", lookbackoffset=lookback_offset, minimum_slope=minimum_slope, last_slopes=state.indicators.slope[-10:], last_slopesMA=state.indicators.slopeMA[-10:]) + + #dale pracujeme s timto MAckovanym slope + slope = slopeMA + else: + #pokud plnime historii musime ji plnit od zacatku, vsehcny idenitifkatory maji spolecny time + #kvuli spravnemu zobrazovani na gui + state.indicators.slope.append(0) + state.indicators.slopeMA.append(0) + state.ilog(e="Slope - not enough data", slope_lookback=slope_lookback, slope=state.indicators.slope, slopeMA=state.indicators.slopeMA) + except Exception as e: + print("Exception in NEXT Slope Indicator section", str(e)) + state.ilog(e="EXCEPTION", msg="Exception in Slope Indicator section" + str(e) + format_exc()) + + print("is falling",isfalling(state.indicators.ema,state.vars.Trend)) + print("is rising",isrising(state.indicators.ema,state.vars.Trend)) + + consolidation() + + #HLAVNI ITERACNI LOG JESTE PRED AKCI - obsahuje aktualni hodnoty vetsiny parametru + #TODO sem pridat aktualni hodnoty vsech indikatoru + lp = state.interface.get_last_price(symbol=state.symbol) + state.ilog(e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)} DEF:{str(is_defensive_mode())}", last_price=lp, data=data, stratvars=state.vars) + + #SLOPE ANGLE PROTECTIONs + #slope zachycuje rychle sestupy, pripadne zrusi nakupni objednavky + if slope < minimum_slope or rsi_dont_buy: # or slopeMA0: + print("CANCEL PENDINGBUYS") + #ic(state.vars.pendingbuys) + res = asyncio.run(state.cancel_pending_buys()) + #ic(state.vars.pendingbuys) + state.ilog(e="Rusime pendingbuyes", pb=state.vars.pendingbuys, res=res) + print("slope", slope) + print("min slope", minimum_slope) + + if state.vars.jevylozeno == 0: + print("Neni vylozeno, muzeme testovat nakup") + + #pokud je defenziva, buy triggeruje defenzivni def_trend + #TBD + + #NOVY BUY SIGNAL z RSI < 35 + #buy_signal = isfalling(state.indicators.ema,state.vars.Trend) + buy_signal = rsi_buy_signal + + if buy_signal and slope > minimum_slope and not rsi_dont_buy: + vyloz() + + ## testuje aktualni cenu od nejvyssi visici limitky + ##toto spoustet jednou za X iterací - ted to jede pokazdé + #pokud to ujede o vic, rusime limitky + #TODO: zvazit jestli nechat i pri otevrenych pozicich, zatim nechavame + #TODO int(int(state.oa.poz)/int(state.variables.chunk)) > X + + #TODO predelat mechanismus ticků (zrelativizovat), aby byl pouzitelny na tituly s ruznou cenou + #TODO spoustet 1x za X iteraci nebo cas + if state.vars.jevylozeno == 1: + #pokud mame vylozeno a cena je vetsi nez tick2reset + if len(state.vars.pendingbuys)>0: + maxprice = max(state.vars.pendingbuys.values()) + print("max cena v orderbuys", maxprice) + if state.interface.get_last_price(state.symbol) > float(maxprice) + get_tick(maxprice, float(state.vars.ticks2reset)): + ##TODO toto nejak vymyslet - duplikovat? + res = asyncio.run(state.cancel_pending_buys()) + state.ilog(e=f"UJELO to. Rusime PB", msg=f"{state.vars.ticks2reset=}", pb=state.vars.pendingbuys) + + #PENDING BUYS SPENT - PART + #pokud mame vylozeno a pendingbuys se vyklepou a + # 1 vykladame idned znovu + # vyloz() + # 2 nebo - počkat zase na signál a pokračovat dál + # state.vars.blockbuy = 0 + # state.vars.jevylozeno = 0 + # 3 nebo - počkat na signál s enablovaným lastbuy indexem (tzn. počká nutně ještě pár barů) + #podle BT vyhodnejsi vylozit ihned + if len(state.vars.pendingbuys) == 0: + state.vars.blockbuy = 0 + state.vars.jevylozeno = 0 + state.ilog(e="PB se vyklepaly nastavujeme: neni vylozeno", jevylozeno=state.vars.jevylozeno) + + #TODO toto dodelat konzolidaci a mozna lock na limitku a pendingbuys a jevylozeno ?? + + #kdykoliv se muze notifikace ztratit + # - pendingbuys - vsechny open orders buy + # - limitka - open order sell + + + + + + + #pokud je vylozeno a mame pozice a neexistuje limitka - pak ji vytvorim + # if int(state.oe.poz)>0 and state.oe.limitka == 0: + # #pro jistotu updatujeme pozice + # state.oe.avgp, state.oe.poz = state.oe.pos() + # if int(state.oe.poz) > 0: + # cena = round(float(state.oe.avgp) + float(state.oe.stratvars["profit"]),2) + # print("BUGF: limitka neni vytvarime, a to za cenu",cena,"mnozstvi",state.oe.poz) + # print("aktuzalni ltp",ltp.price[state.oe.symbol]) + + # try: + # state.oe.limitka = state.oe.sell_noasync(cena, state.oe.poz) + # print("vytvorena limitka", state.oe.limitka) + # except Exception as e: + # print("Neslo vytvorit profitku. Problem,ale jedeme dal",str(e)) + # pass + # ##raise Exception(e) + + print(10*"*","NEXT STOP",10*"*") + +def init(state: StrategyState): + #place to declare new vars + print("INIT v main",state.name) + state.indicators['ema'] = [] + state.indicators['slope'] = [] + state.indicators['slopeMA'] = [] + state.indicators['RSI14'] = [] + #static indicators - those not series based + state.statinds['angle'] = dict(minimum_slope=state.vars["minimum_slope"]) + state.vars["ticks2reset_backup"] = state.vars.ticks2reset + +def main(): + # try: + # strat_settings = tomli.loads("]] this is invalid TOML [[") + # except tomli.TOMLDecodeError: + # print("Yep, definitely not valid.") + + #strat_settings = dict_replace_value(strat_settings, "None", None) + + name = os.path.basename(__file__) + se = Event() + pe = Event() + s = StrategyOrderLimitVykladaciNormalized(name = name, symbol = "BAC", account=Account.ACCOUNT1, next=next, init=init, stratvars=stratvars, open_rush=10, close_rush=0, pe=pe, se=se, ilog_save=True) + s.set_mode(mode = Mode.BT, + debug = False, + start = datetime(2023, 4, 14, 10, 42, 0, 0, tzinfo=zoneNY), + end = datetime(2023, 4, 14, 14, 35, 0, 0, tzinfo=zoneNY), + cash=100000) + + #na sekundovem baru nezaokrouhlovat MAcko + s.add_data(symbol="BAC",rectype=RecordType.BAR,timeframe=2,minsize=100,update_ltp=True,align=StartBarAlign.ROUND,mintick=0, exthours=False) + #s.add_data(symbol="C",rectype=RecordType.BAR,timeframe=1,filters=None,update_ltp=True,align=StartBarAlign.ROUND,mintick=0) + + s.start() + print("zastavujeme") + +if __name__ == "__main__": + main() + + + + + \ No newline at end of file diff --git a/v2realbot/__pycache__/config.cpython-310.pyc b/v2realbot/__pycache__/config.cpython-310.pyc index a587fb8..927dc9d 100644 Binary files a/v2realbot/__pycache__/config.cpython-310.pyc and b/v2realbot/__pycache__/config.cpython-310.pyc differ diff --git a/v2realbot/config.py b/v2realbot/config.py index 6f1eacd..2baf679 100644 --- a/v2realbot/config.py +++ b/v2realbot/config.py @@ -2,7 +2,8 @@ from alpaca.data.enums import DataFeed from v2realbot.enums.enums import Mode, Account, FillCondition from appdirs import user_data_dir - +#normalized price for tick 0.01 +NORMALIZED_TICK_BASE_PRICE = 30.00 LOG_RUNNER_EVENTS = False #no print in console QUIET_MODE = True diff --git a/v2realbot/static/index.html b/v2realbot/static/index.html index 59a5ea9..af75e33 100644 --- a/v2realbot/static/index.html +++ b/v2realbot/static/index.html @@ -105,6 +105,7 @@ + diff --git a/v2realbot/static/js/archivechart.js b/v2realbot/static/js/archivechart.js index 8a42117..0973f58 100644 --- a/v2realbot/static/js/archivechart.js +++ b/v2realbot/static/js/archivechart.js @@ -583,7 +583,7 @@ function chart_archived_run(archRecord, data, oneMinuteBars) { $("#statusMode").text(archRecord.mode) $("#statusAccount").text(archRecord.account) $("#statusIlog").text("Logged:" + archRecord.ilog_save) - $("#statusStratvars").text(JSON.stringify(archRecord.stratvars,null,2)) + $("#statusStratvars").text(((archRecord.strat_json)?archRecord.strat_json:archRecord.stratvars),null,2) $("#statusSettings").text(JSON.stringify(archRecord.settings,null,2)) //TBD other dynamically created indicators diff --git a/v2realbot/static/js/livewebsocket.js b/v2realbot/static/js/livewebsocket.js index 89221cd..2727c99 100644 --- a/v2realbot/static/js/livewebsocket.js +++ b/v2realbot/static/js/livewebsocket.js @@ -331,7 +331,9 @@ function connect(event) { event.preventDefault() } function disconnect(event) { + if (ws) { ws.close() + } document.getElementById("bt-disc").style.display = "none" document.getElementById("bt-conn").style.display = "block" event.preventDefault() diff --git a/v2realbot/static/js/mytables.js b/v2realbot/static/js/mytables.js index 8d69a73..8a0b850 100644 --- a/v2realbot/static/js/mytables.js +++ b/v2realbot/static/js/mytables.js @@ -54,6 +54,7 @@ $(document).ready(function () { //disable buttons (enable on row selection) $('#button_pause').attr('disabled','disabled'); $('#button_stop').attr('disabled','disabled'); + $('#button_connect').attr('disabled','disabled'); $('#button_edit').attr('disabled','disabled'); $('#button_dup').attr('disabled','disabled'); $('#button_copy').attr('disabled','disabled'); @@ -86,11 +87,13 @@ $(document).ready(function () { $(this).removeClass('selected'); $('#button_pause').attr('disabled', 'disabled'); $('#button_stop').attr('disabled', 'disabled'); + $('#button_connect').attr('disabled', 'disabled'); } else { stratinRecords.$('tr.selected').removeClass('selected'); $(this).addClass('selected'); $('#button_pause').attr('disabled', false); $('#button_stop').attr('disabled', false); + $('#button_connect').attr('disabled', false); } }); @@ -274,6 +277,18 @@ $(document).ready(function () { }) }); + //button connect + $('#button_connect').click(function () { + row = runnerRecords.row('.selected').data(); + event.preventDefault(); + $('#button_connect').attr('disabled','disabled'); + $('#runnerId').val(row.id); + disconnect(event) + connect(event) + // $( "#bt-conn" ).trigger( "click" ); + $('#button_connect').attr('disabled',false); + }); + //button stop $('#button_stop').click(function () { row = runnerRecords.row('.selected').data(); @@ -546,7 +561,7 @@ $("#runModal").on('submit','#runForm', function(event){ rec.add_data_conf = row.add_data_conf; rec.note = row.note; rec.history = ""; - strat_json = JSON.stringify(rec); + strat_json = JSON.stringify(rec, null, 2); formData.strat_json = strat_json jsonString = JSON.stringify(formData); diff --git a/v2realbot/strategy/StrategyOrderLimitVykladaciNormalized.py b/v2realbot/strategy/StrategyOrderLimitVykladaciNormalized.py new file mode 100644 index 0000000..598356b --- /dev/null +++ b/v2realbot/strategy/StrategyOrderLimitVykladaciNormalized.py @@ -0,0 +1,201 @@ +from v2realbot.strategy.base import Strategy +from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, AttributeDict,trunc,price2dec, zoneNY, print, json_serial, safe_get, get_tick +from v2realbot.utils.tlog import tlog, tlog_exception +from v2realbot.enums.enums import Mode, Order, Account +from alpaca.trading.models import TradeUpdate +from alpaca.trading.enums import TradeEvent, OrderStatus +from v2realbot.indicators.indicators import ema +import json +#from rich import print +from random import randrange +from alpaca.common.exceptions import APIError +import copy +from threading import Event +from uuid import UUID + + +class StrategyOrderLimitVykladaciNormalized(Strategy): + def __init__(self, name: str, symbol: str, next: callable, init: callable, account: Account, mode: Mode = Mode.PAPER, stratvars: AttributeDict = None, open_rush: int = 30, close_rush: int = 30, pe: Event = None, se: Event = None, runner_id: UUID = None, ilog_save: bool = False) -> None: + super().__init__(name, symbol, next, init, account, mode, stratvars, open_rush, close_rush, pe, se, runner_id, ilog_save) + + async def orderUpdateBuy(self, data: TradeUpdate): + o: Order = data.order + ##nejak to vymyslet, aby se dal poslat cely Trade a serializoval se + self.state.ilog(e="Příchozí BUY notif", msg=o.status, trade=json.loads(json.dumps(data, default=json_serial))) + if o.status == OrderStatus.FILLED or o.status == OrderStatus.CANCELED: + + #pokud existuje objednavka v pendingbuys - vyhodime ji + if self.state.vars.pendingbuys.pop(str(o.id), False): + self.state.ilog(e="Příchozí BUY notif - mazeme ji z pb", msg=o.status, status=o.status, orderid=str(o.id), pb=self.state.vars.pendingbuys) + print("limit buy filled or cancelled. Vyhazujeme z pendingbuys.") + #ic(self.state.vars.pendingbuys) + + if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL: + #ic("vstupujeme do orderupdatebuy") + print(data) + #dostavame zde i celkové akutální množství - ukládáme + self.state.positions = data.position_qty + if self.state.vars.limitka is None: + self.state.avgp = float(data.price) + #price=price2dec(float(o.filled_avg_price)+self.state.vars.profit) + price = await self.get_limitka_price() + self.state.vars.limitka = await self.interface.sell_l(price=price, size=o.filled_qty) + #obcas live vrati "held for orders", odchytime chybu a limitku nevytvarime - spravi to dalsi notifikace nebo konzolidace + if self.state.vars.limitka == -1: + self.state.ilog(e="Vytvoreni limitky neprobehlo, vracime None", msg=str(self.state.vars.limitka)) + self.state.vars.limitka = None + else: + self.state.vars.limitka_price = price + self.state.ilog(e="Příchozí BUY notif - vytvarime limitku", msg=o.status, status=o.status, orderid=str(o.id), limitka=str(self.state.vars.limitka), limtka_price=self.state.vars.limitka_price) + else: + #avgp, pos + self.state.avgp, self.state.positions = self.state.interface.pos() + #cena = price2dec(float(self.state.avgp) + float(self.state.vars.profit)) + cena = await self.get_limitka_price() + try: + puvodni = self.state.vars.limitka + self.state.vars.limitka = await self.interface.repl(price=cena,orderid=self.state.vars.limitka,size=int(self.state.positions)) + #odchyceni pripadne chyby na live + if self.state.vars.limitka == -1: + self.state.ilog(e="Zmena limitky neprobehla, vracime puvodni", msg=str(self.state.vars.limitka)) + self.state.vars.limitka = puvodni + else: + self.state.vars.limitka_price = cena + self.state.ilog(e="Příchozí BUY notif - menime limitku", msg=o.status, status=o.status, orderid=str(o.id), limitka=str(self.state.vars.limitka), limtka_price=self.state.vars.limitka_price, size=int(self.state.positions), puvodni_limitka=str(puvodni)) + except APIError as e: + self.state.ilog(e="API ERROR pri zmene limitky", msg=str(e), orderid=str(o.id), limitka=str(self.state.vars.limitka), limitka_price=self.state.vars.limitka_price, puvodni_limitka=str(puvodni)) + + #stejne parametry - stava se pri rychle obratce, nevadi + if e.code == 42210000: return 0,0 + else: + print("Neslo nahradit profitku. Problem",str(e)) + raise Exception(e) + + async def orderUpdateSell(self, data: TradeUpdate): + + self.state.ilog(e="Příchozí SELL notif", msg=data.order.status, trade=json.loads(json.dumps(data, default=json_serial))) + #PROFIT + #profit pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena + #naklady vypocteme z prumerne ceny, kterou mame v pozicich + if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL: + sold_amount = data.qty * data.price + #podle prumerne ceny, kolik stalo toto mnozstvi + avg_costs = float(self.state.avgp) * float(data.qty) + if avg_costs == 0: + self.state.ilog(e="ERR: Nemame naklady na PROFIT, AVGP je nula. Zaznamenano jako 0", msg="naklady=utrzena cena. TBD opravit.") + avg_costs = sold_amount + + trade_profit = (sold_amount - avg_costs) + self.state.profit += trade_profit + self.state.ilog(e=f"SELL notif - PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)}", msg=str(data.event), sold_amount=sold_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id)) + + #update pozic, v trade update je i pocet zbylych pozic + old_avgp = self.state.avgp + old_pos = self.state.positions + self.state.positions = int(data.position_qty) + if int(data.position_qty) == 0: + self.state.avgp = 0 + self.state.ilog(e="SELL notifikace "+str(data.order.status), msg="update pozic", old_avgp=old_avgp, old_pos=old_pos, avgp=self.state.avgp, pos=self.state.positions, orderid=str(data.order.id)) + #self.state.avgp, self.state.positions = self.interface.pos() + + if data.event == TradeEvent.FILL or data.event == TradeEvent.CANCELED: + print("Příchozí SELL notifikace - complete FILL nebo CANCEL", data.event) + #muzeme znovu nakupovat, mazeme limitku, blockbuy a pendingbuys + #self.state.blockbuy = 0 + + #ic("notifikace sell mazeme limitku a update pozic") + #updatujeme pozice + self.state.avgp, self.state.positions = self.interface.pos() + #ic(self.state.avgp, self.state.positions) + self.state.vars.limitka = None + self.state.vars.limitka_price = None + self.state.vars.lastbuyindex = -5 + self.state.vars.jevylozeno = 0 + await self.state.cancel_pending_buys() + self.state.ilog(e="Příchozí SELL - FILL nebo CANCEL - mazeme limitku a pb", msg=data.order.status, orderid=str(data.order.id), pb=self.state.vars.pendingbuys) + + #this parent method is called by strategy just once before waiting for first data + def strat_init(self): + #ic("strat INI function") + #lets connect method overrides + self.state.buy = self.buy + self.state.buy_l = self.buy_l + self.state.cancel_pending_buys = self.cancel_pending_buys + + + #overidden methods + def buy(self, size = None, repeat: bool = False): + print("overriden method to size&check maximum ") + if int(self.state.positions) >= self.state.vars.maxpozic: + self.state.ilog(e="buy Maxim mnozstvi naplneno", positions=self.state.positions) + print("max mnostvi naplneno") + return 0 + if size is None: + sizer = self.state.vars.chunk + else: + sizer = size + + self.state.blockbuy = 1 + self.state.vars.lastbuyindex = self.state.bars['index'][-1] + self.state.ilog(e="send MARKET buy to if", msg="S:"+str(size), ltp=self.state.interface.get_last_price(self.state.symbol)) + return self.state.interface.buy(size=sizer) + + def buy_l(self, price: float = None, size = None, repeat: bool = False): + print("entering overriden BUY") + if int(self.state.positions) >= self.state.vars.maxpozic: + self.state.ilog(e="buyl Maxim mnozstvi naplneno", price=price, size=size, curr_positions=self.state.positions) + return 0 + if size is None: size=self.state.vars.chunk + if price is None: price=price2dec((self.state.interface.get_last_price(self.symbol))) + #ic(price) + print("odesilame LIMIT s cenou/qty", price, size) + self.state.ilog(e="send LIMIT buy to if", msg="S:"+str(size)+" P:"+str(price), price=price, size=size) + order = self.state.interface.buy_l(price=price, size=size) + print("ukladame pendingbuys") + self.state.vars.pendingbuys[str(order)]=price + self.state.blockbuy = 1 + self.state.vars.lastbuyindex = self.state.bars['index'][-1] + #ic(self.state.blockbuy) + #ic(self.state.vars.lastbuyindex) + self.state.ilog(e="Odeslan buy_l a ulozeno do pb", order=str(order), pb=self.state.vars.pendingbuys) + + async def cancel_pending_buys(self): + print("cancel pending buys called.") + self.state.ilog(e="Rusime pendingy", pb=self.state.vars.pendingbuys) + ##proto v pendingbuys pridano str(), protoze UUIN nejde serializovat + ##padalo na variable changed during iteration, pridano + if len(self.state.vars.pendingbuys)>0: + tmp = copy.deepcopy(self.state.vars.pendingbuys) + for key in tmp: + #ic(key) + #nejprve vyhodime z pendingbuys + self.state.vars.pendingbuys.pop(key, False) + res = self.interface.cancel(key) + self.state.ilog(e=f"Pendingy zrusen pro {key=}", orderid=str(key), res=str(res)) + print("CANCEL PENDING BUYS RETURN", res) + self.state.vars.pendingbuys={} + self.state.vars.jevylozeno = 0 + print("cancel pending buys end") + self.state.ilog(e="Dokončeno zruseni vsech pb", pb=self.state.vars.pendingbuys) + + #kopie funkci co jsou v next jen async, nejak vymyslet, aby byly jen jedny + async def is_defensive_mode(self): + akt_pozic = int(self.state.positions) + max_pozic = int(self.state.vars.maxpozic) + def_mode_from = safe_get(self.state.vars, "def_mode_from") + if def_mode_from == None: def_mode_from = max_pozic/2 + if akt_pozic >= int(def_mode_from): + self.state.ilog(e=f"DEFENSIVE MODE active {self.state.vars.def_mode_from=}", msg=self.state.positions) + return True + else: + self.state.ilog(e=f"STANDARD MODE active {self.state.vars.def_mode_from=}", msg=self.state.positions) + return False + + async def get_limitka_price(self): + def_profit = safe_get(self.state.vars, "def_profit") + if def_profit == None: def_profit = self.state.vars.profit + cena = float(self.state.avgp) + if await self.is_defensive_mode(): + return price2dec(cena+get_tick(cena,float(def_profit))) + else: + return price2dec(cena+get_tick(cena,float(self.state.vars.profit))) \ No newline at end of file diff --git a/v2realbot/utils/__pycache__/utils.cpython-310.pyc b/v2realbot/utils/__pycache__/utils.cpython-310.pyc index b4cbaff..a5bb8bb 100644 Binary files a/v2realbot/utils/__pycache__/utils.cpython-310.pyc and b/v2realbot/utils/__pycache__/utils.cpython-310.pyc differ diff --git a/v2realbot/utils/utils.py b/v2realbot/utils/utils.py index 3f7d175..dd919de 100644 --- a/v2realbot/utils/utils.py +++ b/v2realbot/utils/utils.py @@ -12,7 +12,7 @@ import os from v2realbot.common.model import StrategyInstance, Runner, RunArchive, RunArchiveDetail from typing import List import tomli -from v2realbot.config import DATA_DIR, QUIET_MODE +from v2realbot.config import DATA_DIR, QUIET_MODE,NORMALIZED_TICK_BASE_PRICE import requests from uuid import UUID from enum import Enum @@ -23,6 +23,21 @@ import numpy as np import pandas as pd from collections import deque +def get_tick(price: float, normalized_ticks: float = 0.01): + """ + prevede normalizovany tick na tick odpovidajici vstupni cene + vysledek je zaokoruhleny na 2 des.mista + + u cen pod 30, vrací 0.01. U cen nad 30 vrací pomerne zvetsene, + + """ + if price