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This commit is contained in:
David Brazda
2024-08-24 06:57:53 +02:00
parent 30048364bb
commit 30044dc4ea
5 changed files with 16 additions and 17 deletions
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9
v2realbot/backtesting/backtester.py
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@ -105,8 +105,7 @@ class Backtester:
self.cash = cash
self.cash_reserved_for_shorting = 0
self.trades = []
def_acc_value = {self.symbol: [0, 0]}
self.internal_account = { account.name:def_acc_value for account in accounts }
self.internal_account = { account.name:{self.symbol: [0, 0]} for account in accounts }
# { "ACCOUNT1": {}"BAC": [avgp, size]}, .... }
self.open_orders =[] #open orders shared for all accounts, account being an attribute
@ -377,12 +376,12 @@ class Backtester:
event = TradeEvent.FILL,
execution_id = str(uuid4()),
timestamp = datetime.fromtimestamp(fill_time),
position_qty= self.internal_account[o.symbol][0],
position_qty= self.internal_account[o.account.name][o.symbol][0],
price=float(fill_price),
qty = o.qty,
value = float(o.qty*fill_price),
cash = self.cash,
pos_avg_price = self.internal_account[o.symbol][1])
pos_avg_price = self.internal_account[o.account.name][o.symbol][1])
self.trades.append(trade)
@ -418,7 +417,7 @@ class Backtester:
elif newsize < 0: newavgp = self.internal_account[o.account.name][o.symbol][1]
#JDE O LONG (avgp nove)
else:
newavgp = ((self.internal_account[o.account.name][o.symbol][0] * self.internal_account[o.account.name][o.symbol][1]) + (o.qty * o.filled_avg_price)) / (self.internal_account[account.name][o.symbol][0] + o.qty)
newavgp = ((self.internal_account[o.account.name][o.symbol][0] * self.internal_account[o.account.name][o.symbol][1]) + (o.qty * o.filled_avg_price)) / (self.internal_account[o.account.name][o.symbol][0] + o.qty)
self.internal_account[o.account.name][o.symbol] = [newsize, newavgp]
self.cash = self.cash - (o.qty * o.filled_avg_price)

2
v2realbot/controller/services.py
View File

@ -1267,7 +1267,7 @@ def insert_archive_header(archeader: RunArchive):
try:
c = conn.cursor()
#json_string = orjson.dumps(archeader, default=json_serial, option=orjson.OPT_PASSTHROUGH_DATETIME)
print(archeader)
#print(archeader)
res = c.execute("""
INSERT INTO runner_header

4
v2realbot/strategy/StrategyClassicSL.py
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@ -266,7 +266,7 @@ class StrategyClassicSL(Strategy):
print(data)
#dostavame zde i celkové akutální množství - ukládáme
self.state.account_variables[account.name].positions = data.position_qty
self.state.account_variables[account.name].avgp, self.state.account_variables[account.name].positions = self.state.interface.pos()
self.state.account_variables[account.name].avgp, self.state.account_variables[account.name].positions = self.state.interface[account.name].pos()
if o.status == OrderStatus.FILLED or o.status == OrderStatus.CANCELED:
#davame pryc pending
@ -431,7 +431,7 @@ class StrategyClassicSL(Strategy):
if data.event == TradeEvent.FILL or data.event == TradeEvent.CANCELED:
print("Příchozí SELL notifikace - complete FILL nebo CANCEL", data.event)
self.state.account_variables[account.name].pending = None
a,p = self.interface.pos()
a,p = self.interface[account.name].pos()
#pri chybe api nechavame puvodni hodnoty
if a != -1:
self.state.account_variables[account.name].avgp, self.state.account_variables[account.name].positions = a,p

8
v2realbot/strategyblocks/activetrade/helpers.py
View File

@ -154,7 +154,7 @@ def get_profit_target_price(state, data, activeTrade, direction: TradeDirection)
smer = "short"
directive_name = "profit"
def_profit_both_directions = get_signal_section_directive(state, activeTrade=activeTrade, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, 0.50))
def_profit_both_directions = get_signal_section_directive(state, signal_name=activeTrade.generated_by, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, 0.50))
#profit pro dany smer
directive_name = 'profit_'+str(smer)
@ -162,7 +162,7 @@ def get_profit_target_price(state, data, activeTrade, direction: TradeDirection)
#mame v direktivve ticky
if isinstance(def_profit, (float, int)):
to_return = get_normalized_profitprice_from_tick(state, data, activeTrade.account, def_profit, direction)
to_return = get_normalized_profitprice_from_tick(state, data, def_profit, activeTrade.account, direction)
#mame v direktive indikator
elif isinstance(def_profit, str):
to_return = float(value_or_indicator(state, def_profit))
@ -170,7 +170,7 @@ def get_profit_target_price(state, data, activeTrade, direction: TradeDirection)
#min profit (ochrana extremnich hodnot indikatoru)
directive_name = 'profit_min_ind_tick_value'
profit_min_ind_tick_value = get_signal_section_directive(state, signal_name=activeTrade.generated_by, directive_name=directive_name, default_value=def_profit_both_directions)
profit_min_ind_price_value = get_normalized_profitprice_from_tick(state, data, activeTrade.account, profit_min_ind_tick_value, direction)
profit_min_ind_price_value = get_normalized_profitprice_from_tick(state, data, profit_min_ind_tick_value, activeTrade.account, direction)
#ochrana pri nastaveni profitu prilis nizko
if direction == TradeDirection.LONG and to_return < profit_min_ind_price_value or direction == TradeDirection.SHORT and to_return > profit_min_ind_price_value:
@ -181,7 +181,7 @@ def get_profit_target_price(state, data, activeTrade, direction: TradeDirection)
return to_return
##based on tick a direction, returns normalized prfoit price (LONG = avgp(nebo currprice)+norm.tick, SHORT=avgp(or currprice)-norm.tick)
def get_normalized_profitprice_from_tick(state, data, tick, account, direction: TradeDirection):
def get_normalized_profitprice_from_tick(state, data, tick, account: Account, direction: TradeDirection):
avgp = state.account_variables[account.name].avgp
normalized_tick = normalize_tick(state, data, float(tick))
base_price = avgp if avgp != 0 else data["close"]

10
v2realbot/strategyblocks/activetrade/sl/optimsl.py
View File

@ -54,18 +54,18 @@ class SLOptimizer:
#jde o novy trade - resetujeme levely
if trade.id != self.last_trade:
#inicializujeme a vymazeme pripadne puvodni
if self.initialize_levels(state) is False:
if self.initialize_levels(state, activeTrade) is False:
return None, None
self.last_trade = trade.id
#return cost_price, sl_price
return state.account_variables[trade.account.name].avgp, trade.stoploss_value
def initialize_levels(self, state):
def initialize_levels(self, state, activeTrade):
directive_name = 'SL_opt_exit_levels_'+str(self.direction.value)
SL_opt_exit_levels = get_signal_section_directive(state=state, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
SL_opt_exit_levels = get_signal_section_directive(state=state, signal_name=activeTrade.generated_by, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
directive_name = 'SL_opt_exit_sizes_'+str(self.direction.value)
SL_opt_exit_sizes = get_signal_section_directive(state=state, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
SL_opt_exit_sizes = get_signal_section_directive(state=state, signal_name=activeTrade.generated_by, directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
if SL_opt_exit_levels is None or SL_opt_exit_sizes is None:
#print("no directives found: SL_opt_exit_levels/SL_opt_exit_sizes")
@ -113,7 +113,7 @@ class SLOptimizer:
"""Evaluates optimalization for current position and returns if the given level was
met and how to adjust exit position.
"""
cost_price, sl_price = self.get_trade_details(state)
cost_price, sl_price = self.get_trade_details(state, activeTrade)
if cost_price is None or sl_price is None:
#print("no settings found")
return (None, None)