dwker/v2realbot
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

rel profit first version

Browse Source
This commit is contained in:
David Brazda
2023-10-20 21:48:46 +02:00
parent d5ebfee762
commit 47e2e255c7
11 changed files with 73 additions and 15 deletions
Download Patch File Download Diff File Expand all files Collapse all files

22
v2realbot/controller/services.py
View File

@ -7,7 +7,7 @@ from alpaca.data.enums import DataFeed
from alpaca.data.timeframe import TimeFrame
from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, OrderSide
from v2realbot.common.model import RunDay, StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveView, RunArchiveDetail, RunArchiveChange, Bar, TradeEvent, TestList, Intervals, ConfigItem
from v2realbot.utils.utils import AttributeDict, zoneNY, dict_replace_value, Store, parse_toml_string, json_serial, is_open_hours, send_to_telegram
from v2realbot.utils.utils import AttributeDict, zoneNY, zonePRG, dict_replace_value, Store, parse_toml_string, json_serial, is_open_hours, send_to_telegram
from v2realbot.utils.ilog import delete_logs
from v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeStatus, TradeStoplossType
from datetime import datetime
@ -21,6 +21,7 @@ from queue import Queue
from tinydb import TinyDB, Query, where
from tinydb.operations import set
import json
import numpy as np
from numpy import ndarray
from rich import print
import pandas as pd
@ -374,9 +375,10 @@ def run_batch_stratin(id: UUID, runReq: RunRequest):
cal_list = []
#interval dame do formatu list(RunDays)
#TODO do budoucna predelat Interval na RunDays a na zone aware datetime
#zatim testlisty dávám v cz casu
for intrvl in testlist.dates:
start_time = zoneNY.localize(datetime.fromisoformat(intrvl.start))
end_time = zoneNY.localize(datetime.fromisoformat(intrvl.end))
start_time = zonePRG.localize(datetime.fromisoformat(intrvl.start))
end_time = zonePRG.localize(datetime.fromisoformat(intrvl.end))
cal_list.append(RunDay(start = start_time, end = end_time, note=intrvl.note, id=testlist.id))
print(f"Getting intervals - RESULT ({len(cal_list)}): {cal_list}")
@ -443,7 +445,7 @@ def batch_run_manager(id: UUID, runReq: RunRequest, rundays: list[RunDay]):
cnt_max = len(rundays)
cnt = 0
#promenna pro sdileni mezi runy jednotlivych batchů (např. daily profit)
inter_batch_params = dict(batch_profit=0)
inter_batch_params = dict(batch_profit=0, batch_rel_profit=0)
note_from_run_request = runReq.note
for day in rundays:
cnt += 1
@ -636,6 +638,12 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
#naplneni batch sum profitu
if inter_batch_params is not None:
res["profit"]["batch_sum_profit"] = inter_batch_params["batch_profit"]
res["profit"]["batch_sum_rel_profit"] = inter_batch_params["batch_rel_profit"]
#rel_profit rozepsane zisky
res["profit"]["rel_profits"] = strat.state.rel_profit_cum
#rel_profit zprumerovane
res["profit"]["rel_profit_cum"] = float(np.mean(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#metrikz z prescribedTrades, pokud existuji
try:
@ -691,8 +699,10 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
mpt_string = "PT"+str(max_profit_time.hour)+":"+str(max_profit_time.minute) if max_profit_time is not None else ""
mlt_string ="LT"+str(max_loss_time.hour)+":"+str(max_loss_time.minute) if max_loss_time is not None else ""
rp_string = "RP" + str(float(np.mean(strat.state.rel_profit_cum))) if len(strat.state.rel_profit_cum) >0 else "noRP"
##summary pro rychle zobrazeni P333L-222 PT9:30 PL10:30
res["profit"]["sum"]="P"+str(int(max_profit))+"L"+str(int(max_loss))+" "+ mpt_string+" " + mlt_string
res["profit"]["sum"]="P"+str(int(max_profit))+"L"+str(int(max_loss))+" "+ mpt_string+" " + mlt_string + rp_string + " "+str(strat.state.rel_profit_cum)
#vlozeni celeho listu
res["prescr_trades"]=json.loads(json.dumps(strat.state.vars.prescribedTrades, default=json_serial))
@ -729,6 +739,8 @@ def archive_runner(runner: Runner, strat: StrategyInstance, inter_batch_params:
#add profit of this batch iteration to batch_sum_profit
if inter_batch_params is not None:
inter_batch_params["batch_profit"] += round(float(strat.state.profit),2)
inter_batch_params["batch_rel_profit"] += float(np.mean(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#WIP
#populate result metrics dictionary (max drawdown etc.)