decomm ml, target algorithm a dalsi upravy
This commit is contained in:
David Brazda
@ -178,14 +178,30 @@ class TradeAggregator:
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# return
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# else: pass
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if self.rectype in (RecordType.BAR, RecordType.CBAR):
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return await self.calculate_time_bar(data, symbol)
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# if self.rectype in (RecordType.BAR, RecordType.CBAR):
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# return await self.calculate_time_bar(data, symbol)
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if self.rectype == RecordType.CBARVOLUME:
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return await self.calculate_volume_bar(data, symbol)
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# if self.rectype == RecordType.CBARVOLUME:
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# return await self.calculate_volume_bar(data, symbol)
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if self.rectype == RecordType.CBARRENKO:
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return await self.calculate_renko_bar(data, symbol)
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# if self.rectype == RecordType.CBARVOLUME:
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# return await self.calculate_volume_bar(data, symbol)
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# if self.rectype == RecordType.CBARRENKO:
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# return await self.calculate_renko_bar(data, symbol)
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match self.rectype:
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case RecordType.BAR | RecordType.CBAR:
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return await self.calculate_time_bar(data, symbol)
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case RecordType.CBARVOLUME:
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return await self.calculate_volume_bar(data, symbol)
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case RecordType.CBARDOLLAR:
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return await self.calculate_dollar_bar(data, symbol)
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case RecordType.CBARRENKO:
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return await self.calculate_renko_bar(data, symbol)
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async def calculate_time_bar(self, data, symbol):
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#print("barstart",datetime.fromtimestamp(self.bar_start))
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@ -551,6 +567,179 @@ class TradeAggregator:
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else:
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return []
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#WIP - revidovant kod a otestovat
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async def calculate_dollar_bar(self, data, symbol):
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""""
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Agreguje DOLLAR BARS -
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hlavni promenne
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- self.openedBar (dict) = stavová obsahují aktivní nepotvrzený bar
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- confirmedBars (list) = nestavová obsahuje confirmnute bary, které budou na konci funkceflushnuty
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"""""
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#volume_bucket = 10000 #daily MA volume z emackova na 30 deleno 50ti - dat do configu
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dollar_bucket = self.resolution
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#potvrzene pripravene k vraceni
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confirmedBars = []
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#potvrdi existujici a nastavi k vraceni
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def confirm_existing():
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self.openedBar['confirmed'] = 1
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self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
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self.vwaphelper = 0
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#ulozime zacatek potvrzeneho baru
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#self.lastBarConfirmed = self.openedBar['time']
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self.openedBar['updated'] = data['t']
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confirmedBars.append(deepcopy(self.openedBar))
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self.openedBar = None
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#TBD po každém potvrzení zvýšíme čas o nanosekundu (pro zobrazení v gui)
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#data['t'] = data['t'] + 0.000001
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#init unconfirmed - velikost bucketu kontrolovana predtim
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def initialize_unconfirmed(size):
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#inicializuji pro nový bar
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self.vwaphelper += (data['p'] * size)
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self.barindex +=1
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self.openedBar = {
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"close": data['p'],
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"high": data['p'],
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"low": data['p'],
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"open": data['p'],
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"volume": size,
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"trades": 1,
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"hlcc4": data['p'],
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"confirmed": 0,
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"time": datetime.fromtimestamp(data['t']),
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"updated": data['t'],
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"vwap": data['p'],
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"index": self.barindex,
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"resolution":dollar_bucket
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}
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def update_unconfirmed(size):
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#spočteme vwap - potřebujeme předchozí hodnoty
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self.vwaphelper += (data['p'] * size)
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self.openedBar['updated'] = data['t']
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self.openedBar['close'] = data['p']
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self.openedBar['high'] = max(self.openedBar['high'],data['p'])
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self.openedBar['low'] = min(self.openedBar['low'],data['p'])
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self.openedBar['volume'] = self.openedBar['volume'] + size
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self.openedBar['trades'] = self.openedBar['trades'] + 1
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self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
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#pohrat si s timto round
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self.openedBar['hlcc4'] = round((self.openedBar['high']+self.openedBar['low']+self.openedBar['close']+self.openedBar['close'])/4,3)
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#init new - confirmed
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def initialize_confirmed(size):
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#ulozime zacatek potvrzeneho baru
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#self.lastBarConfirmed = datetime.fromtimestamp(data['t'])
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self.barindex +=1
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confirmedBars.append({
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"close": data['p'],
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"high": data['p'],
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"low": data['p'],
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"open": data['p'],
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"volume": size,
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"trades": 1,
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"hlcc4":data['p'],
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"confirmed": 1,
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"time": datetime.fromtimestamp(data['t']),
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"updated": data['t'],
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"vwap": data['p'],
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"index": self.barindex,
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"resolution": dollar_bucket
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})
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#current trade dollar value
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trade_dollar_val = int(data['s'])*float(data['p'])
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#existuje stávající bar a vejdeme se do nej
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if self.openedBar is not None and trade_dollar_val + self.openedBar['volume']*self.openedBar['close'] < dollar_bucket:
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#vejdeme se do stávajícího baru (tzn. neprekracujeme bucket)
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update_unconfirmed(int(data['s']))
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#updatujeme stávající nepotvrzeny bar
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#nevejdem se do nej nebo neexistuje predchozi bar
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else:
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#1)existuje predchozi bar - doplnime zbytkem do valikosti bucketu a nastavime confirmed
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if self.openedBar is not None:
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#doplnime je zbytkem (v bucket left-je zbyvajici volume)
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opened_bar_dollar_val = self.openedBar['volume']*self.openedBar['close']
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bucket_left = int((dollar_bucket - opened_bar_dollar_val)/float(data['p']))
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# - update and confirm bar
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update_unconfirmed(bucket_left)
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confirm_existing()
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#zbytek mnozství jde do dalsiho zpracovani
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data['s'] = int(data['s']) - bucket_left
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#nastavime cas o nanosekundu vyssi
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data['t'] = round((data['t']) + 0.000001,6)
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#2 vytvarime novy bar (bary) a vejdeme se do nej
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if int(data['s'])*float(data['p']) < dollar_bucket:
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#vytvarime novy nepotvrzeny bar
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initialize_unconfirmed(int(data['s']))
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#nevejdeme se do nej - pak vytvarime 1 až N dalsich baru (posledni nepotvrzený)
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else:
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# >>> for i in range(0, 550, 500):
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# ... print(i)
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# ...
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# 0
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# 500
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#vytvarime plne potvrzene buckety (kolik se jich plne vejde)
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for size in range(int(dollar_bucket/float(data['p'])), int(data['s']), int(dollar_bucket/float(data['p']))):
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initialize_confirmed(dollar_bucket/float(data['p']))
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#nastavime cas o nanosekundu vyssi
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data['t'] = round((data['t']) + 0.000001,6)
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#create complete full bucket with same prices and size
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#naplnit do return pole
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#pokud je zbytek vytvorime z nej nepotvrzeny bar
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zbytek = int(data['s'])*float(data['p']) % dollar_bucket
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#ze zbytku vytvorime nepotvrzeny bar
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if zbytek > 0:
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#prevedeme zpatky na volume
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zbytek = int(zbytek/float(data['p']))
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initialize_unconfirmed(zbytek)
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#create new open bar with size zbytek s otevrenym
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#je cena stejna od predchoziho tradu? pro nepotvrzeny cbar vracime jen pri zmene ceny
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if self.last_price == data['p']:
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self.diff_price = False
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else:
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self.diff_price = True
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self.last_price = data['p']
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if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
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self.trades_too_close = True
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else:
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self.trades_too_close = False
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#uložíme do předchozí hodnoty (poznáme tak open a close)
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self.lasttimestamp = data['t']
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self.iterace += 1
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# print(self.iterace, data)
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#pokud mame confirm bary, tak FLUSHNEME confirm a i případný open (zrejme se pak nejaky vytvoril)
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if len(confirmedBars) > 0:
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return_set = confirmedBars + ([self.openedBar] if self.openedBar is not None else [])
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confirmedBars = []
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return return_set
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#nemame confirm, FLUSHUJEME CBARVOLUME open - neresime zmenu ceny, ale neposilame kulomet (pokud nam nevytvari conf. bar)
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if self.openedBar is not None and self.rectype == RecordType.CBARDOLLAR:
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#zkousime pustit i stejnou cenu(potrebujeme kvuli MYSELLU), ale blokoval kulomet,tzn. trady mensi nez GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN (1ms)
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#if self.diff_price is True:
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if self.trades_too_close is False:
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return [self.openedBar]
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else:
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return []
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else:
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return []
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async def calculate_renko_bar(self, data, symbol):
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""""
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Agreguje RENKO BARS - dle brick size
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