prvni snad funkcni verze ClassicSL
This commit is contained in:
David Brazda
@ -6,8 +6,9 @@ from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, Orde
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from v2realbot.indicators.indicators import ema
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from v2realbot.indicators.oscillators import rsi
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from v2realbot.common.PrescribedTradeModel import Trade, TradeDirection, TradeStatus, TradeStoplossType
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from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, print, safe_get, get_tick, round2five, is_open_rush, is_close_rush, eval_cond_dict, Average, crossed_down, crossed_up, crossed, is_pivot
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from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, print, safe_get, get_tick, round2five, is_open_rush, is_close_rush, eval_cond_dict, Average, crossed_down, crossed_up, crossed, is_pivot, json_serial
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from datetime import datetime
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import json
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#from icecream import install, ic
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#from rich import print
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from threading import Event
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@ -496,7 +497,10 @@ def next(data, state: StrategyState):
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lookbacktime = state.bars.time[-slope_lookback]
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else:
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#kdyz neni dostatek hodnot, pouzivame jako levy bod open hodnotu close[0]
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lookbackprice = state.bars.close[0]
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#lookbackprice = state.bars.close[0]
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#update -- lookback je pole z toho co mame
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lookbackprice = Average(state.bars.vwap)
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lookbacktime = state.bars.time[0]
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state.ilog(e=f"IND {name} slope - not enough data bereme left bod open", slope_lookback=slope_lookback)
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@ -563,6 +567,7 @@ def next(data, state: StrategyState):
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# region Subfunction
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#toto upravit na take profit
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#pripadne smazat - zatim nahrazeno by exit_conditions_met()
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def sell_protection_enabled():
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options = safe_get(state.vars, 'sell_protection', None)
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if options is None:
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@ -619,6 +624,19 @@ def next(data, state: StrategyState):
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# state.ilog(e=f"SELL_PROTECTION {conditions_met} enabled")
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# return result
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def get_default_sl_value(direction: TradeDirection):
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if direction == TradeDirection.LONG:
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smer = "long"
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else:
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smer = "short"
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options = safe_get(state.vars, 'exit_conditions', None)
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if options is None:
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state.ilog(e="No options for exit conditions in stratvars. Fallback.")
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return 0.01
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val = safe_get(options, 'SL_defval_'+str(smer), 0.01)
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state.ilog(e=f"SL value for {str(smer)} is {val}", message=str(options))
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return val
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def get_profit_target_price():
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def_profit = safe_get(state.vars, "def_profit",state.vars.profit)
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cena = float(state.avgp)
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@ -629,22 +647,144 @@ def next(data, state: StrategyState):
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cena = float(state.avgp)
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return price2dec(cena+get_tick(cena,max_profit),3) if state.positions > 0 else price2dec(cena-get_tick(cena,max_profit),3)
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#TBD pripadne opet dat parsovani pole do INITu
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#TODO nejspis u exitu neporovnavat s MA i kdyz indikator ma, ale s online hodnotou ??
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def exit_conditions_met(direction: TradeDirection):
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if direction == TradeDirection.LONG:
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smer = "long"
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else:
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smer = "short"
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options = safe_get(state.vars, 'exit_conditions', None)
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if options is None:
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state.ilog(e="No options for exit conditions in stratvars")
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return False
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disable_exit_proteciton_when = dict(AND=dict(), OR=dict())
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#preconditions
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disable_exit_proteciton_when['disabled_in_config'] = safe_get(options, 'enabled', False) is False
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#too good to be true (maximum profit)
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#disable_sell_proteciton_when['tgtbt_reached'] = safe_get(options, 'tgtbt', False) is False
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disable_exit_proteciton_when['disable_if_positions_above'] = int(safe_get(options, 'disable_if_positions_above', 0)) < abs(state.positions)
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#testing preconditions
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result, conditions_met = eval_cond_dict(disable_exit_proteciton_when)
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if result:
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state.ilog(e=f"EXIT_CONDITION for{smer} DISABLED by {conditions_met}", **conditions_met)
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return False
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work_dict_exit_if = get_work_dict_with_directive(starts_with="exit_"+smer+"_if")
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state.ilog(e=f"EXIT CONDITION for {smer} work_dict", message=work_dict_exit_if)
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or_cond = create_conditions_from_directives(work_dict_exit_if, "OR")
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result, conditions_met = eval_cond_dict(or_cond)
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state.ilog(e=f"EXIT CONDITIONS for {smer} =OR= {result}", **conditions_met)
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if result:
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return True
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#OR neprosly testujeme AND
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and_cond = create_conditions_from_directives(work_dict_exit_if, "AND")
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result, conditions_met = eval_cond_dict(and_cond)
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state.ilog(e=f"EXIT CONDITION =AND= {result}", **conditions_met)
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return result
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#ZVAZIT JESTLI nesledujici puvodni pravidlo pro dontsellwhen pujdou realizovat inverzne jako exit when
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#PUVODNI NASTAVENI - IDENTIFIKOVAce rustoveho MOMENTA - pokud je momentum, tak prodávat později
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# #pokud je slope too high, pak prodavame jakmile slopeMA zacne klesat, napr. 4MA (TODO 3)
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# #TODO zkusit pro pevny profit, jednoduse pozdrzet prodej - dokud tick_price roste nebo se drzi tak neprodavat, pokud klesne prodat
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# #mozna mit dva mody - pri vetsi volatilite pouzivat momentum, pri mensi nebo kdyz potrebuju pryc, tak prodat hned
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#puvodni nastaveni
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#slopeMA_rising = 2
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#rsi_not_falling = 3
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# #toto docasne pryc dont_sell_when['slope_too_high'] = slope_too_high() and not isfalling(state.indicators.slopeMA,4)
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# dont_sell_when['AND']['slopeMA_rising'] = isrising(state.indicators.slopeMA,safe_get(options, 'slopeMA_rising', 2))
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# dont_sell_when['AND']['rsi_not_falling'] = not isfalling(state.indicators.RSI14,safe_get(options, 'rsi_not_falling',3))
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# #dont_sell_when['rsi_dont_buy'] = state.indicators.RSI14[-1] > safe_get(state.vars, "rsi_dont_buy_above",50)
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# result, conditions_met = eval_cond_dict(dont_sell_when)
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# if result:
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# state.ilog(e=f"SELL_PROTECTION {conditions_met} enabled")
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# return result
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def trail_SL_if_required(direction: TradeDirection):
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#pokud se cena posouva nasim smerem olespon o (0.05) nad (SL + 0.09val), posuneme SL o offset
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#+ varianta - skoncit breakeven
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#DIREKTIVY:
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#maximalni stoploss, fallout pro "exit_short_if" direktivy
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# SL_defval_short = 0.10
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# SL_defval_long = 0.10
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# SL_trailing_enabled_short = true
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# SL_trailing_enabled_long = true
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# #minimalni vzdalenost od aktualni SL, aby se SL posunula na
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# SL_trailing_offset_short = 0.05
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# SL_trailing_offset_long = 0.05
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# #zda trailing zastavit na brakeeven
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# SL_trailing_stop_at_breakeven_short = true
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# SL_trailing_stop_at_breakeven_long = true
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if direction == TradeDirection.LONG:
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smer = "long"
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else:
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smer = "short"
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options = safe_get(state.vars, 'exit_conditions', None)
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if options is None:
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state.ilog(e="Trail SL. No options for exit conditions in stratvars.")
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return
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if safe_get(options, 'SL_trailing_enabled_'+str(smer), False) is True:
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stop_breakeven = safe_get(options, 'SL_trailing_stop_at_breakeven_'+str(smer), False)
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def_SL = safe_get(options, 'SL_defval_'+str(smer), 0.01)
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offset = safe_get(options, "SL_trailing_offset_"+str(smer), 0.01)
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#pokud je pozadovan trail jen do breakeven a uz prekroceno
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if (direction == TradeDirection.LONG and stop_breakeven and state.vars.activeTrade.stoploss_value >= float(state.avgp)) or (direction == TradeDirection.SHORT and stop_breakeven and state.vars.activeTrade.stoploss_value <= float(state.avgp)):
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state.ilog(e=f"SL trail stop at breakeven {str(smer)} SL {state.vars.activeTrade.stoploss_value} UNCHANGED", stop_breakeven=stop_breakeven)
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return
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#IDEA: Nyni posouvame SL o offset, mozna ji posunout jen o direktivu step ?
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offset_normalized = get_tick(data['close'],offset) #to ticks and from options
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def_SL_normalized = get_tick(data['close'],def_SL)
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if direction == TradeDirection.LONG:
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move_SL_threshold = state.vars.activeTrade.stoploss_value + offset_normalized + def_SL_normalized
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if (move_SL_threshold) < data['close']:
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state.vars.activeTrade.stoploss_value += offset_normalized
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state.ilog(e=f"SL TRAIL TH {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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elif direction == TradeDirection.SHORT:
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move_SL_threshold = state.vars.activeTrade.stoploss_value - offset_normalized - def_SL_normalized
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if (move_SL_threshold) > data['close']:
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state.vars.activeTrade.stoploss_value -= offset_normalized
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state.ilog(e=f"SL TRAIL TH {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
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def eval_close_position():
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curr_price = float(data['close'])
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state.ilog(e="Eval CLOSE", price=curr_price, pos=state.positions, avgp=state.avgp, pending=state.vars.pending, activeTrade=str(state.vars.activeTrade))
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if int(state.positions) != 0 and float(state.avgp)>0 and state.vars.sell_in_progress is False:
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if int(state.positions) != 0 and float(state.avgp)>0 and state.vars.pending is False:
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#pevny target - presunout toto do INIT a pak jen pristupovat
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goal_price = get_profit_target_price()
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max_price = get_max_profit_price()
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state.ilog(e=f"Goal price {goal_price} max price {max_price}")
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#close position handlign
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#close position handling
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#mame short pozice
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#mame short pozice - (IDEA: rozlisovat na zaklade aktivniho tradu - umozni mi spoustet i long pozicemi)
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if int(state.positions) < 0:
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#EOD - TBD
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#EOD EXIT - TBD
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#SL
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#SL TRAILING
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trail_SL_if_required(direction=TradeDirection.SHORT)
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#SL - execution
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if curr_price > state.vars.activeTrade.stoploss_value:
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state.ilog(e=f"STOPLOSS reached on SHORT", curr_price=curr_price, trade=state.vars.activeTrade)
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res = state.buy(size=abs(state.positions))
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@ -653,6 +793,17 @@ def next(data, state: StrategyState):
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state.vars.pending = True
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state.vars.activeTrade = None
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return
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#CLOSING BASED ON EXIT CONDITIONS
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if exit_conditions_met(TradeDirection.SHORT):
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res = state.buy(size=abs(state.positions))
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation EXIT COND BUY {res}")
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state.vars.pending = True
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state.vars.activeTrade = None
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state.ilog(e=f"EXIT COND MET. market BUY was sent {curr_price=}", positions=state.positions, avgp=state.avgp)
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return
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#PROFIT
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if curr_price<=goal_price:
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#TODO cekat az slope prestane intenzivn erust, necekat az na klesani
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@ -666,22 +817,35 @@ def next(data, state: StrategyState):
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raise Exception(f"error in required operation PROFIT BUY {res}")
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state.vars.pending = True
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state.vars.activeTrade = None
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state.ilog(e=f"market SELL was sent {curr_price=} {max_price_signal=}", positions=state.positions, avgp=state.avgp, sellinprogress=state.vars.sell_in_progress)
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state.ilog(e=f"PROFIT MET EXIT. market BUY was sent {curr_price=} {max_price_signal=}", positions=state.positions, avgp=state.avgp)
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return
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#mame long
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elif int(state.positions) > 0:
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#EOD - TBD
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#EOD EXIT - TBD
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#SL
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if curr_price > state.vars.activeTrade.stoploss_value:
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#SL - trailing
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trail_SL_if_required(direction=TradeDirection.LONG)
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#SL - execution
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if curr_price < state.vars.activeTrade.stoploss_value:
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state.ilog(e=f"STOPLOSS reached on LONG", curr_price=curr_price, trade=state.vars.activeTrade)
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res = state.sell(size=state.positions)
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation STOPLOSS SELL {res}")
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state.vars.pending = True
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state.vars.activeTrade = None
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return
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#PROFTI
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if exit_conditions_met(TradeDirection.LONG):
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res = state.sell(size=abs(state.positions))
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation EXIT COND SELL {res}")
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state.vars.pending = True
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state.vars.activeTrade = None
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state.ilog(e=f"EXIT COND MET. market SELL was sent {curr_price=}", positions=state.positions, avgp=state.avgp)
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return
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#PROFIT
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if curr_price>=goal_price:
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#TODO cekat az slope prestane intenzivn erust, necekat az na klesani
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#TODO mozna cekat na nejaky signal RSI
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@ -693,7 +857,8 @@ def next(data, state: StrategyState):
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation PROFIT SELL {res}")
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state.vars.pending = True
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state.ilog(e=f"market SELL was sent {curr_price=} {max_price_signal=}", positions=state.positions, avgp=state.avgp, sellinprogress=state.vars.sell_in_progress)
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state.vars.activeTrade = None
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state.ilog(e=f"PROFIT MET EXIT. market SELL was sent {curr_price=} {max_price_signal=}", positions=state.positions, avgp=state.avgp, sellinprogress=state.vars.sell_in_progress)
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return
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def execute_prescribed_trades():
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@ -702,18 +867,18 @@ def next(data, state: StrategyState):
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if state.vars.activeTrade is not None or len(state.vars.prescribedTrades) == 0:
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return
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#evaluate long (price/market)
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state.ilog(e="evaluating prescr trades", msg=state.vars.prescribedTrades)
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state.ilog(e="evaluating prescr trades", trades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
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for trade in state.vars.prescribedTrades:
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if trade.status == TradeStatus.READY and trade.direction == TradeDirection.LONG and (trade.entry_price is None or trade.entry_price >= data['close']):
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trade.status = TradeStatus.ACTIVATED
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state.ilog(e=f"evaluaed SHORT {str(trade)}", msg=state.vars.prescribedTrades)
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state.ilog(e=f"evaluated SHORT {str(trade)}", prescrTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
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state.vars.activeTrade = trade
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break
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#evaluate shorts
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if not state.vars.activeTrade:
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for trade in state.vars.prescribedTrades:
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if trade.status == TradeStatus.READY and trade.direction == TradeDirection.SHORT and (trade.entry_price is None or trade.entry_price <= data['close']):
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state.ilog(e=f"evaluaed LONG {str(trade)}", msg=state.vars.prescribedTrades)
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state.ilog(e=f"evaluaed SHORT {str(trade)}", prescTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
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trade.status = TradeStatus.ACTIVATED
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state.vars.activeTrade = trade
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break
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@ -721,20 +886,30 @@ def next(data, state: StrategyState):
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#odeslani ORDER + NASTAVENI STOPLOSS (zatim hardcoded)
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if state.vars.activeTrade:
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if state.vars.activeTrade.direction == TradeDirection.LONG:
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state.ilog(e="odesilame LONG ORDER", msg=state.vars.activeTrade)
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state.ilog(e="odesilame LONG ORDER", trade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)))
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res = state.buy(size=state.vars.chunk)
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation LONG {res}")
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#pokud neni nastaveno SL v prescribe, tak nastavuji default dle stratvars
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if state.vars.activeTrade.stoploss_value is None:
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state.vars.activeTrade.stoploss_value = data['close'] - 0.09
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sl_defvalue = get_default_sl_value(direction=state.vars.activeTrade.direction)
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#normalizuji dle aktualni ceny
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sl_defvalue_normalized = get_tick(data['close'],sl_defvalue)
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state.vars.activeTrade.stoploss_value = float(data['close']) - sl_defvalue_normalized
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state.ilog(e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
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state.vars.pending = True
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elif state.vars.activeTrade.direction == TradeDirection.SHORT:
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state.ilog(e="odesilame SHORT ORDER", msg=state.vars.activeTrade)
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state.ilog(e="odesilame SHORT ORDER",trade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)))
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res = state.sell(size=state.vars.chunk)
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if isinstance(res, int) and res < 0:
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raise Exception(f"error in required operation SHORT {res}")
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#pokud neni nastaveno SL v prescribe, tak nastavuji default dle stratvars
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if state.vars.activeTrade.stoploss_value is None:
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state.vars.activeTrade.stoploss_value = float(data['close']) + 0.09
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sl_defvalue = get_default_sl_value(direction=state.vars.activeTrade.direction)
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#normalizuji dle aktualni ceny
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sl_defvalue_normalized = get_tick(data['close'],sl_defvalue)
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state.vars.activeTrade.stoploss_value = float(data['close']) + sl_defvalue_normalized
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state.ilog(e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
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state.vars.pending = True
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else:
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state.ilog(e="unknow direction")
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@ -908,24 +1083,24 @@ def next(data, state: StrategyState):
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#MAIN LOOP
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lp = data['close']
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state.ilog(e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)}", activeTrade=str(state.vars.activeTrade), prescribedTrades=str(state.vars.prescribedTrades), pending=str(state.vars.pending), last_price=lp, data=data, stratvars=str(state.vars))
|
||||
state.ilog(e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)}", activeTrade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)), prescribedTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)), pending=str(state.vars.pending), last_price=lp, data=data, stratvars=str(state.vars))
|
||||
inds = get_last_ind_vals()
|
||||
state.ilog(e="Indikatory", **inds)
|
||||
|
||||
#TODO dat do initu inciializaci work directory pro directivy
|
||||
|
||||
#pokud mame prazdne pozice a neceka se na nic
|
||||
if state.positions == 0 and not state.vars.pending:
|
||||
if state.positions == 0 and state.vars.pending is False:
|
||||
execute_prescribed_trades()
|
||||
#pokud se neaktivoval nejaky trade, poustime signal search - ale jen jednou za bar?
|
||||
if conf_bar == 1:
|
||||
if not state.vars.pending:
|
||||
#if conf_bar == 1:
|
||||
if state.vars.pending is False:
|
||||
signal_search()
|
||||
#pro jistotu ihned zpracujeme
|
||||
execute_prescribed_trades()
|
||||
|
||||
#mame aktivni trade a neceka se nani
|
||||
elif state.vars.activeTrade and not state.vars.pending:
|
||||
elif state.vars.activeTrade and state.vars.pending is False:
|
||||
manage_active_trade() #optimalize, close
|
||||
# - close means change status in prescribed Trends,update profit, delete from activeTrade
|
||||
|
||||
@ -983,7 +1158,7 @@ def init(state: StrategyState):
|
||||
#nove atributy na rizeni tradu
|
||||
|
||||
#identifikuje provedenou změnu na Tradu (neděláme změny dokud nepřijde potvrzeni z notifikace)
|
||||
state.vars.pending = None
|
||||
state.vars.pending = False
|
||||
#obsahuje aktivni Trade a jeho nastaveni
|
||||
state.vars.activeTrade = None #pending/Trade
|
||||
#obsahuje pripravene Trady ve frontě
|
||||
|
||||
@ -30,8 +30,10 @@ indConfig = [ {name: "ema", titlevisible: false, embed: true, display: true, pri
|
||||
{name: "slopeNEW", titlevisible: true, embed: true, display: false, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope10", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope20", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope10puv", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slopeS", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope10MA", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope20MA", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope30", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slope30MA", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slopeLP", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slopeMA", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
{name: "slopeLPMA", titlevisible: true, embed: true, display: true, priceScaleId: "left", lastValueVisible: false},
|
||||
|
||||
@ -29,12 +29,12 @@ class StrategyClassicSL(Strategy):
|
||||
self.state.ilog(e="Příchozí BUY notif", msg=o.status, trade=json.loads(json.dumps(data, default=json_serial)))
|
||||
if o.status == OrderStatus.FILLED or o.status == OrderStatus.CANCELED:
|
||||
#davame pryc pending
|
||||
self.state.vars.pending = None
|
||||
self.state.vars.pending = False
|
||||
|
||||
if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
|
||||
|
||||
#jde o uzavření short pozice - počítáme PROFIT
|
||||
if self.state.positions < 0:
|
||||
if int(self.state.positions) < 0:
|
||||
#PROFIT pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
|
||||
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
|
||||
bought_amount = data.qty * data.price
|
||||
@ -61,11 +61,8 @@ class StrategyClassicSL(Strategy):
|
||||
self.state.ilog(e="Příchozí SELL notif", msg=data.order.status, trade=json.loads(json.dumps(data, default=json_serial)))
|
||||
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
|
||||
if data.event == TradeEvent.FILL or data.event == TradeEvent.PARTIAL_FILL:
|
||||
if data.event == TradeEvent.FILL:
|
||||
self.state.vars.pending = None
|
||||
|
||||
#jde o uzavření long pozice - počítáme PROFIT
|
||||
if self.state.positions > 0:
|
||||
if int(self.state.positions) > 0:
|
||||
#PROFIT pocitame z TradeUpdate.price a TradeUpdate.qty - aktualne provedene mnozstvi a cena
|
||||
#naklady vypocteme z prumerne ceny, kterou mame v pozicich
|
||||
sold_amount = data.qty * data.price
|
||||
@ -93,6 +90,7 @@ class StrategyClassicSL(Strategy):
|
||||
|
||||
if data.event == TradeEvent.FILL or data.event == TradeEvent.CANCELED:
|
||||
print("Příchozí SELL notifikace - complete FILL nebo CANCEL", data.event)
|
||||
self.state.vars.pending = False
|
||||
a,p = self.interface.pos()
|
||||
#pri chybe api nechavame puvodni hodnoty
|
||||
if a != -1:
|
||||
|
||||
Reference in New Issue
Block a user