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refactor RSI SELL

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This commit is contained in:
David Brazda
2023-05-25 20:17:56 +02:00
parent 8cf2956720
commit bf7c1773bd
16 changed files with 736 additions and 231 deletions
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125
v2realbot/loader/aggregator.py
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@ -23,6 +23,8 @@ class TradeAggregator:
mintick: int = 0,
exthours: bool = False):
"""
UPDATED VERSION - vrací více záznamů
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
@ -62,6 +64,8 @@ class TradeAggregator:
#instance variable to hold last trade price
self.last_price = 0
self.barindex = 1
self.diff_price = True
self.preconfBar = {}
async def ingest_trade(self, indata, symbol):
"""
@ -72,7 +76,7 @@ class TradeAggregator:
data = unpackb(indata)
#last item signal
if data == "last": return data
if data == "last": return [data]
#print(data)
##implementing fitlers - zatim natvrdo a jen tyto: size: 1, cond in [O,C,4] opening,closed a derivately priced,
@ -82,15 +86,15 @@ class TradeAggregator:
## přidán W - average price trade, U - Extended hours - sold out of sequence
try:
for i in data['c']:
if i in ('C','O','4','B','7','V','P','W','U'): return 0
if i in ('C','O','4','B','7','V','P','W','U'): return []
except KeyError:
pass
#EXPERIMENT zkusime vyhodit vsechny pod 50 #puv if int(data['s']) == 1: return 0
#EXPERIMENT zkusime vyhodit vsechny pod 50 #puv if int(data['s']) == 1: return []
#zatim nechavame - výsledek je naprosto stejný jako v tradingview
if int(data['s']) < self.minsize: return 0
if int(data['s']) < self.minsize: return []
#{'t': 1678982075.242897, 'x': 'D', 'p': 29.1333, 's': 18000, 'c': [' ', '7', 'V'], 'i': 79372107591749, 'z': 'A', 'u': 'incorrect'}
if 'u' in data: return 0
if 'u' in data: return []
#pokud projde TRADE s cenou 0.33% rozdilna oproti predchozi, pak vyhazujeme v ramci cisteni dat (cca 10ticku na 30USD)
pct_off = 0.33
@ -106,7 +110,7 @@ class TradeAggregator:
if float(data['p']) > float(ltp.price[symbol]) + (float(data['p'])/100*pct_off) or float(data['p']) < float(ltp.price[symbol])-(float(data['p'])/100*pct_off):
print("ZLO", data,ltp.price[symbol])
#nechavame zlo zatim projit
##return 0
##return []
# with open("cache/wrongtrades.txt", 'a') as fp:
# fp.write(str(data) + 'predchozi:'+str(ltp.price[symbol])+'\n')
@ -128,7 +132,7 @@ class TradeAggregator:
if not is_open_hours(datetime.fromtimestamp(data['t'])) and self.exthours is False:
#print("AGG: trade not in open hours skipping", datetime.fromtimestamp(data['t']).astimezone(zoneNY))
return 0
return []
#tady bude vzdycky posledni cena a posledni cas
if self.update_ltp:
@ -137,7 +141,7 @@ class TradeAggregator:
#if data['p'] < self.last_price - 0.02: print("zlo:",data)
if self.rectype == RecordType.TRADE: return data
if self.rectype == RecordType.TRADE: return [data]
#print("agr přišel trade", datetime.fromtimestamp(data['t']),data)
@ -167,9 +171,45 @@ class TradeAggregator:
else:
self.newBar['confirmed'] = 1
self.newBar['vwap'] = self.vwaphelper / self.newBar['volume']
#updatujeme čas - obsahuje datum tradu, který confirm triggeroval
self.newBar['updated'] = data['t']
#HACK pro update casu, který confirm triggeroval
#u CBARu v confirmnutem muze byt
# 1) no trades (pak potvrzujeme predchozi)
# 2) trades with same price , ktere zaroven timto flushujeme (v tomto pripade je cas updatu cas predchoziho tradu)
# variantu vyse pozname podle nastavene self.diff_price = True (mame trady a i ulozeny cas)
if self.rectype == RecordType.CBAR:
#UPDATE ať confirmace nenese zadna data, vsechny zmenena data jsou vyflusnute predtim
#pokud byly nejake trady
if self.diff_price is False:
#self.newBar['updated'] = self.lasttimestamp
#TODO tady bychom nejdriv vyflushnuly nekonfirmovany bar s trady
#a nasladne poslali prazdny confirmacni bar
self.preconfBar = deepcopy(self.newBar)
self.preconfBar['updated'] = self.lasttimestamp
self.preconfBar['confirmed'] = 0
#pridat do promenne
#else:
#NASTY HACK pro GUI
#zkousime potvrzeni baru dat o chlup mensi cas nez cas noveho baru, ktery jde hned za nim
#gui neumi zobrazit duplicity a v RT grafu nejde upravovat zpetne
#zarovname na cas baru podle timeframu(např. 5, 10, 15 ...) (ROUND)
if self.align:
t = datetime.fromtimestamp(data['t'])
t = t - timedelta(seconds=t.second % self.timeframe,microseconds=t.microsecond)
#nebo pouzijeme datum tradu zaokrouhlene na vteriny (RANDOM)
else:
#ulozime si jeho timestamp (odtum pocitame timeframe)
t = datetime.fromtimestamp(int(data['t']))
#self.newBar['updated'] = float(data['t']) - 0.001
self.newBar['updated'] = datetime.timestamp(t) - 0.000001
#PRO standardní BAR nechavame puvodni
else:
self.newBar['updated'] = data['t']
#ulozime datum akt.tradu pro mintick
self.lastBarConfirmed = True
#ukládám si předchozí (confirmed)bar k vrácení
@ -199,9 +239,9 @@ class TradeAggregator:
#je cena stejna od predchoziho tradu? pro nepotvrzeny cbar vracime jen pri zmene ceny
if self.last_price == data['p']:
diff_price = False
self.diff_price = False
else:
diff_price = True
self.diff_price = True
self.last_price = data['p']
#spočteme vwap - potřebujeme předchozí hodnoty
@ -216,6 +256,7 @@ class TradeAggregator:
self.newBar['hlcc4'] = round((self.newBar['high']+self.newBar['low']+self.newBar['close']+self.newBar['close'])/4,3)
#predchozi bar byl v jine vterine, tzn. ukladame do noveho (aktualniho) pocatecni hodnoty
#NEW BAR POPULATION
if (issamebar == False):
#zaciname novy bar
@ -249,14 +290,30 @@ class TradeAggregator:
#je tu maly bug pro CBAR - kdy prvni trade, který potvrzuje predchozi bar
#odesle potvrzeni predchoziho baru a nikoliv open stávajícího, ten posle až druhý trade
#což asi nevadí
#OPRAVENO
#pokud je pripraveny, vracíme předchozí confirmed bar
#pokud je pripraveny, vracíme předchozí confirmed bar PLUS NOVY, který ho triggeroval. pokud bylo
# pred confirmem nejake trady beze zmeny ceny flushujeme je take (preconfBar)
#predchozi bar muze obsahovat zmenena data
if len(self.returnBar) > 0:
self.tmp = self.returnBar
self.returnBar = {}
#print(self.tmp)
return self.tmp
return_set = []
#pridame preconfirm bar pokud je
if len(self.preconfBar)>0:
return_set.append(self.preconfBar)
self.preconfBar = {}
#pridame confirmation bar
return_set.append(self.returnBar)
#self.tmp = self.returnBar
self.returnBar = []
#doplnime prubezny vwap
self.newBar['vwap'] = self.vwaphelper / self.newBar['volume']
return_set.append(self.newBar)
#TODO pridat sem podporu pro mintick jako nize, tzn. pokud je v ochrannem okne, tak novy bar nevracet
#zatim je novy bar odesilan nehlede na mintick
#return_set = [self.tmp, self.newBar]
return return_set
#pro cont bar posilame ihned (TBD vwap a min bar tick value)
if self.rectype == RecordType.CBAR:
@ -267,7 +324,7 @@ class TradeAggregator:
#pocatek noveho baru + Xs musi byt vetsi nez aktualni trade
if (self.newBar['time'] + timedelta(seconds=self.mintick)) > datetime.fromtimestamp(data['t']):
#print("waiting for mintick")
return 0
return []
else:
self.lastBarConfirmed = False
@ -276,12 +333,12 @@ class TradeAggregator:
#print(self.newBar)
#pro (nepotvrzeny) cbar vracime jen pri zmene ceny
if diff_price is True:
return self.newBar
if self.diff_price is True:
return [self.newBar]
else:
return 0
return []
else:
return 0
return []
class TradeAggregator2Queue(TradeAggregator):
@ -297,15 +354,17 @@ class TradeAggregator2Queue(TradeAggregator):
async def ingest_trade(self, data):
#print("ingest ve threadu:",current_thread().name)
res = await super().ingest_trade(data, self.symbol)
if res != 0:
#if len(res) > 0:
for obj in res:
#print(res)
#pri rychlem plneni vetsiho dictionary se prepisovali - vyreseno kopií
if isinstance(res, dict):
copy = res.copy()
if isinstance(obj, dict):
copy = obj.copy()
else:
copy = res
copy = obj
self.queue.put(copy)
res = {}
res = []
#print("po insertu",res)
class TradeAggregator2List(TradeAggregator):
@ -324,17 +383,17 @@ class TradeAggregator2List(TradeAggregator):
#print("ted vstoupil do tradeagg2list ingestu")
res1 = await super().ingest_trade(data, self.symbol)
#print("ted je po zpracovani", res1)
if res1 != 0:
for obj in res1:
#pri rychlem plneni vetsiho dictionary se prepisovali - vyreseno kopií
if isinstance(res1, dict):
copy = res1.copy()
if isinstance(obj, dict):
copy = obj.copy()
else:
copy = res1
if res1 == 'last': return 0
copy = obj
if obj == 'last': return []
self.btdata.append((copy['t'],copy['p']))
# with open(self.debugfile, "a") as output:
# output.write(str(copy['t']) + ' ' + str(datetime.fromtimestamp(copy['t']).astimezone(zoneNY)) + ' ' + str(copy['p']) + '\n')
res1 = {}
res1 = []
#print("po insertu",res)