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mintrade delta pro kulomet,slowscope,strvrs enhncm

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This commit is contained in:
David Brazda
2023-06-20 15:21:21 +02:00
parent 5fd6da7f59
commit 8004dc4b4c
17 changed files with 1007 additions and 187 deletions
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19
v2realbot/loader/aggregator.py
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@ -11,7 +11,7 @@ import threading
from copy import deepcopy
from msgpack import unpackb
import os
from config import DATA_DIR
from config import DATA_DIR, AGG_MIN_TRADE_DELTA
class TradeAggregator:
def __init__(self,
@ -66,6 +66,7 @@ class TradeAggregator:
self.barindex = 1
self.diff_price = True
self.preconfBar = {}
self.trades_too_close = False
async def ingest_trade(self, indata, symbol):
"""
@ -244,6 +245,11 @@ class TradeAggregator:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < AGG_MIN_TRADE_DELTA:
self.trades_too_close = True
else:
self.trades_too_close = False
#spočteme vwap - potřebujeme předchozí hodnoty
self.vwaphelper += (data['p'] * data['s'])
self.newBar['updated'] = data['t']
@ -333,7 +339,16 @@ class TradeAggregator:
#print(self.newBar)
#pro (nepotvrzeny) cbar vracime jen pri zmene ceny
if self.diff_price is True:
#nevracime pokud predchozi timestamp a novy od sebe nema alespon 1 ms (vyhneme se kulometum)
#127788.123000 127788.124000 (rozdil 0.001)
#zkousime pustit i stejnou cenu(potrebujeme kvuli MYSELLU), ale blokoval kulomet,tzn. trady mensi nez AGG_MIN_TRADE_DELTA (1ms)
#if self.diff_price is True:
#pripadne jeste vratit jako subpodminkiu
if self.trades_too_close is False:
return [self.newBar]
else:
return []