dwker/v2realbot
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

strategy trade counter, gui shortcuts, better log

Browse Source
This commit is contained in:
David Brazda
2023-04-23 17:43:27 +02:00
parent a6e0ac987a
commit 83a7bb77da
16 changed files with 112 additions and 39 deletions
Download Patch File Download Diff File Expand all files Collapse all files

BIN
v2realbot/backtesting/__pycache__/backtester.cpython-310.pyc
View File

Binary file not shown.

30
v2realbot/backtesting/backtester.py
View File

@ -43,8 +43,8 @@ from v2realbot.common.model import TradeUpdate, Order
#from rich import print
import threading
import asyncio
from v2realbot.config import BT_DELAYS, DATA_DIR, FILL_CONDITION_BUY_LIMIT, FILL_CONDITION_SELL_LIMIT, FILL_LOG_SURROUNDING_TRADES, FILL_CONS_TRADES_REQUIRED
from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals,print
from v2realbot.config import BT_DELAYS, DATA_DIR, BT_FILL_CONDITION_BUY_LIMIT, BT_FILL_CONDITION_SELL_LIMIT, BT_FILL_LOG_SURROUNDING_TRADES, BT_FILL_CONS_TRADES_REQUIRED
from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals, print
from v2realbot.utils.tlog import tlog
from v2realbot.enums.enums import FillCondition
from datetime import datetime, timedelta
@ -194,7 +194,7 @@ class Backtester:
#TEST zkusime to nemazat, jak ovlivni performance
#Mazeme, jinak je to hruza
#nechavame na konci trady, které muzeme potrebovat pro consekutivni pravidlo
del self.btdata[0:index_end-2-FILL_CONS_TRADES_REQUIRED]
del self.btdata[0:index_end-2-BT_FILL_CONS_TRADES_REQUIRED]
#ic("after delete",len(self.btdata[0:index_end]))
if changes: return 1
@ -235,9 +235,9 @@ class Backtester:
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] <= o.limit_price
slow_fill_condition = i[1] < o.limit_price
if FILL_CONDITION_BUY_LIMIT == FillCondition.FAST:
if BT_FILL_CONDITION_BUY_LIMIT == FillCondition.FAST:
fill_condition = fast_fill_condition
elif FILL_CONDITION_BUY_LIMIT == FillCondition.SLOW:
elif BT_FILL_CONDITION_BUY_LIMIT == FillCondition.SLOW:
fill_condition = slow_fill_condition
else:
print("unknow fill condition")
@ -245,17 +245,17 @@ class Backtester:
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
consec_cnt += 1
if consec_cnt == FILL_CONS_TRADES_REQUIRED:
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
if BT_FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
print("FILL SURR TRADES: before",work_range[index-BT_FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: fill and after",work_range[index:index+BT_FILL_LOG_SURROUNDING_TRADES])
break
else:
consec_cnt = 0
@ -266,9 +266,9 @@ class Backtester:
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] >= o.limit_price
slow_fill_condition = i[1] > o.limit_price
if FILL_CONDITION_SELL_LIMIT == FillCondition.FAST:
if BT_FILL_CONDITION_SELL_LIMIT == FillCondition.FAST:
fill_condition = fast_fill_condition
elif FILL_CONDITION_SELL_LIMIT == FillCondition.SLOW:
elif BT_FILL_CONDITION_SELL_LIMIT == FillCondition.SLOW:
fill_condition = slow_fill_condition
else:
print("unknown fill condition")
@ -276,16 +276,16 @@ class Backtester:
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
consec_cnt += 1
if consec_cnt == FILL_CONS_TRADES_REQUIRED:
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
if BT_FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SELL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
print("FILL SELL SURR TRADES: before",work_range[index-BT_FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+BT_FILL_LOG_SURROUNDING_TRADES])
break
else:
consec_cnt = 0