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David Brazda
2024-06-13 11:02:00 +02:00
parent 1659cc7a6e
commit 8e89347f5c
8 changed files with 1619132 additions and 4 deletions
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research/prepare_aggregatied_data.ipynb
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"metadata": {}, "metadata": {},
"source": [ "source": [
"# Loading trades and vectorized aggregation\n", "# Loading trades and vectorized aggregation\n",
"Describes how to fetch trades (remote/cached) and use new vectorized aggregation to aggregate bars of given type (time, volume, dollar) and resolution\n", "This notebook fetches the trades from remote or local cache and aggregates them to bars of given type (time, volume, dollar) and resolution\n",
"\n", "\n",
"`fetch_trades_parallel` enables to fetch trades of given symbol and interval, also can filter conditions and minimum size. return `trades_df`\n", "`fetch_trades_parallel` enables to fetch trades of given symbol and interval, also can filter conditions and minimum size. return `trades_df`\n",
"`aggregate_trades` acceptss `trades_df` and ressolution and type of bars (VOLUME, TIME, DOLLAR) and return aggregated ohlcv dataframe `ohlcv_df`" "`aggregate_trades` acceptss `trades_df` and ressolution and type of bars (VOLUME, TIME, DOLLAR) and return aggregated ohlcv dataframe `ohlcv_df`"
@ -1594,7 +1594,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.10.11" "version": "3.10.10"
} }
}, },
"nbformat": 4, "nbformat": 4,

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research/strat_LINREG_MULTI/v1_SINGLE.ipynb
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"# ))\n", "# ))\n",
"\n", "\n",
"# thirtymin_slope_to_compare.vbt.plot(fig=fig, add_trace_kwargs=dict(secondary_y=True), trace_kwargs=dict(name=\"30min slope\",\n", "# thirtymin_slope_to_compare.vbt.plot(fig=fig, add_trace_kwargs=dict(secondary_y=True), trace_kwargs=dict(name=\"30min slope\",\n",
"# line=dict(color=\"yellow\"),\n", "# line=dict(color=\"yellow\"), \n",
" \n",
"# fill=None,\n", "# fill=None,\n",
"# connectgaps=True,\n", "# connectgaps=True,\n",
"# ))\n", "# ))\n",

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research/strat_ORDER_IMBALANCE/v2_SINGLE.ipynb Normal file
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research/strat_TIME_ENTRIES copy/v1_MULTI.ipynb Normal file
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v2realbot/tools/__init__.py Normal file
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