strategy trade counter, gui shortcuts, better log

v2realbot/ENTRY_backtest_strategyVykladaci.py

@@ -4,7 +4,7 @@ from v2realbot.strategy.base import StrategyState
 from v2realbot.strategy.StrategyOrderLimitVykladaci import StrategyOrderLimitVykladaci
 from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, OrderSide
 from v2realbot.indicators.indicators import ema
-from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, dict_replace_value, print
+from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, dict_replace_value, print, safe_get
 from datetime import datetime
 from icecream import install, ic
 #from rich import print
@@ -51,6 +51,7 @@ stratvars = AttributeDict(maxpozic = 400,
                           slope_lookback = 300,
                           lookback_offset = 20,
                           minimum_slope = -0.05,
+                          first_buy_market = False
                           )
 ##toto rozparsovat a strategii spustit stejne jako v main
 toml_string = """
@@ -129,7 +130,12 @@ def next(data, state: StrategyState):
         price = last_price
         state.ilog(e="BUY Vykladame", msg="first price"+str(price) + "pozic:"+str(vykladka), curve=curve, ema=state.indicators.ema[-1], trend=state.vars.Trend, price=price, vykladka=vykladka)
         ##prvni se vyklada na aktualni cenu, další jdou podle krivky, nula v krivce zvyšuje množství pro následující iteraci
-        state.buy_l(price=price, size=qty)
+        
+        ##VAR - na zaklade conf. muzeme jako prvni posilat MARKET
+        if safe_get(state.vars, "first_buy_market") == True:
+            state.buy(size=qty)
+        else:
+            state.buy_l(price=price, size=qty)
         print("prvni limitka na aktuální cenu. Další podle křivky", price, qty)
         for i in range(0,vykladka-1):
             price = price2dec(float(price - curve[i]))

v2realbot/backtesting/backtester.py

@@ -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.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.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: before",work_range[index-BT_FILL_LOG_SURROUNDING_TRADES:index])
-                                print("FILL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
+                                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: before",work_range[index-BT_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: fill and after",work_range[index:index+BT_FILL_LOG_SURROUNDING_TRADES])
                             break
                     else:
                         consec_cnt = 0

v2realbot/config.py

@@ -3,21 +3,21 @@ from v2realbot.enums.enums import Mode, Account, FillCondition
 from appdirs import user_data_dir
 
 
-#how many consecutive trades with the fill price are necessary for LIMIT fill to happen()
+#how many consecutive trades with the fill price are necessary for LIMIT fill to happen in backtesting
 #0 - optimistic, every knot high will fill the order
 #N - N consecutive trades required
 #not impl.yet
 #minimum is 1
-FILL_CONS_TRADES_REQUIRED = 2
+BT_FILL_CONS_TRADES_REQUIRED = 2
-#during trade execution logs X-surrounding trades of the one that triggers the fill
+#during bt trade execution logs X-surrounding trades of the one that triggers the fill
-FILL_LOG_SURROUNDING_TRADES = 10
+BT_FILL_LOG_SURROUNDING_TRADES = 10
-#fill condition for limit order
+#fill condition for limit order in bt
 # fast - price has to be equal or bigger <=
 # slow - price has to be bigger <
-FILL_CONDITION_BUY_LIMIT = FillCondition.FAST
+BT_FILL_CONDITION_BUY_LIMIT = FillCondition.FAST
-FILL_CONDITION_SELL_LIMIT = FillCondition.FAST
+BT_FILL_CONDITION_SELL_LIMIT = FillCondition.FAST
 #no print in console
-QUIET_MODE = False
+QUIET_MODE = True
 #backend counter of api requests
 COUNT_API_REQUESTS = False
 #stratvars that cannot be changed in gui

v2realbot/controller/services.py

@@ -222,12 +222,13 @@ def save_history(id: UUID, st: object, runner: Runner, reason: str = None):
     #zkousime precist profit z objektu
     try:
         profit = st.state.profit
+        trade_count = len(st.tradeList)
     except Exception as e:
         profit = str(e)
     
     for i in db.stratins:
         if str(i.id) == str(id):
-            i.history += "START:"+str(runner.run_started)+"STOP:"+str(runner.run_stopped)+"ACC:"+runner.run_account.value+"M:"+runner.run_mode.value+"PROFIT:"+str(profit)+ "REASON:" + str(reason)
+            i.history += "START:"+str(runner.run_started)+"STOP:"+str(runner.run_stopped)+"ACC:"+runner.run_account.value+"M:"+runner.run_mode.value+"PROFIT:"+str(round(profit,2))+ "TradeCNT:"+str(trade_count) + "REASON:" + str(reason)
             #i.history += str(runner.__dict__)+"<BR>"
             db.save()
  

v2realbot/static/index.html

@@ -12,6 +12,7 @@
         <link href="https://cdn.datatables.net/1.13.4/css/jquery.dataTables.min.css" rel="stylesheet">
         <script src="/static/js/jquery.dataTables.min.js"></script>
         <link rel="stylesheet" href="/static/main.css">
+        <script src="https://cdnjs.cloudflare.com/ajax/libs/mousetrap/1.4.6/mousetrap.min.js"></script>
     </head>
     <body>
         <div id="main" class="mainConteiner flex-container">

v2realbot/static/js/mytables.js

@@ -1,6 +1,35 @@
 
 API_KEY = localStorage.getItem("api-key")
 
+//KEY shortcuts
+Mousetrap.bind('e', function() { 
+    $( "#button_edit" ).trigger( "click" );
+});
+Mousetrap.bind('a', function() { 
+    $( "#button_add" ).trigger( "click" );
+});
+Mousetrap.bind('d', function() { 
+    $( "#button_dup" ).trigger( "click" );
+});
+Mousetrap.bind('c', function() { 
+    $( "#button_copy" ).trigger( "click" );
+});
+Mousetrap.bind('r', function() { 
+    $( "#button_run" ).trigger( "click" );
+});
+Mousetrap.bind('p', function() { 
+    $( "#button_pause" ).trigger( "click" );
+});
+Mousetrap.bind('s', function() { 
+    $( "#button_stop" ).trigger( "click" );
+});
+Mousetrap.bind('j', function() { 
+    $( "#button_add_json" ).trigger( "click" );
+});
+Mousetrap.bind('x', function() { 
+    $( "#button_delete" ).trigger( "click" );
+});
+
 //on button
 function store_api_key(event) {
     key = document.getElementById("api-key").value;

v2realbot/static/js/mywebsocket.js

@@ -62,7 +62,7 @@ function connect(event) {
             var lines = document.getElementById('lines')
             var line = document.createElement('div')
             line.classList.add("line")
-            const newLine = document.createTextNode("-----------------NEXT ITER------------------")
+            const newLine = document.createTextNode("---------------")
             line.appendChild(newLine)
             lines.appendChild(line)
 
@@ -84,8 +84,7 @@ function connect(event) {
                 logcnt++;
                 row = '<div data-toggle="collapse" data-target="#rec'+logcnt+'">'+logLine.time + " " + logLine.event + ' - '+ logLine.message+'</div>'
                 str_row = JSON.stringify(logLine.details, null, 2)
-                
+                row_detail = '<div id="rec'+logcnt+'" data-toggle="collapse" data-target="#rec'+logcnt+'"class="collapse pidi"><pre>' + str_row + '</pre></div>'
-                row_detail = '<div id="rec'+logcnt+'" class="collapse pidi"><pre>' + str_row + '</pre></div>'
 
                 var lines = document.getElementById('lines')
                 var line = document.createElement('div')

v2realbot/strategy/StrategyOrderLimitVykladaci.py

@@ -1,10 +1,11 @@
 from v2realbot.strategy.base import Strategy
-from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, AttributeDict,trunc,price2dec, zoneNY, print
+from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, AttributeDict,trunc,price2dec, zoneNY, print, json_serial
 from v2realbot.utils.tlog import tlog, tlog_exception
 from v2realbot.enums.enums import Mode, Order, Account
 from alpaca.trading.models import TradeUpdate
 from alpaca.trading.enums import TradeEvent, OrderStatus
 from v2realbot.indicators.indicators import ema
+import json
 #from rich import print
 from random import randrange
 from alpaca.common.exceptions import APIError
@@ -12,13 +13,15 @@ import copy
 from threading import Event
 
 
+
 class StrategyOrderLimitVykladaci(Strategy):
     def __init__(self, name: str, symbol: str, next: callable, init: callable, account: Account, mode: Mode = Mode.PAPER, stratvars: AttributeDict = None, open_rush: int = 30, close_rush: int = 30, pe: Event = None, se: Event = None) -> None:
         super().__init__(name, symbol, next, init, account, mode, stratvars, open_rush, close_rush, pe, se)
 
     async def orderUpdateBuy(self, data: TradeUpdate):
         o: Order = data.order
-        self.state.ilog(e="Příchozí BUY notifikace", msg="order status:"+o.status, status=o.status, orderid=str(o.id))
+        ##nejak to vymyslet, aby se dal poslat cely Trade a serializoval se
+        self.state.ilog(e="Příchozí BUY notifikace", msg="order status:"+o.status, trade=json.loads(json.dumps(data, default=json_serial)))
         if o.status == OrderStatus.FILLED or o.status == OrderStatus.CANCELED:
             
             #pokud existuje objednavka v pendingbuys - vyhodime ji
@@ -68,6 +71,7 @@ class StrategyOrderLimitVykladaci(Strategy):
 
     async def orderUpdateSell(self, data: TradeUpdate): 
 
+        self.state.ilog(e="Příchozí SELL notifikace", msg="order status:"+data.order.status, trade=json.loads(json.dumps(data, default=json_serial)))
         #PROFIT
         #profit pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
         #naklady vypocteme z prumerne ceny, kterou mame v pozicich
@@ -117,19 +121,19 @@ class StrategyOrderLimitVykladaci(Strategy):
     def buy(self, size = None, repeat: bool = False):
         print("overriden method to size&check maximum ")
         if int(self.state.positions) >= self.state.vars.maxpozic:
-            self.state.ilog(e="buy Maxim mnozstvi naplneno", curr_positions=self.state.positions)
+            self.state.ilog(e="buy Maxim mnozstvi naplneno", positions=self.state.positions)
             print("max mnostvi naplneno")
             return 0
         if size is None:
             sizer = self.state.vars.chunk
         else:
             sizer = size
+
         self.state.blockbuy = 1
         self.state.vars.lastbuyindex = self.state.bars['index'][-1]
-        ic(self.state.blockbuy)
+        self.state.ilog(e="send MARKET buy to if", msg="S:"+str(size), ltp=self.state.interface.get_last_price(self.state.symbol))
-        ic(self.state.vars.lastbuyindex)
         return self.state.interface.buy(size=sizer)
-    
+
     def buy_l(self, price: float = None, size = None, repeat: bool = False):
         print("entering overriden BUY")
         if int(self.state.positions) >= self.state.vars.maxpozic:
@@ -139,7 +143,7 @@ class StrategyOrderLimitVykladaci(Strategy):
         if price is None: price=price2dec((self.state.interface.get_last_price(self.symbol)))
         ic(price)
         print("odesilame LIMIT s cenou/qty", price, size)
-        self.state.ilog(e="send buy to if", msg="S:"+str(size)+" P:"+str(price), price=price, size=size)
+        self.state.ilog(e="send LIMIT buy to if", msg="S:"+str(size)+" P:"+str(price), price=price, size=size)
         order = self.state.interface.buy_l(price=price, size=size)
         print("ukladame pendingbuys")
         self.state.vars.pendingbuys[str(order)]=price

v2realbot/strategy/base.py

@@ -17,6 +17,8 @@ from v2realbot.interfaces.backtest_interface import BacktestInterface
 from v2realbot.interfaces.live_interface import LiveInterface
 from alpaca.trading.enums import OrderSide
 from v2realbot.backtesting.backtester import Backtester
+from alpaca.trading.models import TradeUpdate
+from alpaca.trading.enums import TradeEvent, OrderStatus
 from threading import Event, current_thread
 import json
 
@@ -48,6 +50,7 @@ class Strategy:
         self.account = account
         self.key = get_key(mode=self.mode, account=self.account)
         self.rtqueue = None
+        self.tradeList = []
 
 
         #TODO predelat na dynamické queues
@@ -308,7 +311,7 @@ class Strategy:
     #for order updates from LIVE or BACKTEST
     #updates are sent only for SYMBOL of strategy
 
-    async def order_updates(self, data):
+    async def order_updates(self, data: TradeUpdate):
         if self.mode == Mode.LIVE or self.mode == Mode.PAPER:
             now = datetime.now().timestamp()
         else:
@@ -316,10 +319,16 @@ class Strategy:
 
         print("NOTIFICATION ARRIVED AT:", now)
 
+        #pokud jde o FILL zapisujeme do self.trades a notifikujeme
+        if data.event == TradeEvent.FILL:
+            self.tradeList.append(data)
+                
         ##TradeUpdate objekt better?
         order: Order = data.order
-        if order.side == OrderSide.BUY: await self.orderUpdateBuy(data)
+        if order.side == OrderSide.BUY:
-        if order.side == OrderSide.SELL: await self.orderUpdateSell(data)
+            await self.orderUpdateBuy(data)
+        if order.side == OrderSide.SELL:
+            await self.orderUpdateSell(data)
 
     async def orderUpdateBuy(self, data):
         print(data)

v2realbot/utils/utils.py

@@ -16,6 +16,24 @@ import tomli
 from v2realbot.config import DATA_DIR, QUIET_MODE
 import requests
 from uuid import UUID
+from enum import Enum
+#from v2realbot.enums.enums import Order
+from v2realbot.common.model import Order, TradeUpdate
+
+def safe_get(collection, key, default=None):
+    """Get values from a collection without raising errors"""
+
+    try:
+        return collection.get(key, default)
+    except TypeError:
+        pass
+
+    try:
+        return collection[key]
+    except (IndexError, TypeError):
+        pass
+
+    return default
 
 def send_to_telegram(message):
     apiToken = '5836666362:AAGPuzwp03tczMQTwTBiHW6VsZZ-1RCMAEE'
@@ -38,6 +56,12 @@ def json_serial(obj):
         return obj.timestamp()
     if isinstance(obj, UUID):
         return str(obj)
+    if isinstance(obj, Enum):
+        return str(obj)
+    if type(obj) is Order:
+        return obj.__dict__
+    if type(obj) is TradeUpdate:
+        return obj.__dict__
     raise TypeError (str(obj)+"Type %s not serializable" % type(obj))
 
 def parse_toml_string(tomlst: str):