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renko + prescribedTrades and tradeList linked

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This commit is contained in:
David Brazda
2023-11-09 13:44:33 +01:00
parent b7f148fadd
commit aead08a2c9
9 changed files with 275 additions and 48 deletions
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215
v2realbot/loader/aggregator.py
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@ -51,16 +51,21 @@ class TradeAggregator:
self.lasttimestamp = 0
#inicalizace pro prvni agregaci
self.newBar = dict(high=0, low=999999, volume = 0, trades = 0, confirmed = 0, vwap = 0, close=0, index = 1, updated = 0)
self.openedVolumeBar = None
self.openedBar = None
self.lastConfirmedTime = 0
self.bar_start = 0
self.curr_bar_volume = None
self.current_bar_open = None
self.align = align
self.tm: datetime = None
self.firstpass = True
self.vwaphelper = 0
self.returnBar = {}
self.lastBarConfirmed = False
self.lastConfirmedBar = None
self.lasthigh = None
self.lastlow = None
#min trade size
self.minsize = minsize
@ -168,6 +173,9 @@ class TradeAggregator:
if self.rectype == RecordType.CBARVOLUME:
return await self.calculate_volume_bar(data, symbol)
if self.rectype == RecordType.CBARRENKO:
return await self.calculate_renko_bar(data, symbol)
async def calculate_time_bar(self, data, symbol):
#print("barstart",datetime.fromtimestamp(self.bar_start))
@ -372,7 +380,7 @@ class TradeAggregator:
""""
Agreguje VOLUME BARS -
hlavni promenne
- self.openedVolumeBar (dict) = stavová obsahují aktivní nepotvrzený bar
- self.openedBar (dict) = stavová obsahují aktivní nepotvrzený bar
- confirmedBars (list) = nestavová obsahuje confirmnute bary, které budou na konci funkceflushnuty
"""""
#volume_bucket = 10000 #daily MA volume z emackova na 30 deleno 50ti - dat do configu
@ -381,16 +389,16 @@ class TradeAggregator:
confirmedBars = []
#potvrdi existujici a nastavi k vraceni
def confirm_existing():
self.openedVolumeBar['confirmed'] = 1
self.openedVolumeBar['vwap'] = self.vwaphelper / self.openedVolumeBar['volume']
self.openedBar['confirmed'] = 1
self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
self.vwaphelper = 0
#ulozime zacatek potvrzeneho baru
self.lastBarConfirmed = self.openedVolumeBar['time']
#self.lastBarConfirmed = self.openedBar['time']
self.openedVolumeBar['updated'] = data['t']
confirmedBars.append(deepcopy(self.openedVolumeBar))
self.openedVolumeBar = None
self.openedBar['updated'] = data['t']
confirmedBars.append(deepcopy(self.openedBar))
self.openedBar = None
#TBD po každém potvrzení zvýšíme čas o nanosekundu (pro zobrazení v gui)
#data['t'] = data['t'] + 0.000001
@ -399,7 +407,7 @@ class TradeAggregator:
#inicializuji pro nový bar
self.vwaphelper += (data['p'] * size)
self.barindex +=1
self.openedVolumeBar = {
self.openedBar = {
"close": data['p'],
"high": data['p'],
"low": data['p'],
@ -418,20 +426,20 @@ class TradeAggregator:
def update_unconfirmed(size):
#spočteme vwap - potřebujeme předchozí hodnoty
self.vwaphelper += (data['p'] * size)
self.openedVolumeBar['updated'] = data['t']
self.openedVolumeBar['close'] = data['p']
self.openedVolumeBar['high'] = max(self.openedVolumeBar['high'],data['p'])
self.openedVolumeBar['low'] = min(self.openedVolumeBar['low'],data['p'])
self.openedVolumeBar['volume'] = self.openedVolumeBar['volume'] + size
self.openedVolumeBar['trades'] = self.openedVolumeBar['trades'] + 1
self.openedVolumeBar['vwap'] = self.vwaphelper / self.openedVolumeBar['volume']
self.openedBar['updated'] = data['t']
self.openedBar['close'] = data['p']
self.openedBar['high'] = max(self.openedBar['high'],data['p'])
self.openedBar['low'] = min(self.openedBar['low'],data['p'])
self.openedBar['volume'] = self.openedBar['volume'] + size
self.openedBar['trades'] = self.openedBar['trades'] + 1
self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
#pohrat si s timto round
self.openedVolumeBar['hlcc4'] = round((self.openedVolumeBar['high']+self.openedVolumeBar['low']+self.openedVolumeBar['close']+self.openedVolumeBar['close'])/4,3)
self.openedBar['hlcc4'] = round((self.openedBar['high']+self.openedBar['low']+self.openedBar['close']+self.openedBar['close'])/4,3)
#init new - confirmed
def initialize_confirmed(size):
#ulozime zacatek potvrzeneho baru
self.lastBarConfirmed = datetime.fromtimestamp(data['t'])
#self.lastBarConfirmed = datetime.fromtimestamp(data['t'])
self.barindex +=1
confirmedBars.append({
"close": data['p'],
@ -450,17 +458,17 @@ class TradeAggregator:
})
#existuje stávající bar a vejdeme se do nej
if self.openedVolumeBar is not None and int(data['s']) + self.openedVolumeBar['volume'] < volume_bucket:
if self.openedBar is not None and int(data['s']) + self.openedBar['volume'] < volume_bucket:
#vejdeme se do stávajícího baru (tzn. neprekracujeme bucket)
update_unconfirmed(int(data['s']))
#updatujeme stávající nepotvrzeny bar
#nevejdem se do nej nebo neexistuje predchozi bar
else:
#1)existuje predchozi bar - doplnime zbytkem do valikosti bucketu a nastavime confirmed
if self.openedVolumeBar is not None:
if self.openedBar is not None:
#doplnime je zbytkem
bucket_left = volume_bucket - self.openedVolumeBar['volume']
bucket_left = volume_bucket - self.openedBar['volume']
# - update and confirm bar
update_unconfirmed(bucket_left)
confirm_existing()
@ -468,7 +476,7 @@ class TradeAggregator:
#zbytek mnozství jde do dalsiho zpracovani
data['s'] = int(data['s']) - bucket_left
#nastavime cas o nanosekundu vyssi
data['t'] = data['t'] + 0.000001
data['t'] = round((data['t']) + 0.000001,6)
#2 vytvarime novy bar (bary) a vejdeme se do nej
if int(data['s']) < volume_bucket:
@ -483,10 +491,10 @@ class TradeAggregator:
# 500
#vytvarime plne potvrzene buckety (kolik se jich plne vejde)
for size in range(0, int(data['s']), volume_bucket):
for size in range(volume_bucket, int(data['s']), volume_bucket):
initialize_confirmed(volume_bucket)
#nastavime cas o nanosekundu vyssi
data['t'] = data['t'] + 0.000001
data['t'] = round((data['t']) + 0.000001,6)
#create complete full bucket with same prices and size
#naplnit do return pole
@ -517,17 +525,170 @@ class TradeAggregator:
#pokud mame confirm bary, tak FLUSHNEME confirm a i případný open (zrejme se pak nejaky vytvoril)
if len(confirmedBars) > 0:
return_set = confirmedBars + ([self.openedVolumeBar] if self.openedVolumeBar is not None else [])
return_set = confirmedBars + ([self.openedBar] if self.openedBar is not None else [])
confirmedBars = []
return return_set
#nemame confirm, FLUSHUJEME CBARVOLUME open - neresime zmenu ceny, ale neposilame kulomet (pokud nam nevytvari conf. bar)
if self.openedVolumeBar is not None and self.rectype == RecordType.CBARVOLUME:
if self.openedBar is not None and self.rectype == RecordType.CBARVOLUME:
#zkousime pustit i stejnou cenu(potrebujeme kvuli MYSELLU), ale blokoval kulomet,tzn. trady mensi nez GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN (1ms)
#if self.diff_price is True:
if self.trades_too_close is False:
return [self.openedVolumeBar]
return [self.openedBar]
else:
return []
else:
return []
async def calculate_renko_bar(self, data, symbol):
""""
Agreguje RENKO BARS - dle brick size
hlavni promenne
- self.openedBar (dict) = stavová obsahují aktivní nepotvrzený bar
- confirmedBars (list) = nestavová obsahuje confirmnute bary, které budou na konci funkceflushnuty
Omezeni: vzhledek tomu, že strategie v CBARu potřebuje realný průběh tick by tick a skutečné Renko bary znamenají
vyřazování určitých průběhů cenu, tak je realizováno Renko bary s high and low a následným updatem open ceny před confirmací.
open a close bude tedy v potvrzeném baru správně, high-low bude ukazovat na celkový pohyb cen v rámci baru.
Ve strategii je třeba počítat s tím, že open v nepotvrzeném baru není finální.
"""""
#pocet ticku např. 10ticků, případně pak na procenta
brick_size = self.resolution
#potvrzene pripravene k vraceni
confirmedBars = []
#potvrdi existujici a nastavi k vraceni
def confirm_existing():
self.openedBar['confirmed'] = 1
self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
self.vwaphelper = 0
self.openedBar['updated'] = data['t']
obar_copy = deepcopy(self.openedBar)
confirmedBars.append(obar_copy)
self.lastConfirmedBar = obar_copy
self.openedBar = None
#TBD po každém potvrzení zvýšíme čas o nanosekundu (pro zobrazení v gui)
#data['t'] = data['t'] + 0.000001
#init unconfirmed - velikost bucketu kontrolovana predtim
def initialize_unconfirmed():
#inicializuji pro nový bar
self.vwaphelper += (data['p'] * int(data['s']))
self.barindex +=1
self.openedBar = {
"close": data['p'],
"high": data['p'],
"low": data['p'],
"open": data['p'],
"volume": int(data['s']),
"trades": 1,
"hlcc4": data['p'],
"confirmed": 0,
"time": datetime.fromtimestamp(data['t']),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
"resolution":self.resolution
}
def update_unconfirmed(open = None):
if open is not None:
self.openedBar['open'] = open
#spočteme vwap - potřebujeme předchozí hodnoty
self.vwaphelper += (data['p'] * int(data['s']))
self.openedBar['updated'] = data['t']
self.openedBar['close'] = data['p']
self.openedBar['high'] = max(self.openedBar['high'],data['p'])
self.openedBar['low'] = min(self.openedBar['low'],data['p'])
self.openedBar['volume'] = self.openedBar['volume'] + int(data['s'])
self.openedBar['trades'] = self.openedBar['trades'] + 1
self.openedBar['vwap'] = self.vwaphelper / self.openedBar['volume']
#pohrat si s timto round
self.openedBar['hlcc4'] = round((self.openedBar['high']+self.openedBar['low']+self.openedBar['close']+self.openedBar['close'])/4,3)
#init new - confirmed
def initialize_confirmed(size):
self.barindex +=1
cf_bar = {
"close": data['p'],
"high": data['p'],
"low": data['p'],
"open": data['p'],
"volume": size,
"trades": 1,
"hlcc4":data['p'],
"confirmed": 1,
"time": datetime.fromtimestamp(data['t']),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
"resolution":self.resolution
}
self.lastConfirmedBar = cf_bar
confirmedBars.append(cf_bar)
#nastaveni top a low boundary comparatorů bud podle h/l predchoziho potvrzeneho baru
if self.lastConfirmedBar is not None:
top_boundary = max(self.lastConfirmedBar["open"], self.lastConfirmedBar["close"])
low_boundary = min(self.lastConfirmedBar["open"], self.lastConfirmedBar["close"])
#nebo openu, pokud mame jen nepotvrzeny
elif self.openedBar is not None:
top_boundary = self.openedBar["open"]
low_boundary = self.openedBar["open"]
if self.openedBar is None:
initialize_unconfirmed()
#pct variant: brick_size = self.brick_percentage * self.open_price / 100.0
elif data['p'] >= top_boundary + brick_size: # Check if the price has moved by the brick size
#confirm nese novou cenu, muzou tam byt skryte trady se stejnou cenou nebo kulomet o ktere bychom prisli
#jinymi slovy prekonací tick renkobaru patří do starého baru
#novy bar je vytvoren az dalsim tickem, snad to nebude vadit
#updatujeme open, kam patri
update_unconfirmed(open=top_boundary)
confirm_existing()
elif data['p'] <= low_boundary - brick_size:
update_unconfirmed(open=low_boundary)
confirm_existing()
else:
#update stávající
update_unconfirmed()
#je cena stejna od predchoziho tradu? pro nepotvrzeny cbar vracime jen pri zmene ceny
if self.last_price == data['p']:
self.diff_price = False
else:
self.diff_price = True
self.last_price = data['p']
if float(data['t']) - float(self.lasttimestamp) < GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN:
self.trades_too_close = True
else:
self.trades_too_close = False
#uložíme do předchozí hodnoty (poznáme tak open a close)
self.lasttimestamp = data['t']
self.iterace += 1
# print(self.iterace, data)
#pokud mame confirm bary, tak FLUSHNEME confirm a i případný open (zrejme se pak nejaky vytvoril)
if len(confirmedBars) > 0:
return_set = confirmedBars + ([self.openedBar] if self.openedBar is not None else [])
confirmedBars = []
return return_set
#nemame confirm, FLUSHUJEME CBARVOLUME open - neresime zmenu ceny, ale neposilame kulomet (pokud nam nevytvari conf. bar)
if self.openedBar is not None and self.rectype == RecordType.CBARRENKO:
#zkousime pustit i stejnou cenu(potrebujeme kvuli MYSELLU), ale blokoval kulomet,tzn. trady mensi nez GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN (1ms)
#if self.diff_price is True:
if self.trades_too_close is False:
return [self.openedBar]
else:
return []
else: