BT FILL CONDITIONS a FILL LOG SURROUNDING TRADES

testy/testExecList-standard.py

@@ -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):
+# def get_last_price(time: float, symbol: str = None):
-    """""
+#     """""
-    returns equity price in timestamp. Used for validations later.
+#     returns equity price in timestamp. Used for validations later.
-    TODO: optimalize
+#     TODO: optimalize
-    """""
+#     """""
-    for i in range(len(btdata)):
+#     for i in range(len(btdata)):
-        #print(btdata[i][0])
+#         #print(btdata[i][0])
-        #print(i)
+#         #print(i)
-        if btdata[i][0] >= time:
+#         if btdata[i][0] >= time:
-            break
+#             break
-    return btdata[i-1]
+#     return btdata[i-1]
 
-def take_closest(myList, myNumber):
+# def take_closest(myList, myNumber):
-    """
+#     """
-    Assumes myList is sorted. Returns first lower value to the number.
+#     Assumes myList is sorted. Returns first lower value to the number.
-    """
+#     """
-    pos = bisect_left(myList, (myNumber,))
+#     pos = bisect_left(myList, (myNumber,))
-    if pos == 0:
+#     if pos == 0:
-        return myList[0]
+#         return myList[0]
-    # if pos == len(myList):
+#     # if pos == len(myList):
-    #     return myList[-1]
+#     #     return myList[-1]
-    after, afterPrice = myList[pos-1]
+#     after, afterPrice = myList[pos-1]
-    return after,afterPrice
+#     return after,afterPrice
 
-print("bisect price")
+# print("bisect price")
-print(take_closest(btdata, 1679081913.986395))
+# print(take_closest(btdata, 1679081913.986395))
-print("stamdard price")
+# print("stamdard price")
-print(get_last_price(1679081913.986395))
+# 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):
+def get_index_bisect(myList, time):
-#     """
+    """
-#     Assumes myList is sorted. Returns first biggeer value to the number.
+    Assumes myList is sorted. Returns first biggeer value to the number.
-#     """
+    """
-#     pos = bisect_left(myList, (time,))
+    pos = bisect_left(myList, (time,))
-#     if pos == 0:
+    if pos == 0:
-#         return myList[0]
+        return myList[0]
-#     if pos == len(myList):
+    if pos == len(myList):
-#         return myList[-1]
+        return myList[-1]
-#     return pos
+    return pos
-#     #after, afterPrice = myList[pos]
+    #after, afterPrice = myList[pos]
-#     #return after,afterPrice
+    #return after,afterPrice
 
 
-# def get_index(btdata, time: float):
+def get_index(btdata, time: float):
-#     index_end = None #
+    index_end = None #
-#     range_end = time
+    range_end = time
-#     print("range_end",range_end)
+    print("range_end",range_end)
 
-#     for i in range(len(btdata)):
+    for i in range(len(btdata)):
-#         #print(btdata[i][0])
+        #print(btdata[i][0])
-#         #print(i)
+        #print(i)
-#         if btdata[i][0] >= range_end:
+        if btdata[i][0] >= range_end:
-#             index_end = i
+            index_end = i
-#             break
+            break
 
-#     print("index_end", index_end)
+    print("index_end", index_end)
-#     print("oriznuto",btdata[0:index_end+1])
+    print("oriznuto",btdata[0:index_end+1])
-#     return index_end
+    return index_end
 
-# index_end = get_index(btdata, 1679081919.018939)
+index_end = get_index(btdata, 1679081919.018939)
-# print("get_index", index_end)
+print("get_index", index_end)
-# index_end = get_index_bisect(btdata, 1679081919.018939)
+index_end = get_index_bisect(btdata, 1679081919.018939)
-# print("get_index_bisect", index_end)
+print("get_index_bisect", index_end)
-# new_range = btdata[0:index_end+1]
+new_range = btdata[0:index_end+1]
 
-# print("novy rozsah?", len(new_range))
+print("novy rozsah?", len(new_range))
-# print("puvodni pole", len(btdata))
+print("puvodni pole", len(btdata))
 
-# #LIMIT FILL - BUY
+#LIMIT FILL - BUY
-# submitted_at: float = 1679081914.739644
+submitted_at: float = 1679081914.739644
-# limit_price: float = 27.865
+limit_price: float = 27.865
-# fill_time = None
+fill_time = None
-# for i in new_range:
+for index, i in enumerate(new_range):
-#     #print(i)
+#for i in new_range:
-#     ##najde prvni nejvetsi čas vetsi nez minfill a majici
+    #print(i)
-#     ## pro LIMITku uděláme nějaký spešl BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou 
+    ##najde prvni nejvetsi čas vetsi nez minfill a majici
-#     ## tzn. o kolik se prumerne vyplni limitka pozdeji
+    ## pro LIMITku uděláme nějaký spešl BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou 
-#     if float(i[0]) > float(float(submitted_at) + float(0.020)) and i[1] <= limit_price:
+    ## tzn. o kolik se prumerne vyplni limitka pozdeji
-#         #(1679081919.381649, 27.88)
+    if float(i[0]) > float(float(submitted_at) + float(0.020)) and i[1] <= limit_price:
-#         print(i)
+        #(1679081919.381649, 27.88)
-#         fill_time = i[0]
+        print("pět předtím",new_range[index-5:index])
-#         print("FILL LIMIT BUY at", fill_time, "at",i[1])
+        print(i)
-#         break
+        print("pět potom",new_range[index+1:index+6])
-# if not fill_time: print("NO FILL for ", limit_price)
+        # 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:

v2realbot/backtesting/backtester.py

@@ -43,9 +43,10 @@ from v2realbot.common.model import TradeUpdate, Order
 #from rich import print
 import threading
 import asyncio
-from v2realbot.config import BT_DELAYS, DATA_DIR
+from v2realbot.config import BT_DELAYS, DATA_DIR, FILL_CONDITION_BUY_LIMIT, FILL_CONDITION_SELL_LIMIT, FILL_LOG_SURROUNDING_TRADES, FILL_CONS_TRADES_REQUIRED
 from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals,print
 from v2realbot.utils.tlog import tlog
+from v2realbot.enums.enums import FillCondition
 from datetime import datetime, timedelta
 import pandas as pd
 #import matplotlib.pyplot as plt
@@ -192,7 +193,8 @@ class Backtester:
 
         #TEST zkusime to nemazat, jak ovlivni performance
         #Mazeme, jinak je to hruza
-        del self.btdata[0:index_end-2]
+        #nechavame na konci trady, které muzeme potrebovat pro consekutivni pravidlo
+        del self.btdata[0:index_end-2-FILL_CONS_TRADES_REQUIRED]
         #ic("after delete",len(self.btdata[0:index_end]))
     
         if changes: return 1
@@ -217,29 +219,63 @@ class Backtester:
 
         if o.order_type == OrderType.LIMIT:
             if o.side == OrderSide.BUY:
-                for i in work_range:
+                for index, i in enumerate(work_range):
                 #print(i)
                 ##najde prvni nejvetsi čas vetsi nez minfill a majici odpovídající cenu
                 ## pro LIMITku nejspíš přidat BT_DELAY.LIMIT_OFFSET, aby se nevyplnilo hned jako prvni s touto cenou
                 ## offest by se pocital od nize nalezeneho casu, zvetsil by ho o LIMIT_OFFSET a zjistil, zda by
                 ##v novem case doslo take k plneni a tam ho vyplnil. Uvidime az jestli bude aktualni prilis optimisticke.
                 ## TBD zjistit na LIVE jaky je tento offset
-                    if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and i[1] <= o.limit_price:
+
+                    #TODO pridat pokud je EXECUTION_DEBUG zalogování okolnich tradu (5 z kazde strany) od toho, který triggeroval plnění
+                    #TODO pridat jako dalsi nastavovaci atribut pocet tradu po ktere musi byt cena zde (aby to nevyplnil knot high)
+
+                    #NASTVENI PODMINEK PLNENI
+                    fast_fill_condition = i[1] <= o.limit_price
+                    slow_fill_condition = i[1] < o.limit_price
+                    if FILL_CONDITION_BUY_LIMIT == FillCondition.FAST:
+                        fill_condition = fast_fill_condition
+                    elif FILL_CONDITION_BUY_LIMIT == FillCondition.SLOW:
+                        fill_condition = slow_fill_condition
+                    else:
+                        print("unknow fill condition")
+                        return -1
+
+                    if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
                         #(1679081919.381649, 27.88)
                         ic(i)
                         fill_time = i[0]
                         fill_price = i[1]
                         print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
+                        if FILL_LOG_SURROUNDING_TRADES != 0:
+                            #TODO loguru
+                            print("FILL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
+                            print("FILL SURR TRADES: after",work_range[index+1:index+FILL_LOG_SURROUNDING_TRADES+1])
                         break
             else:
-                for i in work_range:
+                for index, i in enumerate(work_range):
                 #print(i)
-                    if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and i[1] >= o.limit_price:
+                    #NASTVENI PODMINEK PLNENI
+                    fast_fill_condition = i[1] >= o.limit_price
+                    slow_fill_condition = i[1] > o.limit_price
+                    if FILL_CONDITION_SELL_LIMIT == FillCondition.FAST:
+                        fill_condition = fast_fill_condition
+                    elif FILL_CONDITION_SELL_LIMIT == FillCondition.SLOW:
+                        fill_condition = slow_fill_condition
+                    else:
+                        print("unknown fill condition")
+                        return -1
+
+                    if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
                         #(1679081919.381649, 27.88)
                         ic(i)
                         fill_time = i[0]
                         fill_price = i[1]
                         print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
+                        if FILL_LOG_SURROUNDING_TRADES != 0:
+                            #TODO loguru
+                            print("FILL SELL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
+                            print("FILL SELL SURR TRADES: after",work_range[index+1:index+FILL_LOG_SURROUNDING_TRADES+1])
                         break
         
         elif o.order_type == OrderType.MARKET:
@@ -410,9 +446,9 @@ class Backtester:
             reserved = 0
             #with lock:
             for o in self.open_orders:
-                if o.qty == OrderSide.SELL and o.symbol == symbol:
+                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)
+                print("blokovano v open orders pro sell: ", reserved)
             
             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)
@@ -423,10 +459,10 @@ class Backtester:
             reserved = 0
             #with lock:
             for o in self.open_orders:
-                if o.qty == OrderSide.BUY:
+                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)
+                    print("blokovano v open orders: ", reserved)
 
             cena = price if price else self.get_last_price(time, self.symbol)
             if (self.cash - reserved - float(int(size)*float(cena))) < 0:
@@ -441,6 +477,7 @@ class Backtester:
                     status = OrderStatus.ACCEPTED,
                     side=side,
                     qty=int(size),
+                    filled_qty=0,
                     limit_price=(float(price) if price else None))
         
         self.open_orders.append(order)

v2realbot/config.py

@@ -1,7 +1,20 @@
 from alpaca.data.enums import DataFeed
-from v2realbot.enums.enums import Mode, Account
+from v2realbot.enums.enums import Mode, Account, FillCondition
 from appdirs import user_data_dir
 
+
+#how many consecutive trades with the fill price are necessary for limit fill to happen()
+#0 - optimistic, every knot high will fill the order
+#N - N consecutive trades required
+#not impl.yet
+FILL_CONS_TRADES_REQUIRED = 0
+#during trade execution logs X-surrounding trades of the one that triggers the fill
+FILL_LOG_SURROUNDING_TRADES = 10
+#fill condition for limit order
+# fast - price has to be equal or bigger <=
+# slow - price has to be bigger <
+FILL_CONDITION_BUY_LIMIT = FillCondition.FAST
+FILL_CONDITION_SELL_LIMIT = FillCondition.FAST
 #no print in console
 QUIET_MODE = False
 #backend counter of api requests

v2realbot/controller/services.py

@@ -218,9 +218,16 @@ def is_stratin_running(id: UUID):
     return False
 
 def save_history(id: UUID, st: object, runner: Runner, reason: str = None):
+    
+    #zkousime precist profit z objektu
+    try:
+        profit = st.state.profit
+    except Exception as e:
+        profit = str(e)
+    
     for i in db.stratins:
         if str(i.id) == str(id):
-            i.history += "START:"+str(runner.run_started)+"STOP:"+str(runner.run_stopped)+"ACC:"+runner.run_account.value+"M:"+runner.run_mode.value+"PROFIT:XX" + reason + "<BR>"
+            i.history += "START:"+str(runner.run_started)+"STOP:"+str(runner.run_stopped)+"ACC:"+runner.run_account.value+"M:"+runner.run_mode.value+"PROFIT:"+str(profit)+ "REASON:" + str(reason)
             #i.history += str(runner.__dict__)+"<BR>"
             db.save()
  

v2realbot/enums/enums.py

@@ -12,6 +12,16 @@ class Order:
         self.filled_time = filled_time 
         self.limit_price = limit_price
 
+
+class FillCondition(Enum):
+    """
+    Execution settings:
+        fast = pro vyplneni limi orderu musi byt cena stejne
+        slow = vetsi (prip. mensi pro sell)
+        TBD nejspis pridat jeste stredni cestu - musi byt stejna
+    """
+    FAST = "fast"
+    SLOW = "slow"
 class Account(Enum):
     """
     Accounts - keys to config

v2realbot/strategy/base.py

@@ -334,6 +334,7 @@ class Strategy:
     ##kroky po iteraci
     def after_iteration(self, item):
         
+        #DAT DO VNORENE FUNKCE
         ##check if real time chart is requested
         ##posilame dict s objekty: bars, trades podle cbaru, a dale indicators naplnene time a pripadnymi identifikatory (EMA)
         if self.rtqueue is not None:
@@ -389,7 +390,9 @@ class Strategy:
             #cleaning iterlog lsit
             #TODO pridat cistku i mimo RT blok
             self.state.iter_log_list = []
-
+        else:
+            #mazeme logy pokud neni na ws pozadovano
+            self.state.iter_log_list = []
 
     # inicializace poplatna typu strategie (např. u LIMITu dotažení existující limitky)
     def strat_init(self):
@@ -502,4 +505,6 @@ class StrategyState:
         else:
             row = dict(time=self.time, event=e, message=msg, details=kwargs)
         self.iter_log_list.append(row)
+        row["name"] = self.name
         print(row)
+        #TBD mozna odsud to posilat do nejakeho struct logger jako napr. structlog