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partial fills profit bugfix

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This commit is contained in:
David Brazda
2023-10-10 18:14:40 +02:00
parent 3810fbe87b
commit 793c776d45
2 changed files with 49 additions and 8 deletions
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56
v2realbot/strategy/StrategyClassicSL.py
View File

@ -73,17 +73,31 @@ class StrategyClassicSL(Strategy):
if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
#pokud jde o fill pred kterym je partail, muze se stat, ze uz budou vynulovany pozice, toto je pojistka
#jde o uzavření short pozice - počítáme PROFIT
if int(self.state.positions) < 0:
if int(self.state.positions) < 0 or (int(self.state.positions) == 0 and self.state.wait_for_fill is not None):
if data.event == TradeEvent.PARTIAL_FILL and self.state.wait_for_fill is None:
#timto si oznacime, ze po partialu s vlivem na PROFIT musime cekat na FILL a zaroven ukladame prum cenu, kterou potrebujeme na vypocet profitu u fillu
self.state.wait_for_fill = float(self.state.avgp)
#PROFIT pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
bought_amount = data.qty * data.price
#podle prumerne ceny, kolik stalo toto mnozstvi
avg_costs = float(self.state.avgp) * float(data.qty)
#podle prumerne vstupni ceny, kolik stalo toto mnozstvi
if float(self.state.avgp) > 0:
vstup_cena = float(self.state.avgp)
elif float(self.state.avgp) == 0 and self.state.wait_for_fill is not None:
vstup_cena = float(self.state.wait_for_fill)
else:
vstup_cena = 0
avg_costs = vstup_cena * float(data.qty)
if avg_costs == 0:
self.state.ilog(e="ERR: Nemame naklady na PROFIT, AVGP je nula. Zaznamenano jako 0", msg="naklady=utrzena cena. TBD opravit.")
avg_costs = bought_amount
trade_profit = round((avg_costs-bought_amount),2)
self.state.profit += trade_profit
self.state.ilog(e=f"BUY notif - SHORT PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)}", msg=str(data.event), bought_amount=bought_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
@ -93,11 +107,16 @@ class StrategyClassicSL(Strategy):
if trade.id == self.state.vars.pending:
trade.last_update = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
trade.profit += trade_profit
#pro ulozeni do tradeData scitame vsechen zisk z tohoto tradu (kvuli partialum)
trade_profit = trade.profit
trade.profit_sum = self.state.profit
signal_name = trade.generated_by
break
if data.event == TradeEvent.FILL:
#zapsat update profitu do tradeList
#mazeme self.state.
self.state.wait_for_fill = None
#zapsat update profitu do tradeList
for tradeData in self.state.tradeList:
if tradeData.execution_id == data.execution_id:
#pridat jako attribut, aby proslo i na LIVE a PAPPER, kde se bere TradeUpdate z Alpaca
@ -144,15 +163,31 @@ class StrategyClassicSL(Strategy):
async def orderUpdateSell(self, data: TradeUpdate):
self.state.ilog(e="Příchozí SELL notif", msg=data.order.status, trade=json.loads(json.dumps(data, default=json_serial)))
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
#jde o uzavření long pozice - počítáme PROFIT
if int(self.state.positions) > 0:
#pokud jde o fill pred kterym je partail, muze se stat, ze uz budou vynulovany pozice, toto je pojistka
#jde o uzavření long pozice - počítáme PROFIT
if int(self.state.positions) > 0 or (int(self.state.positions) == 0 and self.state.wait_for_fill is not None):
if data.event == TradeEvent.PARTIAL_FILL and self.state.wait_for_fill is None:
#timto si oznacime, ze po partialu s vlivem na PROFIT musime cekat na FILL a zaroven ukladame prum cenu, kterou potrebujeme na vypocet profitu u fillu
self.state.wait_for_fill = float(self.state.avgp)
#PROFIT pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
sold_amount = data.qty * data.price
if float(self.state.avgp) > 0:
vstup_cena = float(self.state.avgp)
elif float(self.state.avgp) == 0 and self.state.wait_for_fill is not None:
vstup_cena = float(self.state.wait_for_fill)
else:
vstup_cena = 0
#podle prumerne ceny, kolik stalo toto mnozstvi
avg_costs = float(self.state.avgp) * float(data.qty)
avg_costs = vstup_cena * float(data.qty)
if avg_costs == 0:
self.state.ilog(e="ERR: Nemame naklady na PROFIT, AVGP je nula. Zaznamenano jako 0", msg="naklady=utrzena cena. TBD opravit.")
avg_costs = sold_amount
@ -166,10 +201,15 @@ class StrategyClassicSL(Strategy):
if trade.id == self.state.vars.pending:
trade.last_update = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
trade.profit += trade_profit
#pro ulozeni do tradeData scitame vsechen zisk z tohoto tradu (kvuli partialum)
trade_profit = trade.profit
trade.profit_sum = self.state.profit
signal_name = trade.generated_by
break
if data.event == TradeEvent.FILL:
#mazeme self.state.
self.state.wait_for_fill = None
#zapsat update profitu do tradeList
for tradeData in self.state.tradeList:
if tradeData.execution_id == data.execution_id:

1
v2realbot/strategy/base.py
View File

@ -708,6 +708,7 @@ class StrategyState:
#nova promenna pro externi data do ArchiveDetaili, napr. pro zobrazeni v grafu, je zde např. SL history
self.extData = {}
self.mode = None
self.wait_for_fill = None
def ilog(self, e: str = None, msg: str = None, lvl: int = 1, **kwargs):
if lvl < ILOG_SAVE_LEVEL_FROM: