update of vbt doc
This commit is contained in:
David Brazda
+150
-30
@@ -2,9 +2,130 @@
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 197,
|
||||
"execution_count": 1,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"outputs": [
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">Activating profile profile1\n",
|
||||
"</pre>\n"
|
||||
],
|
||||
"text/plain": [
|
||||
"Activating profile profile1\n"
|
||||
]
|
||||
},
|
||||
"metadata": {},
|
||||
"output_type": "display_data"
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">Profile profile1 loaded successfully.\n",
|
||||
"</pre>\n"
|
||||
],
|
||||
"text/plain": [
|
||||
"Profile profile1 loaded successfully.\n"
|
||||
]
|
||||
},
|
||||
"metadata": {},
|
||||
"output_type": "display_data"
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">Current values:\n",
|
||||
"<span style=\"font-weight: bold\">{</span>\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'AGG_EXCLUDED_TRADES'</span>: <span style=\"font-weight: bold\">[</span><span style=\"color: #008000; text-decoration-color: #008000\">'C'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'O'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'4'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'B'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'7'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'V'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'P'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'W'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'U'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'Z'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'F'</span><span style=\"font-weight: bold\">]</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'BT_DELAYS'</span>: <span style=\"font-weight: bold\">{</span>\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'trigger_to_strat'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.02</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'strat_to_sub'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.023</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'sub_to_fill'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.008</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'fill_to_not'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.023</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'limit_order_offset'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0</span>\n",
|
||||
" <span style=\"font-weight: bold\">}</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'BT_FILL_CONDITION_BUY_LIMIT'</span>: <span style=\"font-weight: bold\"><</span><span style=\"color: #ff00ff; text-decoration-color: #ff00ff; font-weight: bold\">FillCondition.SLOW:</span><span style=\"color: #000000; text-decoration-color: #000000\"> </span><span style=\"color: #008000; text-decoration-color: #008000\">'slow'</span><span style=\"color: #000000; text-decoration-color: #000000\">>,</span>\n",
|
||||
"<span style=\"color: #000000; text-decoration-color: #000000\"> </span><span style=\"color: #008000; text-decoration-color: #008000\">'BT_FILL_CONDITION_SELL_LIMIT'</span><span style=\"color: #000000; text-decoration-color: #000000\">: <FillCondition.SLOW: </span><span style=\"color: #008000; text-decoration-color: #008000\">'slow'</span><span style=\"font-weight: bold\">></span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'BT_FILL_CONS_TRADES_REQUIRED'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">2</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'BT_FILL_LOG_SURROUNDING_TRADES'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">10</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'BT_FILL_PRICE_MARKET_ORDER_PREMIUM'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.005</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'COUNT_API_REQUESTS'</span>: <span style=\"color: #ff0000; text-decoration-color: #ff0000; font-style: italic\">False</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">0.003</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'ILOG_SAVE_LEVEL_FROM'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">1</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'LIVE_DATA_FEED'</span>: <span style=\"color: #008000; text-decoration-color: #008000\">'sip'</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'NORMALIZED_TICK_BASE_PRICE'</span>: <span style=\"color: #008080; text-decoration-color: #008080; font-weight: bold\">30.0</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'OFFLINE_MODE'</span>: <span style=\"color: #ff0000; text-decoration-color: #ff0000; font-style: italic\">False</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'PROD_SERVER_HOSTNAMES'</span>: <span style=\"font-weight: bold\">[</span><span style=\"color: #008000; text-decoration-color: #008000\">'tradingeastcoast'</span>, <span style=\"color: #008000; text-decoration-color: #008000\">'David-MacBook-Pro.local'</span><span style=\"font-weight: bold\">]</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'QUIET_MODE'</span>: <span style=\"color: #00ff00; text-decoration-color: #00ff00; font-style: italic\">True</span>,\n",
|
||||
" <span style=\"color: #008000; text-decoration-color: #008000\">'TEST_SERVER_HOSTNAMES'</span>: <span style=\"font-weight: bold\">[</span><span style=\"color: #008000; text-decoration-color: #008000\">'tradingtest'</span><span style=\"font-weight: bold\">]</span>\n",
|
||||
"<span style=\"font-weight: bold\">}</span>\n",
|
||||
"</pre>\n"
|
||||
],
|
||||
"text/plain": [
|
||||
"Current values:\n",
|
||||
"\u001b[1m{\u001b[0m\n",
|
||||
" \u001b[32m'AGG_EXCLUDED_TRADES'\u001b[0m: \u001b[1m[\u001b[0m\u001b[32m'C'\u001b[0m, \u001b[32m'O'\u001b[0m, \u001b[32m'4'\u001b[0m, \u001b[32m'B'\u001b[0m, \u001b[32m'7'\u001b[0m, \u001b[32m'V'\u001b[0m, \u001b[32m'P'\u001b[0m, \u001b[32m'W'\u001b[0m, \u001b[32m'U'\u001b[0m, \u001b[32m'Z'\u001b[0m, \u001b[32m'F'\u001b[0m\u001b[1m]\u001b[0m,\n",
|
||||
" \u001b[32m'BT_DELAYS'\u001b[0m: \u001b[1m{\u001b[0m\n",
|
||||
" \u001b[32m'trigger_to_strat'\u001b[0m: \u001b[1;36m0.02\u001b[0m,\n",
|
||||
" \u001b[32m'strat_to_sub'\u001b[0m: \u001b[1;36m0.023\u001b[0m,\n",
|
||||
" \u001b[32m'sub_to_fill'\u001b[0m: \u001b[1;36m0.008\u001b[0m,\n",
|
||||
" \u001b[32m'fill_to_not'\u001b[0m: \u001b[1;36m0.023\u001b[0m,\n",
|
||||
" \u001b[32m'limit_order_offset'\u001b[0m: \u001b[1;36m0\u001b[0m\n",
|
||||
" \u001b[1m}\u001b[0m,\n",
|
||||
" \u001b[32m'BT_FILL_CONDITION_BUY_LIMIT'\u001b[0m: \u001b[1m<\u001b[0m\u001b[1;95mFillCondition.SLOW:\u001b[0m\u001b[39m \u001b[0m\u001b[32m'slow'\u001b[0m\u001b[39m>,\u001b[0m\n",
|
||||
"\u001b[39m \u001b[0m\u001b[32m'BT_FILL_CONDITION_SELL_LIMIT'\u001b[0m\u001b[39m: <FillCondition.SLOW: \u001b[0m\u001b[32m'slow'\u001b[0m\u001b[1m>\u001b[0m,\n",
|
||||
" \u001b[32m'BT_FILL_CONS_TRADES_REQUIRED'\u001b[0m: \u001b[1;36m2\u001b[0m,\n",
|
||||
" \u001b[32m'BT_FILL_LOG_SURROUNDING_TRADES'\u001b[0m: \u001b[1;36m10\u001b[0m,\n",
|
||||
" \u001b[32m'BT_FILL_PRICE_MARKET_ORDER_PREMIUM'\u001b[0m: \u001b[1;36m0.005\u001b[0m,\n",
|
||||
" \u001b[32m'COUNT_API_REQUESTS'\u001b[0m: \u001b[3;91mFalse\u001b[0m,\n",
|
||||
" \u001b[32m'GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'\u001b[0m: \u001b[1;36m0.003\u001b[0m,\n",
|
||||
" \u001b[32m'ILOG_SAVE_LEVEL_FROM'\u001b[0m: \u001b[1;36m1\u001b[0m,\n",
|
||||
" \u001b[32m'LIVE_DATA_FEED'\u001b[0m: \u001b[32m'sip'\u001b[0m,\n",
|
||||
" \u001b[32m'NORMALIZED_TICK_BASE_PRICE'\u001b[0m: \u001b[1;36m30.0\u001b[0m,\n",
|
||||
" \u001b[32m'OFFLINE_MODE'\u001b[0m: \u001b[3;91mFalse\u001b[0m,\n",
|
||||
" \u001b[32m'PROD_SERVER_HOSTNAMES'\u001b[0m: \u001b[1m[\u001b[0m\u001b[32m'tradingeastcoast'\u001b[0m, \u001b[32m'David-MacBook-Pro.local'\u001b[0m\u001b[1m]\u001b[0m,\n",
|
||||
" \u001b[32m'QUIET_MODE'\u001b[0m: \u001b[3;92mTrue\u001b[0m,\n",
|
||||
" \u001b[32m'TEST_SERVER_HOSTNAMES'\u001b[0m: \u001b[1m[\u001b[0m\u001b[32m'tradingtest'\u001b[0m\u001b[1m]\u001b[0m\n",
|
||||
"\u001b[1m}\u001b[0m\n"
|
||||
]
|
||||
},
|
||||
"metadata": {},
|
||||
"output_type": "display_data"
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">config_handler.<span style=\"color: #808000; text-decoration-color: #808000\">active_profile</span>=<span style=\"color: #008000; text-decoration-color: #008000\">'profile1'</span>\n",
|
||||
"</pre>\n"
|
||||
],
|
||||
"text/plain": [
|
||||
"config_handler.\u001b[33mactive_profile\u001b[0m=\u001b[32m'profile1'\u001b[0m\n"
|
||||
]
|
||||
},
|
||||
"metadata": {},
|
||||
"output_type": "display_data"
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<pre style=\"white-space:pre;overflow-x:auto;line-height:normal;font-family:Menlo,'DejaVu Sans Mono',consolas,'Courier New',monospace\">config handler initialized\n",
|
||||
"</pre>\n"
|
||||
],
|
||||
"text/plain": [
|
||||
"config handler initialized\n"
|
||||
]
|
||||
},
|
||||
"metadata": {},
|
||||
"output_type": "display_data"
|
||||
},
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"Realtime Websocket connection will use FEED: sip and credential of ACCOUNT1\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"from v2realbot.tools.loadbatch import load_batch\n",
|
||||
"from v2realbot.utils.utils import zoneNY\n",
|
||||
@@ -17,13 +138,12 @@
|
||||
"vbt.settings.plotting.auto_rangebreaks = True\n",
|
||||
"# Set the option to display with pagination\n",
|
||||
"pd.set_option('display.notebook_repr_html', True)\n",
|
||||
"pd.set_option('display.max_rows', 10) # Number of rows per page\n",
|
||||
"\n"
|
||||
"pd.set_option('display.max_rows', 10) # Number of rows per page"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 198,
|
||||
"execution_count": 2,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -301,7 +421,7 @@
|
||||
"[2934 rows x 8 columns]"
|
||||
]
|
||||
},
|
||||
"execution_count": 198,
|
||||
"execution_count": 2,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@@ -329,7 +449,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 199,
|
||||
"execution_count": 209,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -403,7 +523,7 @@
|
||||
"name": "Rsi14",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "fbd37d04-c17e-4596-b1f8-2a601550bdac",
|
||||
"uid": "efdece63-8464-407b-87a7-6ee41d71a834",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -17655,7 +17775,7 @@
|
||||
36.08
|
||||
],
|
||||
"type": "candlestick",
|
||||
"uid": "b5f3d47a-000c-4c38-9609-c97c97b37434",
|
||||
"uid": "62660d6c-b186-4034-ab2e-6701e4999efe",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -21594,7 +21714,7 @@
|
||||
"name": "Volume",
|
||||
"opacity": 0.5,
|
||||
"type": "bar",
|
||||
"uid": "42c50c74-2e22-4820-891f-5a2ca88235c7",
|
||||
"uid": "42b5b762-4a9c-41e7-9507-ec15130ca6fe",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -35645,7 +35765,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 200,
|
||||
"execution_count": 210,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -35693,7 +35813,7 @@
|
||||
"name": "real",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "dcdb9795-f954-4341-b6b6-73ab53286ca2",
|
||||
"uid": "8d844b56-f6ee-460a-9595-0834d2f0acca",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -45082,7 +45202,7 @@
|
||||
"name": "real",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "e7db6821-cf5a-4b38-a395-b0821499ceef",
|
||||
"uid": "0c2b8ac8-2956-4bc8-8308-27f67bcdf881",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -54479,7 +54599,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 201,
|
||||
"execution_count": 211,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -54500,7 +54620,7 @@
|
||||
"Name: Vwap, Length: 1961, dtype: bool"
|
||||
]
|
||||
},
|
||||
"execution_count": 201,
|
||||
"execution_count": 211,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@@ -54512,7 +54632,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 202,
|
||||
"execution_count": 212,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -54533,7 +54653,7 @@
|
||||
"Name: Vwap, Length: 1961, dtype: bool"
|
||||
]
|
||||
},
|
||||
"execution_count": 202,
|
||||
"execution_count": 212,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
@@ -54545,7 +54665,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 203,
|
||||
"execution_count": 213,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -62442,7 +62562,7 @@
|
||||
36.08
|
||||
],
|
||||
"type": "candlestick",
|
||||
"uid": "dca7bc1e-cf1a-4a22-af08-8eb952085b58",
|
||||
"uid": "d4ca0ab8-1e54-4e68-8d6b-e2c18d2b243f",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -66381,7 +66501,7 @@
|
||||
"name": "Volume",
|
||||
"opacity": 0.5,
|
||||
"type": "bar",
|
||||
"uid": "137ad3ae-64fe-4aca-b8d4-efb400fae336",
|
||||
"uid": "1e37740d-9ee2-449d-a328-90a429c85b3a",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -70319,7 +70439,7 @@
|
||||
"name": "Vwap",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "cff29158-ffc3-42e0-9347-c2e3e53ca751",
|
||||
"uid": "e102314a-487c-4d58-b8e5-db2a3720990a",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -74263,7 +74383,7 @@
|
||||
"name": "Entries",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "86e1b024-74be-4ed6-a808-35883f9f4dca",
|
||||
"uid": "16de330c-817d-45e1-8fd2-b8b7addb8a44",
|
||||
"x": [
|
||||
"2024-03-12T11:27:11-04:00",
|
||||
"2024-03-12T11:46:26-04:00",
|
||||
@@ -74355,7 +74475,7 @@
|
||||
"name": "Exits",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "14a67283-6a19-4daa-a4cf-cf6aaa1e2467",
|
||||
"uid": "ad7b9ceb-b1de-4c9d-ad44-514eb8abc73a",
|
||||
"x": [
|
||||
"2024-03-12T09:56:09-04:00",
|
||||
"2024-03-12T09:57:42-04:00",
|
||||
@@ -92413,7 +92533,7 @@
|
||||
36.08
|
||||
],
|
||||
"type": "candlestick",
|
||||
"uid": "10208612-fba0-4af1-ae0e-6c3b630e7402",
|
||||
"uid": "95062a7f-bddf-4ba8-89df-690d1fb7bf78",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -96352,7 +96472,7 @@
|
||||
"name": "Volume",
|
||||
"opacity": 0.5,
|
||||
"type": "bar",
|
||||
"uid": "b993f341-efa1-4cf3-9490-b47bc606dd9d",
|
||||
"uid": "f75fd578-357e-4279-8a5c-71b710573a80",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -100290,7 +100410,7 @@
|
||||
"name": "Vwap",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "72372cb6-d111-4d69-a5f1-c935e5e7559e",
|
||||
"uid": "ac249064-e86c-4fd6-b577-a8a0e4553584",
|
||||
"x": [
|
||||
"2024-03-12T09:30:00-04:00",
|
||||
"2024-03-12T09:30:23-04:00",
|
||||
@@ -104234,7 +104354,7 @@
|
||||
"name": "Entries",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "af3474cd-1efe-49c0-bacb-9b54f5a92093",
|
||||
"uid": "d89b4fe1-b7e8-4291-a5a2-35303bf3ee0a",
|
||||
"x": [
|
||||
"2024-03-12T11:27:11-04:00",
|
||||
"2024-03-12T11:46:26-04:00",
|
||||
@@ -104282,7 +104402,7 @@
|
||||
"name": "Exits",
|
||||
"showlegend": true,
|
||||
"type": "scatter",
|
||||
"uid": "831cde06-a44c-45ba-a1a8-dbba410bf210",
|
||||
"uid": "21a89431-dd37-4e59-a581-aa704917a3c1",
|
||||
"x": [
|
||||
"2024-03-12T11:36:40-04:00",
|
||||
"2024-03-12T12:55:25-04:00",
|
||||
@@ -114433,7 +114553,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 204,
|
||||
"execution_count": 214,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -114442,7 +114562,7 @@
|
||||
"12"
|
||||
]
|
||||
},
|
||||
"execution_count": 204,
|
||||
"execution_count": 214,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
|
||||
+23637
File diff suppressed because it is too large
Load Diff
@@ -0,0 +1,620 @@
|
||||
{
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 37,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import pandas as pd\n",
|
||||
"import pyarrow\n",
|
||||
"import numpy as np\n",
|
||||
"from numba import jit\n",
|
||||
"import v2realbot.utils.config_handler as cfh"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"Další info k pokračování je zde https://blog.quantinsti.com/tick-tick-ohlc-data-pandas-tutorial/"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 38,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"<class 'pandas.core.frame.DataFrame'>\n",
|
||||
"DatetimeIndex: 190261 entries, 2024-04-22 13:30:00.267711+00:00 to 2024-04-22 19:59:59.987614+00:00\n",
|
||||
"Data columns (total 6 columns):\n",
|
||||
" # Column Non-Null Count Dtype \n",
|
||||
"--- ------ -------------- ----- \n",
|
||||
" 0 exchange 190261 non-null object \n",
|
||||
" 1 price 190261 non-null float64\n",
|
||||
" 2 size 190261 non-null float64\n",
|
||||
" 3 id 190261 non-null int64 \n",
|
||||
" 4 conditions 190261 non-null object \n",
|
||||
" 5 tape 190261 non-null object \n",
|
||||
"dtypes: float64(2), int64(1), object(3)\n",
|
||||
"memory usage: 10.2+ MB\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<div>\n",
|
||||
"<style scoped>\n",
|
||||
" .dataframe tbody tr th:only-of-type {\n",
|
||||
" vertical-align: middle;\n",
|
||||
" }\n",
|
||||
"\n",
|
||||
" .dataframe tbody tr th {\n",
|
||||
" vertical-align: top;\n",
|
||||
" }\n",
|
||||
"\n",
|
||||
" .dataframe thead th {\n",
|
||||
" text-align: right;\n",
|
||||
" }\n",
|
||||
"</style>\n",
|
||||
"<table border=\"1\" class=\"dataframe\">\n",
|
||||
" <thead>\n",
|
||||
" <tr style=\"text-align: right;\">\n",
|
||||
" <th></th>\n",
|
||||
" <th>exchange</th>\n",
|
||||
" <th>price</th>\n",
|
||||
" <th>size</th>\n",
|
||||
" <th>id</th>\n",
|
||||
" <th>conditions</th>\n",
|
||||
" <th>tape</th>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>timestamp</th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" </tr>\n",
|
||||
" </thead>\n",
|
||||
" <tbody>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.267711+00:00</th>\n",
|
||||
" <td>K</td>\n",
|
||||
" <td>36.890</td>\n",
|
||||
" <td>5.0</td>\n",
|
||||
" <td>52983525037630</td>\n",
|
||||
" <td>[ , F, I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.300501+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241117014</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.305439+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241117496</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.314520+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241118034</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.335201+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241121369</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>...</th>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.902614+00:00</th>\n",
|
||||
" <td>V</td>\n",
|
||||
" <td>37.750</td>\n",
|
||||
" <td>1100.0</td>\n",
|
||||
" <td>56480705310575</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.977134+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.745</td>\n",
|
||||
" <td>300.0</td>\n",
|
||||
" <td>52983559963478</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.977137+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.740</td>\n",
|
||||
" <td>7300.0</td>\n",
|
||||
" <td>52983559963696</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.978626+00:00</th>\n",
|
||||
" <td>V</td>\n",
|
||||
" <td>37.750</td>\n",
|
||||
" <td>16.0</td>\n",
|
||||
" <td>56480706886228</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.987614+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.745</td>\n",
|
||||
" <td>30.0</td>\n",
|
||||
" <td>52983559963958</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" </tbody>\n",
|
||||
"</table>\n",
|
||||
"<p>190261 rows × 6 columns</p>\n",
|
||||
"</div>"
|
||||
],
|
||||
"text/plain": [
|
||||
" exchange price size id \\\n",
|
||||
"timestamp \n",
|
||||
"2024-04-22 13:30:00.267711+00:00 K 36.890 5.0 52983525037630 \n",
|
||||
"2024-04-22 13:30:00.300501+00:00 D 37.005 1.0 71675241117014 \n",
|
||||
"2024-04-22 13:30:00.305439+00:00 D 37.005 1.0 71675241117496 \n",
|
||||
"2024-04-22 13:30:00.314520+00:00 D 37.005 1.0 71675241118034 \n",
|
||||
"2024-04-22 13:30:00.335201+00:00 D 37.005 1.0 71675241121369 \n",
|
||||
"... ... ... ... ... \n",
|
||||
"2024-04-22 19:59:59.902614+00:00 V 37.750 1100.0 56480705310575 \n",
|
||||
"2024-04-22 19:59:59.977134+00:00 N 37.745 300.0 52983559963478 \n",
|
||||
"2024-04-22 19:59:59.977137+00:00 N 37.740 7300.0 52983559963696 \n",
|
||||
"2024-04-22 19:59:59.978626+00:00 V 37.750 16.0 56480706886228 \n",
|
||||
"2024-04-22 19:59:59.987614+00:00 N 37.745 30.0 52983559963958 \n",
|
||||
"\n",
|
||||
" conditions tape \n",
|
||||
"timestamp \n",
|
||||
"2024-04-22 13:30:00.267711+00:00 [ , F, I] A \n",
|
||||
"2024-04-22 13:30:00.300501+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.305439+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.314520+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.335201+00:00 [ , I] A \n",
|
||||
"... ... ... \n",
|
||||
"2024-04-22 19:59:59.902614+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.977134+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.977137+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.978626+00:00 [ , I] A \n",
|
||||
"2024-04-22 19:59:59.987614+00:00 [ , I] A \n",
|
||||
"\n",
|
||||
"[190261 rows x 6 columns]"
|
||||
]
|
||||
},
|
||||
"execution_count": 38,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"tdf=pd.read_parquet('trades_bac.parquet',engine='pyarrow')\n",
|
||||
"#print(df)\n",
|
||||
"df = tdf.loc['BAC']\n",
|
||||
"df.info()\n",
|
||||
"df"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 39,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"@jit(nopython=True)\n",
|
||||
"def ohlcv_bars(ticks, start_time, end_time, resolution):\n",
|
||||
" \"\"\"\n",
|
||||
" Generate OHLCV bars from tick data, skipping intervals without trading activity.\n",
|
||||
" \n",
|
||||
" Parameters:\n",
|
||||
" - ticks: numpy array with columns [timestamp, price, size]\n",
|
||||
" - start_time: the start timestamp for bars (Unix timestamp)\n",
|
||||
" - end_time: the end timestamp for bars (Unix timestamp)\n",
|
||||
" - resolution: time resolution in seconds\n",
|
||||
" \n",
|
||||
" Returns:\n",
|
||||
" - OHLCV bars as a numpy array\n",
|
||||
" \"\"\"\n",
|
||||
" num_bars = (end_time - start_time) // resolution + 1\n",
|
||||
" bar_list = []\n",
|
||||
"\n",
|
||||
" for i in range(num_bars):\n",
|
||||
" bar_start_time = start_time + i * resolution\n",
|
||||
" bar_end_time = bar_start_time + resolution\n",
|
||||
" bar_ticks = ticks[(ticks[:, 0] >= bar_start_time) & (ticks[:, 0] < bar_end_time)]\n",
|
||||
" \n",
|
||||
" if bar_ticks.shape[0] == 0:\n",
|
||||
" continue # Skip this bar as there are no ticks\n",
|
||||
"\n",
|
||||
" # Calculate OHLCV values\n",
|
||||
" open_price = bar_ticks[0, 1] # open\n",
|
||||
" high_price = np.max(bar_ticks[:, 1]) # high\n",
|
||||
" low_price = np.min(bar_ticks[:, 1]) # low\n",
|
||||
" close_price = bar_ticks[-1, 1] # close\n",
|
||||
" volume = np.sum(bar_ticks[:, 2]) # volume\n",
|
||||
" bar_time = bar_start_time # timestamp for the bar\n",
|
||||
"\n",
|
||||
" bar_list.append([open_price, high_price, low_price, close_price, volume, bar_time])\n",
|
||||
"\n",
|
||||
" # Convert list to numpy array\n",
|
||||
" if bar_list:\n",
|
||||
" ohlcv = np.array(bar_list)\n",
|
||||
" else:\n",
|
||||
" ohlcv = np.empty((0, 6)) # return an empty array if no bars were created\n",
|
||||
"\n",
|
||||
" return ohlcv\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 40,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"<class 'pandas.core.frame.DataFrame'>\n",
|
||||
"DatetimeIndex: 190261 entries, 2024-04-22 13:30:00.267711+00:00 to 2024-04-22 19:59:59.987614+00:00\n",
|
||||
"Data columns (total 6 columns):\n",
|
||||
" # Column Non-Null Count Dtype \n",
|
||||
"--- ------ -------------- ----- \n",
|
||||
" 0 exchange 190261 non-null object \n",
|
||||
" 1 price 190261 non-null float64\n",
|
||||
" 2 size 190261 non-null float64\n",
|
||||
" 3 id 190261 non-null int64 \n",
|
||||
" 4 conditions 190261 non-null object \n",
|
||||
" 5 tape 190261 non-null object \n",
|
||||
"dtypes: float64(2), int64(1), object(3)\n",
|
||||
"memory usage: 10.2+ MB\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"df.info()"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 41,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"['C', 'O', '4', 'B', '7', 'V', 'P', 'W', 'U', 'Z', 'F']\n",
|
||||
"<class 'pandas.core.frame.DataFrame'>\n",
|
||||
"DatetimeIndex: 143751 entries, 2024-04-22 13:30:00.300501+00:00 to 2024-04-22 19:59:59.987614+00:00\n",
|
||||
"Data columns (total 6 columns):\n",
|
||||
" # Column Non-Null Count Dtype \n",
|
||||
"--- ------ -------------- ----- \n",
|
||||
" 0 exchange 143751 non-null object \n",
|
||||
" 1 price 143751 non-null float64\n",
|
||||
" 2 size 143751 non-null float64\n",
|
||||
" 3 id 143751 non-null int64 \n",
|
||||
" 4 conditions 143751 non-null object \n",
|
||||
" 5 tape 143751 non-null object \n",
|
||||
"dtypes: float64(2), int64(1), object(3)\n",
|
||||
"memory usage: 7.7+ MB\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/html": [
|
||||
"<div>\n",
|
||||
"<style scoped>\n",
|
||||
" .dataframe tbody tr th:only-of-type {\n",
|
||||
" vertical-align: middle;\n",
|
||||
" }\n",
|
||||
"\n",
|
||||
" .dataframe tbody tr th {\n",
|
||||
" vertical-align: top;\n",
|
||||
" }\n",
|
||||
"\n",
|
||||
" .dataframe thead th {\n",
|
||||
" text-align: right;\n",
|
||||
" }\n",
|
||||
"</style>\n",
|
||||
"<table border=\"1\" class=\"dataframe\">\n",
|
||||
" <thead>\n",
|
||||
" <tr style=\"text-align: right;\">\n",
|
||||
" <th></th>\n",
|
||||
" <th>exchange</th>\n",
|
||||
" <th>price</th>\n",
|
||||
" <th>size</th>\n",
|
||||
" <th>id</th>\n",
|
||||
" <th>conditions</th>\n",
|
||||
" <th>tape</th>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>timestamp</th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" <th></th>\n",
|
||||
" </tr>\n",
|
||||
" </thead>\n",
|
||||
" <tbody>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.300501+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241117014</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.305439+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241117496</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.314520+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241118034</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.335201+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241121369</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 13:30:00.346219+00:00</th>\n",
|
||||
" <td>D</td>\n",
|
||||
" <td>37.005</td>\n",
|
||||
" <td>1.0</td>\n",
|
||||
" <td>71675241122389</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>...</th>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" <td>...</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.902614+00:00</th>\n",
|
||||
" <td>V</td>\n",
|
||||
" <td>37.750</td>\n",
|
||||
" <td>1100.0</td>\n",
|
||||
" <td>56480705310575</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.977134+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.745</td>\n",
|
||||
" <td>300.0</td>\n",
|
||||
" <td>52983559963478</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.977137+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.740</td>\n",
|
||||
" <td>7300.0</td>\n",
|
||||
" <td>52983559963696</td>\n",
|
||||
" <td>[ ]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.978626+00:00</th>\n",
|
||||
" <td>V</td>\n",
|
||||
" <td>37.750</td>\n",
|
||||
" <td>16.0</td>\n",
|
||||
" <td>56480706886228</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" <tr>\n",
|
||||
" <th>2024-04-22 19:59:59.987614+00:00</th>\n",
|
||||
" <td>N</td>\n",
|
||||
" <td>37.745</td>\n",
|
||||
" <td>30.0</td>\n",
|
||||
" <td>52983559963958</td>\n",
|
||||
" <td>[ , I]</td>\n",
|
||||
" <td>A</td>\n",
|
||||
" </tr>\n",
|
||||
" </tbody>\n",
|
||||
"</table>\n",
|
||||
"<p>143751 rows × 6 columns</p>\n",
|
||||
"</div>"
|
||||
],
|
||||
"text/plain": [
|
||||
" exchange price size id \\\n",
|
||||
"timestamp \n",
|
||||
"2024-04-22 13:30:00.300501+00:00 D 37.005 1.0 71675241117014 \n",
|
||||
"2024-04-22 13:30:00.305439+00:00 D 37.005 1.0 71675241117496 \n",
|
||||
"2024-04-22 13:30:00.314520+00:00 D 37.005 1.0 71675241118034 \n",
|
||||
"2024-04-22 13:30:00.335201+00:00 D 37.005 1.0 71675241121369 \n",
|
||||
"2024-04-22 13:30:00.346219+00:00 D 37.005 1.0 71675241122389 \n",
|
||||
"... ... ... ... ... \n",
|
||||
"2024-04-22 19:59:59.902614+00:00 V 37.750 1100.0 56480705310575 \n",
|
||||
"2024-04-22 19:59:59.977134+00:00 N 37.745 300.0 52983559963478 \n",
|
||||
"2024-04-22 19:59:59.977137+00:00 N 37.740 7300.0 52983559963696 \n",
|
||||
"2024-04-22 19:59:59.978626+00:00 V 37.750 16.0 56480706886228 \n",
|
||||
"2024-04-22 19:59:59.987614+00:00 N 37.745 30.0 52983559963958 \n",
|
||||
"\n",
|
||||
" conditions tape \n",
|
||||
"timestamp \n",
|
||||
"2024-04-22 13:30:00.300501+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.305439+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.314520+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.335201+00:00 [ , I] A \n",
|
||||
"2024-04-22 13:30:00.346219+00:00 [ , I] A \n",
|
||||
"... ... ... \n",
|
||||
"2024-04-22 19:59:59.902614+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.977134+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.977137+00:00 [ ] A \n",
|
||||
"2024-04-22 19:59:59.978626+00:00 [ , I] A \n",
|
||||
"2024-04-22 19:59:59.987614+00:00 [ , I] A \n",
|
||||
"\n",
|
||||
"[143751 rows x 6 columns]"
|
||||
]
|
||||
},
|
||||
"execution_count": 41,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"excludes = cfh.config_handler.get_val('AGG_EXCLUDED_TRADES')\n",
|
||||
"print(excludes)\n",
|
||||
"#excludes = [\"F\", \"I\"]\n",
|
||||
"# FILTER EXCLUDED TRADES\n",
|
||||
"# Filter rows to exclude those where 'conditions' contains 'F' or 'I'\n",
|
||||
"# This simplifies the logic by directly using ~ (bitwise not operator) with np.isin\n",
|
||||
"df = df[~df['conditions'].apply(lambda x: np.isin(x, excludes).any())]"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 46,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
"name": "stderr",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"/var/folders/8p/dwqnp65s0s77jdbm4_6z4vp80000gn/T/ipykernel_52602/3341929382.py:2: DeprecationWarning: parsing timezone aware datetimes is deprecated; this will raise an error in the future\n",
|
||||
" structured_array = np.array(list(zip(df.index, df['price'], df['size'])),\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"name": "stdout",
|
||||
"output_type": "stream",
|
||||
"text": [
|
||||
"[('2024-04-22T13:30:00.300501000', 37.005, 1.0e+00)\n",
|
||||
" ('2024-04-22T13:30:00.305439000', 37.005, 1.0e+00)\n",
|
||||
" ('2024-04-22T13:30:00.314520000', 37.005, 1.0e+00) ...\n",
|
||||
" ('2024-04-22T19:59:59.977137000', 37.74 , 7.3e+03)\n",
|
||||
" ('2024-04-22T19:59:59.978626000', 37.75 , 1.6e+01)\n",
|
||||
" ('2024-04-22T19:59:59.987614000', 37.745, 3.0e+01)]\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"data": {
|
||||
"text/plain": [
|
||||
"array([('2024-04-22T13:30:00.300501000', 37.005, 1.0e+00),\n",
|
||||
" ('2024-04-22T13:30:00.305439000', 37.005, 1.0e+00),\n",
|
||||
" ('2024-04-22T13:30:00.314520000', 37.005, 1.0e+00), ...,\n",
|
||||
" ('2024-04-22T19:59:59.977137000', 37.74 , 7.3e+03),\n",
|
||||
" ('2024-04-22T19:59:59.978626000', 37.75 , 1.6e+01),\n",
|
||||
" ('2024-04-22T19:59:59.987614000', 37.745, 3.0e+01)],\n",
|
||||
" dtype=[('timestamp', '<M8[ns]'), ('price', '<f8'), ('size', '<f8')])"
|
||||
]
|
||||
},
|
||||
"execution_count": 46,
|
||||
"metadata": {},
|
||||
"output_type": "execute_result"
|
||||
}
|
||||
],
|
||||
"source": [
|
||||
"# Creating a structured array with the timestamp as the first element\n",
|
||||
"structured_array = np.array(list(zip(df.index, df['price'], df['size'])),\n",
|
||||
" dtype=[('timestamp', 'datetime64[ns]'), ('price', 'float'), ('size', 'float')])\n",
|
||||
"\n",
|
||||
"print(structured_array)\n",
|
||||
"structured_array\n",
|
||||
"\n",
|
||||
"# ticks = df[['index', 'price', 'size']].to_numpy()\n",
|
||||
"# # ticks[:, 0] = pd.to_datetime(ticks[:, 0]).astype('int64') // 1_000_000_000 # \n",
|
||||
"# ticks"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"resolution_seconds = 1 # 1 second resolution\n",
|
||||
"ohlcv_data = ohlcv_bars(structured_array, resolution_seconds)\n",
|
||||
"\n",
|
||||
"# Converting the result back to DataFrame for better usability\n",
|
||||
"ohlcv_df = pd.DataFrame(ohlcv_data, columns=['Open', 'High', 'Low', 'Close', 'Volume', 'Time'])\n",
|
||||
"ohlcv_df['Time'] = pd.to_datetime(ohlcv_df['Time'], unit='s') # Convert timestamps back to datetime\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"kernelspec": {
|
||||
"display_name": ".venv",
|
||||
"language": "python",
|
||||
"name": "python3"
|
||||
},
|
||||
"language_info": {
|
||||
"codemirror_mode": {
|
||||
"name": "ipython",
|
||||
"version": 3
|
||||
},
|
||||
"file_extension": ".py",
|
||||
"mimetype": "text/x-python",
|
||||
"name": "python",
|
||||
"nbconvert_exporter": "python",
|
||||
"pygments_lexer": "ipython3",
|
||||
"version": "3.10.11"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 2
|
||||
}
|
||||
@@ -0,0 +1,122 @@
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
from numba import jit
|
||||
from alpaca.data.historical import StockHistoricalDataClient
|
||||
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, DATA_DIR
|
||||
from alpaca.data.requests import StockTradesRequest
|
||||
import time
|
||||
from datetime import datetime
|
||||
from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, zoneNY, send_to_telegram, fetch_calendar_data
|
||||
import pyarrow
|
||||
|
||||
""""
|
||||
WIP - for later use
|
||||
|
||||
"""""
|
||||
|
||||
def fetch_stock_trades(symbol, start, end, max_retries=5, backoff_factor=1):
|
||||
"""
|
||||
Attempts to fetch stock trades with exponential backoff. Raises an exception if all retries fail.
|
||||
|
||||
:param symbol: The stock symbol to fetch trades for.
|
||||
:param start: The start time for the trade data.
|
||||
:param end: The end time for the trade data.
|
||||
:param max_retries: Maximum number of retries.
|
||||
:param backoff_factor: Factor to determine the next sleep time.
|
||||
:return: TradesResponse object.
|
||||
:raises: ConnectionError if all retries fail.
|
||||
"""
|
||||
client = StockHistoricalDataClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY)
|
||||
stockTradeRequest = StockTradesRequest(symbol_or_symbols=symbol, start=start, end=end)
|
||||
last_exception = None
|
||||
|
||||
for attempt in range(max_retries):
|
||||
try:
|
||||
tradesResponse = client.get_stock_trades(stockTradeRequest)
|
||||
print("Remote Fetch DAY DATA Complete", start, end)
|
||||
return tradesResponse
|
||||
except Exception as e:
|
||||
print(f"Attempt {attempt + 1} failed: {e}")
|
||||
last_exception = e
|
||||
time.sleep(backoff_factor * (2 ** attempt))
|
||||
|
||||
print("All attempts to fetch data failed.")
|
||||
raise ConnectionError(f"Failed to fetch stock trades after {max_retries} retries. Last exception: {str(last_exception)} and {format_exc()}")
|
||||
|
||||
|
||||
@jit(nopython=True)
|
||||
def ohlcv_bars(ticks, start_time, end_time, resolution):
|
||||
"""
|
||||
Generate OHLCV bars from tick data, skipping intervals without trading activity.
|
||||
|
||||
Parameters:
|
||||
- ticks: numpy array with columns [timestamp, price, size]
|
||||
- start_time: the start timestamp for bars (Unix timestamp)
|
||||
- end_time: the end timestamp for bars (Unix timestamp)
|
||||
- resolution: time resolution in seconds
|
||||
|
||||
Returns:
|
||||
- OHLCV bars as a numpy array
|
||||
"""
|
||||
num_bars = (end_time - start_time) // resolution + 1
|
||||
bar_list = []
|
||||
|
||||
for i in range(num_bars):
|
||||
bar_start_time = start_time + i * resolution
|
||||
bar_end_time = bar_start_time + resolution
|
||||
bar_ticks = ticks[(ticks[:, 0] >= bar_start_time) & (ticks[:, 0] < bar_end_time)]
|
||||
|
||||
if bar_ticks.shape[0] == 0:
|
||||
continue # Skip this bar as there are no ticks
|
||||
|
||||
# Calculate OHLCV values
|
||||
open_price = bar_ticks[0, 1] # open
|
||||
high_price = np.max(bar_ticks[:, 1]) # high
|
||||
low_price = np.min(bar_ticks[:, 1]) # low
|
||||
close_price = bar_ticks[-1, 1] # close
|
||||
volume = np.sum(bar_ticks[:, 2]) # volume
|
||||
bar_time = bar_start_time # timestamp for the bar
|
||||
|
||||
bar_list.append([open_price, high_price, low_price, close_price, volume, bar_time])
|
||||
|
||||
# Convert list to numpy array
|
||||
if bar_list:
|
||||
ohlcv = np.array(bar_list)
|
||||
else:
|
||||
ohlcv = np.empty((0, 6)) # return an empty array if no bars were created
|
||||
|
||||
return ohlcv
|
||||
|
||||
# Example usage
|
||||
if __name__ == '__main__':
|
||||
# symbol = ["BAC"]
|
||||
# #datetime in zoneNY
|
||||
# day_start = datetime(2024, 4, 22, 9, 30, 0)
|
||||
# day_stop = datetime(2024, 4, 22, 16, 00, 0)
|
||||
|
||||
# day_start = zoneNY.localize(day_start)
|
||||
# day_stop = zoneNY.localize(day_stop)
|
||||
|
||||
# tradesResponse = fetch_stock_trades(symbol, day_start, day_stop)
|
||||
|
||||
# df = tradesResponse.df
|
||||
# df.to_parquet('trades_bac.parquet', engine='pyarrow')
|
||||
|
||||
df=pd.read_parquet('trades_bac.parquet',engine='pyarrow')
|
||||
print(df)
|
||||
|
||||
#df = pd.read_csv('tick_data.csv') # DF with tick data
|
||||
# Assuming 'df' is your DataFrame with columns 'time', 'price', 'size', 'condition'
|
||||
exclude_conditions = ['ConditionA', 'ConditionB'] # Conditions to exclude
|
||||
df_filtered = df[~df['condition'].isin(exclude_conditions)]
|
||||
# Define your start and end times based on your trading session, ensure these are Unix timestamps
|
||||
start_time = pd.to_datetime('2023-01-01 09:30:00').timestamp()
|
||||
end_time = pd.to_datetime('2023-01-01 16:00:00').timestamp()
|
||||
ticks = df[['time', 'price', 'size']].to_numpy()
|
||||
ticks[:, 0] = pd.to_datetime(ticks[:, 0]).astype('int64') // 1_000_000_000 # Convert to Unix timestamp
|
||||
resolution_seconds = 1 # 1 second resolution
|
||||
ohlcv_data = ohlcv_bars(ticks, start_time, end_time, resolution_seconds)
|
||||
|
||||
# Converting the result back to DataFrame for better usability
|
||||
ohlcv_df = pd.DataFrame(ohlcv_data, columns=['Open', 'High', 'Low', 'Close', 'Volume', 'Time'])
|
||||
ohlcv_df['Time'] = pd.to_datetime(ohlcv_df['Time'], unit='s') # Convert timestamps back to datetime
|
||||
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
File diff suppressed because one or more lines are too long
Some files were not shown because too many files have changed in this diff Show More
Reference in New Issue
Block a user