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#168 #166 and additional fixes

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This commit is contained in:
David Brazda
2024-03-13 12:26:49 +01:00
parent 8cf1aea2a8
commit 8f420258b5
11 changed files with 130 additions and 71 deletions
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12
testy/archive/alpacaGetHistoryBars.py
View File

@ -23,12 +23,12 @@ clientTrading = TradingClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY,
#get previous days bar
datetime_object_from = datetime.datetime(2023, 10, 11, 4, 0, 00, tzinfo=datetime.timezone.utc)
datetime_object_to = datetime.datetime(2023, 10, 16, 16, 1, 00, tzinfo=datetime.timezone.utc)
calendar_request = GetCalendarRequest(start=datetime_object_from,end=datetime_object_to)
cal_dates = clientTrading.get_calendar(calendar_request)
print(cal_dates)
bar_request = StockBarsRequest(symbol_or_symbols="BAC",timeframe=TimeFrame.Day, start=datetime_object_from, end=datetime_object_to, feed=DataFeed.SIP)
datetime_object_from = datetime.datetime(2024, 3, 9, 13, 29, 00, tzinfo=datetime.timezone.utc)
datetime_object_to = datetime.datetime(2024, 3, 11, 20, 1, 00, tzinfo=datetime.timezone.utc)
# calendar_request = GetCalendarRequest(start=datetime_object_from,end=datetime_object_to)
# cal_dates = clientTrading.get_calendar(calendar_request)
# print(cal_dates)
bar_request = StockBarsRequest(symbol_or_symbols="BAC",timeframe=TimeFrame.Minute, start=datetime_object_from, end=datetime_object_to, feed=DataFeed.SIP)
# bars = client.get_stock_bars(bar_request).df

3
v2realbot/ENTRY_ClassicSL_v01.py
View File

@ -115,6 +115,9 @@ def init(state: StrategyState):
#models
state.vars.loaded_models = {}
#state attributes for martingale sizing mngmt
state.vars["martingale"] = dict(cont_loss_series_cnt=0)
#INITIALIZE CBAR INDICATORS - do vlastni funkce
#state.cbar_indicators['ivwap'] = []
state.vars.last_tick_price = 0

24
v2realbot/backtesting/backtester.py
View File

@ -40,7 +40,7 @@
from uuid import UUID, uuid4
from alpaca.trading.enums import OrderSide, OrderStatus, TradeEvent, OrderType
from v2realbot.common.model import TradeUpdate, Order
#from rich import print
from rich import print as printanyway
import threading
import asyncio
from v2realbot.config import DATA_DIR
@ -479,11 +479,11 @@ class Backtester:
print("BT: submit order entry")
if not time or time < 0:
print("time musi byt vyplneny")
printanyway("time musi byt vyplneny")
return -1
if not size or int(size) < 0:
print("size musi byt vetsi nez 0")
printanyway("size musi byt vetsi nez 0")
return -1
if (order_type != OrderType.MARKET) and (order_type != OrderType.LIMIT):
@ -491,11 +491,11 @@ class Backtester:
return -1
if not side == OrderSide.BUY and not side == OrderSide.SELL:
print("side buy/sell required")
printanyway("side buy/sell required")
return -1
if order_type == OrderType.LIMIT and count_decimals(price) > 2:
print("only 2 decimals supported", price)
printanyway("only 2 decimals supported", price)
return -1
#pokud neexistuje klic v accountu vytvorime si ho
@ -517,14 +517,14 @@ class Backtester:
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)
printanyway("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)))
printanyway("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
@ -543,14 +543,14 @@ class Backtester:
#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)
printanyway("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)))
printanyway("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())
@ -577,11 +577,11 @@ class Backtester:
print("BT: replace order entry",id,size,price)
if not price and not size:
print("size or price required")
printanyway("size or price required")
return -1
if len(self.open_orders) == 0:
print("BT: order doesnt exist")
printanyway("BT: order doesnt exist")
return 0
#with lock:
for o in self.open_orders:
@ -609,7 +609,7 @@ class Backtester:
"""
print("BT: cancel order entry",id)
if len(self.open_orders) == 0:
print("BTC: order doesnt exist")
printanyway("BTC: order doesnt exist")
return 0
#with lock:
for o in self.open_orders:

86
v2realbot/common/model.py
View File

@ -94,12 +94,12 @@ class TestList(BaseModel):
class Trade(BaseModel):
symbol: str
timestamp: datetime
exchange: Optional[Union[Exchange, str]]
exchange: Optional[Union[Exchange, str]] = None
price: float
size: float
id: int
conditions: Optional[List[str]]
tape: Optional[str]
conditions: Optional[List[str]] = None
tape: Optional[str] = None
#persisted object in pickle
@ -114,8 +114,20 @@ class StrategyInstance(BaseModel):
close_rush: int = 0
stratvars_conf: str
add_data_conf: str
note: Optional[str]
history: Optional[str]
note: Optional[str] = None
history: Optional[str] = None
def __setstate__(self, state: dict[Any, Any]) -> None:
"""
Hack to allow unpickling models stored from pydantic V1
"""
state.setdefault("__pydantic_extra__", {})
state.setdefault("__pydantic_private__", {})
if "__pydantic_fields_set__" not in state:
state["__pydantic_fields_set__"] = state.get("__fields_set__")
super().__setstate__(state)
class RunRequest(BaseModel):
id: UUID
@ -125,8 +137,8 @@ class RunRequest(BaseModel):
debug: bool = False
strat_json: Optional[str] = None
ilog_save: bool = False
bt_from: datetime = None
bt_to: datetime = None
bt_from: Optional[datetime] = None
bt_to: Optional[datetime] = None
#weekdays filter
#pokud je uvedeny filtrujeme tyto dny
weekdays_filter: Optional[list] = None
@ -147,8 +159,8 @@ class RunManagerRecord(BaseModel):
mode: Mode
note: Optional[str] = None
ilog_save: bool = False
bt_from: datetime = None
bt_to: datetime = None
bt_from: Optional[datetime] = None
bt_to: Optional[datetime] = None
#weekdays filter
#pokud je uvedeny filtrujeme tyto dny
weekdays_filter: Optional[list] = None #list of strings 0-6 representing days to run
@ -156,9 +168,9 @@ class RunManagerRecord(BaseModel):
batch_id: Optional[str] = None
testlist_id: Optional[str] = None
start_time: str #time (HH:MM) that start function is called
stop_time: Optional[str] #time (HH:MM) that stop function is called
stop_time: Optional[str] = None #time (HH:MM) that stop function is called
status: SchedulerStatus
last_processed: Optional[datetime]
last_processed: Optional[datetime] = None
history: Optional[str] = None
valid_from: Optional[datetime] = None # US East time zone daetime
valid_to: Optional[datetime] = None # US East time zone daetime
@ -193,10 +205,10 @@ class Runner(BaseModel):
run_name: Optional[str] = None
run_note: Optional[str] = None
run_ilog_save: Optional[bool] = False
run_trade_count: Optional[int]
run_profit: Optional[float]
run_positions: Optional[int]
run_avgp: Optional[float]
run_trade_count: Optional[int] = None
run_profit: Optional[float] = None
run_positions: Optional[int] = None
run_avgp: Optional[float] = None
run_strat_json: Optional[str] = None
run_stopped: Optional[datetime] = None
run_paused: Optional[datetime] = None
@ -230,41 +242,41 @@ class Bar(BaseModel):
low: float
close: float
volume: float
trade_count: Optional[float]
vwap: Optional[float]
trade_count: Optional[float] = 0
vwap: Optional[float] = 0
class Order(BaseModel):
id: UUID
submitted_at: datetime
filled_at: Optional[datetime]
canceled_at: Optional[datetime]
filled_at: Optional[datetime] = None
canceled_at: Optional[datetime] = None
symbol: str
qty: int
status: OrderStatus
order_type: OrderType
filled_qty: Optional[int]
filled_avg_price: Optional[float]
filled_qty: Optional[int] = None
filled_avg_price: Optional[float] = None
side: OrderSide
limit_price: Optional[float]
limit_price: Optional[float] = None
#entita pro kazdy kompletni FILL, je navazana na prescribed_trade
class TradeUpdate(BaseModel):
event: Union[TradeEvent, str]
execution_id: Optional[UUID]
execution_id: Optional[UUID] = None
order: Order
timestamp: datetime
position_qty: Optional[float]
price: Optional[float]
qty: Optional[float]
value: Optional[float]
cash: Optional[float]
pos_avg_price: Optional[float]
profit: Optional[float]
profit_sum: Optional[float]
rel_profit: Optional[float]
rel_profit_cum: Optional[float]
signal_name: Optional[str]
prescribed_trade_id: Optional[str]
position_qty: Optional[float] = None
price: Optional[float] = None
qty: Optional[float] = None
value: Optional[float] = None
cash: Optional[float] = None
pos_avg_price: Optional[float] = None
profit: Optional[float] = None
profit_sum: Optional[float] = None
rel_profit: Optional[float] = None
rel_profit_cum: Optional[float] = None
signal_name: Optional[str] = None
prescribed_trade_id: Optional[str] = None
class RunArchiveChange(BaseModel):
@ -332,7 +344,7 @@ class RunArchiveViewPagination(BaseModel):
#trida pro ukladani historie stoplossy do ext_data
class SLHistory(BaseModel):
id: Optional[UUID]
id: Optional[UUID] = None
time: datetime
sl_val: float
@ -345,7 +357,7 @@ class RunArchiveDetail(BaseModel):
indicators: List[dict]
statinds: dict
trades: List[TradeUpdate]
ext_data: Optional[dict]
ext_data: Optional[dict] = None
class InstantIndicator(BaseModel):

2
v2realbot/controller/services.py
View File

@ -1896,7 +1896,7 @@ def get_alpaca_history_bars(symbol: str, datetime_object_from: datetime, datetim
# Workaround of error when no data foun d AttributeError and has the specific message
if isinstance(e, AttributeError) and str(e) == "'NoneType' object has no attribute 'items'":
print("Caught the specific AttributeError: 'NoneType' object has no attribute 'items' means NO DATA FOUND")
#print(str(e) + format_exc())
print(str(e) + format_exc())
return 0, result
else:
print(str(e) + format_exc())

29
v2realbot/interfaces/live_interface.py
View File

@ -40,7 +40,9 @@ class LiveInterface(GeneralInterface):
return market_order.id
except Exception as e:
print("Nepodarilo se odeslat buy", str(e))
reason = "Nepodarilo se market buy:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
return -1
"""buy limit"""
@ -65,7 +67,9 @@ class LiveInterface(GeneralInterface):
return limit_order.id
except Exception as e:
print("Nepodarilo se odeslat limitku", str(e))
reason = "Nepodarilo se odeslat buy limitku:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
return -1
"""sell market"""
@ -87,7 +91,9 @@ class LiveInterface(GeneralInterface):
return market_order.id
except Exception as e:
print("Nepodarilo se odeslat sell", str(e))
reason = "Nepodarilo se odeslat sell:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
return -1
"""sell limit"""
@ -112,8 +118,9 @@ class LiveInterface(GeneralInterface):
return limit_order.id
except Exception as e:
print("Nepodarilo se odeslat sell_l", str(e))
#raise Exception(e)
reason = "Nepodarilo se odeslat sell limitku:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
return -1
"""order replace"""
@ -136,7 +143,9 @@ class LiveInterface(GeneralInterface):
if e.code == 42210000: return orderid
else:
##mozna tady proste vracet vzdy ok
print("Neslo nahradit profitku. Problem",str(e))
reason = "Neslo nahradit profitku. Problem:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
return -1
#raise Exception(e)
@ -150,7 +159,9 @@ class LiveInterface(GeneralInterface):
#order doesnt exist
if e.code == 40410000: return 0
else:
print("nepovedlo se zrusit objednavku", str(e))
reason = "Nepovedlo se zrusit objednavku:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
#raise Exception(e)
return -1
@ -178,7 +189,9 @@ class LiveInterface(GeneralInterface):
#list of Orders (orderlist[0].id)
return orderlist
except Exception as e:
print("Chyba pri dotazeni objednávek.", str(e))
reason = "Chyba pri dotazeni objednávek:" + str(e) + format_exc()
print(reason)
send_to_telegram(reason)
#raise Exception (e)
return -1

3
v2realbot/main.py
View File

@ -690,7 +690,8 @@ def _generate_analysis(analyzerInputs: AnalyzerInputs):
if res == 0: return StreamingResponse(stream, media_type="image/png")
elif res < 0:
raise HTTPException(status_code=status.HTTP_406_NOT_ACCEPTABLE, detail=f"Error: {res}:{id}")
print("Error when generating analysis: ",str(stream))
raise HTTPException(status_code=status.HTTP_406_NOT_ACCEPTABLE, detail=f"Error: {res}:{stream}")
except Exception as e:
raise HTTPException(status_code=status.HTTP_406_NOT_ACCEPTABLE, detail=f"Error: {str(e)}" + format_exc())

18
v2realbot/strategy/StrategyClassicSL.py
View File

@ -9,7 +9,7 @@ from alpaca.trading.enums import TradeEvent, OrderStatus
from v2realbot.indicators.indicators import ema
import orjson
from datetime import datetime
#from rich import print
from rich import print as printanyway
from random import randrange
from alpaca.common.exceptions import APIError
import numpy as np
@ -153,6 +153,10 @@ class StrategyClassicSL(Strategy):
self.state.rel_profit_cum.append(rel_profit)
rel_profit_cum_calculated = round(np.sum(self.state.rel_profit_cum),5)
#pro martingale updatujeme loss_series_cnt
self.state.vars["martingale"]["cont_loss_series_cnt"] = 0 if rel_profit > 0 else self.state.vars["martingale"]["cont_loss_series_cnt"]+1
self.state.ilog(lvl=1, e=f"update cont_loss_series_cnt na {self.state.vars['martingale']['cont_loss_series_cnt']}")
self.state.ilog(e=f"BUY notif - SHORT PROFIT: {partial_exit=} {partial_last=} {round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum=str(self.state.rel_profit_cum), bought_amount=bought_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
#zapsat profit do prescr.trades
@ -298,6 +302,10 @@ class StrategyClassicSL(Strategy):
self.state.rel_profit_cum.append(rel_profit)
rel_profit_cum_calculated = round(np.sum(self.state.rel_profit_cum),5)
#pro martingale updatujeme loss_series_cnt
self.state.vars["martingale"]["cont_loss_series_cnt"] = 0 if rel_profit > 0 else self.state.vars["martingale"]["cont_loss_series_cnt"]+1
self.state.ilog(lvl=1, e=f"update cont_loss_series_cnt na {self.state.vars['martingale']['cont_loss_series_cnt']}")
self.state.ilog(e=f"SELL notif - LONG PROFIT {partial_exit=} {partial_last=}:{round(float(trade_profit),3)} celkem:{round(float(self.state.profit),3)} rel:{float(rel_profit)} rel_cum:{round(rel_profit_cum_calculated,7)}", msg=str(data.event), rel_profit_cum = str(self.state.rel_profit_cum), sold_amount=sold_amount, avg_costs=avg_costs, trade_qty=data.qty, trade_price=data.price, orderid=str(data.order.id))
#zapsat profit do prescr.trades
@ -423,12 +431,12 @@ class StrategyClassicSL(Strategy):
#jde o uzavreni short pozice
if int(self.state.positions) < 0 and (int(self.state.positions) + int(sizer)) > 0:
self.state.ilog(e="buy nelze nakoupit vic nez shortuji", positions=self.state.positions, size=size)
print("buy nelze nakoupit vic nez shortuji")
printanyway("buy nelze nakoupit vic nez shortuji")
return -2
if int(self.state.positions) >= self.state.vars.maxpozic:
self.state.ilog(e="buy Maxim mnozstvi naplneno", positions=self.state.positions)
print("max mnostvi naplneno")
printanyway("max mnostvi naplneno")
return 0
self.state.blockbuy = 1
@ -447,13 +455,13 @@ class StrategyClassicSL(Strategy):
#jde o uzavreni long pozice
if int(self.state.positions) > 0 and (int(self.state.positions) - int(size)) < 0:
self.state.ilog(e="nelze prodat vic nez longuji", positions=self.state.positions, size=size)
print("nelze prodat vic nez longuji")
printanyway("nelze prodat vic nez longuji")
return -2
#pokud shortuji a mam max pozic
if int(self.state.positions) < 0 and abs(int(self.state.positions)) >= self.state.vars.maxpozic:
self.state.ilog(e="short - Maxim mnozstvi naplneno", positions=self.state.positions, size=size)
print("max mnostvi naplneno")
printanyway("short - Maxim mnozstvi naplneno")
return 0
#self.state.blocksell = 1

1
v2realbot/strategyblocks/newtrade/prescribedtrades.py
View File

@ -78,6 +78,7 @@ def execute_prescribed_trades(state: StrategyState, data):
size = state.vars.chunk
res = state.sell(size=size)
if isinstance(res, int) and res < 0:
print(f"error in required operation SHORT {res}")
raise Exception(f"error in required operation SHORT {res}")
#defaultní goalprice nastavujeme az v notifikaci

13
v2realbot/strategyblocks/newtrade/sizing.py
View File

@ -147,7 +147,18 @@ def get_multiplier(state: StrategyState, data, signaloptions: dict, direction: T
multiplier = f(input_value)
state.ilog(lvl=1,e=f"SIZER - Interpolated value {multiplier}", input_value=input_value, pattern_source_axis=pattern_source_axis, pattern_size_axis=pattern_size_axis, options=options, time=state.time)
if multiplier > 1 or multiplier <= 0:
martingale_enabled = utls.safe_get(options, "martingale_enabled", False)
#pocet ztrátových obchodů v řadě mi udává multiplikátor (0 - 1, 1 ztráta 2x, 3 v řadě - 4x atp.)
if martingale_enabled:
cont_loss_series_cnt = state.vars["martingale"]["cont_loss_series_cnt"]
if cont_loss_series_cnt == 0:
multiplier = 1
else:
multiplier = 2 ** cont_loss_series_cnt
state.ilog(lvl=1,e=f"SIZER - MARTINGALE {multiplier}", options=options, time=state.time, cont_loss_series_cnt=cont_loss_series_cnt)
if (martingale_enabled is False and multiplier > 1) or multiplier <= 0:
state.ilog(lvl=1,e=f"SIZER - Mame nekde problem MULTIPLIER mimo RANGE ERROR {multiplier}", options=options, time=state.time)
multiplier = 1
return multiplier

10
v2realbot/utils/utils.py
View File

@ -74,6 +74,16 @@ def fetch_calendar_data(start, end, max_retries=5, backoff_factor=1):
:return: Calendar data.
:raises: ConnectionError if all retries fail.
"""
# Ensure start and end are of type datetime.date
if isinstance(start, datetime):
start = start.date()
if isinstance(end, datetime):
end = end.date()
# Verify that start and end are datetime.date objects after conversion
if not all([isinstance(start, date), isinstance(end, date)]):
raise ValueError("start and end must be datetime.date objects")
clientTrading = TradingClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=False)
calendar_request = GetCalendarRequest(start=start, end=end)
last_exception = None