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tulipy_ind support, multioutput scale and gzip cache support #106 #115 #114 #112 #107

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David Brazda
2024-02-04 17:54:03 +07:00
parent c1145fec5b
commit 8456e6d739
15 changed files with 632 additions and 55 deletions
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23
v2realbot/loader/aggregator.py
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@ -3,7 +3,7 @@
"""
from v2realbot.enums.enums import RecordType, StartBarAlign
from datetime import datetime, timedelta
from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, Queue,is_open_hours,zoneNY
from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, Queue,is_open_hours,zoneNY, zoneUTC
from queue import Queue
from rich import print
from v2realbot.enums.enums import Mode
@ -14,6 +14,7 @@ import os
from v2realbot.config import DATA_DIR, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, AGG_EXCLUDED_TRADES
import pickle
import dill
import gzip
class TradeAggregator:
def __init__(self,
@ -149,7 +150,7 @@ class TradeAggregator:
# else:
data['t'] = parse_alpaca_timestamp(data['t'])
if not is_open_hours(datetime.fromtimestamp(data['t'])) and self.exthours is False:
if not is_open_hours(datetime.fromtimestamp(data['t'], tz=zoneUTC)) and self.exthours is False:
#print("AGG: trade not in open hours skipping", datetime.fromtimestamp(data['t']).astimezone(zoneNY))
return []
@ -442,7 +443,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4": data['p'],
"confirmed": 0,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -476,7 +477,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4":data['p'],
"confirmed": 1,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -608,7 +609,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4": data['p'],
"confirmed": 0,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -642,7 +643,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4":data['p'],
"confirmed": 1,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -787,7 +788,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4": data['p'],
"confirmed": 0,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -822,7 +823,7 @@ class TradeAggregator:
"trades": 1,
"hlcc4":data['p'],
"confirmed": 1,
"time": datetime.fromtimestamp(data['t']),
"time": datetime.fromtimestamp(data['t'], tz=zoneUTC),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
@ -898,7 +899,7 @@ class TradeAggregator:
#a take excludes result = ''.join(self.excludes.sort())
self.excludes.sort() # Sorts the list in place
excludes_str = ''.join(map(str, self.excludes)) # Joins the sorted elements after converting them to strings
cache_file = self.__class__.__name__ + '-' + self.symbol + '-' + str(int(date_from.timestamp())) + '-' + str(int(date_to.timestamp())) + '-' + str(self.rectype) + "-" + str(self.resolution) + "-" + str(self.minsize) + "-" + str(self.align) + '-' + str(self.mintick) + str(self.exthours) + excludes_str + '.cache'
cache_file = self.__class__.__name__ + '-' + self.symbol + '-' + str(int(date_from.timestamp())) + '-' + str(int(date_to.timestamp())) + '-' + str(self.rectype) + "-" + str(self.resolution) + "-" + str(self.minsize) + "-" + str(self.align) + '-' + str(self.mintick) + str(self.exthours) + excludes_str + '.cache.gz'
file_path = DATA_DIR + "/aggcache/" + cache_file
#print(file_path)
return file_path
@ -908,7 +909,7 @@ class TradeAggregator:
file_path = self.populate_file_name(date_from, date_to)
if self.skip_cache is False and os.path.exists(file_path):
##daily aggregated file exists
with open (file_path, 'rb') as fp:
with gzip.open (file_path, 'rb') as fp:
cachedobject = dill.load(fp)
print("AGG CACHE loaded ", file_path)
@ -941,7 +942,7 @@ class TradeAggregator:
file_path = self.populate_file_name(self.cache_from, self.cache_to)
with open(file_path, 'wb') as fp:
with gzip.open(file_path, 'wb') as fp:
dill.dump(self.cached_object, fp)
print(f"AGG CACHE stored ({num}) :{file_path}")
print(f"DATES from:{self.cache_from.strftime('%d.%m.%Y %H:%M')} to:{self.cache_to.strftime('%d.%m.%Y %H:%M')}")