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snad ok CONS TRADES REQ support

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This commit is contained in:
David Brazda
2023-04-22 21:55:50 +02:00
parent 41a70c4125
commit a6e0ac987a
4 changed files with 35 additions and 22 deletions
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v2realbot/__pycache__/config.cpython-310.pyc
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v2realbot/backtesting/__pycache__/backtester.cpython-310.pyc
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52
v2realbot/backtesting/backtester.py
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@ -219,6 +219,8 @@ class Backtester:
if o.order_type == OrderType.LIMIT:
if o.side == OrderSide.BUY:
#counter for consecutive trades
consec_cnt = 0
for index, i in enumerate(work_range):
#print(i)
##najde prvni nejvetsi čas vetsi nez minfill a majici odpovídající cenu
@ -242,17 +244,23 @@ class Backtester:
return -1
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
break
consec_cnt += 1
if consec_cnt == FILL_CONS_TRADES_REQUIRED:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT BUY at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
break
else:
consec_cnt = 0
else:
consec_cnt = 0
for index, i in enumerate(work_range):
#print(i)
#NASTVENI PODMINEK PLNENI
@ -267,16 +275,20 @@ class Backtester:
return -1
if float(i[0]) > float(order_min_fill_time+BT_DELAYS.limit_order_offset) and fill_condition:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SELL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
break
consec_cnt += 1
if consec_cnt == FILL_CONS_TRADES_REQUIRED:
#(1679081919.381649, 27.88)
ic(i)
fill_time = i[0]
fill_price = i[1]
print("FILL LIMIT SELL at", fill_time, datetime.fromtimestamp(fill_time).astimezone(zoneNY), "at",i[1])
if FILL_LOG_SURROUNDING_TRADES != 0:
#TODO loguru
print("FILL SELL SURR TRADES: before",work_range[index-FILL_LOG_SURROUNDING_TRADES:index])
print("FILL SELL SURR TRADES: fill and after",work_range[index:index+FILL_LOG_SURROUNDING_TRADES])
break
else:
consec_cnt = 0
elif o.order_type == OrderType.MARKET:
for i in work_range:

5
v2realbot/config.py
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@ -3,11 +3,12 @@ from v2realbot.enums.enums import Mode, Account, FillCondition
from appdirs import user_data_dir
#how many consecutive trades with the fill price are necessary for limit fill to happen()
#how many consecutive trades with the fill price are necessary for LIMIT fill to happen()
#0 - optimistic, every knot high will fill the order
#N - N consecutive trades required
#not impl.yet
FILL_CONS_TRADES_REQUIRED = 0
#minimum is 1
FILL_CONS_TRADES_REQUIRED = 2
#during trade execution logs X-surrounding trades of the one that triggers the fill
FILL_LOG_SURROUNDING_TRADES = 10
#fill condition for limit order