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

draft nove classis strategie

Browse Source
This commit is contained in:
David Brazda
2023-08-24 21:12:45 +02:00
parent 2c7d279303
commit 88bd8c30c2
27 changed files with 1395 additions and 47 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.

69
v2realbot/backtesting/backtester.py
View File

@ -87,6 +87,7 @@ class Backtester:
self.bp_from = bp_from
self.bp_to = bp_to
self.cash = cash
self.cash_reserved_for_shorting = 0
self.trades = []
self.account = { "BAC": [0, 0] }
# { "BAC": [avgp, size] }
@ -372,23 +373,43 @@ class Backtester:
if o.side == OrderSide.BUY:
#[size, avgp]
if (self.account[o.symbol][0] + o.qty) == 0: newavgp = 0
newsize = (self.account[o.symbol][0] + o.qty)
#JPLNE UZAVRENI SHORT (avgp 0)
if newsize == 0: newavgp = 0
#CASTECNE UZAVRENI SHORT (avgp puvodni)
elif newsize < 0: newavgp = self.account[o.symbol][1]
#JDE O LONG (avgp nove)
else:
newavgp = ((self.account[o.symbol][0] * self.account[o.symbol][1]) + (o.qty * o.filled_avg_price)) / (self.account[o.symbol][0] + o.qty)
self.account[o.symbol] = [self.account[o.symbol][0]+o.qty, newavgp]
self.account[o.symbol] = [newsize, newavgp]
self.cash = self.cash - (o.qty * o.filled_avg_price)
return 1
#sell
elif o.side == OrderSide.SELL:
newsize = self.account[o.symbol][0]-o.qty
#UPLNE UZAVRENI LONGU (avgp 0)
if newsize == 0: newavgp = 0
#CASTECNE UZAVRENI LONGU (avgp puvodni)
elif newsize > 0: newavgp = self.account[o.symbol][1]
#jde o SHORT (avgp nove)
else:
#pokud je predchozi 0 - tzn. jde o prvni short
if self.account[o.symbol][1] == 0:
newavgp = o.filled_avg_price
else:
newavgp = self.account[o.symbol][1]
newavgp = ((abs(self.account[o.symbol][0]) * self.account[o.symbol][1]) + (o.qty * o.filled_avg_price)) / (abs(self.account[o.symbol][0]) + o.qty)
self.account[o.symbol] = [newsize, newavgp]
self.cash = float(self.cash + (o.qty * o.filled_avg_price))
#pokud jde o prodej longu(nova pozice je>=0) upravujeme cash
if self.account[o.symbol][0] >= 0:
self.cash = float(self.cash + (o.qty * o.filled_avg_price))
print("uprava cashe, jde o prodej longu")
else:
self.cash = float(self.cash + (o.qty * o.filled_avg_price))
#self.cash_reserved_for_shorting += float(o.qty * o.filled_avg_price)
print("jde o short, upravujeme cash zatim stejne")
return 1
else:
print("neznaama side", o.side)
@ -467,31 +488,53 @@ class Backtester:
#check for available quantity
if side == OrderSide.SELL:
reserved = 0
reserved_price = 0
#with lock:
for o in self.open_orders:
if o.side == OrderSide.SELL and o.symbol == symbol and o.canceled_at is None:
reserved += o.qty
print("blokovano v open orders pro sell: ", reserved)
cena = o.limit_price if o.limit_price else self.get_last_price(time, o.symbol)
reserved_price += o.qty * cena
print("blokovano v open orders pro sell qty: ", reserved, "celkem:", reserved_price)
if int(self.account[symbol][0]) - reserved - int(size) < 0:
print("not enough shares having",self.account[symbol][0],"reserved",reserved,"available",int(self.account[symbol][0]) - reserved,"selling",size)
actual_minus_reserved = int(self.account[symbol][0]) - reserved
if actual_minus_reserved > 0 and actual_minus_reserved - int(size) < 0:
print("not enough shares available to sell or shorting while long position",self.account[symbol][0],"reserved",reserved,"available",int(self.account[symbol][0]) - reserved,"selling",size)
return -1
#if is shorting - check available cash to short
if actual_minus_reserved <= 0:
cena = price if price else self.get_last_price(time, self.symbol)
if (self.cash - reserved_price - float(int(size)*float(cena))) < 0:
print("not enough cash for shorting. cash",self.cash,"reserved",reserved,"available",self.cash-reserved,"needed",float(int(size)*float(cena)))
return -1
#check for available cash
if side == OrderSide.BUY:
reserved = 0
reserved_qty = 0
reserved_price = 0
#with lock:
for o in self.open_orders:
if o.side == OrderSide.BUY and o.canceled_at is None:
cena = o.limit_price if o.limit_price else self.get_last_price(time, o.symbol)
reserved += o.qty * cena
print("blokovano v open orders: ", reserved)
reserved_price += o.qty * cena
reserved_qty += o.qty
print("blokovano v open orders for buy: qty, price", reserved_qty, reserved_price)
cena = price if price else self.get_last_price(time, self.symbol)
if (self.cash - reserved - float(int(size)*float(cena))) < 0:
print("not enough cash. cash",self.cash,"reserved",reserved,"available",self.cash-reserved,"needed",float(int(size)*float(cena)))
actual_plus_reserved_qty = int(self.account[symbol][0]) + reserved_qty
#jde o uzavreni shortu
if actual_plus_reserved_qty < 0 and (actual_plus_reserved_qty + int(size)) > 0:
print("nejprve je treba uzavrit short pozici pro buy res_qty, size", actual_plus_reserved_qty, size)
return -1
#jde o standardni long, kontroluju cash
if actual_plus_reserved_qty >= 0:
cena = price if price else self.get_last_price(time, self.symbol)
if (self.cash - reserved_price - float(int(size)*float(cena))) < 0:
print("not enough cash to buy long. cash",self.cash,"reserved_qty",reserved_qty,"reserved_price",reserved_price, "available",self.cash-reserved_price,"needed",float(int(size)*float(cena)))
return -1
id = str(uuid4())
order = Order(id=id,
submitted_at = datetime.fromtimestamp(float(time)),