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inject stratvars

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This commit is contained in:
David Brazda
2023-04-14 12:06:37 +02:00
parent a1aa1c3f75
commit 8f7ca4a8b2
16 changed files with 144 additions and 57 deletions
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50
testy/changeDict.py Normal file
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@ -0,0 +1,50 @@
from v2realbot.utils.utils import AttributeDict
stratvars_parsed_old = AttributeDict(maxpozic = 250,
chunk = 10,
MA = 3,
Trend = 3,
profit = 0.02,
lastbuyindex=-6,
pendingbuys={},
limitka = None,
jevylozeno=0,
vykladka=5,
curve = [0.01, 0.01, 0.01, 0, 0.02, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01],
blockbuy = 0,
ticks2reset = 0.04)
stratvars_parsed_new = AttributeDict(maxpozic = 250,
chunk = 10,
MA = 3,
Trend = 3,
profit = 0.02,
lastbuyindex=-6,
pendingbuys={},
limitka = None,
jevylozeno=0,
vykladka=5,
curve = [0.01, 0.01, 0.01, 0, 0.02, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01],
blockbuy = 0,
ticks2reset = 0.04)
STRATVARS_UNCHANGEABLES = ['pendingbuys', 'blockbuy', 'jevylozeno', 'limitka']
changed_keys = []
#get changed values
for key,value in stratvars_parsed_new.items():
if value != stratvars_parsed_old[key]:
changed_keys.append(key)
print("changed before check", changed_keys)
#remove keys that cannot be changed
for k in changed_keys:
if k in STRATVARS_UNCHANGEABLES:
print(k, "cant be changed removing")
changed_keys.remove(k)
print("clean changed keys", changed_keys)
for k in changed_keys:
print("injecting",k, "value", stratvars_parsed_new[k])

24
testy/gethistorytrades.py
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@ -4,31 +4,29 @@ print(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
from alpaca.data.historical import CryptoHistoricalDataClient, StockHistoricalDataClient
from alpaca.data.requests import CryptoLatestTradeRequest, StockLatestTradeRequest, StockLatestBarRequest, StockTradesRequest
from alpaca.data.enums import DataFeed
from config import API_KEY, SECRET_KEY, MAX_BATCH_SIZE
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY
from v2realbot.utils.utils import zoneNY
from datetime import datetime, timezone, time, timedelta, date
import pytz
from rich import print
#práce s datumy
zone_NY = pytz.timezone('America/New_York')
parametry = {}
symbol = ["BAC"]
client = StockHistoricalDataClient(API_KEY, SECRET_KEY, raw_data=True)
datetime_object_from = datetime(2023, 3, 16, 9, 30, 0, tzinfo=zone_NY)
datetime_object_to = datetime(2023, 3, 16, 16, 00, 0, tzinfo=zone_NY)
client = StockHistoricalDataClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=True)
datetime_object_from = datetime(2023, 4, 12, 15, 45, 8, tzinfo=zoneNY)
datetime_object_to = datetime(2023, 4, 12, 15, 45, 10, tzinfo=zoneNY)
trades_request = StockTradesRequest(symbol_or_symbols=symbol, feed = DataFeed.SIP, start=datetime_object_from, end=datetime_object_to)
all_trades = client.get_stock_trades(trades_request)
#print(all_trades)
print(all_trades)
print(len(all_trades['BAC']))
# print(len(all_trades['BAC']))
# print(all_trades['BAC'])
# for i in all_trades:
# print(all_trades[i])
if __name__ == "__main__":
# bar will be invoked if this module is being run directly, but not via import!
print("hello")
# if __name__ == "__main__":
# # bar will be invoked if this module is being run directly, but not via import!
# print("hello")

8
v2realbot/ENTRY_backtest_strategyVykladaci.py
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@ -220,11 +220,11 @@ def main():
name = os.path.basename(__file__)
se = Event()
pe = Event()
s = StrategyOrderLimitVykladaci(name = name, symbol = "BAC", account=Account.ACCOUNT2, next=next, init=init, stratvars=stratvars, open_rush=40, close_rush=0, pe=pe, se=se)
s.set_mode(mode = Mode.PAPER,
s = StrategyOrderLimitVykladaci(name = name, symbol = "BAC", account=Account.ACCOUNT2, next=next, init=init, stratvars=stratvars, open_rush=10, close_rush=0, pe=pe, se=se)
s.set_mode(mode = Mode.BT,
debug = False,
start = datetime(2023, 3, 30, 9, 30, 0, 0, tzinfo=zoneNY),
end = datetime(2023, 3, 31, 16, 0, 0, 0, tzinfo=zoneNY),
start = datetime(2023, 4, 10, 9, 30, 0, 0, tzinfo=zoneNY),
end = datetime(2023, 4, 10, 9, 35, 0, 0, tzinfo=zoneNY),
cash=100000)
#na sekundovem baru nezaokrouhlovat MAcko

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v2realbot/backtesting/__pycache__/backtester.cpython-310.pyc
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19
v2realbot/backtesting/backtester.py
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@ -43,7 +43,7 @@ from v2realbot.common.model import TradeUpdate, Order
#from rich import print
import threading
import asyncio
from v2realbot.config import BT_DELAYS
from v2realbot.config import BT_DELAYS, DATA_DIR
from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals,print
from v2realbot.utils.tlog import tlog
from datetime import datetime, timedelta
@ -59,7 +59,6 @@ from v2realbot.utils.dash_save_html import make_static
import dash_bootstrap_components as dbc
from dash.dependencies import Input, Output
from dash import dcc, html, dash_table, Dash
from config import DATA_DIR
""""
LATENCY DELAYS
.000 trigger - last_trade_time (.4246266)
@ -563,8 +562,18 @@ class Backtester:
hist_df = hist_df.set_index('time', drop=False)
#indicators
ind_df = pd.DataFrame(state.indicators)
ind_df = ind_df.set_index('time', drop=False)
#TODO vyresit if no indicators or no trades - pada na ValueError protoze pole obsahuje time, ale nikoliv indikatory
#zatim jen takto workaround
#print(state.indicators)
try:
ind_df = pd.DataFrame(state.indicators)
ind_df = ind_df.set_index('time', drop=False)
except ValueError as e:
print("Value error", str(e))
state.indicators = {'time': [] }
ind_df = pd.DataFrame(state.indicators)
ind_df = ind_df.set_index('time', drop=False)
#print("Indicators", ind_df)
#print(state.indicators)
@ -801,7 +810,7 @@ class Backtester:
if n_clicks == 0:
return 'not saved'
else:
bt_dir = DATADIR + "/backtestresults/" + self.symbol + self.bp_from.strftime("%d-%m-%y-%H-%M-%S") + ' ' + self.bp_to.strftime("%d-%m-%y-%H-%M-%S") + ' ' + str(datetime.now().microsecond)
bt_dir = DATA_DIR + "/backtestresults/" + self.symbol + self.bp_from.strftime("%d-%m-%y-%H-%M-%S") + ' ' + self.bp_to.strftime("%d-%m-%y-%H-%M-%S") + ' ' + str(datetime.now().microsecond)
make_static(f'http://127.0.0.1:{port}/', bt_dir)
return 'saved'

1
v2realbot/config.py
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@ -2,6 +2,7 @@ from alpaca.data.enums import DataFeed
from v2realbot.enums.enums import Mode, Account
from appdirs import user_data_dir
STRATVARS_UNCHANGEABLES = ['pendingbuys', 'blockbuy', 'jevylozeno', 'limitka']
DATA_DIR = user_data_dir("v2realbot")
#BT DELAYS

88
v2realbot/controller/services.py
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@ -6,6 +6,7 @@ from v2realbot.common.model import StrategyInstance, Runner, RunRequest
from v2realbot.utils.utils import AttributeDict, zoneNY, dict_replace_value, Store, parse_toml_string
from datetime import datetime
from threading import Thread, current_thread, Event, enumerate
from v2realbot.config import STRATVARS_UNCHANGEABLES
import importlib
from queue import Queue
db = Store()
@ -89,42 +90,68 @@ def delete_stratin(id: UUID):
return (0, i.id)
return (-2, "not found")
def inject_stratvars(id: UUID, stratvars_parsed: AttributeDict):
def inject_stratvars(id: UUID, stratvars_parsed_new: AttributeDict, stratvars_parsed_old: AttributeDict):
for i in db.runners:
if str(i.id) == str(id):
i.run_instance.state.vars = AttributeDict(stratvars_parsed["stratvars"])
i.run_instance.stratvars = AttributeDict(stratvars_parsed["stratvars"])
return 0
return -2
#inject only those changed, some of them cannot be changed (for example pendingbuys)
changed_keys = []
#get changed values
for key,value in stratvars_parsed_new.items():
if value != stratvars_parsed_old[key]:
changed_keys.append(key)
#print("changed before check", changed_keys)
#remove keys that cannot be changed
for k in changed_keys:
if k in STRATVARS_UNCHANGEABLES:
#print(k, "cant be changed removing")
changed_keys.remove(k)
return -2, "Stratvar Key "+k+" cannot be changed"
#print("clean changed keys", changed_keys)
#inject clean keys
for k in changed_keys:
print("INJECTING ",k, "value", stratvars_parsed_new[k])
i.run_instance.state.vars[k] = stratvars_parsed_new[k]
i.run_instance.stratvars[k] = stratvars_parsed_new[k]
return 0, None
return -2, "No runners found"
#allows change of set of parameters that are possible to change while it is running
#also injects those parameters to instance
def modify_stratin_running(si: StrategyInstance, id: UUID):
#validate toml
res,stp = parse_toml_string(si.stratvars_conf)
if res < 0:
return (-1, "stratvars invalid")
for i in db.stratins:
if str(i.id) == str(id):
if not is_stratin_running(id=str(id)):
return (-1, "not running")
i.id2 = si.id2
i.name = si.name
i.open_rush = si.open_rush
i.stratvars_conf = si.stratvars_conf
i.note = si.note
i.history = si.history
db.save()
#TODO reload running strat
print(stp)
print("starting injection", stp)
res = inject_stratvars(id=si.id, stratvars_parsed=stp)
if res < 0:
print("ajajaj inject se nepovedl")
return(-3, "inject failed")
return (0, i.id)
return (-2, "not found")
#controller.reload_params(si)
try:
#validate toml
res,stp = parse_toml_string(si.stratvars_conf)
if res < 0:
return (-1, "new stratvars format invalid")
for i in db.stratins:
if str(i.id) == str(id):
if not is_stratin_running(id=str(id)):
return (-1, "not running")
res,stp_old = parse_toml_string(i.stratvars_conf)
if res < 0:
return (-1, "current stratin stratvars invalid")
#TODO reload running strat
#print(stp)
#print("starting injection", stp)
res, msg = inject_stratvars(id=si.id, stratvars_parsed_new=stp["stratvars"], stratvars_parsed_old=stp_old["stratvars"])
if res < 0:
print("ajajaj inject se nepovedl", msg)
return(-3, "inject failed: " + msg)
i.id2 = si.id2
i.name = si.name
i.open_rush = si.open_rush
i.stratvars_conf = si.stratvars_conf
i.note = si.note
i.history = si.history
db.save()
return (0, i.id)
return (-2, "not found")
except Exception as e:
return (-2, "Error Exception" + str(e))
##enable realtime chart - inject given queue for strategy instance
##webservice listens to this queue
@ -208,6 +235,7 @@ def capsule(target: object, db: object):
reason = "SHUTDOWN OK"
except Exception as e:
reason = "SHUTDOWN Exception:" + str(e)
print(reason)
finally:
# remove runners after thread is stopped and save results to stratin history
for i in db.runners:

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v2realbot/loader/__pycache__/aggregator.cpython-310.pyc
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3
v2realbot/loader/aggregator.py
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@ -77,10 +77,11 @@ class TradeAggregator:
#print(data)
##implementing fitlers - zatim natvrdo a jen tyto: size: 1, cond in [O,C,4] opening,closed a derivately priced,
## 22.3. - dal jsem pryc i contingency trades [' ', '7', 'V'] - nasel jsem obchod o 30c mimo
## dán pryč P - prior reference time + 25centu mimo, {'t': '2023-04-12T19:45:08.63257344Z', 'x': 'D', 'p': 28.68, 's': 1000, 'c': [' ', 'P'], 'i': 71693108525109, 'z': 'A'},
## Q - jsou v pohode, oteviraci trady, ale O jsou jejich duplikaty
try:
for i in data['c']:
if i in ('C','O','4','B','7','V'): return 0
if i in ('C','O','4','B','7','V','P'): return 0
except KeyError:
pass

2
v2realbot/static/index.html
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@ -228,7 +228,7 @@
</div>
<div class="form-group">
<label for="cash" class="control-label">cash</label>
<input type="number" class="form-control" id="cash" name="cash" placeholder="cash" value=0>
<input type="number" class="form-control" id="cash" name="cash" placeholder="cash" value="100000">
</div>
</div>
<div class="modal-footer">

2
v2realbot/static/js/mywebsocket.js
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@ -3,7 +3,7 @@ var ws = null;
function connect(event) {
var runnerId = document.getElementById("runnerId")
try {
ws = new WebSocket("ws://localhost:8000/runners/" + runnerId.value + "/ws?api_key=" + API_KEY);
ws = new WebSocket("ws://"+ window.location.hostname +":8000/runners/" + runnerId.value + "/ws?api_key=" + API_KEY);
}
catch (err) {
console.log("nejaky error" + err)

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v2realbot/utils/dash_save_html.py
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@ -3,7 +3,7 @@ import os
import requests
from html.parser import HTMLParser
import requests
from config import DATA_DIR
from v2realbot.config import DATA_DIR
def patch_file(file_path: str, content: bytes, extra: dict = None) -> bytes:
if file_path == 'index.html':

2
v2realbot/utils/utils.py
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@ -13,7 +13,7 @@ import os
from v2realbot.common.model import StrategyInstance, Runner
from typing import List
import tomli
from config import DATA_DIR
from v2realbot.config import DATA_DIR
#datetime to timestamp
def json_serial(obj):