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agregace volume baru, SL optimizace + goalprice

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This commit is contained in:
David Brazda
2023-11-07 17:57:08 +01:00
parent 0db88b194c
commit b7f148fadd
24 changed files with 797 additions and 101 deletions
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218
v2realbot/loader/aggregator.py
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@ -11,12 +11,12 @@ import threading
from copy import deepcopy
from msgpack import unpackb
import os
from v2realbot.config import DATA_DIR, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN
from v2realbot.config import DATA_DIR, GROUP_TRADES_WITH_TIMESTAMP_LESS_THAN, AGG_EXCLUDED_TRADES
class TradeAggregator:
def __init__(self,
rectype: RecordType = RecordType.BAR,
timeframe: int = 5,
resolution: int = 5,
minsize: int = 100,
update_ltp: bool = False,
align: StartBarAlign = StartBarAlign.ROUND,
@ -27,22 +27,22 @@ class TradeAggregator:
Create trade agregator. Instance accepts trades one by one and process them and returns output type
Trade - return trade one by one (no change)
Bar - return finished bar in given timeframe
Bar - return finished bar in given resolution
CBar - returns continuous bar, finished bar is marked by confirmed status
Args:
timeframe (number): Resolution of bar in seconds
resolution (number): Resolution of bar in seconds
update_ltp (bool): Whether to update global variable with price (usually only one instance does that)
align: Defines alignement of first bar. ROUND - according to timeframe( 5,10,15 - for 5s timeframe), RANDOM - according to timestamp of first trade
align: Defines alignement of first bar. ROUND - according to resolution( 5,10,15 - for 5s resolution), RANDOM - according to timestamp of first trade
mintick: Applies for CBAR. Minimální mezera po potvrzeni baru a aktualizaci dalsiho nepotvrzeneho (např. pro 15s, muzeme chtit prvni tick po 5s). po teto dobe realtime.
"""
self.rectype: RecordType = rectype
self.timeframe = timeframe
self.resolution = resolution
self.minsize = minsize
self.update_ltp = update_ltp
self.exthours = exthours
if mintick >= timeframe:
print("Mintick musi byt mensi nez timeframe")
if mintick >= resolution:
print("Mintick musi byt mensi nez resolution")
raise Exception
self.mintick = mintick
@ -51,7 +51,10 @@ 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.lastConfirmedTime = 0
self.bar_start = 0
self.curr_bar_volume = None
self.align = align
self.tm: datetime = None
self.firstpass = True
@ -87,7 +90,7 @@ class TradeAggregator:
## přidán W - average price trade, U - Extended hours - sold out of sequence, Z - Sold(Out of sequence)
try:
for i in data['c']:
if i in ('C','O','4','B','7','V','P','W','U','Z'): return []
if i in AGG_EXCLUDED_TRADES: return []
except KeyError:
pass
@ -151,8 +154,8 @@ class TradeAggregator:
# if self.lasttimestamp ==0 and self.align:
# if self.firstpass:
# self.tm = datetime.fromtimestamp(data['t'])
# self.tm += timedelta(seconds=self.timeframe)
# self.tm = self.tm - timedelta(seconds=self.tm.second % self.timeframe,microseconds=self.tm.microsecond)
# self.tm += timedelta(seconds=self.resolution)
# self.tm = self.tm - timedelta(seconds=self.tm.second % self.resolution,microseconds=self.tm.microsecond)
# self.firstpass = False
# print("trade: ",datetime.fromtimestamp(data['t']))
# print("required",self.tm)
@ -160,10 +163,17 @@ class TradeAggregator:
# return
# else: pass
if self.rectype in (RecordType.BAR, RecordType.CBAR):
return await self.calculate_time_bar(data, symbol)
if self.rectype == RecordType.CBARVOLUME:
return await self.calculate_volume_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'])))
#print("timeframe",self.timeframe)
if int(data['t']) - self.bar_start < self.timeframe:
#print("resolution",self.resolution)
if int(data['t']) - self.bar_start < self.resolution:
issamebar = True
else:
issamebar = False
@ -202,10 +212,10 @@ class TradeAggregator:
#MUSIME VRATIT ZPET - ten upraveny cas způsobuje spatne plneni v BT, kdyz tento bar triggeruje nakup
# if self.align:
# t = datetime.fromtimestamp(data['t'])
# t = t - timedelta(seconds=t.second % self.timeframe,microseconds=t.microsecond)
# t = t - timedelta(seconds=t.second % self.resolution,microseconds=t.microsecond)
# #nebo pouzijeme datum tradu zaokrouhlene na vteriny (RANDOM)
# else:
# #ulozime si jeho timestamp (odtum pocitame timeframe)
# #ulozime si jeho timestamp (odtum pocitame resolution)
# t = datetime.fromtimestamp(int(data['t']))
# #self.newBar['updated'] = float(data['t']) - 0.001
@ -276,18 +286,18 @@ class TradeAggregator:
#zarovname time prvniho baru podle timeframu kam patří (např. 5, 10, 15 ...) (ROUND)
if self.align == StartBarAlign.ROUND and self.bar_start == 0:
t = datetime.fromtimestamp(data['t'])
t = t - timedelta(seconds=t.second % self.timeframe,microseconds=t.microsecond)
t = t - timedelta(seconds=t.second % self.resolution,microseconds=t.microsecond)
self.bar_start = datetime.timestamp(t)
#nebo pouzijeme datum tradu zaokrouhlene na vteriny (RANDOM)
else:
#ulozime si jeho timestamp (odtum pocitame timeframe)
#ulozime si jeho timestamp (odtum pocitame resolution)
t = datetime.fromtimestamp(int(data['t']))
#timestamp
self.bar_start = int(data['t'])
self.newBar['time'] = t
self.newBar['resolution'] = self.timeframe
self.newBar['resolution'] = self.resolution
self.newBar['confirmed'] = 0
@ -358,14 +368,178 @@ class TradeAggregator:
else:
return []
async def calculate_volume_bar(self, data, symbol):
""""
Agreguje VOLUME BARS -
hlavni promenne
- self.openedVolumeBar (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
volume_bucket = self.resolution
#potvrzene pripravene k vraceni
confirmedBars = []
#potvrdi existujici a nastavi k vraceni
def confirm_existing():
self.openedVolumeBar['confirmed'] = 1
self.openedVolumeBar['vwap'] = self.vwaphelper / self.openedVolumeBar['volume']
self.vwaphelper = 0
#ulozime zacatek potvrzeneho baru
self.lastBarConfirmed = self.openedVolumeBar['time']
self.openedVolumeBar['updated'] = data['t']
confirmedBars.append(deepcopy(self.openedVolumeBar))
self.openedVolumeBar = 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(size):
#inicializuji pro nový bar
self.vwaphelper += (data['p'] * size)
self.barindex +=1
self.openedVolumeBar = {
"close": data['p'],
"high": data['p'],
"low": data['p'],
"open": data['p'],
"volume": size,
"trades": 1,
"hlcc4": data['p'],
"confirmed": 0,
"time": datetime.fromtimestamp(data['t']),
"updated": data['t'],
"vwap": data['p'],
"index": self.barindex,
"resolution":volume_bucket
}
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']
#pohrat si s timto round
self.openedVolumeBar['hlcc4'] = round((self.openedVolumeBar['high']+self.openedVolumeBar['low']+self.openedVolumeBar['close']+self.openedVolumeBar['close'])/4,3)
#init new - confirmed
def initialize_confirmed(size):
#ulozime zacatek potvrzeneho baru
self.lastBarConfirmed = datetime.fromtimestamp(data['t'])
self.barindex +=1
confirmedBars.append({
"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":volume_bucket
})
#existuje stávající bar a vejdeme se do nej
if self.openedVolumeBar is not None and int(data['s']) + self.openedVolumeBar['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:
#doplnime je zbytkem
bucket_left = volume_bucket - self.openedVolumeBar['volume']
# - update and confirm bar
update_unconfirmed(bucket_left)
confirm_existing()
#zbytek mnozství jde do dalsiho zpracovani
data['s'] = int(data['s']) - bucket_left
#nastavime cas o nanosekundu vyssi
data['t'] = data['t'] + 0.000001
#2 vytvarime novy bar (bary) a vejdeme se do nej
if int(data['s']) < volume_bucket:
#vytvarime novy nepotvrzeny bar
initialize_unconfirmed(int(data['s']))
#nevejdeme se do nej - pak vytvarime 1 až N dalsich baru (posledni nepotvrzený)
else:
# >>> for i in range(0, 550, 500):
# ... print(i)
# ...
# 0
# 500
#vytvarime plne potvrzene buckety (kolik se jich plne vejde)
for size in range(0, int(data['s']), volume_bucket):
initialize_confirmed(volume_bucket)
#nastavime cas o nanosekundu vyssi
data['t'] = data['t'] + 0.000001
#create complete full bucket with same prices and size
#naplnit do return pole
#pokud je zbytek vytvorime z nej nepotvrzeny bar
zbytek = int(data['s']) % volume_bucket
#ze zbytku vytvorime nepotvrzeny bar
if zbytek > 0:
initialize_unconfirmed(zbytek)
#create new open bar with size zbytek s otevrenym
#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.openedVolumeBar] if self.openedVolumeBar 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:
#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]
else:
return []
else:
return []
class TradeAggregator2Queue(TradeAggregator):
"""
Child of TradeAggregator - sends items to given queue
In the future others will be added - TradeAggToTxT etc.
"""
def __init__(self, symbol: str, queue: Queue, rectype: RecordType = RecordType.BAR, timeframe: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False):
super().__init__(rectype=rectype, timeframe=timeframe, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours)
def __init__(self, symbol: str, queue: Queue, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False):
super().__init__(rectype=rectype, resolution=resolution, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours)
self.queue = queue
self.symbol = symbol
@ -397,8 +571,8 @@ class TradeAggregator2List(TradeAggregator):
""""
stores records to the list
"""
def __init__(self, symbol: str, btdata: list, rectype: RecordType = RecordType.BAR, timeframe: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False):
super().__init__(rectype=rectype, timeframe=timeframe, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours)
def __init__(self, symbol: str, btdata: list, rectype: RecordType = RecordType.BAR, resolution: int = 5, minsize: int = 100, update_ltp: bool = False, align: StartBarAlign = StartBarAlign.ROUND, mintick: int = 0, exthours: bool = False):
super().__init__(rectype=rectype, resolution=resolution, minsize=minsize, update_ltp=update_ltp, align=align, mintick=mintick, exthours=exthours)
self.btdata = btdata
self.symbol = symbol
# self.debugfile = DATA_DIR + "/BACprices.txt"