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

sizing, progressionbar,reporting basics

Browse Source
This commit is contained in:
David Brazda
2023-11-20 17:55:55 +01:00
parent 520b1a9a8f
commit 67d34481c6
19 changed files with 1032 additions and 54 deletions
Download Patch File Download Diff File Expand all files Collapse all files

143
v2realbot/controller/services.py
View File

@ -13,7 +13,7 @@ from v2realbot.utils.ilog import delete_logs
from v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeStatus, TradeStoplossType
from datetime import datetime
from threading import Thread, current_thread, Event, enumerate
from v2realbot.config import STRATVARS_UNCHANGEABLES, ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, DATA_DIR,BT_FILL_CONS_TRADES_REQUIRED,BT_FILL_LOG_SURROUNDING_TRADES,BT_FILL_CONDITION_BUY_LIMIT,BT_FILL_CONDITION_SELL_LIMIT, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN
from v2realbot.config import STRATVARS_UNCHANGEABLES, ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, ACCOUNT1_LIVE_API_KEY, ACCOUNT1_LIVE_SECRET_KEY, DATA_DIR,BT_FILL_CONS_TRADES_REQUIRED,BT_FILL_LOG_SURROUNDING_TRADES,BT_FILL_CONDITION_BUY_LIMIT,BT_FILL_CONDITION_SELL_LIMIT, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, MEDIA_DIRECTORY
import importlib
from alpaca.trading.requests import GetCalendarRequest
from alpaca.trading.client import TradingClient
@ -35,6 +35,8 @@ import v2realbot.strategyblocks.indicators.custom as ci
from v2realbot.strategyblocks.inits.init_indicators import initialize_dynamic_indicators
from v2realbot.strategyblocks.indicators.indicators_hub import populate_dynamic_indicators
from v2realbot.interfaces.backtest_interface import BacktestInterface
import os
from v2realbot.reporting.metricstoolsimage import generate_trading_report_image
#from pyinstrument import Profiler
#adding lock to ensure thread safety of TinyDB (in future will be migrated to proper db)
@ -332,6 +334,12 @@ def capsule(target: object, db: object, inter_batch_params: dict = None):
archive_runner(runner=i, strat=target, inter_batch_params=inter_batch_params)
#mazeme runner po skonceni instance
db.runners.remove(i)
#vytvoreni report image pro RUNNER
try:
generate_trading_report_image(runner_ids=[str(i.id)])
print("DAILY REPORT IMAGE CREATED")
except Exception as e:
print("Nepodarilo se vytvorit report image", str(e)+format_exc())
print("Runner STOPPED")
@ -500,6 +508,13 @@ def batch_run_manager(id: UUID, runReq: RunRequest, rundays: list[RunDay]):
#i.history += str(runner.__dict__)+"<BR>"
db.save()
#vytvoreni report image pro batch
try:
generate_trading_report_image(batch_id=batch_id)
print("BATCH REPORT IMAGE CREATED")
except Exception as e:
print("Nepodarilo se vytvorit report image", str(e)+format_exc())
#stratin run
def run_stratin(id: UUID, runReq: RunRequest, synchronous: bool = False, inter_batch_params: dict = None):
if runReq.mode == Mode.BT:
@ -676,12 +691,6 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
res["profit"]["batch_sum_profit"] = int(inter_batch_params["batch_profit"])
res["profit"]["batch_sum_rel_profit"] = inter_batch_params["batch_rel_profit"]
#rel_profit zprumerovane
res["profit"]["daily_rel_profit_avg"] = float(np.sum(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#rel_profit rozepsane zisky
res["profit"]["daily_rel_profit_list"] = strat.state.rel_profit_cum
#metrikz z prescribedTrades, pokud existuji
try:
long_profit = 0
@ -696,39 +705,53 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
max_loss_time = None
long_cnt = 0
short_cnt = 0
sum_wins_profit= 0
sum_loss = 0
if "prescribedTrades" in strat.state.vars:
for trade in strat.state.vars.prescribedTrades:
if trade.profit_sum < max_loss:
max_loss = trade.profit_sum
max_loss_time = trade.last_update
if trade.profit_sum > max_profit:
max_profit = trade.profit_sum
max_profit_time = trade.last_update
if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.LONG:
long_cnt += 1
if trade.profit is not None:
long_profit += trade.profit
if trade.profit < 0:
long_losses += trade.profit
if trade.profit > 0:
long_wins += trade.profit
if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.SHORT:
short_cnt +=1
if trade.profit is not None:
short_profit += trade.profit
if trade.profit < 0:
short_losses += trade.profit
if trade.profit > 0:
short_wins += trade.profit
if trade.status == TradeStatus.CLOSED:
if trade.profit_sum < max_loss:
max_loss = trade.profit_sum
max_loss_time = trade.last_update
if trade.profit_sum > max_profit:
max_profit = trade.profit_sum
max_profit_time = trade.last_update
if trade.direction == TradeDirection.LONG:
long_cnt += 1
if trade.profit is not None:
long_profit += trade.profit
if trade.profit < 0:
long_losses += trade.profit
if trade.profit > 0:
long_wins += trade.profit
if trade.direction == TradeDirection.SHORT:
short_cnt +=1
if trade.profit is not None:
short_profit += trade.profit
if trade.profit < 0:
short_losses += trade.profit
if trade.profit > 0:
short_wins += trade.profit
sum_wins = long_wins + short_wins
sum_losses = long_losses + short_losses
#toto nejak narovnat, mozna diskutovat s Martinem nebo s Vercou
#zatim to neukazuje moc jasne - poznámka: ztráta by měla být jenom negativní profit, nikoliv nová veličina
#jediná vyjímka je u max.kumulativní ztráty (drawdown)
res["profit"]["sum_wins"] = sum_wins
res["profit"]["sum_losses"] = sum_losses
res["profit"]["long_cnt"] = long_cnt
res["profit"]["short_cnt"] = short_cnt
res["profit"]["short_cnt"] = short_cnt
#celkovy profit za long/short
res["profit"]["long_profit"] = round(long_profit,2)
res["profit"]["short_profit"] = round(short_profit,2)
res["profit"]["max_profit"] = round(max_profit,2)
res["profit"]["max_profit_time"] = str(max_profit_time)
res["profit"]["max_loss"] = round(max_loss,2)
res["profit"]["max_loss_time"] = str(max_loss_time)
#maximalni kumulativni profit (tzn. peaky profitu)
res["profit"]["max_profit_cum"] = round(max_profit,2)
res["profit"]["max_profit_cum_time"] = str(max_profit_time)
#maximalni kumulativni ztrata (tzn. peaky v lossu)
res["profit"]["max_loss_cum"] = round(max_loss,2)
res["profit"]["max_loss_time_cum"] = str(max_loss_time)
res["profit"]["long_wins"] = round(long_wins,2)
res["profit"]["long_losses"] = round(long_losses,2)
res["profit"]["short_wins"] = round(short_wins,2)
@ -739,7 +762,13 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
rp_string = "RP" + str(float(np.sum(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 + rp_string + " "+str(strat.state.rel_profit_cum)
res["profit"]["sum"]="P"+str(int(sum_wins))+"L"+str(int(sum_losses))+" "+"MCP"+str(int(max_profit))+"MCL(DD)"+str(int(max_loss))+" "+ mpt_string+" " + mlt_string + rp_string + " "+str(strat.state.rel_profit_cum)
#rel_profit zprumerovane
res["profit"]["daily_rel_profit_sum"] = float(np.sum(strat.state.rel_profit_cum)) if len(strat.state.rel_profit_cum) > 0 else 0
#rel_profit rozepsane zisky
res["profit"]["daily_rel_profit_list"] = strat.state.rel_profit_cum
#vlozeni celeho listu
res["prescr_trades"]=json.loads(json.dumps(strat.state.vars.prescribedTrades, default=json_serial))
@ -1007,6 +1036,25 @@ def edit_archived_runners(runner_id: UUID, archChange: RunArchiveChange):
print(errmsg)
return -2, errmsg
def delete_report_files(id):
#ZATIM MAME JEN BASIC
#delete report images
image_file_name = f"{id}.png"
image_path = str(MEDIA_DIRECTORY / "basic" / image_file_name)
try:
if os.path.exists(image_path):
os.remove(image_path)
print(f"File {image_path} has been deleted.")
return (0, "deleted")
else:
print(f"No File {image_path} found to delte.")
return (1, "not found")
except Exception as e:
print(f"An error occurred while deleting the file: {e}")
return (-1, str(e))
#delete runner in archive and archive detail and runner logs
#predelano do JEDNE TRANSAKCE
def delete_archived_runners_byIDs(ids: list[UUID]):
@ -1016,6 +1064,19 @@ def delete_archived_runners_byIDs(ids: list[UUID]):
for id in ids:
c = conn.cursor()
print(str(id))
# Get batch_id for the current runner_id
c.execute("SELECT batch_id FROM runner_header WHERE runner_id = ?", (str(id),))
batch_id = c.fetchone()
if batch_id:
batch_id = batch_id[0]
# Check if this is the last record with the given batch_id
c.execute("SELECT COUNT(*) FROM runner_header WHERE batch_id = ?", (batch_id,))
count = c.fetchone()[0]
if count == 1:
# If it's the last record, call delete_report_files
delete_report_files(batch_id)
resh = c.execute(f"DELETE from runner_header WHERE runner_id='{str(id)}';")
print("header deleted",resh.rowcount)
resd = c.execute(f"DELETE from runner_detail WHERE runner_id='{str(id)}';")
@ -1025,6 +1086,9 @@ def delete_archived_runners_byIDs(ids: list[UUID]):
out.append(str(id) + ": " + str(resh.rowcount) + " " + str(resd.rowcount) + " " + str(resl.rowcount))
conn.commit()
print("commit")
delete_report_files(id)
# if resh.rowcount == 0 or resd.rowcount == 0:
# return -1, "not found "+str(resh.rowcount) + " " + str(resd.rowcount) + " " + str(resl.rowcount)
return 0, out
@ -1044,6 +1108,15 @@ def delete_archive_header_byID(id: UUID):
res = execute_with_retry(c,statement)
conn.commit()
print("deleted", res.rowcount)
#delete report images
image_file_name = f"report_{id}.png"
image_path = str(MEDIA_DIRECTORY / image_file_name)
try:
if os.path.exists(image_path):
os.remove(image_path)
print(f"File {image_path} has been deleted.")
except Exception as e:
print(f"An error occurred while deleting the file: {e}")
finally:
pool.release_connection(conn)
return res.rowcount