refactor plneni time u indikatoru, v next upd
This commit is contained in:
David Brazda
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from v2realbot.strategy.base import Strategy
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from v2realbot.utils.utils import parse_alpaca_timestamp, ltp, AttributeDict,trunc,price2dec, zoneNY, print, json_serial, safe_get, get_tick
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from v2realbot.utils.tlog import tlog, tlog_exception
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from v2realbot.enums.enums import Mode, Order, Account, RecordType
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from alpaca.trading.models import TradeUpdate
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from alpaca.trading.enums import TradeEvent, OrderStatus
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from v2realbot.indicators.indicators import ema
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import json
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#from rich import print
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from random import randrange
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from alpaca.common.exceptions import APIError
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import copy
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from threading import Event
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from uuid import UUID
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class StrategyOrderLimitVykladaciNormalizedMYSELL(Strategy):
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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, runner_id: UUID = None, ilog_save: bool = False) -> None:
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super().__init__(name, symbol, next, init, account, mode, stratvars, open_rush, close_rush, pe, se, runner_id, ilog_save)
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async def orderUpdateBuy(self, data: TradeUpdate):
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o: Order = data.order
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##nejak to vymyslet, aby se dal poslat cely Trade a serializoval se
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self.state.ilog(e="Příchozí BUY notif", msg=o.status, trade=json.loads(json.dumps(data, default=json_serial)))
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if o.status == OrderStatus.FILLED or o.status == OrderStatus.CANCELED:
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#pokud existuje objednavka v pendingbuys - vyhodime ji
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if self.state.vars.pendingbuys.pop(str(o.id), False):
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self.state.ilog(e="Příchozí BUY notif - mazeme ji z pb", msg=o.status, status=o.status, orderid=str(o.id), pb=self.state.vars.pendingbuys)
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print("limit buy filled or cancelled. Vyhazujeme z pendingbuys.")
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#ic(self.state.vars.pendingbuys)
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if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
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#ic("vstupujeme do orderupdatebuy")
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print(data)
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#dostavame zde i celkové akutální množství - ukládáme
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self.state.positions = data.position_qty
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self.state.avgp, self.state.positions = self.state.interface.pos()
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async def orderUpdateSell(self, data: TradeUpdate):
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self.state.ilog(e="Příchozí SELL notif", msg=data.order.status, trade=json.loads(json.dumps(data, default=json_serial)))
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#PROFIT
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#profit pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
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#naklady vypocteme z prumerne ceny, kterou mame v pozicich
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if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
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if data.event == TradeEvent.FILL:
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self.state.vars.sell_in_progress = False
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sold_amount = data.qty * data.price
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#podle prumerne ceny, kolik stalo toto mnozstvi
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avg_costs = float(self.state.avgp) * float(data.qty)
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if avg_costs == 0:
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self.state.ilog(e="ERR: Nemame naklady na PROFIT, AVGP je nula. Zaznamenano jako 0", msg="naklady=utrzena cena. TBD opravit.")
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avg_costs = sold_amount
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trade_profit = (sold_amount - avg_costs)
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self.state.profit += trade_profit
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self.state.ilog(e=f"SELL notif - PROFIT:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)}", msg=str(data.event), sold_amount=sold_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
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#update pozic, v trade update je i pocet zbylych pozic
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old_avgp = self.state.avgp
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old_pos = self.state.positions
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self.state.positions = int(data.position_qty)
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if int(data.position_qty) == 0:
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self.state.avgp = 0
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self.state.ilog(e="SELL notifikace "+str(data.order.status), msg="update pozic", old_avgp=old_avgp, old_pos=old_pos, avgp=self.state.avgp, pos=self.state.positions, orderid=str(data.order.id))
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#self.state.avgp, self.state.positions = self.interface.pos()
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if data.event == TradeEvent.FILL or data.event == TradeEvent.CANCELED:
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print("Příchozí SELL notifikace - complete FILL nebo CANCEL", data.event)
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#muzeme znovu nakupovat, mazeme limitku, blockbuy a pendingbuys
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#self.state.blockbuy = 0
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#ic("notifikace sell mazeme limitku a update pozic")
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#updatujeme pozice
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self.state.avgp, self.state.positions = self.interface.pos()
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#ic(self.state.avgp, self.state.positions)
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self.state.vars.limitka = None
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self.state.vars.limitka_price = None
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self.state.vars.lastbuyindex = -5
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self.state.vars.jevylozeno = 0
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await self.state.cancel_pending_buys()
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self.state.ilog(e="Příchozí SELL - FILL nebo CANCEL - mazeme limitku a pb", msg=data.order.status, orderid=str(data.order.id), pb=self.state.vars.pendingbuys)
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#this parent method is called by strategy just once before waiting for first data
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def strat_init(self):
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#ic("strat INI function")
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#lets connect method overrides
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self.state.buy = self.buy
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self.state.buy_l = self.buy_l
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self.state.cancel_pending_buys = self.cancel_pending_buys
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#overidden methods
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def buy(self, size = None, repeat: bool = False):
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print("overriden method to size&check maximum ")
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if int(self.state.positions) >= self.state.vars.maxpozic:
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self.state.ilog(e="buy Maxim mnozstvi naplneno", positions=self.state.positions)
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print("max mnostvi naplneno")
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return 0
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if size is None:
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sizer = self.state.vars.chunk
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else:
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sizer = size
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self.state.blockbuy = 1
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self.state.vars.lastbuyindex = self.state.bars['index'][-1]
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self.state.ilog(e="send MARKET buy to if", msg="S:"+str(size), ltp=self.state.interface.get_last_price(self.state.symbol))
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return self.state.interface.buy(size=sizer)
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def buy_l(self, price: float = None, size = None, repeat: bool = False):
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print("entering overriden BUY")
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if int(self.state.positions) >= self.state.vars.maxpozic:
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self.state.ilog(e="buyl Maxim mnozstvi naplneno", price=price, size=size, curr_positions=self.state.positions)
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return 0
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if size is None: size=self.state.vars.chunk
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if price is None: price=price2dec((self.state.interface.get_last_price(self.symbol)))
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#ic(price)
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print("odesilame LIMIT s cenou/qty", price, size)
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self.state.ilog(e="send LIMIT buy to if", msg="S:"+str(size)+" P:"+str(price), price=price, size=size)
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order = self.state.interface.buy_l(price=price, size=size)
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if order != -1:
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print("ukladame pendingbuys")
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self.state.vars.pendingbuys[str(order)]=price
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self.state.blockbuy = 1
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self.state.vars.lastbuyindex = self.state.bars['index'][-1]
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#ic(self.state.blockbuy)
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#ic(self.state.vars.lastbuyindex)
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self.state.ilog(e="Odeslan buy_l a ulozeno do pb", order=str(order), pb=self.state.vars.pendingbuys)
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else:
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self.state.ilog(e="Chyba - nepodarilo se odeslat buy_l - nebylo ulozeno do pb", order=str(order), pb=self.state.vars.pendingbuys)
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async def cancel_pending_buys(self):
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print("cancel pending buys called.")
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self.state.ilog(e="Rusime pendingy", pb=self.state.vars.pendingbuys)
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##proto v pendingbuys pridano str(), protoze UUIN nejde serializovat
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##padalo na variable changed during iteration, pridano
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if len(self.state.vars.pendingbuys)>0:
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tmp = copy.deepcopy(self.state.vars.pendingbuys)
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for key in tmp:
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#ic(key)
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#nejprve vyhodime z pendingbuys
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self.state.vars.pendingbuys.pop(key, False)
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if key != -1:
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res = self.interface.cancel(key)
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self.state.ilog(e=f"Pendingy zrusen pro {key=}", orderid=str(key), res=str(res))
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print("CANCEL PENDING BUYS RETURN", res)
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self.state.vars.pendingbuys={}
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self.state.vars.jevylozeno = 0
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print("cancel pending buys end")
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self.state.ilog(e="Dokončeno zruseni vsech pb", pb=self.state.vars.pendingbuys)
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#kopie funkci co jsou v next jen async, nejak vymyslet, aby byly jen jedny
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async def is_defensive_mode(self):
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akt_pozic = int(self.state.positions)
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max_pozic = int(self.state.vars.maxpozic)
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def_mode_from = safe_get(self.state.vars, "def_mode_from")
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if def_mode_from == None: def_mode_from = max_pozic/2
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if akt_pozic >= int(def_mode_from):
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self.state.ilog(e=f"DEFENSIVE MODE active {self.state.vars.def_mode_from=}", msg=self.state.positions)
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return True
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else:
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self.state.ilog(e=f"STANDARD MODE active {self.state.vars.def_mode_from=}", msg=self.state.positions)
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return False
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async def get_limitka_price(self):
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def_profit = safe_get(self.state.vars, "def_profit")
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if def_profit == None: def_profit = self.state.vars.profit
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cena = float(self.state.avgp)
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if await self.is_defensive_mode():
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return price2dec(cena+get_tick(cena,float(def_profit)))
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else:
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return price2dec(cena+get_tick(cena,float(self.state.vars.profit)))
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