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

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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
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v2realbot/loader/aggregator.py
+9 -9
View File
@@ -11,10 +11,10 @@ import threading
from copy import deepcopy
from msgpack import unpackb
import os
from v2realbot.config import DATA_DIR, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, AGG_EXCLUDED_TRADES
import pickle
from v2realbot.config import DATA_DIR
import dill
import gzip
import v2realbot.utils.config_handler as cfh
class TradeAggregator:
def __init__(self,
@@ -25,7 +25,7 @@ class TradeAggregator:
align: StartBarAlign = StartBarAlign.ROUND,
mintick: int = 0,
exthours: bool = False,
excludes: list = AGG_EXCLUDED_TRADES,
excludes: list = cfh.config_handler.get_val('AGG_EXCLUDED_TRADES'),
skip_cache: bool = False):
"""
UPDATED VERSION - vrací více záznamů
@@ -293,7 +293,7 @@ class TradeAggregator:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
if float(data['t']) - float(self.lasttimestamp) < cfh.config_handler.get_val('GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'):
self.trades_too_close = True
else:
self.trades_too_close = False
@@ -540,7 +540,7 @@ class TradeAggregator:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
if float(data['t']) - float(self.lasttimestamp) < cfh.config_handler.get_val('GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'):
self.trades_too_close = True
else:
self.trades_too_close = False
@@ -712,7 +712,7 @@ class TradeAggregator:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
if float(data['t']) - float(self.lasttimestamp) < cfh.config_handler.get_val('GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'):
self.trades_too_close = True
else:
self.trades_too_close = False
@@ -872,7 +872,7 @@ class TradeAggregator:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
if float(data['t']) - float(self.lasttimestamp) < cfh.config_handler.get_val('GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN'):
self.trades_too_close = True
else:
self.trades_too_close = False
@@ -968,7 +968,7 @@ class TradeAggregator2Queue(TradeAggregator):
Child of TradeAggregator - sends items to given queue
In the future others will be added - TradeAggToTxT etc.
"""
def __init__(self, symbol: str, queue: Queue, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False, excludes: list = AGG_EXCLUDED_TRADES, skip_cache: bool = False):
def __init__(self, symbol: str, queue: Queue, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False, excludes: list = cfh.config_handler.get_val('AGG_EXCLUDED_TRADES'), skip_cache: bool = False):
super().__init__(rectype=rectype, resolution=resolution, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours, excludes=excludes, skip_cache=skip_cache)
self.queue = queue
self.symbol = symbol
@@ -1013,7 +1013,7 @@ class TradeAggregator2List(TradeAggregator):
""""
stores records to the list
"""
def __init__(self, symbol: str, btdata: list, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False, excludes: list = AGG_EXCLUDED_TRADES, skip_cache: bool = False):
def __init__(self, symbol: str, btdata: list, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False, excludes: list = cfh.config_handler.get_val('AGG_EXCLUDED_TRADES'), skip_cache: bool = False):
super().__init__(rectype=rectype, resolution=resolution, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours, excludes=excludes, skip_cache=skip_cache)
self.btdata = btdata
self.symbol = symbol
v2realbot/loader/trade_offline_streamer.py
+10 -5
View File
@@ -2,7 +2,7 @@ from v2realbot.loader.aggregator import TradeAggregator, TradeAggregator2List, T
#from v2realbot.loader.cacher import get_cached_agg_data
from alpaca.trading.requests import GetCalendarRequest
from alpaca.data.live import StockDataStream
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, DATA_DIR, OFFLINE_MODE, LIVE_DATA_FEED
from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, DATA_DIR
from alpaca.data.enums import DataFeed
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockLatestQuoteRequest, StockBarsRequest, StockTradesRequest
@@ -26,6 +26,7 @@ import time
from traceback import format_exc
from collections import defaultdict
import requests
import v2realbot.utils.config_handler as cfh
"""
Trade offline data streamer, based on Alpaca historical data.
"""
@@ -103,6 +104,8 @@ class Trade_Offline_Streamer(Thread):
print("call add streams to queue first")
return 0
cfh.config_handler.print_current_config()
#iterujeme nad streamy
for i in self.streams:
self.uniquesymbols.add(i.symbol)
@@ -136,8 +139,8 @@ class Trade_Offline_Streamer(Thread):
#datetime.fromtimestamp(data['updated']).astimezone(zoneNY))
#REFACTOR STARTS HERE
#print(f"{self.time_from=} {self.time_to=}")
if OFFLINE_MODE:
if cfh.config_handler.get_val('OFFLINE_MODE'):
#just one day - same like time_from
den = str(self.time_to.date())
bt_day = Calendar(date=den,open="9:30",close="16:00")
@@ -149,6 +152,8 @@ class Trade_Offline_Streamer(Thread):
#zatim podpora pouze main session
live_data_feed = cfh.config_handler.get_val('LIVE_DATA_FEED')
#zatim podpora pouze 1 symbolu, predelat na froloop vsech symbolu ze symbpole
#minimalni jednotka pro CACHE je 1 den - a to jen marketopen to marketclose (extended hours not supported yet)
for day in cal_dates:
@@ -194,7 +199,7 @@ class Trade_Offline_Streamer(Thread):
#cache resime jen kdyz backtestujeme cely den a mame sip datapoint (iex necachujeme)
#pokud ne tak ani necteme, ani nezapisujeme do cache
if (self.time_to >= day.close and self.time_from <= day.open) and LIVE_DATA_FEED == DataFeed.SIP:
if (self.time_to >= day.close and self.time_from <= day.open) and live_data_feed == DataFeed.SIP:
#tento odstavec obchazime pokud je nastaveno "dont_use_cache"
stream_btdata = self.to_run[symbpole[0]][0]
cache_btdata, file_btdata = stream_btdata.get_cache(day.open, day.close)
@@ -251,7 +256,7 @@ class Trade_Offline_Streamer(Thread):
print("Remote Fetch DAY DATA Complete", day.open, day.close)
#pokud jde o dnešní den a nebyl konec trhu tak cache neukládáme, pripadne pri iex datapointu necachujeme
if (day.open < datetime.now().astimezone(zoneNY) < day.close) or LIVE_DATA_FEED == DataFeed.IEX:
if (day.open < datetime.now().astimezone(zoneNY) < day.close) or live_data_feed == DataFeed.IEX:
print("not saving trade cache, market still open today or IEX datapoint")
#ic(datetime.now().astimezone(zoneNY))
#ic(day.open, day.close)
v2realbot/loader/trade_ws_streamer.py
+18 -4
View File
@@ -4,7 +4,7 @@
"""
from v2realbot.loader.aggregator import TradeAggregator2Queue
from alpaca.data.live import StockDataStream
from v2realbot.config import LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, LIVE_DATA_FEED
from v2realbot.config import LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY
from alpaca.data.historical import StockHistoricalDataClient
from alpaca.data.requests import StockLatestQuoteRequest, StockBarsRequest, StockTradesRequest
from threading import Thread, current_thread
@@ -12,6 +12,7 @@ from v2realbot.utils.utils import parse_alpaca_timestamp, ltp
from datetime import datetime, timedelta
from threading import Thread, Lock
from msgpack import packb
import v2realbot.utils.config_handler as cfh
"""
Shared streamer (can be shared amongst concurrently running strategies)
@@ -19,11 +20,12 @@ from msgpack import packb
by strategies
"""
class Trade_WS_Streamer(Thread):
live_data_feed = cfh.config_handler.get_val('LIVE_DATA_FEED')
##tento ws streamer je pouze jeden pro vsechny, tzn. vyuziváme natvrdo placena data primarniho uctu (nezalezi jestli paper nebo live)
msg = f"Realtime Websocket connection will use FEED: {LIVE_DATA_FEED} and credential of ACCOUNT1"
msg = f"Realtime Websocket connection will use FEED: {live_data_feed} and credential of ACCOUNT1"
print(msg)
client = StockDataStream(LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, raw_data=True, websocket_params={}, feed=LIVE_DATA_FEED)
#cfh.config_handler.print_current_config()
client = StockDataStream(LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, raw_data=True, websocket_params={}, feed=live_data_feed)
#uniquesymbols = set()
_streams = []
#to_run = dict()
@@ -45,6 +47,18 @@ class Trade_WS_Streamer(Thread):
Trade_WS_Streamer._streams.append(obj)
if Trade_WS_Streamer.client._running is False:
print("websocket zatim nebezi, pouze pridavame do pole")
#zde delame refresh clienta (pokud se zmenilo live_data_feed)
# live_data_feed = cfh.config_handler.get_val('LIVE_DATA_FEED')
# #po otestování přepnout jen pokud se live_data_feed změnil
# #if live_data_feed != Trade_WS_Streamer.live_data_feed:
# # Trade_WS_Streamer.live_data_feed = live_data_feed
# msg = f"REFRESH OF CLIENT! Realtime Websocket connection will use FEED: {live_data_feed} and credential of ACCOUNT1"
# print(msg)
# #cfh.config_handler.print_current_config()
# Trade_WS_Streamer.client = StockDataStream(LIVE_DATA_API_KEY, LIVE_DATA_SECRET_KEY, raw_data=True, websocket_params={}, feed=live_data_feed)
else:
print("websocket client bezi")
if self.symbol_exists(obj.symbol):