rel profit first version

v2realbot/common/PrescribedTradeModel.py

@@ -6,6 +6,7 @@ from uuid import UUID
 class TradeStatus(str, Enum):
     READY = "ready"
     ACTIVATED = "activated"
+    CLOSED = "closed"
     #FINISHED = "finished"
 
 class TradeDirection(str, Enum):
@@ -28,4 +29,6 @@ class Trade(BaseModel):
     stoploss_value: Optional[float] = None
     profit: Optional[float] = 0
     profit_sum: Optional[float] = 0
+    rel_profit: Optional[float] = 0
+    rel_profit_cum: Optional[float] = 0
     

v2realbot/common/db.py

@@ -79,7 +79,7 @@ def row_to_runarchiveview(row: dict) -> RunArchiveView:
         trade_count=int(row['trade_count']),
         end_positions=int(row['end_positions']),
         end_positions_avgp=float(row['end_positions_avgp']),
-        metrics=json.loads(row['metrics']),
+        metrics=json.loads(row['metrics']) if row['metrics'] else None
     )
 
 #prevede dict radku zpatky na objekt vcetme retypizace

v2realbot/common/model.py

@@ -191,6 +191,8 @@ class TradeUpdate(BaseModel):
     pos_avg_price: Optional[float]
     profit: Optional[float]
     profit_sum: Optional[float]
+    rel_profit: Optional[float]
+    rel_profit_cum: Optional[float]
     signal_name: Optional[str]
 
 

v2realbot/controller/services.py

@@ -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))
+            start_time = zonePRG.localize(datetime.fromisoformat(intrvl.start))
-            end_time = zoneNY.localize(datetime.fromisoformat(intrvl.end))
+            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.)

v2realbot/static/js/archivetables.js

@@ -710,7 +710,7 @@ var archiveRecords =
                         //zobrazujeme jen kratkou summary pokud mame, jinak davame vse, do titlu davame vzdy vse
                         //console.log(data)
                         short = null
-                        if ((data.profit) && (data.profit.sum)) {
+                        if ((data) && (data.profit) && (data.profit.sum)) {
                             short = data.profit.sum
                         }
                         else {

v2realbot/static/js/libs/prism/prism-log.js

@@ -28,7 +28,7 @@ Prism.languages.log = {
 			alias: ['error', 'important']
 		},
 		{
-			pattern: /\b(?:WARN|WARNING|WRN|ENTRY|LP|SL)\b/,
+			pattern: /\b(?:WARN|WARNING|WRN|ENTRY|LP|SL|PROFIT|profit|profit_rel)\b/,
 			alias: ['warning', 'important']
 		},
 		{

v2realbot/strategy/StrategyClassicSL.py

@@ -12,7 +12,7 @@ from datetime import datetime
 #from rich import print
 from random import randrange
 from alpaca.common.exceptions import APIError
-import copy
+import numpy as np
 from threading import Event
 from uuid import UUID, uuid4
 from v2realbot.strategyblocks.indicators.indicators_hub import populate_all_indicators
@@ -100,7 +100,19 @@ class StrategyClassicSL(Strategy):
 
                 trade_profit = round((avg_costs-bought_amount),2)
                 self.state.profit += trade_profit
-                self.state.ilog(e=f"BUY notif - SHORT PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)}", msg=str(data.event), bought_amount=bought_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
+
+                rel_profit = 0
+                #spoctene celkovy relativni profit za trade v procentech ((trade_profit/vstup_naklady)*100)
+                if vstup_cena != 0 and int(data.order.qty) != 0:
+                    rel_profit = (trade_profit / (vstup_cena * float(data.order.qty))) * 100
+
+                #pokud jde o finalni FILL - pridame do pole tento celkovy relativnich profit (ze ktereho se pocita kumulativni relativni profit)
+                rel_profit_cum_calculated = 0
+                if data.event == TradeEvent.FILL:
+                    self.state.rel_profit_cum.append(rel_profit)
+                    rel_profit_cum_calculated = np.mean(self.state.rel_profit_cum)
+
+                self.state.ilog(e=f"BUY notif - SHORT PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum=str(self.state.rel_profit_cum), bought_amount=bought_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
 
                 #zapsat profit do prescr.trades
                 for trade in self.state.vars.prescribedTrades:
@@ -110,7 +122,11 @@ class StrategyClassicSL(Strategy):
                         #pro ulozeni do tradeData scitame vsechen zisk z tohoto tradu (kvuli partialum)
                         trade_profit = trade.profit
                         trade.profit_sum = self.state.profit
+                        trade.rel_profit = rel_profit
+                        trade.rel_profit_cum = rel_profit_cum_calculated
                         signal_name = trade.generated_by
+                        if data.event == TradeEvent.FILL:
+                            trade.status == TradeStatus.CLOSED
                         break
 
                 if data.event == TradeEvent.FILL:
@@ -124,6 +140,8 @@ class StrategyClassicSL(Strategy):
                             setattr(tradeData, "profit_sum", self.state.profit)
                             setattr(tradeData, "signal_name", signal_name)
                             #self.state.ilog(f"updatnut tradeList o profit", tradeData=json.loads(json.dumps(tradeData, default=json_serial)))
+                            setattr(tradeData, "rel_profit", rel_profit)
+                            setattr(tradeData, "rel_profit_cum", rel_profit_cum_calculated)
 
                 #test na maximalni profit/loss, pokud vypiname pak uz nedelame pripdany reverzal
                 if await self.stop_when_max_profit_loss() is False:
@@ -142,7 +160,7 @@ class StrategyClassicSL(Strategy):
                     if trade.id == self.state.vars.pending:
                         signal_name = trade.generated_by
 
-                #zapsat update profitu do tradeList
+                #zapsat do tradeList
                 for tradeData in self.state.tradeList:
                     if tradeData.execution_id == data.execution_id:
                         setattr(tradeData, "signal_name", signal_name)
@@ -194,7 +212,19 @@ class StrategyClassicSL(Strategy):
                 
                 trade_profit = round((sold_amount - avg_costs),2)
                 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))
+
+                rel_profit = 0
+                #spoctene celkovy relativni profit za trade v procentech ((trade_profit/vstup_naklady)*100)
+                if vstup_cena != 0 and data.order.qty != 0:
+                    rel_profit = (trade_profit / (vstup_cena * float(data.order.qty))) * 100
+
+                rel_profit_cum_calculated = 0
+                #pokud jde o finalni FILL - pridame do pole relativnich profit (ze ktereho se pocita kumulativni relativni profit)
+                if data.event == TradeEvent.FILL:
+                    self.state.rel_profit_cum.append(rel_profit)
+                    rel_profit_cum_calculated = np.mean(self.state.rel_profit_cum)
+
+                self.state.ilog(e=f"SELL notif - PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum = str(self.state.rel_profit_cum), sold_amount=sold_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
 
                 #zapsat profit do prescr.trades
                 for trade in self.state.vars.prescribedTrades:
@@ -204,7 +234,11 @@ class StrategyClassicSL(Strategy):
                         #pro ulozeni do tradeData scitame vsechen zisk z tohoto tradu (kvuli partialum)
                         trade_profit = trade.profit
                         trade.profit_sum = self.state.profit
+                        trade.rel_profit = rel_profit
+                        trade.rel_profit_cum = rel_profit_cum_calculated
                         signal_name = trade.generated_by
+                        if data.event == TradeEvent.FILL:
+                            trade.status == TradeStatus.CLOSED
                         break
 
                 if data.event == TradeEvent.FILL:
@@ -218,6 +252,9 @@ class StrategyClassicSL(Strategy):
                             setattr(tradeData, "profit_sum", self.state.profit)
                             setattr(tradeData, "signal_name", signal_name)
                             #self.state.ilog(f"updatnut tradeList o profi {str(tradeData)}")
+                            setattr(tradeData, "rel_profit", rel_profit)
+                            setattr(tradeData, "rel_profit_cum", rel_profit_cum_calculated)
+                            #sem nejspis update skutecne vstupni ceny (celk.mnozstvi(order.qty) a avg_costs), to same i druhy smer
 
                 if await self.stop_when_max_profit_loss() is False:
 

v2realbot/strategy/base.py

@@ -705,7 +705,10 @@ class StrategyState:
         self.sell_l = self.interface.sell_l
         self.cancel_pending_buys = None
         self.iter_log_list = []
+        #celkovy profit (prejmennovat na profit_cum)
         self.profit = 0
+        #celkovy relativni profit (obsahuje pole relativnich zisku, z jeho meanu se spocita celkovy rel_profit_cu,)
+        self.rel_profit_cum = []
         self.tradeList = []
         #nova promenna pro externi data do ArchiveDetaili, napr. pro zobrazeni v grafu, je zde např. SL history
         self.extData = {}

v2realbot/strategyblocks/indicators/indicators_hub.py

@@ -53,9 +53,9 @@ def populate_all_indicators(data, state: StrategyState):
     state.ilog(lvl=1,e=f"{conf} {data['index']}-{conf_bar}--delta:{last_update_delta}---AVGdelta:{avg_delta}", data=data)
  
     #TODO tento lof patri spis do nextu classic SL - je poplatny typu stratefie
-    #TODO na toto se podivam, nejak moc zajasonovani a zpatky
+    #TODO na toto se podivam, nejak moc zajasonovani a zpatky -
     #PERF PROBLEM
-    state.ilog(lvl=1,e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value if state.vars.activeTrade is not None else None} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)} pend:{state.vars.pending}", activeTrade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)), prescribedTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)), pending=str(state.vars.pending))
+    state.ilog(lvl=1,e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value if state.vars.activeTrade is not None else None} profit:{round(float(state.profit),2)} profit_rel:{round(np.mean(state.rel_profit_cum),6) if len(state.rel_profit_cum)>0 else 0} Trades:{len(state.tradeList)} pend:{state.vars.pending}", rel_profit_cum=str(state.rel_profit_cum), activeTrade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)), prescribedTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)), pending=str(state.vars.pending))
     
     #kroky pro CONFIRMED BAR only
     if conf_bar == 1:

v2realbot/strategyblocks/newtrade/conditions.py

@@ -97,7 +97,7 @@ def common_go_preconditions_check(state, data, signalname: str, options: dict):
     window_close = safe_get(options, "window_close",safe_get(state.vars, "window_close",390))
 
     if is_window_open(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), window_open, window_close) is False:
-        state.ilog(lvl=1,e=f"SIGNAL {signalname} - WINDOW CLOSED", msg=f"{window_open=} {window_close=} ")
+        state.ilog(lvl=1,e=f"SIGNAL {signalname} - WINDOW CLOSED", msg=f"{window_open=} {window_close=} ", time=str(datetime.fromtimestamp(data['updated']).astimezone(zoneNY)))
         return False           
 
     min_bar_index = safe_get(options, "min_bar_index",safe_get(state.vars, "min_bar_index",0))

v2realbot/strategyblocks/newtrade/prescribedtrades.py

@@ -6,6 +6,7 @@ from datetime import datetime
 import json
 from v2realbot.strategyblocks.activetrade.helpers import insert_SL_history, get_default_sl_value, normalize_tick
 
+#TODO nad prescribed trades postavit vstupni funkce
 def execute_prescribed_trades(state: StrategyState, data):
     ##evaluate prescribed trade, prvni eligible presuneme do activeTrade, zmenime stav and vytvorime objednavky