tick based support including gui preview, custom suppoer, new classed tickbased inds,#85
This commit is contained in:
David Brazda
@ -123,10 +123,11 @@ def init(state: StrategyState):
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intialize_directive_conditions(state)
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#intitialize indicator mapping (for use in operation) - mozna presunout do samostatne funkce prip dat do base kdyz se osvedci
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local_dict_cbar_inds = {key: state.cbar_indicators[key] for key in state.cbar_indicators.keys() if key != "time"}
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local_dict_inds = {key: state.indicators[key] for key in state.indicators.keys() if key != "time"}
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local_dict_bars = {key: state.bars[key] for key in state.bars.keys() if key != "time"}
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state.ind_mapping = {**local_dict_inds, **local_dict_bars}
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state.ind_mapping = {**local_dict_inds, **local_dict_bars, **local_dict_cbar_inds}
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print("IND MAPPING DONE:", state.ind_mapping)
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#30 DAYS historicall data fill - pridat do base pokud se osvedci
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@ -1453,6 +1453,10 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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subtype = safe_get(toml_parsed, 'subtype', False)
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if subtype is None:
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return (-2, "subtype invalid")
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output = safe_get(toml_parsed, 'output', "bar")
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if output is None:
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return (-2, "output invalid (bar/tick)")
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custom_params = safe_get(toml_parsed, "cp", None)
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print("custom params",custom_params)
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@ -1466,8 +1470,12 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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#print("toto jsme si dotahnuli", detail.bars)
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#pokud tento indikator jiz je v detailu, tak ho odmazeme
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#BAR indikatory
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if indicator.name in detail.indicators[0]:
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del detail.indicators[0][indicator.name]
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#CBAR indikatory
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elif indicator.name in detail.indicators[1]:
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del detail.indicators[1][indicator.name]
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#new dicts
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@ -1477,6 +1485,8 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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new_data= AttributeDict(**new_data)
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new_inds = {key: [] for key in detail.indicators[0].keys()}
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new_inds = AttributeDict(**new_inds)
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new_tick_inds = {key: [] for key in detail.indicators[1].keys()}
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new_tick_inds = AttributeDict(**new_tick_inds)
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interface = BacktestInterface(symbol="X", bt=None)
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##dame nastaveni indikatoru do tvaru, ktery stratvars ocekava (pro dynmaicke inicializace)
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@ -1485,12 +1495,20 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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state = StrategyState(name="XX", symbol = "X", stratvars = AttributeDict(**stratvars), interface=interface)
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#inicializujeme novy indikator v cilovem dict a stavovem inds.
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new_inds[indicator.name] = []
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new_inds[indicator.name] = []
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state.bars = new_bars
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state.indicators = new_inds
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#inicializujeme stavove promenne a novy indikator v cilovem dict
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if output == "bar":
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state.bars = new_bars
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state.indicators = new_inds
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state.cbar_indicators = detail.indicators[1] #mozna toto vubec neopotrebujeme
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new_inds[indicator.name] = []
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new_inds[indicator.name] = []
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#pro tick, nechavame bary a nechavame volne pouze tickbary, nad kterymi iterujeme
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else:
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state.bars = new_bars
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state.indicators = new_inds
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state.cbar_indicators = new_tick_inds
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new_tick_inds[indicator.name] = []
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new_tick_inds[indicator.name] = []
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#pridavame dailyBars z extData
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if hasattr(detail, "ext_data") and "dailyBars" in detail.ext_data:
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@ -1499,9 +1517,10 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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print("delka",len(detail.bars["close"]))
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#intitialize indicator mapping - in order to use eval in expression
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local_dict_cbar_inds = {key: state.cbar_indicators[key] for key in state.cbar_indicators.keys() if key != "time"}
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local_dict_inds = {key: state.indicators[key] for key in state.indicators.keys() if key != "time"}
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local_dict_bars = {key: state.bars[key] for key in state.bars.keys() if key != "time"}
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state.ind_mapping = {**local_dict_inds, **local_dict_bars}
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state.ind_mapping = {**local_dict_inds, **local_dict_bars, **local_dict_cbar_inds}
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print("IND MAPPING DONE:", state.ind_mapping)
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##intialize dynamic indicators
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@ -1513,34 +1532,81 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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# print("funkce", function)
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# custom_function = eval(function)
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#iterujeme nad bary a on the fly pridavame novou hodnotu do vsech indikatoru a nakonec nad tim spustime indikator
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#tak muzeme v toml pouzit i hodnoty ostatnich indikatoru
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for i in range(len(detail.bars["close"])):
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for key in detail.bars:
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state.bars[key].append(detail.bars[key][i])
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#naplnime i data aktualne
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new_data[key] = state.bars[key][-1]
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for key in detail.indicators[0]:
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state.indicators[key].append(detail.indicators[0][key][i])
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#pokud jde o bar, tak cbary nemennime, nechavame je inicializovane plnou hodnotou pro pripadne dotazeni
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if output == "bar":
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#iterujeme nad bary a on the fly pridavame novou hodnotu do vsech indikatoru a nakonec nad tim spustime indikator
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#tak muzeme v toml pouzit i hodnoty ostatnich indikatoru
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for i in range(len(detail.bars["close"])):
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for key in detail.bars:
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state.bars[key].append(detail.bars[key][i])
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#naplnime i data aktualne
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new_data[key] = state.bars[key][-1]
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for key in detail.indicators[0]:
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state.indicators[key].append(detail.indicators[0][key][i])
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#inicializujeme 0 v novém indikatoru
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state.indicators[indicator.name].append(0)
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#inicializujeme 0 v novém indikatoru
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state.indicators[indicator.name].append(0)
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try:
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populate_dynamic_indicators(new_data, state)
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# res_code, new_val = custom_function(state, custom_params)
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# if res_code == 0:
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# new_inds[indicator.name][-1]=new_val
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except Exception as e:
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print(str(e) + format_exc())
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try:
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populate_dynamic_indicators(new_data, state)
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# res_code, new_val = custom_function(state, custom_params)
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# if res_code == 0:
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# new_inds[indicator.name][-1]=new_val
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except Exception as e:
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print(str(e) + format_exc())
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#print("Done", state.indicators[indicator.name])
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new_inds[indicator.name] = state.indicators[indicator.name]
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#print("Done", state.indicators[indicator.name])
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#ukládáme do ArchRunneru
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detail.indicators[0][indicator.name] = new_inds[indicator.name]
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new_inds[indicator.name] = state.indicators[indicator.name]
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#ukládáme do ArchRunneru
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detail.indicators[0][indicator.name] = new_inds[indicator.name]
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#TOTOZNE PRO TICK INDICATOR
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else:
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#iterujeme nad bary a on the fly pridavame novou hodnotu do vsech indikatoru a nakonec nad tim spustime indikator
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#OMEZENI ZATIM pro preview jde velmi omezeně používat bary - OTESTOVAT poradne
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new_data = dict(close=0,confirmed=0,high=0,hlcc4=0,index=0,low=0,open=0,resolution=0,time=0,trades=0,updated=0,volume=0,vwap=0)
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bar_idx = 0
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max_bar_idx = len(detail.bars["time"])
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for i in range(len(detail.indicators[1]["time"])):
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for key in detail.indicators[1]:
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state.cbar_indicators[key].append(detail.indicators[1][key][i])
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match key:
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case "time":
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#pokud existuje bar a indikator s mensim casem vkladame je
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if bar_idx < max_bar_idx and detail.indicators[1][key][i] >= detail.bars[key][bar_idx]:
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for bar_key in detail.bars:
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state.bars[bar_key].append(detail.bars[bar_key][bar_idx])
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#naplnime i data aktualne
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new_data[bar_key] = state.bars[bar_key][-1]
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for ind_key in detail.indicators[0]:
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state.indicators[ind_key].append(detail.indicators[0][ind_key][bar_idx])
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bar_idx += 1
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case "tick_price":
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new_data['close'] = detail.indicators[1][key][i]
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# case "tick_volume":
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# new_data['volume'] = detail.indicators[1][key][i]
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#inicializujeme 0 v novém indikatoru
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state.cbar_indicators[indicator.name].append(0)
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try:
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populate_dynamic_indicators(new_data, state)
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# res_code, new_val = custom_function(state, custom_params)
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# if res_code == 0:
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# new_inds[indicator.name][-1]=new_val
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except Exception as e:
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print(str(e) + format_exc())
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#print("Done", state.indicators[indicator.name])
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new_tick_inds[indicator.name] = state.cbar_indicators[indicator.name]
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#ukládáme do ArchRunneru
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detail.indicators[1][indicator.name] = new_tick_inds[indicator.name]
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#do ext dat ukladame jmeno indikatoru (podle toho oznacuje jako zmenene)
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@ -1565,7 +1631,11 @@ def preview_indicator_byTOML(id: UUID, indicator: InstantIndicator, save: bool =
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if res == 0:
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print(f"arch runner {id} updated")
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return 0, new_inds[indicator.name]
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#vracime list, kde pozice 0 je bar indicators, pozice 1 je ticks indicators
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if output == "bar":
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return 0, [new_inds[indicator.name], []]
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else:
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return 0, [[], new_tick_inds[indicator.name]]
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except Exception as e:
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print(str(e) + format_exc())
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@ -480,10 +480,11 @@ def _delete_archived_runners_byBatchID(batch_id: str):
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raise HTTPException(status_code=status.HTTP_406_NOT_ACCEPTABLE, detail=f"Error not changed: {res}:{batch_id}:{id}")
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#WIP - TOM indicator preview from frontend
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#return indicator value for archived runner
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#WIP - TOM indicator preview from frontend f
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#return indicator value for archived runner, return values list0 - bar indicators, list1 - ticks indicators
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#TBD mozna predelat na dict pro prehlednost
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@app.put("/archived_runners/{runner_id}/previewindicator", dependencies=[Depends(api_key_auth)], status_code=status.HTTP_200_OK)
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def _preview_indicator_byTOML(runner_id: UUID, indicator: InstantIndicator) -> list[float]:
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def _preview_indicator_byTOML(runner_id: UUID, indicator: InstantIndicator) -> list[list[float]]:
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#mozna pak pridat name
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res, vals = cs.preview_indicator_byTOML(id=runner_id, indicator=indicator)
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if res == 0: return vals
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@ -927,10 +928,5 @@ if __name__ == "__main__":
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print("closing insert_conn connection")
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insert_conn.close()
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print("closed")
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##TODO pridat moznost behu na PAPER a LIVE per strategie
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# zjistit zda order notification websocket muze bezet na obou soucasne
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# pokud ne, mohl bych vyuzivat jen zive data
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# a pro paper trading(live interface) a notifications bych pouzival separatni paper ucet
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# to by asi slo
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@ -367,6 +367,7 @@ function prepare_data(archRunner, timeframe_amount, timeframe_unit, archivedRunn
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//pomocna sluzba pro naplneni indListu a charting indikatoru
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function chart_indicators(data, visible, offset) {
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console.log(data)
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//console.log("indikatory", JSON.stringify(data.indicators,null,2))
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//podobne v livewebsokcets.js - dat do jedne funkce
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if (data.hasOwnProperty("indicators")) {
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@ -389,6 +390,8 @@ function chart_indicators(data, visible, offset) {
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indicatorList.forEach((indicators, index, array) => {
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//var indicators = data.indicators
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//index 0 - bar indikatory
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//index 1 - tick based indikatory
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//if there are indicators it means there must be at least two keys (time which is always present)
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if (Object.keys(indicators).length > 1) {
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for (const [key, value] of Object.entries(indicators)) {
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@ -435,7 +438,7 @@ function chart_indicators(data, visible, offset) {
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// }
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//initialize indicator and store reference to array
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var obj = {name: key, series: null, cnf:cnf, instant: instant}
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var obj = {name: key, type: index, series: null, cnf:cnf, instant: instant}
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//start
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//console.log(key)
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@ -619,19 +622,38 @@ function chart_indicators(data, visible, offset) {
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})
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}
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//sort by type first (0-bar,1-cbar inds) and then alphabetically
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indList.sort((a, b) => {
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const nameA = a.name.toUpperCase(); // ignore upper and lowercase
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const nameB = b.name.toUpperCase(); // ignore upper and lowercase
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if (nameA < nameB) {
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return -1;
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if (a.type !== b.type) {
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return a.type - b.type;
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} else {
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let nameA = a.name.toUpperCase();
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let nameB = b.name.toUpperCase();
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if (nameA < nameB) {
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return -1;
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} else if (nameA > nameB) {
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return 1;
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} else {
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// If uppercase names are equal, compare original names to prioritize uppercase
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return a.name < b.name ? -1 : 1;
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}
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}
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if (nameA > nameB) {
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return 1;
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}
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// names must be equal
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return 0;
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});
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//puvodni funkce
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// indList.sort((a, b) => {
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// const nameA = a.name.toUpperCase(); // ignore upper and lowercase
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// const nameB = b.name.toUpperCase(); // ignore upper and lowercase
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// if (nameA < nameB) {
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// return -1;
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// }
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// if (nameA > nameB) {
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// return 1;
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// }
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// // names must be equal
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// return 0;
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// });
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//vwap a volume zatim jen v detailnim zobrazeni
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if (!offset) {
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//display vwap and volume
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@ -56,13 +56,16 @@ $(document).ready(function () {
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if (archData.indicators[0][indname]) {
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delete archData.indicators[0][indname]
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//delete addedInds[indname]
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//get active resolution
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const element = document.querySelector('.switcher-active-item');
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resolution = element.textContent
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//console.log("aktivni rozliseni", resolution)
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switch_to_interval(resolution, archData)
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}
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else if (archData.indicators[1][indname]) {
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delete archData.indicators[1][indname]
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}
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//delete addedInds[indname]
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//get active resolution
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const element = document.querySelector('.switcher-active-item');
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resolution = element.textContent
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//console.log("aktivni rozliseni", resolution)
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switch_to_interval(resolution, archData)
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},
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error: function(xhr, status, error) {
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var err = eval("(" + xhr.responseText + ")");
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@ -142,11 +145,18 @@ $(document).ready(function () {
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success:function(data){
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//kod pro update/vytvoreni je zde stejny - updatujeme jen zdrojove dictionary
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window.$('#indicatorModal').modal('hide');
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//console.log(data)
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console.log("navrat",data)
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//indName = $('#indicatorName').val()
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//updatneme/vytvorime klic v globalni promennou obsahujici vsechny arch data
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//TBD nebude fungovat az budu mit vic chartů otevřených - předělat
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archData.indicators[0][indName] = data
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if (data[0].length > 0) {
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archData.indicators[0][indName] = data[0]
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} else if (data[1].length > 0) {
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archData.indicators[1][indName] = data[1]
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}
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else {
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alert("neco spatne s response ", data)
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}
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//pridame pripadne upatneme v ext_data
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@ -657,24 +657,41 @@ function populate_indicator_buttons(def) {
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buttonElement.id = "indicatorsButtons"
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buttonElement.classList.add('switcher');
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//incializujeme i bar pro cbar indikator sekci
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var tickButtonElement = document.createElement('div');
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tickButtonElement.id = "tickIndicatorsButtons"
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tickButtonElement.classList.add('tickButtons');
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//iterace nad indikatory a vytvareni buttonků
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indList.forEach(function (item, index) {
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index_ind = index
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active = false
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index_ind = index
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active = false
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//console.log("activatedButtons", activatedButtons)
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//console.log("obsahuje item.name", activatedButtons.includes(item.name), item.name)
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//pokud existuje v aktivnich pak
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//console.log("vytvarime button",item.name,activatedButtons)
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if ((activatedButtons) && (activatedButtons.includes(item.name))) {
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active = true
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}
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//vytvoreni buttonku
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itemEl = create_indicator_button(item, index, def||active);
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//prirazeni do divu
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buttonElement.appendChild(itemEl); ;
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});
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//console.log("activatedButtons", activatedButtons)
|
||||
//console.log("obsahuje item.name", activatedButtons.includes(item.name), item.name)
|
||||
//pokud existuje v aktivnich pak
|
||||
//console.log("vytvarime button",item.name,activatedButtons)
|
||||
if ((activatedButtons) && (activatedButtons.includes(item.name))) {
|
||||
active = true
|
||||
}
|
||||
//bar indikatory jsou serazeny na zacarku
|
||||
if (item.type == 0) {
|
||||
//vytvoreni buttonku
|
||||
itemEl = create_indicator_button(item, index, def||active);
|
||||
//prirazeni do divu
|
||||
buttonElement.appendChild(itemEl);
|
||||
}
|
||||
//ted zbyvaji tick barové a ty dáme do separátního divu
|
||||
else
|
||||
{
|
||||
//vytvoreni buttonku
|
||||
itemEl = create_indicator_button(item, index, def||active);
|
||||
tickButtonElement.appendChild(itemEl)
|
||||
}
|
||||
});
|
||||
|
||||
//nakonec pripojime cely div s tick based indicatory
|
||||
buttonElement.appendChild(tickButtonElement);
|
||||
|
||||
var funcButtonElement = document.createElement('div');
|
||||
funcButtonElement.id = "funcIndicatorsButtons"
|
||||
|
||||
@ -30,12 +30,26 @@ def classed(state, params, name):
|
||||
init_params = safe_get(params, "init", None) #napr sekce obcahuje threshold = 1222, ktere jdou kwargs do initu fce
|
||||
#next_params = safe_get(params, "next", None)
|
||||
|
||||
source = safe_get(params, "source", None) #source, ktery jde do initu
|
||||
source = get_source_series(state, source)
|
||||
#lookback = int(value_or_indicator(state, lookback))
|
||||
#List of sources, ktere jde do nextu (muze jit i vice serie)
|
||||
#Do nextu jde ve stejnojmenném parametru
|
||||
next_sources = safe_get(params, "next", []) #this will map to the sources_dict
|
||||
next_mapping = safe_get(params, "next_mapping", next_sources) #this will dictate the final name of the key in sources_dict
|
||||
|
||||
#ukládáme si do cache incializaci
|
||||
cache = safe_get(params, "CACHE", None)
|
||||
if cache is None:
|
||||
if len(next_sources) != len(next_mapping):
|
||||
return -2, "next and next_mapping length must be the same"
|
||||
# Vytvorime dictionary pro kazdy source a priradime serii
|
||||
#source_dict = {name: get_source_series(state, name) for name in next_sources}
|
||||
#TBD toto optimalizovat aby se nevolalo pri kazde iteraci
|
||||
source_dict = {new_key: get_source_series(state, name)
|
||||
for name, new_key in zip(next_sources, next_mapping)}
|
||||
params["CACHE"] = {}
|
||||
params["CACHE"]["source_dict"] = source_dict
|
||||
else:
|
||||
source_dict = params["CACHE"]["source_dict"]
|
||||
|
||||
#class_next_params = safe_get(params, "class_next_params", None)
|
||||
|
||||
try:
|
||||
if name not in state.classed_indicators:
|
||||
classname = name
|
||||
@ -46,8 +60,8 @@ def classed(state, params, name):
|
||||
state.classed_indicators[name] = instance
|
||||
state.ilog(lvl=1,e=f"IND CLASS {name} INITIALIZED", **params)
|
||||
|
||||
if source is not None:
|
||||
val = state.classed_indicators[name].next(source[-1])
|
||||
if len(source_dict) >0:
|
||||
val = state.classed_indicators[name].next(**source_dict)
|
||||
else:
|
||||
val = state.classed_indicators[name].next()
|
||||
|
||||
@ -56,5 +70,4 @@ def classed(state, params, name):
|
||||
|
||||
except Exception as e:
|
||||
printanyway(str(e)+format_exc())
|
||||
return -2, str(e)+format_exc()
|
||||
|
||||
return -2, str(e)+format_exc()
|
||||
@ -7,7 +7,8 @@ class CUSUM(IndicatorBase):
|
||||
self.cumulative_sum = 0
|
||||
self.previous_price = None
|
||||
|
||||
def next(self, new_price):
|
||||
def next(self, close):
|
||||
new_price = close[-1]
|
||||
if self.previous_price is None:
|
||||
# First data point, no previous price to compare with
|
||||
self.previous_price = new_price
|
||||
|
||||
@ -0,0 +1,37 @@
|
||||
from collections import deque
|
||||
#import time
|
||||
from v2realbot.strategyblocks.indicators.custom.classes.indicatorbase import IndicatorBase
|
||||
|
||||
class TickTimeBasedROC(IndicatorBase):
|
||||
def __init__(self, state, window_size_seconds=5):
|
||||
"""
|
||||
Initialize the TimeBasedROC class.
|
||||
:param window_size_seconds: Window size in seconds for the rate of change.
|
||||
"""
|
||||
super().__init__(state)
|
||||
self.window_size_seconds = window_size_seconds
|
||||
self.tick_data = deque() # Efficient deque for (timestamp, price)
|
||||
|
||||
def next(self, time, close):
|
||||
"""
|
||||
Update the ROC with a new tick time and price.
|
||||
:param new_time: Timestamp of the new tick (float with up to 6 decimals).
|
||||
:param new_price: Price of the new tick.
|
||||
:return: The updated ROC value, or None if the window is not yet full.
|
||||
"""
|
||||
new_time = time[-1]
|
||||
new_price = close[-1]
|
||||
# Add new tick data
|
||||
self.tick_data.append((new_time, new_price))
|
||||
|
||||
# Remove old data outside the time window efficiently
|
||||
while self.tick_data and new_time - self.tick_data[0][0] > self.window_size_seconds:
|
||||
self.tick_data.popleft()
|
||||
|
||||
if len(self.tick_data) >= 2:
|
||||
# Compute ROC using the earliest and latest prices in the window
|
||||
old_time, old_price = self.tick_data[0]
|
||||
roc = ((new_price - old_price) / old_price) * 100 if old_price != 0 else 0
|
||||
return round(float(roc),5)
|
||||
else:
|
||||
return 0 # ROC is undefined until the window has enough data
|
||||
@ -0,0 +1,34 @@
|
||||
import numpy as np
|
||||
from v2realbot.strategyblocks.indicators.custom.classes.indicatorbase import IndicatorBase
|
||||
|
||||
#usecase - pocitat variance ticku
|
||||
# v ramci BARu - posilame sem index a resetujeme pri naslednem indxu
|
||||
# do budoucna mo
|
||||
class TickVariance(IndicatorBase):
|
||||
def __init__(self, state, window_size=1):
|
||||
"""
|
||||
Initialize the TickPriceVariance class.
|
||||
|
||||
:param window_size: The size of the window for calculating variance - zatim mame jeden bar, do budoucna X
|
||||
"""
|
||||
super().__init__(state)
|
||||
self.window_size = window_size
|
||||
self.window_prices = []
|
||||
self.prev_index = None
|
||||
|
||||
def next(self, close, index):
|
||||
close = close[-1]
|
||||
index = index[-1]
|
||||
# Add new price to the window
|
||||
self.window_prices.append(close)
|
||||
|
||||
if self.prev_index is not None and self.prev_index != index:
|
||||
self.window_prices = []
|
||||
|
||||
self.prev_index = index
|
||||
# Calculate the variance for the current window
|
||||
if len(self.window_prices) > 1:
|
||||
return round(float(np.var(self.window_prices)),5)
|
||||
else:
|
||||
return 0 # Variance is undefined for a single data point
|
||||
|
||||
33
v2realbot/strategyblocks/indicators/custom/rsi.py
Normal file
33
v2realbot/strategyblocks/indicators/custom/rsi.py
Normal file
@ -0,0 +1,33 @@
|
||||
from v2realbot.utils.utils import isrising, isfalling,zoneNY, price2dec, print, safe_get, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff, create_new_bars, slice_dict_lists
|
||||
from v2realbot.strategy.base import StrategyState
|
||||
from v2realbot.indicators.indicators import ema as ext_ema
|
||||
from v2realbot.strategyblocks.indicators.helpers import get_source_series
|
||||
from rich import print as printanyway
|
||||
from traceback import format_exc
|
||||
import numpy as np
|
||||
from v2realbot.indicators.oscillators import rsi as ind_rsi
|
||||
from collections import defaultdict
|
||||
from v2realbot.strategyblocks.indicators.helpers import value_or_indicator
|
||||
#strength, absolute change of parameter between current value and lookback value (n-past)
|
||||
#used for example to measure unusual peaks
|
||||
def rsi(state, params, name):
|
||||
req_source = safe_get(params, "source", "vwap")
|
||||
rsi_length = safe_get(params, "length",14)
|
||||
start = safe_get(params, "start","linear") #linear/sharp
|
||||
|
||||
#lookback muze byt odkaz na indikator, pak berem jeho hodnotu
|
||||
rsi_length = int(value_or_indicator(state, rsi_length))
|
||||
source = get_source_series(state, req_source)
|
||||
delka = len(source)
|
||||
|
||||
if delka > rsi_length or start == "linear":
|
||||
if delka <= rsi_length and start == "linear":
|
||||
rsi_length = delka
|
||||
|
||||
rsi_res = ind_rsi(source, rsi_length)
|
||||
val = rsi_res[-1] if np.isfinite(rsi_res[-1]) else 0
|
||||
return 0, round(val,4)
|
||||
|
||||
else:
|
||||
state.ilog(lvl=0,e=f"IND {name} RSI necháváme 0", message="not enough source data", source=source, rsi_length=rsi_length)
|
||||
return -2, "necháváma 0 nedostatek hodnot"
|
||||
@ -13,17 +13,31 @@ def slope(state, params, name):
|
||||
source = safe_get(params, "source", None)
|
||||
source_series = get_source_series(state, source)
|
||||
|
||||
lookback_type = safe_get(params, "lookback_type", "positions")
|
||||
lookback = safe_get(params, "lookback", 5)
|
||||
lookback_priceline = safe_get(params, "lookback_priceline", None)
|
||||
lookback_priceline = safe_get(params, "lookback_priceline", None) #bars|close
|
||||
lookback_series = get_source_series(state, lookback_priceline)
|
||||
|
||||
try:
|
||||
lookbackprice = lookback_series[-lookback-1]
|
||||
lookbacktime = state.bars.updated[-lookback-1]
|
||||
except IndexError:
|
||||
max_delka = len(lookback_series)
|
||||
lookbackprice =lookback_series[-max_delka]
|
||||
lookbacktime = state.bars.updated[-max_delka]
|
||||
match lookback_type:
|
||||
case "positions":
|
||||
try:
|
||||
lookbackprice = lookback_series[-lookback-1]
|
||||
lookbacktime = state.bars.updated[-lookback-1]
|
||||
except IndexError:
|
||||
max_delka = len(lookback_series)
|
||||
lookbackprice =lookback_series[-max_delka]
|
||||
lookbacktime = state.bars.updated[-max_delka]
|
||||
case "seconds":
|
||||
#předpokládáme, že lookback_priceline je ve formě #bars|close
|
||||
#abychom ziskali relevantní time
|
||||
split_index = lookback_priceline.find("|")
|
||||
if split_index == -1:
|
||||
return -2, "for time it is required in format bars|close"
|
||||
dict_name = lookback_priceline[:split_index]
|
||||
time_series = getattr(state, dict_name)["time"]
|
||||
lookback_idx = find_index_optimized(time_list=time_series, seconds=lookback)
|
||||
lookbackprice = lookback_series[lookback_idx]
|
||||
lookbacktime = time_series[lookback_idx]
|
||||
|
||||
#výpočet úhlu - a jeho normalizace
|
||||
currval = source_series[-1]
|
||||
@ -32,3 +46,24 @@ def slope(state, params, name):
|
||||
|
||||
state.ilog(lvl=1,e=f"INSIDE {name}:{funcName} {slope} {source=} {lookback=}", currval_source=currval, lookbackprice=lookbackprice, lookbacktime=lookbacktime, **params)
|
||||
return 0, slope
|
||||
|
||||
"""
|
||||
TODO pripadne dat do
|
||||
Finds index of first value less than X seconds
|
||||
This version assumes:
|
||||
time_list is always non-empty and sorted.
|
||||
There's always a timestamp at least 5 seconds before the current time.
|
||||
"""
|
||||
def find_index_optimized(time_list, seconds):
|
||||
current_time = time_list[-1]
|
||||
threshold = current_time - seconds
|
||||
left, right = 0, len(time_list) - 1
|
||||
|
||||
while left < right:
|
||||
mid = (left + right) // 2
|
||||
if time_list[mid] < threshold:
|
||||
left = mid + 1
|
||||
else:
|
||||
right = mid
|
||||
|
||||
return left if time_list[left] >= threshold else None
|
||||
@ -27,6 +27,16 @@ def populate_dynamic_custom_indicator(data, state: StrategyState, name):
|
||||
#if MA is required
|
||||
MA_length = safe_get(options, "MA_length", None)
|
||||
|
||||
output = safe_get(options, "output", "bar")
|
||||
match output:
|
||||
case "bar":
|
||||
indicators_dict = state.indicators
|
||||
case "tick":
|
||||
indicators_dict = state.cbar_indicators
|
||||
case _:
|
||||
state.ilog(lvl=1,e=f"Output must be bar or tick for {name} in stratvars")
|
||||
return
|
||||
|
||||
active = safe_get(options, 'active', True)
|
||||
if not active:
|
||||
return
|
||||
@ -121,7 +131,7 @@ def populate_dynamic_custom_indicator(data, state: StrategyState, name):
|
||||
if should_run:
|
||||
#TODO get custom params
|
||||
custom_params = safe_get(options, "cp", None)
|
||||
#vyplnime last_run_time a last_run_index
|
||||
#vyplnime last_run_time a last_run_index do stratvars
|
||||
state.vars.indicators[name]["last_run_time"] = datetime.fromtimestamp(data["updated"]).astimezone(zoneNY)
|
||||
state.vars.indicators[name]["last_run_index"] = data["index"]
|
||||
|
||||
@ -135,14 +145,14 @@ def populate_dynamic_custom_indicator(data, state: StrategyState, name):
|
||||
custom_function = eval(subtype)
|
||||
res_code, new_val = custom_function(state, custom_params, name)
|
||||
if res_code == 0:
|
||||
state.indicators[name][-1-save_to_past]=new_val
|
||||
indicators_dict[name][-1-save_to_past]=new_val
|
||||
state.ilog(lvl=1,e=f"IND {name} {subtype} VAL FROM FUNCTION: {new_val}", lastruntime=state.vars.indicators[name]["last_run_time"], lastrunindex=state.vars.indicators[name]["last_run_index"], save_to_past=save_to_past)
|
||||
#prepocitame MA if required
|
||||
if MA_length is not None:
|
||||
src = state.indicators[name][-MA_length:]
|
||||
src = indicators_dict[name][-MA_length:]
|
||||
MA_res = ema(src, MA_length)
|
||||
MA_value = round(MA_res[-1],7)
|
||||
state.indicators[name+"MA"][-1-save_to_past]=MA_value
|
||||
indicators_dict[name+"MA"][-1-save_to_past]=MA_value
|
||||
state.ilog(lvl=0,e=f"IND {name}MA {subtype} {MA_value}",save_to_past=save_to_past)
|
||||
|
||||
else:
|
||||
@ -150,20 +160,20 @@ def populate_dynamic_custom_indicator(data, state: StrategyState, name):
|
||||
raise Exception(err)
|
||||
|
||||
except Exception as e:
|
||||
if len(state.indicators[name]) >= 2:
|
||||
state.indicators[name][-1]=state.indicators[name][-2]
|
||||
if MA_length is not None and len(state.indicators[name+"MA"])>=2:
|
||||
state.indicators[name+"MA"][-1]=state.indicators[name+"MA"][-2]
|
||||
if len(indicators_dict[name]) >= 2:
|
||||
indicators_dict[name][-1]=indicators_dict[name][-2]
|
||||
if MA_length is not None and len(indicators_dict[name+"MA"])>=2:
|
||||
indicators_dict[name+"MA"][-1]=indicators_dict[name+"MA"][-2]
|
||||
state.ilog(lvl=1,e=f"IND ERROR {name} {subtype} necháváme původní", message=str(e)+format_exc())
|
||||
|
||||
else:
|
||||
state.ilog(lvl=0,e=f"IND {name} {subtype} COND NOT READY: {msg}")
|
||||
|
||||
#not time to run - copy last value
|
||||
if len(state.indicators[name]) >= 2:
|
||||
state.indicators[name][-1]=state.indicators[name][-2]
|
||||
if len(indicators_dict[name]) >= 2:
|
||||
indicators_dict[name][-1]=indicators_dict[name][-2]
|
||||
|
||||
if MA_length is not None and len(state.indicators[name+"MA"])>=2:
|
||||
state.indicators[name+"MA"][-1]=state.indicators[name+"MA"][-2]
|
||||
if MA_length is not None and len(indicators_dict[name+"MA"])>=2:
|
||||
indicators_dict[name+"MA"][-1]=indicators_dict[name+"MA"][-2]
|
||||
|
||||
state.ilog(lvl=0,e=f"IND {name} {subtype} NOT TIME TO RUN - value(and MA) still original")
|
||||
|
||||
@ -60,6 +60,8 @@ def evaluate_directive_conditions(state, work_dict, cond_type):
|
||||
|
||||
return eval_cond_dict(cond)
|
||||
|
||||
#TODO toto pripadne sloucit s get_source_series - revidovat dopady
|
||||
|
||||
def get_source_or_MA(state, indicator):
|
||||
#pokud ma, pouzije MAcko, pokud ne tak standardni indikator
|
||||
#pokud to jmeno neexistuje, tak pripadne bere z barů (close,open,hlcc4, vwap atp.)
|
||||
@ -69,7 +71,10 @@ def get_source_or_MA(state, indicator):
|
||||
try:
|
||||
return state.indicators[indicator]
|
||||
except KeyError:
|
||||
return state.bars[indicator]
|
||||
try:
|
||||
return state.bars[indicator]
|
||||
except KeyError:
|
||||
return state.cbar_indicators[indicator]
|
||||
|
||||
def get_source_series(state, source: str):
|
||||
"""
|
||||
@ -85,7 +90,10 @@ def get_source_series(state, source: str):
|
||||
try:
|
||||
return state.indicators[source]
|
||||
except KeyError:
|
||||
return None
|
||||
try:
|
||||
return state.cbar_indicators[source]
|
||||
except KeyError:
|
||||
return None
|
||||
else:
|
||||
dict_name = source[:split_index]
|
||||
key = source[split_index + 1:]
|
||||
|
||||
@ -63,12 +63,11 @@ def populate_all_indicators(data, state: StrategyState):
|
||||
else:
|
||||
pass
|
||||
|
||||
#toto je spíše interní ukládání tick_price a tick_volume - s tím pak mohou pracovat jak bar based tak tick based indikatory
|
||||
#TODO do budoucna prejmenovat state.cbar_indicators na state.tick_indicators
|
||||
populate_cbar_tick_price_indicator(data, state)
|
||||
|
||||
#TBD nize predelat na typizovane RSI (a to jak na urovni CBAR tak confirmed)
|
||||
#populate_cbar_rsi_indicator()
|
||||
|
||||
#populate indicators, that have type in stratvars.indicators
|
||||
#populate indicators, that have type in stratvars.indicators - pridana podpora i pro CBAR typu CUSTOM
|
||||
populate_dynamic_indicators(data, state)
|
||||
|
||||
#vytiskneme si indikatory
|
||||
|
||||
@ -23,13 +23,23 @@ def initialize_dynamic_indicators(state):
|
||||
##ßprintanyway(state.vars, state)
|
||||
dict_copy = state.vars.indicators.copy()
|
||||
for indname, indsettings in dict_copy.items():
|
||||
#inicializace indikatoru na dane urovni
|
||||
output = safe_get(indsettings, 'output', "bar")
|
||||
match output:
|
||||
case "bar":
|
||||
indicators_dict = state.indicators
|
||||
case "tick":
|
||||
indicators_dict = state.cbar_indicators
|
||||
case _:
|
||||
raise(f"ind output must be bar or tick {indname}")
|
||||
|
||||
indicators_dict[indname] = []
|
||||
#pokud ma MA_length incializujeme i MA variantu
|
||||
if safe_get(indsettings, 'MA_length', False):
|
||||
indicators_dict[indname+"MA"] = []
|
||||
|
||||
#Specifické Inicializace dle type
|
||||
for option,value in list(indsettings.items()):
|
||||
#inicializujeme nejenom typizovane
|
||||
#if option == "type":
|
||||
state.indicators[indname] = []
|
||||
#pokud ma MA_length incializujeme i MA variantu
|
||||
if safe_get(indsettings, 'MA_length', False):
|
||||
state.indicators[indname+"MA"] = []
|
||||
#specifika pro slope
|
||||
if option == "type":
|
||||
if value == "slope":
|
||||
|
||||
@ -302,21 +302,34 @@ def eval_cond_dict(cond: dict) -> tuple[bool, str]:
|
||||
def Average(lst):
|
||||
return sum(lst) / len(lst)
|
||||
|
||||
#OPTIMIZED by CHATGPT
|
||||
def safe_get(collection, key, default=None):
|
||||
"""Get values from a collection without raising errors"""
|
||||
|
||||
try:
|
||||
# Check if the collection supports the .get method (like dict)
|
||||
if hasattr(collection, 'get'):
|
||||
return collection.get(key, default)
|
||||
except TypeError:
|
||||
pass
|
||||
|
||||
try:
|
||||
# Check if the key is within the bounds for list-like collections
|
||||
if isinstance(collection, (list, tuple)) and 0 <= key < len(collection):
|
||||
return collection[key]
|
||||
except (IndexError, TypeError):
|
||||
pass
|
||||
|
||||
return default
|
||||
|
||||
# def safe_get(collection, key, default=None):
|
||||
# """Get values from a collection without raising errors"""
|
||||
|
||||
# try:
|
||||
# return collection.get(key, default)
|
||||
# except TypeError:
|
||||
# pass
|
||||
|
||||
# try:
|
||||
# return collection[key]
|
||||
# except (IndexError, TypeError):
|
||||
# pass
|
||||
|
||||
# return default
|
||||
|
||||
def send_to_telegram(message):
|
||||
apiToken = '5836666362:AAGPuzwp03tczMQTwTBiHW6VsZZ-1RCMAEE'
|
||||
chatID = '5029424778'
|
||||
|
||||
Reference in New Issue
Block a user