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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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4
v2realbot/common/PrescribedTradeModel.py
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@ -17,9 +17,13 @@ class TradeStoplossType(str, Enum):
FIXED = "fixed"
TRAILING = "trailing"
#Predpis obchodu vygenerovany signalem, je to zastresujici jednotka
#ke kteremu jsou pak navazany jednotlivy FILLy (reprezentovany model.TradeUpdate) - napr. castecne exity atp.
class Trade(BaseModel):
id: UUID
last_update: datetime
entry_time: Optional[datetime] = None
exit_time: Optional[datetime] = None
status: TradeStatus
generated_by: Optional[str] = None
direction: TradeDirection

2
v2realbot/common/model.py
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@ -178,6 +178,7 @@ class Order(BaseModel):
side: OrderSide
limit_price: Optional[float]
#entita pro kazdy kompletni FILL, je navazana na prescribed_trade
class TradeUpdate(BaseModel):
event: Union[TradeEvent, str]
execution_id: Optional[UUID]
@ -194,6 +195,7 @@ class TradeUpdate(BaseModel):
rel_profit: Optional[float]
rel_profit_cum: Optional[float]
signal_name: Optional[str]
prescribed_trade_id: Optional[str]
class RunArchiveChange(BaseModel):

1
v2realbot/enums/enums.py
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@ -56,6 +56,7 @@ class RecordType(str, Enum):
BAR = "bar"
CBAR = "cbar"
CBARVOLUME = "cbarvolume"
CBARRENKO = "cbarrenko"
TRADE = "trade"
class Mode(str, Enum):

215
v2realbot/loader/aggregator.py
View File

@ -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
@ -169,6 +174,9 @@ 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))
#print("oriznute data z tradu", datetime.fromtimestamp(int(data['t'])))
@ -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:

22
v2realbot/static/js/utils.js
View File

@ -672,6 +672,12 @@ function populate_indicator_buttons(def) {
buttonElement.appendChild(itemEl); ;
});
var funcButtonElement = document.createElement('div');
funcButtonElement.id = "funcIndicatorsButtons"
funcButtonElement.classList.add('funcButtons');
//create toggle all button
var itemEl = document.createElement('button');
itemEl.innerText = "all"
@ -682,7 +688,7 @@ function populate_indicator_buttons(def) {
itemEl.addEventListener('click', function() {
onResetClicked();
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
//button pro toggle profitu
var itemEl = document.createElement('button');
@ -693,7 +699,7 @@ function populate_indicator_buttons(def) {
itemEl.addEventListener('click', function(e) {
profitLineToggle();
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
//button pro toggle fullscreenu
var itemEl = document.createElement('button');
@ -704,7 +710,7 @@ function populate_indicator_buttons(def) {
itemEl.addEventListener('click', function(e) {
toggleWide();
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
//button pro toggle fullscreenu
var itemEl = document.createElement('button');
@ -716,7 +722,7 @@ function populate_indicator_buttons(def) {
itemEl.addEventListener('click', function(e) {
toggleVolume();
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
// //button pro toggle markeru nakupu/prodeju
var itemEl = document.createElement('button');
@ -745,7 +751,7 @@ function populate_indicator_buttons(def) {
mrkLineToggle();
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
//create plus button to create new button
var itemEl = document.createElement('button');
@ -757,7 +763,7 @@ function populate_indicator_buttons(def) {
index_ind++
onItemClickedEdit(e, index_ind);
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
//save indicator buttons - will generate indicators to stratvars
var itemEl = document.createElement('button');
@ -769,7 +775,9 @@ function populate_indicator_buttons(def) {
index_ind++
generateIndicators(e);
});
buttonElement.appendChild(itemEl);
funcButtonElement.appendChild(itemEl);
buttonElement.appendChild(funcButtonElement)
return buttonElement;
}

23
v2realbot/strategy/StrategyClassicSL.py
View File

@ -150,8 +150,11 @@ class StrategyClassicSL(Strategy):
trade.rel_profit = rel_profit
trade.rel_profit_cum = rel_profit_cum_calculated
signal_name = trade.generated_by
if data.event == TradeEvent.FILL:
trade.status == TradeStatus.CLOSED
#Pokud FILL uzaviral celou pozici - uzavreme prescribed trade
if data.event == TradeEvent.FILL and data.position_qty == 0:
trade.status = TradeStatus.CLOSED
trade.exit_time = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
break
if data.event == TradeEvent.FILL:
@ -164,6 +167,7 @@ class StrategyClassicSL(Strategy):
setattr(tradeData, "profit", trade_profit)
setattr(tradeData, "profit_sum", self.state.profit)
setattr(tradeData, "signal_name", signal_name)
setattr(tradeData, "prescribed_trade_id", self.state.vars.pending)
#self.state.ilog(f"updatnut tradeList o profit", tradeData=json.loads(json.dumps(tradeData, default=json_serial)))
setattr(tradeData, "rel_profit", rel_profit)
setattr(tradeData, "rel_profit_cum", rel_profit_cum_calculated)
@ -184,11 +188,15 @@ class StrategyClassicSL(Strategy):
for trade in self.state.vars.prescribedTrades:
if trade.id == self.state.vars.pending:
signal_name = trade.generated_by
#zapiseme entry_time (jen pokud to neni partial add) - tzn. jen poprvé
if data.event == TradeEvent.FILL and trade.entry_time is None:
trade.entry_time = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
#zapsat do tradeList
for tradeData in self.state.tradeList:
if tradeData.execution_id == data.execution_id:
setattr(tradeData, "signal_name", signal_name)
setattr(tradeData, "prescribed_trade_id", self.state.vars.pending)
self.state.ilog(e="BUY: Jde o LONG nakuú nepocitame profit zatim")
@ -271,8 +279,10 @@ class StrategyClassicSL(Strategy):
trade.rel_profit = rel_profit
trade.rel_profit_cum = rel_profit_cum_calculated
signal_name = trade.generated_by
if data.event == TradeEvent.FILL:
trade.status == TradeStatus.CLOSED
#Pokud FILL uzaviral celou pozici - uzavreme prescribed trade
if data.event == TradeEvent.FILL and data.position_qty == 0:
trade.status = TradeStatus.CLOSED
trade.exit_time = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
break
if data.event == TradeEvent.FILL:
@ -285,6 +295,7 @@ class StrategyClassicSL(Strategy):
setattr(tradeData, "profit", trade_profit)
setattr(tradeData, "profit_sum", self.state.profit)
setattr(tradeData, "signal_name", signal_name)
setattr(tradeData, "prescribed_trade_id", self.state.vars.pending)
#self.state.ilog(f"updatnut tradeList o profi {str(tradeData)}")
setattr(tradeData, "rel_profit", rel_profit)
setattr(tradeData, "rel_profit_cum", rel_profit_cum_calculated)
@ -305,11 +316,15 @@ class StrategyClassicSL(Strategy):
for trade in self.state.vars.prescribedTrades:
if trade.id == self.state.vars.pending:
signal_name = trade.generated_by
#zapiseme entry_time (jen pokud to neni partial add) - tzn. jen poprvé
if data.event == TradeEvent.FILL and trade.entry_time is None:
trade.entry_time = datetime.fromtimestamp(self.state.time).astimezone(zoneNY)
#zapsat update profitu do tradeList
for tradeData in self.state.tradeList:
if tradeData.execution_id == data.execution_id:
setattr(tradeData, "signal_name", signal_name)
setattr(tradeData, "prescribed_trade_id", self.state.vars.pending)
self.state.ilog(e="SELL: Jde o SHORT nepocitame profit zatim")

46
v2realbot/strategy/base.py
View File

@ -65,6 +65,7 @@ class Strategy:
self.ilog_save = ilog_save
self.secondary_res_start_time = dict()
self.secondary_res_start_index = dict()
self.last_index = -1
#TODO predelat na dynamické queues
self.q1 = queue.Queue()
@ -156,9 +157,11 @@ class Strategy:
#tzn. v NEXT dealame u indikatoru vzdy pouze UPDATE
def save_item_history(self,item):
""""
Logika obsahujici ukladani baru a indikatoru(standardnich a cbar) do historie a inicializace novych zaznamu
"""
if self.rectype == RecordType.BAR:
#jako cas indikatorů pridavame cas baru a inicialni hodnoty vsech indikatoru
for key in self.state.indicators:
if key == 'time':
self.state.indicators['time'].append(item['updated'])
@ -170,7 +173,7 @@ class Strategy:
#implementovat az podle skutecnych pozadavku
#self.state.indicators['time'].append(datetime.fromtimestamp(self.state.last_trade_time))
#self.append_trade(self.state.trades,item)
elif self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME):
elif self.rectype in (RecordType.CBAR):
if self.nextnew:
#standardni identifikatory - populace hist zaznamu pouze v novem baru (dale se deji jen udpaty)
for key in self.state.indicators:
@ -220,7 +223,40 @@ class Strategy:
#zatim jedno, predelat pak na list
# if safe_get(self.state.vars, "secondary_resolution",None):
# self.process_secondary_indicators(item)
elif self.rectype in (RecordType.CBARVOLUME, RecordType.CBARRENKO):
#u cbarvolume muze prijit i samostatny confirm nesouci data, tzn. chytame se na INDEX (tzn. jestli prisel udpate nebo novy)
#NEW
if item['index'] != self.last_index:
#standardni identifikatory - populace hist zaznamu pouze v novem baru (dale se deji jen udpaty)
for key in self.state.indicators:
if key == 'time':
self.state.indicators['time'].append(item['time'])
else:
self.state.indicators[key].append(0)
#populujeme i novy bar v historii
self.append_bar(self.state.bars,item)
#UPDATE
else:
#bary updatujeme, pridavame jen prvni
self.replace_prev_bar(self.state.bars,item)
#UPD
#tady mozna u standardnich(barovych) identifikatoru updatnout cas na "updated" - aby nebyl
#stale zarovnan s casem baru
for key in self.state.indicators:
if key == 'time':
self.state.indicators['time'][-1] = item['updated']
#cbar indikatory populace v kazde iteraci
for key in self.state.cbar_indicators:
if key == 'time':
self.state.cbar_indicators['time'].append(item['updated'])
else:
self.state.cbar_indicators[key].append(0)
self.last_index = item['index']
# #tady jsem skoncil
# def process_secondary_indicators(self, item):
@ -275,14 +311,14 @@ class Strategy:
a,p = self.interface.pos()
if a != -1:
self.state.avgp, self.state.positions = a,p
elif self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME) and item['confirmed'] == 1:
elif self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME, RecordType.CBARRENKO) and item['confirmed'] == 1:
a,p = self.interface.pos()
if a != -1:
self.state.avgp, self.state.positions = a,p
"""update state.last_trade_time a time of iteration"""
def update_times(self, item):
if self.rectype == RecordType.BAR or self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME):
if self.rectype == RecordType.BAR or self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME, RecordType.CBARRENKO):
self.state.last_trade_time = item['updated']
elif self.rectype == RecordType.TRADE:
self.state.last_trade_time = item['t']
@ -524,7 +560,7 @@ class Strategy:
if self.rtqueue is not None:
rt_out = dict()
if self.rectype == RecordType.BAR or self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME):
if self.rectype == RecordType.BAR or self.rectype in (RecordType.CBAR, RecordType.CBARVOLUME, RecordType.CBARRENKO):
rt_out["bars"] = item
else:
rt_out["trades"] = item

2
v2realbot/strategyblocks/indicators/cbar_price.py
View File

@ -5,7 +5,7 @@ def populate_cbar_tick_price_indicator(data, state: StrategyState):
conf_bar = data['confirmed']
#specifická sekce pro CBARVOLUME, kde vzdy máme nova data v confirmation baru (tzn. tickprice pocitame jak pri potvrzenem tak nepotvrzenem)
if state.rectype == RecordType.CBARVOLUME:
if state.rectype in (RecordType.CBARVOLUME, RecordType.CBARRENKO):
try:
tick_price = data['close']
tick_delta_volume = data['volume'] - state.vars.last_tick_volume

8
v2realbot/strategyblocks/newtrade/prescribedtrades.py
View File

@ -62,10 +62,10 @@ def execute_prescribed_trades(state: StrategyState, data):
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
elif isinstance(sl_defvalue, str):
#from indicator
ind = sl_defvalue_abs
ind = sl_defvalue
sl_defvalue_abs = float(value_or_indicator(state, sl_defvalue))
if sl_defvalue_abs >= float(data['close']):
raise Exception(f"error in stoploss {sl_defvalue_abs} >= curr price")
raise Exception(f"error in stoploss {ind} {sl_defvalue_abs} >= curr price")
state.vars.activeTrade.stoploss_value = sl_defvalue_abs
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue_abs} dle indikatoru {ind}")
insert_SL_history(state)
@ -92,10 +92,10 @@ def execute_prescribed_trades(state: StrategyState, data):
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
elif isinstance(sl_defvalue, str):
#from indicator
ind = sl_defvalue_abs
ind = sl_defvalue
sl_defvalue_abs = float(value_or_indicator(state, sl_defvalue))
if sl_defvalue_abs <= float(data['close']):
raise Exception(f"error in stoploss {sl_defvalue_abs} <= curr price")
raise Exception(f"error in stoploss {ind} {sl_defvalue_abs} <= curr price")
state.vars.activeTrade.stoploss_value = sl_defvalue_abs
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue_abs} dle indikatoru {ind}")
insert_SL_history(state)