first commit

2023-04-12 21:00:03 +02:00
commit af9e944928
158 changed files with 19422 additions and 0 deletions
--- a/v2realbot/ENTRY_backtest_strategy.py
+++ b/v2realbot/ENTRY_backtest_strategy.py
@ -0,0 +1,90 @@
+from strategy.base import Strategy, StrategyState
+from strategy.strategyOrderLimit import StrategyOrderLimit
+from enums import RecordType, StartBarAlign, Mode
+from config import API_KEY, SECRET_KEY, MAX_BATCH_SIZE, PAPER
+from indicators import ema
+from rich import print
+from utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY
+from datetime import datetime
+from icecream import install, ic
+install()
+ic.configureOutput(includeContext=True)
+#ic.disable()
+""""
+Simple strategie pro test backtesting
+"""
+
+def next(data, state: StrategyState):
+    print(10*"*","NEXT START",10*"*")
+    ic(state.avgp, state.positions)
+    ic(state.vars.limitka)
+    ic(state.vars.lastbuyindex)
+    ic(data)
+    #print("last trade price")
+    #print(state.interface.get_last_price("BAC"))
+    #print(state.vars.novaprom)
+    #print("trades history", state.trades)
+    #print("bar history", state.bars)
+    #print("ltp", ltp.price["BAC"], ltp.time["BAC"])
+
+    #TODO indikátory ukládat do vlastní historie - tu pak automaticky zobrazuje backtester graf
+
+    #TODO ema = state.indicators.ema a pouzivat nize ema, zjistit jestli bude fungovat
+
+    try:
+        state.indicators.ema = ema(state.bars.hlcc4, state.vars.MA) #state.bars.vwap
+        #trochu prasarna, EMAcko trunc na 3 mista - kdyz se osvedci, tak udelat efektivne
+        state.indicators.ema = [trunc(i,3) for i in state.indicators.ema]
+        ic(state.vars.MA, state.vars.Trend, state.indicators.ema[-5:])
+    except Exception as e:
+        print("No data for MA yet", str(e))
+
+    print("is falling",isfalling(state.indicators.ema,state.vars.Trend))
+    print("is rising",isrising(state.indicators.ema,state.vars.Trend))
+
+    #ZDE JSEM SKONCIL
+    #nejprve zacit s BARy
+
+    #TODO vyzkoušet limit buy - vetsina z nakupu by se dala koupit o cent dva mene
+    #proto dodělat LTP pro BT, neco jako get_last_price(self.state.time)
+
+
+    ##TODO vyzkouset hlidat si sell objednavku sam na zaklade tradu
+    # v pripade ze to jde nahoru(is rising - nebo jiny indikator) tak neprodavat
+    #vyuzit CBARy k tomuto .....
+    #triggerovat buy treba po polovine CBARu, kdyz se cena bude rovnat nebo bude nizsi nez low
+    #a hned na to  (po potvrzeni) hlidat sell +0.01 nebo kdyz roste nechat rust.vyzkouset na LIVE
+
+    if isfalling(state.indicators.ema,state.vars.Trend) and data['index'] > state.vars.lastbuyindex+state.vars.Trend: #and state.blockbuy == 0
+        print("BUY MARKET")
+        ic(data['updated'])
+        ic(state.time)
+        state.buy_l()
+
+    
+    print(10*"*","NEXT STOP",10*"*")
+
+def init(state: StrategyState):
+    #place to declare new vars
+    print("INIT v main",state.name)
+    state.vars['novaprom'] = 4
+    state.indicators['ema'] = []
+
+def main():
+    stratvars = AttributeDict(maxpozic = 2400, chunk = 400, MA = 6, Trend = 7, profit = 0.03, lastbuyindex=-6, pendingbuys={},limitka = None)
+
+    s = StrategyOrderLimit(name = "BackTEST", symbol = "KO", next=next, init=init, stratvars=stratvars, debug=False)
+    s.set_mode(mode = Mode.BT,
+               start = datetime(2023, 2, 23, 9, 30, 0, 0, tzinfo=zoneNY),
+               end =   datetime(2023, 2, 23, 16, 00, 0, 0, tzinfo=zoneNY),
+               cash=100000)
+
+    #na sekundovem baru nezaokrouhlovat MAcko
+    s.add_data(symbol="KO",rectype=RecordType.BAR,timeframe=30,filters=None,update_ltp=True,align=StartBarAlign.RANDOM,mintick=0)
+    #s.add_data(symbol="C",rectype=RecordType.BAR,timeframe=1,filters=None,update_ltp=True,align=StartBarAlign.ROUND,mintick=0)
+
+    s.start()
+
+if __name__ == "__main__":
+    main()
+