enables day by day bt run, bt market premium+inds
This commit is contained in:
David Brazda
@ -6,20 +6,23 @@ 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, OrderSide
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from v2realbot.common.model import StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveDetail, RunArchiveChange, Bar, TradeEvent, TestList, Intervals, ConfigItem
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from v2realbot.common.model import RunDay, StrategyInstance, Runner, RunRequest, RunArchive, RunArchiveDetail, RunArchiveChange, Bar, TradeEvent, TestList, Intervals, ConfigItem
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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 v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeStatus, TradeStoplossType
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from datetime import datetime
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from threading import Thread, current_thread, Event, enumerate
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from v2realbot.config import STRATVARS_UNCHANGEABLES, 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
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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
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import importlib
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from alpaca.trading.requests import GetCalendarRequest
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from alpaca.trading.client import TradingClient
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#from alpaca.trading.models import Calendar
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from queue import Queue
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from tinydb import TinyDB, Query, where
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from tinydb.operations import set
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import json
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from numpy import ndarray
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#from rich import print
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from rich import print
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import pandas as pd
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from traceback import format_exc
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from datetime import timedelta, time
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@ -339,38 +342,93 @@ def get_testlist_byID(record_id: str):
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return 0, TestList(id=row[0], name=row[1], dates=json.loads(row[2]))
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##TADY JSEM SKONCIL PROJIT - dodelat nastavni timezone
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#nejspis vse v RunDays by melo byt jiz lokalizovano na zoneNY
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#zaroven nejak vymyslet, aby bt_from/to uz bylo lokalizovano
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#ted jsem dal natvrdo v main rest lokalizaci
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#ale odtrasovat,ze vse funguje (nefunguje)
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#volano pro batchove spousteni (BT,)
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def run_batch_stratin(id: UUID, runReq: RunRequest):
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#pozor toto je test interval id (batch id se pak generuje pro kazdy davkovy run tohoto intervalu)
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if runReq.test_batch_id is None:
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return (-1, "batch_id required for batch run")
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#pozor test_batch_id je test interval id (batch id se pak generuje pro kazdy davkovy run tohoto intervalu)
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if runReq.test_batch_id is None and (runReq.bt_from is None or runReq.bt_from.date() == runReq.bt_to.date()):
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return (-1, "test interval or different days required for batch run")
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if runReq.mode != Mode.BT:
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return (-1, "batch run only for backtest")
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print("request values:", runReq)
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#print("request values:", runReq)
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print("getting intervals")
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testlist: TestList
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#getting days to run into RunDays format
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if runReq.test_batch_id is not None:
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print("getting intervals days")
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testlist: TestList
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res, testlist = get_testlist_byID(record_id=runReq.test_batch_id)
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res, testlist = get_testlist_byID(record_id=runReq.test_batch_id)
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if res < 0:
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return (-1, f"not existing ID of testlists with {runReq.test_batch_id}")
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if res < 0:
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return (-1, f"not existing ID of testlists with {runReq.test_batch_id}")
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print("test interval:", testlist)
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cal_list = []
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#interval dame do formatu list(RunDays)
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#TODO do budoucna predelat Interval na RunDays a na zone aware datetime
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for intrvl in testlist.dates:
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start_time = zoneNY.localize(datetime.fromisoformat(intrvl.start))
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end_time = zoneNY.localize(datetime.fromisoformat(intrvl.end))
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cal_list.append(RunDay(start = start_time, end = end_time, note=intrvl.note, id=testlist.id))
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print(f"Getting intervals - RESULT: {cal_list}")
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#sem getting dates
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else:
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#getting dates from calendat
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clientTrading = TradingClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=False)
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if runReq.bt_to is None:
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runReq.bt_to = datetime.now().astimezone(zoneNY)
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calendar_request = GetCalendarRequest(start=runReq.bt_from,end=runReq.bt_to)
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cal_dates = clientTrading.get_calendar(calendar_request)
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#list(Calendar)
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# Calendar
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# date: date
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# open: datetime
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# close: datetime
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cal_list = []
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for day in cal_dates:
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start_time = zoneNY.localize(day.open)
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end_time = zoneNY.localize(day.close)
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#u prvni polozky
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if day == cal_dates[0]:
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#pokud je cas od od vetsi nez open marketu prvniho dne, pouzijeme tento pozdejis cas
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if runReq.bt_from > start_time:
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start_time = runReq.bt_from
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#u posledni polozky
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if day == cal_dates[-1]:
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#cas do, je pred openenem market, nedavame tento den
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if runReq.bt_to < start_time:
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continue
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#pokud koncovy cas neni do konce marketu, pouzijeme tento drivejsi namisto konce posledniho dne
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if runReq.bt_to < end_time:
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end_time = runReq.bt_to
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cal_list.append(RunDay(start = start_time, end = end_time))
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print(f"Getting interval dates from - to - RESULT: {cal_list}")
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#spousti se vlakno s paralelnim behem a vracime ok
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ridici_vlakno = Thread(target=batch_run_manager, args=(id, runReq, testlist), name=f"Batch run controll thread started.")
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ridici_vlakno = Thread(target=batch_run_manager, args=(id, runReq, cal_list), name=f"Batch run control thread started.")
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ridici_vlakno.start()
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print(enumerate())
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return 0, f"Batch run started"
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#thread, ktery bude ridit paralelni spousteni
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# bud ceka na dokonceni v runners nebo to bude ridit jinak a bude mit jednoho runnera?
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# nejak vymyslet.
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# logovani zatim jen do print
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def batch_run_manager(id: UUID, runReq: RunRequest, testlist: TestList):
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def batch_run_manager(id: UUID, runReq: RunRequest, rundays: list[RunDay]):
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#zde muzu iterovat nad intervaly
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#cekat az dobehne jeden interval a pak spustit druhy
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#pripadne naplanovat beh - to uvidim
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@ -379,30 +437,21 @@ def batch_run_manager(id: UUID, runReq: RunRequest, testlist: TestList):
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#mohl podporovat i BATCH RUNy.
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batch_id = str(uuid4())[:8]
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runReq.batch_id = batch_id
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print("Entering BATCH RUN MANAGER")
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print("generated batch_ID", batch_id)
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print("test batch", testlist)
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print("test date", testlist.dates)
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interval: Intervals
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cnt_max = len(testlist.dates)
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cnt_max = len(rundays)
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cnt = 0
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#promenna pro sdileni mezi runy jednotlivych batchů (např. daily profit)
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inter_batch_params = dict(batch_profit=0)
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note_from_run_request = runReq.note
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for intrvl in testlist.dates:
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for day in rundays:
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cnt += 1
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interval = intrvl
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if interval.note is not None:
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print("mame zde note")
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print("Datum od", interval.start)
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print("Datum do", interval.end)
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print("starting")
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#předání atributů datetime.fromisoformat
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runReq.bt_from = datetime.fromisoformat(interval.start)
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runReq.bt_to = datetime.fromisoformat(interval.end)
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runReq.note = f"Batch {batch_id} #{cnt}/{cnt_max} {testlist.name} N:{interval.note} {note_from_run_request}"
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print("Datum od", day.start)
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print("Datum do", day.end)
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runReq.bt_from = day.start
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runReq.bt_to = day.end
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runReq.note = f"Batch {batch_id} #{cnt}/{cnt_max} {day.name} N:{day.note} {note_from_run_request}"
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#protoze jsme v ridicim vlaknu, poustime za sebou jednotlive stratiny v synchronnim modu
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res, id_val = run_stratin(id=id, runReq=runReq, synchronous=True, inter_batch_params=inter_batch_params)
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@ -434,9 +483,9 @@ def run_stratin(id: UUID, runReq: RunRequest, synchronous: bool = False, inter_b
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return (-1, "stratvars invalid")
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res, adp = parse_toml_string(i.add_data_conf)
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if res < 0:
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return (-1, "add data conf invalid")
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print("jsme uvnitr")
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return (-1, "add data conf invalid")
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id = uuid4()
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print(f"RUN {id} INITIATED")
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name = i.name
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symbol = i.symbol
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open_rush = i.open_rush
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@ -1114,6 +1163,7 @@ def get_alpaca_history_bars(symbol: str, datetime_object_from: datetime, datetim
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#bars.data[symbol]
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return 0, result
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except Exception as e:
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print(str(e) + format_exc())
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return -2, str(e)
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# change_archived_runner
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