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BT FILL CONDITIONS a FILL LOG SURROUNDING TRADES

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This commit is contained in:
David Brazda
2023-04-22 21:02:07 +02:00
parent a49b9c831e
commit 8eb4a3f045
11 changed files with 164 additions and 87 deletions
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153
testy/testExecList-standard.py
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@ -11,34 +11,34 @@ btdata = [(1679081913.290388, 27.8634), (1679081913.68588, 27.865), (1679081913.
from bisect import bisect_left
def get_last_price(time: float, symbol: str = None):
"""""
returns equity price in timestamp. Used for validations later.
TODO: optimalize
"""""
for i in range(len(btdata)):
#print(btdata[i][0])
#print(i)
if btdata[i][0] >= time:
break
return btdata[i-1]
# def get_last_price(time: float, symbol: str = None):
# """""
# returns equity price in timestamp. Used for validations later.
# TODO: optimalize
# """""
# for i in range(len(btdata)):
# #print(btdata[i][0])
# #print(i)
# if btdata[i][0] >= time:
# break
# return btdata[i-1]
def take_closest(myList, myNumber):
"""
Assumes myList is sorted. Returns first lower value to the number.
"""
pos = bisect_left(myList, (myNumber,))
if pos == 0:
return myList[0]
# if pos == len(myList):
# return myList[-1]
after, afterPrice = myList[pos-1]
return after,afterPrice
# def take_closest(myList, myNumber):
# """
# Assumes myList is sorted. Returns first lower value to the number.
# """
# pos = bisect_left(myList, (myNumber,))
# if pos == 0:
# return myList[0]
# # if pos == len(myList):
# # return myList[-1]
# after, afterPrice = myList[pos-1]
# return after,afterPrice
print("bisect price")
print(take_closest(btdata, 1679081913.986395))
print("stamdard price")
print(get_last_price(1679081913.986395))
# print("bisect price")
# print(take_closest(btdata, 1679081913.986395))
# print("stamdard price")
# print(get_last_price(1679081913.986395))
#(1679081919.018929, 27.87), (1679081919.018932, 27.87), (1679081919.018938, 27.87),
@ -122,61 +122,66 @@ print(get_last_price(1679081913.986395))
# def get_index_bisect(myList, time):
# """
# Assumes myList is sorted. Returns first biggeer value to the number.
# """
# pos = bisect_left(myList, (time,))
# if pos == 0:
# return myList[0]
# if pos == len(myList):
# return myList[-1]
# return pos
# #after, afterPrice = myList[pos]
# #return after,afterPrice
def get_index_bisect(myList, time):
"""
Assumes myList is sorted. Returns first biggeer value to the number.
"""
pos = bisect_left(myList, (time,))
if pos == 0:
return myList[0]
if pos == len(myList):
return myList[-1]
return pos
#after, afterPrice = myList[pos]
#return after,afterPrice
# def get_index(btdata, time: float):
# index_end = None #
# range_end = time
# print("range_end",range_end)
def get_index(btdata, time: float):
index_end = None #
range_end = time
print("range_end",range_end)
# for i in range(len(btdata)):
# #print(btdata[i][0])
# #print(i)
# if btdata[i][0] >= range_end:
# index_end = i
# break
for i in range(len(btdata)):
#print(btdata[i][0])
#print(i)
if btdata[i][0] >= range_end:
index_end = i
break
# print("index_end", index_end)
# print("oriznuto",btdata[0:index_end+1])
# return index_end
print("index_end", index_end)
print("oriznuto",btdata[0:index_end+1])
return index_end
# index_end = get_index(btdata, 1679081919.018939)
# print("get_index", index_end)
# index_end = get_index_bisect(btdata, 1679081919.018939)
# print("get_index_bisect", index_end)
# new_range = btdata[0:index_end+1]
index_end = get_index(btdata, 1679081919.018939)
print("get_index", index_end)
index_end = get_index_bisect(btdata, 1679081919.018939)
print("get_index_bisect", index_end)
new_range = btdata[0:index_end+1]
# print("novy rozsah?", len(new_range))
# print("puvodni pole", len(btdata))
print("novy rozsah?", len(new_range))
print("puvodni pole", len(btdata))
# #LIMIT FILL - BUY
# submitted_at: float = 1679081914.739644
# limit_price: float = 27.865
# fill_time = None
# for i in new_range:
# #print(i)
# ##najde prvni nejvetsi čas vetsi nez minfill a majici
# ## pro LIMITku uděláme nějaký spešl BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou
# ## tzn. o kolik se prumerne vyplni limitka pozdeji
# if float(i[0]) > float(float(submitted_at) + float(0.020)) and i[1] <= limit_price:
# #(1679081919.381649, 27.88)
# print(i)
# fill_time = i[0]
# print("FILL LIMIT BUY at", fill_time, "at",i[1])
# break
# if not fill_time: print("NO FILL for ", limit_price)
#LIMIT FILL - BUY
submitted_at: float = 1679081914.739644
limit_price: float = 27.865
fill_time = None
for index, i in enumerate(new_range):
#for i in new_range:
#print(i)
##najde prvni nejvetsi čas vetsi nez minfill a majici
## pro LIMITku uděláme nějaký spešl BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou
## tzn. o kolik se prumerne vyplni limitka pozdeji
if float(i[0]) > float(float(submitted_at) + float(0.020)) and i[1] <= limit_price:
#(1679081919.381649, 27.88)
print("pět předtím",new_range[index-5:index])
print(i)
print("pět potom",new_range[index+1:index+6])
# print(index)
fill_time = i[0]
##zalogovat fill time
print("FILL LIMIT BUY at", fill_time, "at",i[1])
break
if not fill_time: print("NO FILL for ", limit_price)
# #LIMIT FILL - SELL
# for i in new_range: