dwker/v2realbot
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

#148 #158 config refactoring to support profiles/reloading (#165)

Browse Source
This commit is contained in:
David Brazda
2024-03-06 14:30:24 +01:00
committed by GitHub
parent 9cff5fe6a1
commit 9391d89aab
21 changed files with 425 additions and 181 deletions
Download Patch File Download Diff File Expand all files Collapse all files

61
v2realbot/backtesting/backtester.py
View File

@ -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, DATA_DIR, BT_FILL_CONDITION_BUY_LIMIT, BT_FILL_CONDITION_SELL_LIMIT, BT_FILL_LOG_SURROUNDING_TRADES, BT_FILL_CONS_TRADES_REQUIRED,BT_FILL_PRICE_MARKET_ORDER_PREMIUM
from v2realbot.config import DATA_DIR
from v2realbot.utils.utils import AttributeDict, ltp, zoneNY, trunc, count_decimals, print
from v2realbot.utils.tlog import tlog
from v2realbot.enums.enums import FillCondition
@ -60,6 +60,7 @@ 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
import v2realbot.utils.config_handler as cfh
""""
LATENCY DELAYS
.000 trigger - last_trade_time (.4246266)
@ -171,7 +172,7 @@ class Backtester:
todel.append(order)
elif not self.symbol or order.symbol == self.symbol:
#pricteme mininimalni latency od submittu k fillu
if order.submitted_at.timestamp() + BT_DELAYS.sub_to_fill > float(intime):
if order.submitted_at.timestamp() + cfh.config_handler.get_val('BT_DELAYS','sub_to_fill') > float(intime):
print(f"too soon for {order.id}")
#try to execute
else:
@ -197,7 +198,7 @@ class Backtester:
#Mazeme, jinak je to hruza
#nechavame na konci trady, které muzeme potrebovat pro consekutivni pravidlo
#osetrujeme, kdy je malo tradu a oriznuti by slo do zaporu
del_to_index = index_end-2-BT_FILL_CONS_TRADES_REQUIRED
del_to_index = index_end-2-cfh.config_handler.get_val('BT_FILL_CONS_TRADES_REQUIRED')
del_to_index = del_to_index if del_to_index > 0 else 0
del self.btdata[0:del_to_index]
##ic("after delete",len(self.btdata[0:index_end]))
@ -218,7 +219,7 @@ class Backtester:
fill_time = None
fill_price = None
order_min_fill_time = o.submitted_at.timestamp() + BT_DELAYS.sub_to_fill
order_min_fill_time = o.submitted_at.timestamp() + cfh.config_handler.get_val('BT_DELAYS','sub_to_fill')
#ic(order_min_fill_time)
#ic(len(work_range))
@ -240,17 +241,18 @@ class Backtester:
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] <= o.limit_price
slow_fill_condition = i[1] < o.limit_price
if BT_FILL_CONDITION_BUY_LIMIT == FillCondition.FAST:
fill_cond_buy_limit = cfh.config_handler.get_val('BT_FILL_CONDITION_BUY_LIMIT')
if fill_cond_buy_limit == FillCondition.FAST:
fill_condition = fast_fill_condition
elif BT_FILL_CONDITION_BUY_LIMIT == FillCondition.SLOW:
elif fill_cond_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:
if float(i[0]) > float(order_min_fill_time+cfh.config_handler.get_val('BT_DELAYS','limit_order_offset')) and fill_condition:
consec_cnt += 1
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
if consec_cnt == cfh.config_handler.get_val('BT_FILL_CONS_TRADES_REQUIRED'):
#(1679081919.381649, 27.88)
#ic(i)
@ -261,10 +263,10 @@ class Backtester:
#fill_price = i[1]
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if BT_FILL_LOG_SURROUNDING_TRADES != 0:
if cfh.config_handler.get_val('BT_FILL_LOG_SURROUNDING_TRADES') != 0:
#TODO loguru
print("FILL SURR TRADES: before",work_range[index-BT_FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: fill and after",work_range[index:index+BT_FILL_LOG_SURROUNDING_TRADES])
print("FILL SURR TRADES: before",work_range[index-cfh.config_handler.get_val('BT_FILL_LOG_SURROUNDING_TRADES'):index])
print("FILL SURR TRADES: fill and after",work_range[index:index+cfh.config_handler.get_val('BT_FILL_LOG_SURROUNDING_TRADES')])
break
else:
consec_cnt = 0
@ -275,17 +277,18 @@ class Backtester:
#NASTVENI PODMINEK PLNENI
fast_fill_condition = i[1] >= o.limit_price
slow_fill_condition = i[1] > o.limit_price
if BT_FILL_CONDITION_SELL_LIMIT == FillCondition.FAST:
fill_conf_sell_cfg = cfh.config_handler.get_val('BT_FILL_CONDITION_SELL_LIMIT')
if fill_conf_sell_cfg == FillCondition.FAST:
fill_condition = fast_fill_condition
elif BT_FILL_CONDITION_SELL_LIMIT == FillCondition.SLOW:
elif fill_conf_sell_cfg == 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:
if float(i[0]) > float(order_min_fill_time+cfh.config_handler.get_val('BT_DELAYS','limit_order_offset')) and fill_condition:
consec_cnt += 1
if consec_cnt == BT_FILL_CONS_TRADES_REQUIRED:
if consec_cnt == cfh.config_handler.get_val('BT_FILL_CONS_TRADES_REQUIRED'):
#(1679081919.381649, 27.88)
#ic(i)
fill_time = i[0]
@ -297,10 +300,11 @@ class Backtester:
#fill_price = i[1]
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if BT_FILL_LOG_SURROUNDING_TRADES != 0:
surr_trades_cfg = cfh.config_handler.get_val('BT_FILL_LOG_SURROUNDING_TRADES')
if surr_trades_cfg != 0:
#TODO loguru
print("FILL SELL SURR TRADES: before",work_range[index-BT_FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+BT_FILL_LOG_SURROUNDING_TRADES])
print("FILL SELL SURR TRADES: before",work_range[index-surr_trades_cfg:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+surr_trades_cfg])
break
else:
consec_cnt = 0
@ -314,11 +318,16 @@ class Backtester:
#ic(i)
fill_time = i[0]
fill_price = i[1]
#přičteme MARKET PREMIUM z konfigurace (do budoucna mozna rozdilne pro BUY/SELL a nebo mozna z konfigurace pro dany itutl)
#přičteme MARKET PREMIUM z konfigurace (je v pct nebo abs) (do budoucna mozna rozdilne pro BUY/SELL a nebo mozna z konfigurace pro dany titul)
cfg_premium = cfh.config_handler.get_val('BT_FILL_PRICE_MARKET_ORDER_PREMIUM')
if cfg_premium < 0: #configured as percentage
premium = abs(cfg_premium) * fill_price / 100.0
else: #configured as absolute value
premium = cfg_premium
if o.side == OrderSide.BUY:
fill_price = fill_price + BT_FILL_PRICE_MARKET_ORDER_PREMIUM
fill_price = fill_price + premium
elif o.side == OrderSide.SELL:
fill_price = fill_price - BT_FILL_PRICE_MARKET_ORDER_PREMIUM
fill_price = fill_price - premium
print("FILL ",o.side,"MARKET at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "cena", i[1])
break
@ -367,7 +376,7 @@ class Backtester:
def _do_notification_with_callbacks(self, tradeupdate: TradeUpdate, time: float):
#do callbacku je třeba zpropagovat filltime čas (včetně latency pro notifikaci), aby se pripadne akce v callbacku udály s tímto časem
self.time = time + float(BT_DELAYS.fill_to_not)
self.time = time + float(cfh.config_handler.get_val('BT_DELAYS','fill_to_not'))
print("current bt.time",self.time)
#print("FILL NOTIFICATION: ", tradeupdate)
res = asyncio.run(self.order_fill_callback(tradeupdate))
@ -820,10 +829,10 @@ class Backtester:
Trades:''' + str(len(self.trades)))
textik8 = html.Div('''
Profit:''' + str(state.profit))
textik9 = html.Div(f"{BT_FILL_CONS_TRADES_REQUIRED=}")
textik10 = html.Div(f"{BT_FILL_LOG_SURROUNDING_TRADES=}")
textik11 = html.Div(f"{BT_FILL_CONDITION_BUY_LIMIT=}")
textik12 = html.Div(f"{BT_FILL_CONDITION_SELL_LIMIT=}")
textik9 = html.Div(f"{cfh.config_handler.get_val('BT_FILL_CONS_TRADES_REQUIRED')=}")
textik10 = html.Div(f"{cfh.config_handler.get_val('BT_FILL_LOG_SURROUNDING_TRADES')=}")
textik11 = html.Div(f"{cfh.config_handler.get_val('BT_FILL_CONDITION_BUY_LIMIT')=}")
textik12 = html.Div(f"{cfh.config_handler.get_val('BT_FILL_CONDITION_SELL_LIMIT')=}")
orders_title = dcc.Markdown('## Open orders')
trades_title = dcc.Markdown('## Trades')