aktaulni updates
This commit is contained in:
David Brazda
@ -5,8 +5,8 @@ from alpaca.data.historical import StockHistoricalDataClient
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from alpaca.data.requests import StockTradesRequest, StockBarsRequest
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from alpaca.data.enums import DataFeed
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from alpaca.data.timeframe import TimeFrame
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from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account
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from v2realbot.common.model import StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveDetail, RunArchiveChange, Bar
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from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, OrderSide
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from v2realbot.common.model import StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveDetail, RunArchiveChange, Bar, TradeEvent
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from v2realbot.utils.utils import AttributeDict, zoneNY, dict_replace_value, Store, parse_toml_string, json_serial, is_open_hours, send_to_telegram
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from v2realbot.utils.ilog import delete_logs
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from datetime import datetime
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@ -416,50 +416,48 @@ def get_trade_history(symbol: str, timestamp_from: float, timestamp_to:float):
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except Exception as e:
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return (-2, f"problem {e}")
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def populate_metrics_output_directory(strat: StrategyInstance):
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"""
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WIP
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Spocte zakladni metriky pred ulozenim do archivu
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1) zatim jen max pozice
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"""
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#open_orders to dataset
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oo_dict = AttributeDict(orderid=[],submitted_at=[],symbol=[],side=[],order_type=[],qty=[],limit_price=[],status=[])
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for t in strat.open_orders:
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oo_dict.orderid.append(str(t.id))
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oo_dict.submitted_at.append(t.submitted_at)
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oo_dict.symbol.append(t.symbol)
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oo_dict.side.append(t.side)
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oo_dict.qty.append(t.qty)
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oo_dict.order_type.append(t.order_type)
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oo_dict.limit_price.append(t.limit_price)
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oo_dict.status.append(t.status)
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open_orders_df = pd.DataFrame(oo_dict)
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open_orders_df = open_orders_df.set_index('submitted_at', drop=False)
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tradeList = strat.state.tradeList
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#trades to dataset
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trade_dict = AttributeDict(orderid=[],timestamp=[],symbol=[],side=[],order_type=[],qty=[],price=[],position_qty=[],value=[],cash=[],pos_avg_price=[])
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for t in strat.trades:
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trade_dict.orderid.append(str(t.order.id))
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trade_dict.timestamp.append(t.timestamp)
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trade_dict.symbol.append(t.order.symbol)
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trade_dict.side.append(t.order.side)
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trade_dict.qty.append(t.qty)
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trade_dict.price.append(t.price)
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trade_dict.position_qty.append(t.position_qty)
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trade_dict.value.append(t.value)
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trade_dict.cash.append(t.cash)
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trade_dict.order_type.append(t.order.order_type)
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trade_dict.pos_avg_price.append(t.pos_avg_price)
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for t in tradeList:
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if t.event == TradeEvent.FILL:
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trade_dict.orderid.append(str(t.order.id))
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trade_dict.timestamp.append(t.timestamp)
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trade_dict.symbol.append(t.order.symbol)
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trade_dict.side.append(t.order.side)
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trade_dict.qty.append(t.qty)
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trade_dict.price.append(t.price)
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trade_dict.position_qty.append(t.position_qty)
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trade_dict.value.append(t.value)
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trade_dict.cash.append(t.cash)
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trade_dict.order_type.append(t.order.order_type)
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trade_dict.pos_avg_price.append(t.pos_avg_price)
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trade_df = pd.DataFrame(trade_dict)
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trade_df = trade_df.set_index('timestamp',drop=False)
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#max positions- tzn. count max quantity ze sell fill orderu
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#nepocita otevrene objednavky
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max_positions = trade_df.groupby('side')['qty'].value_counts().reset_index(name='count').sort_values(['qty'], ascending=False)
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max_positions = max_positions[max_positions['side'] == OrderSide.SELL]
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max_positions = max_positions.drop(columns=['side'], axis=1)
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#filt = max_positions['side'] == 'OrderSide.BUY'
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res = dict(zip(max_positions['qty'], max_positions['count']))
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return res
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#archives runner and details
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def archive_runner(runner: Runner, strat: StrategyInstance):
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#results_metrics = dict()
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results_metrics = dict()
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print("inside archive_runner")
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try:
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if strat.bt is not None:
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@ -481,8 +479,8 @@ def archive_runner(runner: Runner, strat: StrategyInstance):
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#populate result metrics dictionary (max drawdown etc.)
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#list of maximum positions (2000 2x, 1800 x 1, 900 x 1, 100 x 20)
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#list of most profitable trades (pos,avgp + cena)
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#nejspis prevedeni na dataset a report nad datasetem
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#results_metrics = populate_metrics(strat)
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#file pro vyvoj: ouptut_metriky_tradeList.py
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results_metrics = populate_metrics_output_directory(strat)
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runArchive: RunArchive = RunArchive(id = runner.id,
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strat_id = runner.strat_id,
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@ -503,7 +501,7 @@ def archive_runner(runner: Runner, strat: StrategyInstance):
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trade_count=len(strat.state.tradeList),
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end_positions=strat.state.positions,
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end_positions_avgp=round(float(strat.state.avgp),3),
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open_orders=9999
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open_orders=results_metrics
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)
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#flatten indicators from numpy array
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