bugfix a zakomentovan IC a podporen format f
This commit is contained in:
David Brazda
Binary file not shown.
@ -126,7 +126,7 @@ class Backtester:
|
||||
# print("list before execution", self.open_orders)
|
||||
|
||||
if len(self.open_orders) == 0:
|
||||
ic("no pend orders")
|
||||
#ic("no pend orders")
|
||||
return 0
|
||||
|
||||
changes = 0
|
||||
@ -155,10 +155,10 @@ class Backtester:
|
||||
# break
|
||||
|
||||
#pracovni list
|
||||
ic("work_range 0:index_end")
|
||||
ic(index_end)
|
||||
#ic("work_range 0:index_end")
|
||||
#ic(index_end)
|
||||
work_range = self.btdata[0:index_end]
|
||||
ic(len(work_range))
|
||||
#ic(len(work_range))
|
||||
#print("index_end", i)
|
||||
#print("oriznuto",self.btdata[0:i+1])
|
||||
|
||||
@ -166,36 +166,37 @@ class Backtester:
|
||||
#pokud je vyplneny symbol, tak jedeme jen tyto, jinak vsechny
|
||||
print(order.id, datetime.timestamp(order.submitted_at), order.symbol, order.side, order.order_type, order.qty, order.limit_price, order.submitted_at)
|
||||
if order.canceled_at:
|
||||
ic("deleting canceled order",order.id)
|
||||
#ic("deleting canceled order",order.id)
|
||||
todel.append(order)
|
||||
elif not self.symbol or order.symbol == self.symbol:
|
||||
#pricteme mininimalni latency od submittu k fillu
|
||||
if order.submitted_at.timestamp() + BT_DELAYS.sub_to_fill > float(intime):
|
||||
ic("too soon for",order.id)
|
||||
print(f"too soon for {order.id}")
|
||||
#try to execute
|
||||
else:
|
||||
#try to execute specific order
|
||||
a = self._execute_order(o = order, intime=intime, work_range=work_range)
|
||||
if a == 1:
|
||||
ic("EXECUTED")
|
||||
#ic("EXECUTED")
|
||||
todel.append(order)
|
||||
changes = 1
|
||||
else:
|
||||
ic("NOT EXECUTED",a)
|
||||
#ic("istodel",todel)
|
||||
print("NOT EXECUTED {a}")
|
||||
#ic("NOT EXECUTED",a)
|
||||
##ic("istodel",todel)
|
||||
#vymazu z pending orderu vschny zprocesovane nebo ty na výmaz
|
||||
for i in todel:
|
||||
self.open_orders.remove(i)
|
||||
todel = {}
|
||||
|
||||
#tady udelat pripadny ořez self.btdata - priste zaciname od zacatku
|
||||
#ic("before delete", len(self.btdata))
|
||||
##ic("before delete", len(self.btdata))
|
||||
|
||||
#TEST zkusime to nemazat, jak ovlivni performance
|
||||
#Mazeme, jinak je to hruza
|
||||
#nechavame na konci trady, které muzeme potrebovat pro consekutivni pravidlo
|
||||
del self.btdata[0:index_end-2-BT_FILL_CONS_TRADES_REQUIRED]
|
||||
#ic("after delete",len(self.btdata[0:index_end]))
|
||||
##ic("after delete",len(self.btdata[0:index_end]))
|
||||
|
||||
if changes: return 1
|
||||
else: return 0
|
||||
@ -214,8 +215,8 @@ class Backtester:
|
||||
fill_time = None
|
||||
fill_price = None
|
||||
order_min_fill_time = o.submitted_at.timestamp() + BT_DELAYS.sub_to_fill
|
||||
ic(order_min_fill_time)
|
||||
ic(len(work_range))
|
||||
#ic(order_min_fill_time)
|
||||
#ic(len(work_range))
|
||||
|
||||
if o.order_type == OrderType.LIMIT:
|
||||
if o.side == OrderSide.BUY:
|
||||
@ -248,7 +249,7 @@ class Backtester:
|
||||
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
|
||||
|
||||
#(1679081919.381649, 27.88)
|
||||
ic(i)
|
||||
#ic(i)
|
||||
fill_time = i[0]
|
||||
fill_price = i[1]
|
||||
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
|
||||
@ -278,7 +279,7 @@ class Backtester:
|
||||
consec_cnt += 1
|
||||
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
|
||||
#(1679081919.381649, 27.88)
|
||||
ic(i)
|
||||
#ic(i)
|
||||
fill_time = i[0]
|
||||
fill_price = i[1]
|
||||
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
|
||||
@ -296,7 +297,7 @@ class Backtester:
|
||||
#najde prvni nejvetsi čas vetsi nez minfill
|
||||
if i[0] > float(order_min_fill_time):
|
||||
#(1679081919.381649, 27.88)
|
||||
ic(i)
|
||||
#ic(i)
|
||||
fill_time = i[0]
|
||||
fill_price = i[1]
|
||||
print("FILL ",o.side,"MARKET at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "cena", i[1])
|
||||
@ -306,7 +307,7 @@ class Backtester:
|
||||
return -1
|
||||
|
||||
if not fill_time:
|
||||
ic("not FILLED")
|
||||
#ic("not FILLED")
|
||||
return 0
|
||||
else:
|
||||
|
||||
@ -316,7 +317,7 @@ class Backtester:
|
||||
o.filled_avg_price = float(fill_price)
|
||||
o.status = OrderStatus.FILLED
|
||||
|
||||
ic(o.filled_at, o.filled_avg_price)
|
||||
#ic(o.filled_at, o.filled_avg_price)
|
||||
|
||||
a = self.update_account(o = o)
|
||||
if a < 0:
|
||||
@ -396,13 +397,13 @@ class Backtester:
|
||||
optimalized as bisect left
|
||||
"""""
|
||||
pos = bisect_left(self.btdata, (time,))
|
||||
ic("vracime last price")
|
||||
ic(time)
|
||||
#ic("vracime last price")
|
||||
#ic(time)
|
||||
if pos == 0:
|
||||
ic(self.btdata[0][1])
|
||||
#ic(self.btdata[0][1])
|
||||
return self.btdata[0][1]
|
||||
afterTime, afterPrice = self.btdata[pos-1]
|
||||
ic(afterPrice)
|
||||
#ic(afterPrice)
|
||||
return afterPrice
|
||||
|
||||
|
||||
@ -412,8 +413,8 @@ class Backtester:
|
||||
# #print(i)
|
||||
# if self.btdata[i][0] >= time:
|
||||
# break
|
||||
# ic(time, self.btdata[i-1][1])
|
||||
# ic("get last price")
|
||||
# #ic(time, self.btdata[i-1][1])
|
||||
# #ic("get last price")
|
||||
# return self.btdata[i-1][1]
|
||||
|
||||
def submit_order(self, time: float, symbol: str, side: OrderSide, size: int, order_type: OrderType, price: float = None):
|
||||
@ -493,7 +494,7 @@ class Backtester:
|
||||
limit_price=(float(price) if price else None))
|
||||
|
||||
self.open_orders.append(order)
|
||||
ic("order SUBMITTED", order)
|
||||
#ic("order SUBMITTED", order)
|
||||
return id
|
||||
|
||||
|
||||
|
||||
Reference in New Issue
Block a user