optimalizace BT runu - offline loader skrz queue
This commit is contained in:
David Brazda
@ -6,15 +6,15 @@ from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, Orde
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from v2realbot.indicators.indicators import ema, natr, roc
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from v2realbot.indicators.oscillators import rsi
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from v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeStatus, TradeStoplossType
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from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, print, safe_get, round2five, is_open_rush, is_close_rush, is_still, is_window_open, eval_cond_dict, Average, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff
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from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, print, safe_get, round2five, is_open_rush, is_close_rush, is_still, is_window_open, eval_cond_dict, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff
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from v2realbot.utils.directive_utils import get_conditions_from_configuration
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from v2realbot.common.model import SLHistory
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from datetime import datetime, timedelta
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from v2realbot.config import KW
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from uuid import uuid4
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import random
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#import random
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import json
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from numpy import inf
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import numpy as np
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#from icecream import install, ic
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#from rich import print
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from threading import Event
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@ -57,7 +57,6 @@ Hlavní loop:
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- if not exit - eval optimalizations
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"""
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def next(data, state: StrategyState):
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print(10*"*","NEXT START",10*"*")
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# important vars state.avgp, state.positions, state.vars, data
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@ -808,10 +807,14 @@ def next(data, state: StrategyState):
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#ten bude prumerem hodnot lookback_offset a to tak ze polovina offsetu z kazde strany
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array_od = slope_lookback + int(lookback_offset/2)
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array_do = slope_lookback - int(lookback_offset/2)
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lookbackprice_array = state.bars.vwap[-array_od:-array_do]
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#dame na porovnani jen prumer
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lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
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#lookbackprice_array = state.bars.vwap[-array_od:-array_do]
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#lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
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#jako optimalizace pouzijeme NUMPY
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lookbackprice = np.mean(state.bars.vwap[-array_od:-array_do])
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# Round the lookback price to 3 decimal places
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lookbackprice = round(lookbackprice, 3)
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#lookbackprice = round((min(lookbackprice_array)+max(lookbackprice_array))/2,3)
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# else:
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# #puvodni lookback a od te doby dozadu offset
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@ -836,10 +839,13 @@ def next(data, state: StrategyState):
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cnt = len(state.bars.close)
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if cnt>5:
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sliced_to = int(cnt/5)
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lookbackprice= Average(state.bars.vwap[:sliced_to])
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lookbackprice = np.mean(state.bars.vwap[:sliced_to])
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#lookbackprice= Average(state.bars.vwap[:sliced_to])
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lookbacktime = state.bars.time[int(sliced_to/2)]
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else:
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lookbackprice = Average(state.bars.vwap)
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lookbackprice = np.mean(state.bars.vwap)
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#lookbackprice = Average(state.bars.vwap)
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lookbacktime = state.bars.time[0]
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state.ilog(lvl=1,e=f"IND {name} slope - not enough data bereme left bod open", slope_lookback=slope_lookback, lookbackprice=lookbackprice)
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@ -882,7 +888,7 @@ def next(data, state: StrategyState):
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if len(state.vars.last_50_deltas) >=50:
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state.vars.last_50_deltas.pop(0)
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state.vars.last_50_deltas.append(last_update_delta)
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avg_delta = Average(state.vars.last_50_deltas)
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avg_delta = np.mean(state.vars.last_50_deltas)
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state.ilog(lvl=1,e=f"-----{data['index']}-{conf_bar}--delta:{last_update_delta}---AVGdelta:{avg_delta}", data=data)
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@ -1740,6 +1746,11 @@ def next(data, state: StrategyState):
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state.ilog(lvl=1,e=f"SIGNAL {signalname} - WINDOW CLOSED", msg=f"{window_open=} {window_close=} ")
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return False
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min_bar_index = safe_get(options, "min_bar_index",safe_get(state.vars, "min_bar_index",0))
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if int(data["index"]) < int(min_bar_index):
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state.ilog(lvl=1,e=f"MIN BAR INDEX {min_bar_index} waiting - TOO SOON", currindex=data["index"])
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return False
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next_signal_offset = safe_get(options, "next_signal_offset_from_last_exit",safe_get(state.vars, "next_signal_offset_from_last_exit",0))
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if state.vars.last_exit_index is not None:
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@ -14,6 +14,7 @@ from msgpack import packb, unpackb
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import asyncio
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import os
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from traceback import format_exc
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#from codetiming import Timer
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print(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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""""
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@ -90,6 +91,7 @@ minsize=100
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exthours=false
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"""
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#@Timer(name="nextfce-timers")
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def next(data, state: StrategyState):
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print(10*"*","NEXT START",10*"*")
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#ic(state.avgp, state.positions)
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@ -25,6 +25,7 @@ from traceback import format_exc
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from datetime import timedelta, time
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from threading import Lock
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from v2realbot.common.db import pool
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#from pyinstrument import Profiler
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#adding lock to ensure thread safety of TinyDB (in future will be migrated to proper db)
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lock = Lock()
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@ -284,7 +285,11 @@ def capsule(target: object, db: object, inter_batch_params: dict = None):
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#TODO zde odchytit pripadnou exceptionu a zapsat do history
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#cil aby padnuti jedne nezpusobilo pad enginu
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try:
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# profiler = Profiler()
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# profiler.start()
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target.start()
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print("Strategy instance stopped. Update runners")
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reason = "SHUTDOWN OK"
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except Exception as e:
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@ -294,6 +299,12 @@ def capsule(target: object, db: object, inter_batch_params: dict = None):
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print(reason)
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send_to_telegram(reason)
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finally:
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# profiler.stop()
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# now = datetime.now()
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# results_file = "profiler"+now.strftime("%Y-%m-%d_%H-%M-%S")+".html"
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# with open(results_file, "w", encoding="utf-8") as f_html:
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# f_html.write(profiler.output_html())
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# remove runners after thread is stopped and save results to stratin history
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for i in db.runners:
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if i.run_instance == target:
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@ -407,7 +418,7 @@ def run_stratin(id: UUID, runReq: RunRequest, synchronous: bool = False, inter_b
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if runReq.bt_to is None:
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runReq.bt_to = datetime.now().astimezone(zoneNY)
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print("hodnota ID pred",id)
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#print("hodnota ID pred",id)
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#volani funkce instantiate_strategy
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for i in db.stratins:
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if str(i.id) == str(id):
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@ -493,9 +504,9 @@ def run_stratin(id: UUID, runReq: RunRequest, synchronous: bool = False, inter_b
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run_instance = instance,
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run_stratvars_toml=i.stratvars_conf)
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db.runners.append(runner)
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print(db.runners)
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print(i)
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print(enumerate())
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#print(db.runners)
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#print(i)
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#print(enumerate())
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#pokud spoustime v batch módu, tak čekáme na výsledek a pak pouštíme další run
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if synchronous:
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@ -584,38 +595,40 @@ def populate_metrics_output_directory(strat: StrategyInstance, inter_batch_param
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max_profit_time = None
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long_cnt = 0
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short_cnt = 0
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for trade in strat.state.vars.prescribedTrades:
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if trade.profit_sum > max_profit:
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max_profit = trade.profit_sum
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max_profit_time = trade.last_update
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if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.LONG:
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long_cnt += 1
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if trade.profit is not None:
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long_profit += trade.profit
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if trade.profit < 0:
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long_losses += trade.profit
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if trade.profit > 0:
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long_wins += trade.profit
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if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.SHORT:
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short_cnt +=1
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if trade.profit is not None:
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short_profit += trade.profit
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if trade.profit < 0:
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short_losses += trade.profit
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if trade.profit > 0:
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short_wins += trade.profit
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res["profit"]["long_cnt"] = long_cnt
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res["profit"]["short_cnt"] = short_cnt
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res["profit"]["long_profit"] = round(long_profit,2)
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res["profit"]["short_profit"] = round(short_profit,2)
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res["profit"]["long_losses"] = round(long_losses,2)
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res["profit"]["short_losses"] = round(short_losses,2)
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res["profit"]["long_wins"] = round(long_wins,2)
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res["profit"]["short_wins"] = round(short_wins,2)
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res["profit"]["max_profit"] = round(max_profit,2)
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res["profit"]["max_profit_time"] = str(max_profit_time)
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#vlozeni celeho listu
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res["prescr_trades"]=json.loads(json.dumps(strat.state.vars.prescribedTrades, default=json_serial))
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if "prescribedTrades" in strat.state.vars:
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for trade in strat.state.vars.prescribedTrades:
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if trade.profit_sum > max_profit:
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max_profit = trade.profit_sum
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max_profit_time = trade.last_update
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if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.LONG:
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long_cnt += 1
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if trade.profit is not None:
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long_profit += trade.profit
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if trade.profit < 0:
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long_losses += trade.profit
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if trade.profit > 0:
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long_wins += trade.profit
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if trade.status == TradeStatus.ACTIVATED and trade.direction == TradeDirection.SHORT:
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short_cnt +=1
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if trade.profit is not None:
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short_profit += trade.profit
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if trade.profit < 0:
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short_losses += trade.profit
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if trade.profit > 0:
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short_wins += trade.profit
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res["profit"]["long_cnt"] = long_cnt
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res["profit"]["short_cnt"] = short_cnt
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res["profit"]["long_profit"] = round(long_profit,2)
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res["profit"]["short_profit"] = round(short_profit,2)
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res["profit"]["long_losses"] = round(long_losses,2)
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res["profit"]["short_losses"] = round(short_losses,2)
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res["profit"]["long_wins"] = round(long_wins,2)
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res["profit"]["short_wins"] = round(short_wins,2)
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res["profit"]["max_profit"] = round(max_profit,2)
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res["profit"]["max_profit_time"] = str(max_profit_time)
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#vlozeni celeho listu
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res["prescr_trades"]=json.loads(json.dumps(strat.state.vars.prescribedTrades, default=json_serial))
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except NameError:
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pass
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Binary file not shown.
Binary file not shown.
@ -107,9 +107,9 @@ class TradeAggregator:
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except KeyError:
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ltp.price[symbol]=data['p']
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if float(data['p']) > float(ltp.price[symbol]) + (float(data['p'])/100*pct_off) or float(data['p']) < float(ltp.price[symbol])-(float(data['p'])/100*pct_off):
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print("ZLO", data,ltp.price[symbol])
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#DOCASNE VYPNUTO - VYMYSLET JINAK
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#if float(data['p']) > float(ltp.price[symbol]) + (float(data['p'])/100*pct_off) or float(data['p']) < float(ltp.price[symbol])-(float(data['p'])/100*pct_off):
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#print("ZLO", data,ltp.price[symbol])
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#nechavame zlo zatim projit
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##return []
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# with open("cache/wrongtrades.txt", 'a') as fp:
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@ -17,6 +17,8 @@ from msgpack import packb
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from pandas import to_datetime
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import pickle
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import os
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from rich import print
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import queue
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"""
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Trade offline data streamer, based on Alpaca historical data.
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@ -55,6 +57,7 @@ class Trade_Offline_Streamer(Thread):
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# Override the run() function of Thread class
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#odebrano async
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def main(self):
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trade_queue = queue.Queue()
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print(10*"*","Trade OFFLINE streamer STARTED", current_thread().name,10*"*")
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if not self.streams:
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@ -91,7 +94,10 @@ class Trade_Offline_Streamer(Thread):
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##PREPSAT jednoduse tak, aby podporovalo jen jeden symbol
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#agregator2list bude mit vstup list
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#datetime.fromtimestamp(data['updated']).astimezone(zoneNY))
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#REFACTOR STARTS HERE
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#print(f"{self.time_from=} {self.time_to=}")
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calendar_request = GetCalendarRequest(start=self.time_from,end=self.time_to)
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cal_dates = self.clientTrading.get_calendar(calendar_request)
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#ic(cal_dates)
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@ -101,15 +107,20 @@ class Trade_Offline_Streamer(Thread):
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#minimalni jednotka pro CACHE je 1 den - a to jen marketopen to marketclose (extended hours not supported yet)
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for day in cal_dates:
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print("Processing DAY", day.date)
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print(day.date)
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#print(day.date)
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print(day.open)
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print(day.close)
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#make it offset aware
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day.open = day.open.replace(tzinfo=zoneNY)
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day.open = zoneNY.localize(day.open)
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#day.open.replace(tzinfo=zoneNY)
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#add 20 minutes of premarket
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#day.open = day.open - timedelta(minutes=20)
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day.close = day.close.replace(tzinfo=zoneNY)
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day.close = zoneNY.localize(day.close)
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#day.close = day.close.replace(tzinfo=zoneNY)
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#print(day.open)
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#print(day.close)
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#print("dayopentimestamp", day.open.timestamp())
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#print("dayclosetimestamp", day.close.timestamp())
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##pokud datum do je mensi day.open, tak tento den neresime
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if self.time_to < day.open:
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print("time_to je pred zacatkem marketu. Vynechavame tento den.")
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@ -184,7 +195,14 @@ class Trade_Offline_Streamer(Thread):
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#poustime i 20 minut premarketu pro presnejsi populaci slopu v prvnich minutech
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# - timedelta(minutes=20)
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if self.time_from < to_datetime(t['t']) < self.time_to:
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#homogenizace timestampu s online streamem
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#tmp = to_datetime(t['t'], utc=True).timestamp()
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datum = to_datetime(t['t'], utc=True)
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if self.time_from < datum < self.time_to:
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#poustime dal, jinak ne
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if wait_for_q:
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#cekame na Q nebo na O (nekterym dnum chybelo Q)
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@ -194,7 +212,10 @@ class Trade_Offline_Streamer(Thread):
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wait_for_q = False
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#homogenizace timestampu s online streamem
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t['t'] = Timestamp.from_unix(to_datetime(t['t']).timestamp())
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t['t'] = Timestamp.from_unix(datum.timestamp())
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#print(f"{t['t']}")
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#t['t'] = Timestamp.from_unix(to_datetime(t['t']).timestamp())
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#print(to_datetime(t['t']).timestamp())
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#print("PROGRESS ",cnt,"/",celkem)
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#print(t)
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@ -204,23 +225,38 @@ class Trade_Offline_Streamer(Thread):
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#print("zaznam",t)
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#print("Ingest", s, "zaznam", t)
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#await s.ingest_trade(packb(t))
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asyncio.run(s.ingest_trade(packb(t)))
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trade_queue.put((s,t))
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##asyncio.run(s.ingest_trade(packb(t)))
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cnt += 1
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#protoze jsou serazene, tak prvni ktery je vetsi muze prerusit
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elif to_datetime(t['t']) > self.time_to:
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print("prerusujeme")
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elif datum > self.time_to:
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#print(f"{datum=}")
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#print(to_datetime(t['t']))
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#print(f"{self.time_to=}")
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#print("prerusujeme")
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break
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#vsem streamum posleme last TODO: (tuto celou cast prepsat a zjednodusit)
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#po loadovani vsech dnu
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print("naloadovane vse posilame last")
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for s in self.to_run[symbpole[0]]:
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#zde bylo await
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asyncio.run(s.ingest_trade(packb("last")))
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trade_queue.put((s,"last"))
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##asyncio.run(s.ingest_trade(packb("last")))
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print("poslano last")
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#loop = asyncio.get_running_loop()
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print("stoping loop")
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#loop.stop()
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async def process_trade_queue(trade_queue):
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while not trade_queue.empty():
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#print("send trade")
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s, trade = trade_queue.get()
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await s.ingest_trade(packb(trade))
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#spusteni asyncio run - tentokrat jednou, ktera spusti proces jez to z queue odesle
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#nevyhoda reseni - kdyz je to pres vice dnu, tak se naloaduji vsechny dny do queue
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#ale to mi u Classic zatim nevadi - poustim per days
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#uvidim jak to ovlivn rychlost
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asyncio.run(process_trade_queue(trade_queue))
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print("skoncilo zpracovani ASYNCIO RUN TRADE QUEUE - zpracovany vsechny trady v agreagtorech")
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print(10*"*","Trade OFFLINE streamer STOPPED", current_thread().name,10*"*")
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@ -228,7 +228,7 @@ def _get_stratin(stratin_id) -> StrategyInstance:
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@app.put("/stratins/{stratin_id}/run", dependencies=[Depends(api_key_auth)], status_code=status.HTTP_200_OK)
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def _run_stratin(stratin_id: UUID, runReq: RunRequest):
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print(runReq)
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#print(runReq)
|
||||
if runReq.test_batch_id is not None:
|
||||
res, id = cs.run_batch_stratin(id=stratin_id, runReq=runReq)
|
||||
else:
|
||||
|
||||
Binary file not shown.
@ -24,7 +24,10 @@ from alpaca.trading.enums import TradeEvent, OrderStatus
|
||||
from threading import Event, current_thread
|
||||
import json
|
||||
from uuid import UUID
|
||||
from rich import print as printnow
|
||||
#from pyinstrument import Profiler
|
||||
|
||||
#profiler = Profiler()
|
||||
# obecna Parent strategie podporující queues
|
||||
class Strategy:
|
||||
def __init__(self, name: str, symbol: str, next: callable, init: callable, account: Account, mode: str = Mode.PAPER, stratvars: AttributeDict = None, open_rush: int = 30, close_rush: int = 30, pe: Event = None, se: Event = None, runner_id: UUID = None, ilog_save: bool = False) -> None:
|
||||
@ -324,7 +327,10 @@ class Strategy:
|
||||
pass
|
||||
#self.state.ilog(e="Rush hour - skipping")
|
||||
else:
|
||||
# Profile the function
|
||||
#profiler.start()
|
||||
self.next(item, self.state)
|
||||
#profiler.stop()
|
||||
self.after_iteration(item)
|
||||
|
||||
##run strategy live
|
||||
@ -353,6 +359,7 @@ class Strategy:
|
||||
try:
|
||||
#block 5s, after that check signals
|
||||
item = self.q1.get(timeout=HEARTBEAT_TIMEOUT)
|
||||
#printnow(current_thread().name, "Items waiting in queue:", self.q1.qsize())
|
||||
except queue.Empty:
|
||||
#check signals
|
||||
if self.se.is_set():
|
||||
@ -386,6 +393,11 @@ class Strategy:
|
||||
tlog(f"FINISHED")
|
||||
print(40*"*",self.mode, "STRATEGY ", self.name,"STOPPING",40*"*")
|
||||
|
||||
# now = datetime.now()
|
||||
# results_file = "profiler"+now.strftime("%Y-%m-%d_%H-%M-%S")+".html"
|
||||
# with open(results_file, "w", encoding="utf-8") as f_html:
|
||||
# f_html.write(profiler.output_html())
|
||||
|
||||
self.stop()
|
||||
|
||||
if self.mode == Mode.BT:
|
||||
|
||||
Binary file not shown.
@ -3,7 +3,7 @@ import math
|
||||
from queue import Queue
|
||||
from datetime import datetime, timezone, time, timedelta, date
|
||||
import pytz
|
||||
from dateutil import tz
|
||||
#from dateutil import tz
|
||||
from rich import print as richprint
|
||||
import decimal
|
||||
from v2realbot.enums.enums import RecordType, Mode, StartBarAlign
|
||||
@ -291,7 +291,8 @@ class Store:
|
||||
|
||||
qu = Queue()
|
||||
|
||||
zoneNY = tz.gettz('America/New_York')
|
||||
#zoneNY = tz.gettz('America/New_York')
|
||||
zoneNY = pytz.timezone('US/Eastern')
|
||||
|
||||
def print(*args, **kwargs):
|
||||
if QUIET_MODE:
|
||||
@ -300,13 +301,45 @@ def print(*args, **kwargs):
|
||||
####ic(*args, **kwargs)
|
||||
richprint(*args, **kwargs)
|
||||
|
||||
#optimized by BARD
|
||||
def price2dec(price: float, decimals: int = 2) -> float:
|
||||
"""Rounds a price to a specified number of decimal places, but only if the
|
||||
price has more than that number of decimals.
|
||||
|
||||
Args:
|
||||
price: The price to round.
|
||||
decimals: The number of decimals to round to.
|
||||
|
||||
Returns:
|
||||
A rounded price, or the original price if the price has less than or equal
|
||||
to the specified number of decimals.
|
||||
"""
|
||||
|
||||
if price.is_integer():
|
||||
return price
|
||||
|
||||
# Calculate the number of decimal places in the price.
|
||||
num_decimals = int(math.floor(math.log10(abs(price - math.floor(price)))))
|
||||
|
||||
# If the price has more than the specified number of decimals, round it.
|
||||
if num_decimals > decimals:
|
||||
return round(price, decimals)
|
||||
else:
|
||||
return price
|
||||
|
||||
def price2dec_old(price: float, decimals: int = 2) -> float:
|
||||
"""
|
||||
pousti maximalne 2 decimals
|
||||
pokud je trojmistne a vic pak zakrouhli na 2, jinak necha
|
||||
"""
|
||||
return round(price,decimals) if count_decimals(price) > decimals else price
|
||||
|
||||
def count_decimals(number: float) -> int:
|
||||
"""
|
||||
Count the number of decimals in a given float: 1.4335 -> 4 or 3 -> 0
|
||||
"""
|
||||
return abs(decimal.Decimal(str(number)).as_tuple().exponent)
|
||||
|
||||
def round2five(price: float):
|
||||
"""
|
||||
zatim jen na 3 mista -pripadne predelat na dynamicky
|
||||
@ -315,12 +348,6 @@ def round2five(price: float):
|
||||
"""
|
||||
return (round(price*100*2)/2)/100
|
||||
|
||||
def count_decimals(number: float) -> int:
|
||||
"""
|
||||
Count the number of decimals in a given float: 1.4335 -> 4 or 3 -> 0
|
||||
"""
|
||||
return abs(decimal.Decimal(str(number)).as_tuple().exponent)
|
||||
|
||||
def p(var, n = None):
|
||||
if n: print(n, f'{var = }')
|
||||
else: print(f'{var = }')
|
||||
@ -337,8 +364,35 @@ def is_open_rush(dt: datetime, mins: int = 30):
|
||||
rushtime = (datetime.combine(date.today(), business_hours["from"]) + timedelta(minutes=mins)).time()
|
||||
return business_hours["from"] <= dt.time() < rushtime
|
||||
|
||||
#TODO market time pro dany den si dotahnout z Alpaca
|
||||
#optimalized by BARD
|
||||
def is_window_open(dt: datetime, start: int = 0, end: int = 390):
|
||||
""""
|
||||
Returns true if time (start in minutes and end in minutes) is in working window
|
||||
"""
|
||||
# Check if start and end are within bounds early to avoid unnecessary computations.
|
||||
if start < 0 or start > 389 or end < 0 or end > 389:
|
||||
return False
|
||||
|
||||
# Convert the datetime object to the New York time zone.
|
||||
dt = dt.astimezone(zoneNY)
|
||||
|
||||
# Get the business hours start and end times.
|
||||
business_hours_start = time(hour=9, minute=30)
|
||||
business_hours_end = time(hour=16, minute=0)
|
||||
|
||||
# Check if the datetime is within business hours.
|
||||
if not business_hours_start <= dt.time() <= business_hours_end:
|
||||
return False
|
||||
|
||||
# Calculate the start and end times of the working window.
|
||||
working_window_start = (datetime.combine(date.today(), business_hours_start) + timedelta(minutes=start)).time()
|
||||
working_window_end = (datetime.combine(date.today(), business_hours_start) + timedelta(minutes=end)).time()
|
||||
|
||||
# Check if the datetime is within the working window.
|
||||
return working_window_start <= dt.time() <= working_window_end
|
||||
#puvodni neoptimalizovana verze
|
||||
#TODO market time pro dany den si dotahnout z Alpaca
|
||||
def is_window_open_old(dt: datetime, start: int = 0, end: int = 390):
|
||||
""""
|
||||
Returns true if time (start in minutes and end in minutes) is in working window
|
||||
"""
|
||||
|
||||
Reference in New Issue
Block a user