2 Commits

Author SHA1 Message Date
David Brazda 8868c6271b fix module inits 2024-06-13 11:43:27 +02:00
David Brazda 8e89347f5c research added 2024-06-13 11:02:00 +02:00
370 changed files with 18942 additions and 21570 deletions
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@@ -236,7 +236,7 @@ tzlocal==4.3
uri-template==1.3.0 uri-template==1.3.0
urllib3==1.26.14 urllib3==1.26.14
uvicorn==0.21.1 uvicorn==0.21.1
-e git+https://github.com/drew2323/v2trading.git@1f85b271dba2b9baf2c61b591a08849e9d684374#egg=v2realbot -e git+https://github.com/drew2323/v2trading.git@78f2162d59753c243e374dd52c305e111affebb9#egg=v2realbot
validators==0.20.0 validators==0.20.0
vectorbtpro @ file:///Users/davidbrazda/Downloads/vectorbt.pro-2024.2.22 vectorbtpro @ file:///Users/davidbrazda/Downloads/vectorbt.pro-2024.2.22
wcwidth==0.2.9 wcwidth==0.2.9
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@@ -402,7 +402,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.10.10" "version": "3.10.11"
} }
}, },
"nbformat": 4, "nbformat": 4,
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@@ -44661,7 +44661,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.10.10" "version": "3.10.11"
} }
}, },
"nbformat": 4, "nbformat": 4,
@@ -211,6 +211,13 @@
"t1data.data[\"BAC\"].info()" "t1data.data[\"BAC\"].info()"
] ]
}, },
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
},
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 20, "execution_count": 20,
@@ -1691,7 +1698,7 @@
"name": "python", "name": "python",
"nbconvert_exporter": "python", "nbconvert_exporter": "python",
"pygments_lexer": "ipython3", "pygments_lexer": "ipython3",
"version": "3.10.10" "version": "3.10.11"
} }
}, },
"nbformat": 4, "nbformat": 4,
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# Plotly
* MAKE_SUBPLOT Defines layout (if more then 1x1 or secondary y axis are required)
```python
fig = vbt.make_subplots(rows=2, cols=1, shared_xaxes=True,
specs=[[{"secondary_y": True}], [{"secondary_y": False}]],
vertical_spacing=0.02, subplot_titles=("Row 1 title", "Row 2 title"))
```
Then the different [sr/df generic accessor](http://5.161.179.223:8000/static/js/vbt/api/generic/accessors/index.html#vectorbtpro.generic.accessors.GenericAccessor.areaplot) are added with ADD_TRACE_KWARGS and TRACE_KWARGS. Other types of plot available in [plotting module](http://5.161.179.223:8000/static/js/vbt/api/generic/plotting/index.html)
```python
#using accessor
close.vbt.plot(fig=fig, add_trace_kwargs=dict(secondary_y=False,row=1, col=1), trace_kwargs=dict(line=dict(color="blue")))
indvolume.vbt.barplot(fig=fig, add_trace_kwargs=dict(secondary_y=False, row=2, col=1))
#using plotting module
vbt.Bar(indvolume, fig=fig, add_trace_kwargs=dict(secondary_y=False, row=2, col=1))
```
* ADD_TRACE_KWARGS - determines positioning withing subplot
```python
add_trace_kwargs=dict(secondary_y=False,row=1, col=1)
```
* TRACE_KWARGS - other styling of trace
```python
trace_kwargs=dict(name="LONGS",
line=dict(color="#ffe476"),
marker=dict(color="limegreen"),
fill=None,
connectgaps=True)
```
## Example
```python
fig = vbt.make_subplots(rows=2, cols=1, shared_xaxes=True,
specs=[[{"secondary_y": True}], [{"secondary_y": False}]],
vertical_spacing=0.02, subplot_titles=("Price and Indicators", "Volume"))
# Plotting the close price
close.vbt.plot(fig=fig, add_trace_kwargs=dict(secondary_y=False,row=1, col=1), trace_kwargs=dict(line=dict(color="blue")))
```
# Data
## Resampling
```python
t1data = basic_data[['open', 'high', 'low', 'close', 'volume','vwap','buyvolume','sellvolume']].resample("1T")
t1data = t1data.transform(lambda df: df.between_time('09:30', '16:00').dropna()) #main session data only, no nans
t5data = basic_data[['open', 'high', 'low', 'close', 'volume','vwap','buyvolume','sellvolume']].resample("5T")
t5data = t5data.transform(lambda df: df.between_time('09:30', '16:00').dropna())
dailydata = basic_data[['open', 'high', 'low', 'close', 'volume', 'vwap']].resample("D").dropna()
#realign 5min close to 1min so it can be compared with 1min
t5data_close_realigned = t5data.close.vbt.realign_closing("1T").between_time('09:30', '16:00').dropna()
#same with open
t5data.open.vbt.realign_opening("1h")
```
### Define resample function for custom column
Example of custom feature config [Binance Data](http://5.161.179.223:8000/static/js/vbt/api/data/custom/binance/index.html#vectorbtpro.data.custom.binance.BinanceData.feature_config).
Other [reduced functions available](http://5.161.179.223:8000/static/js/vbt/api/generic/nb/apply_reduce/index.html). (mean, min, max, median, nth ...)
```python
from vectorbtpro.utils.config import merge_dicts, Config, HybridConfig
from vectorbtpro import _typing as tp
from vectorbtpro.generic import nb as generic_nb
_feature_config: tp.ClassVar[Config] = HybridConfig(
{
"buyvolume": dict(
resample_func=lambda self, obj, resampler: obj.vbt.resample_apply(
resampler,
generic_nb.sum_reduce_nb,
)
),
"sellvolume": dict(
resample_func=lambda self, obj, resampler: obj.vbt.resample_apply(
resampler,
generic_nb.sum_reduce_nb,
)
)
}
)
basic_data._feature_config = _feature_config
```
### Validate resample
```python
t2dataclose = t2data.close.rename("15MIN - realigned").vbt.realign_closing("1T")
fig = t1data.close.rename("1MIN").vbt.plot()
t2data.close.rename("15MIN").vbt.plot(fig=fig)
t2dataclose.vbt.plot(fig=fig)
```
## Persisting
```python
basic_data.to_parquet(partition_by="day", compression="gzip")
day_data = vbt.ParquetData.pull("BAC", filters=[("group", "==", "2024-05-03")])
vbt.print_dir_tree("BTC-USD")#overeni directory structure
```
# Discover
```python
vbt.phelp(vbt.talib(atr).run) #parameters it accepts
vbt.pdir(pf) - get available properties and methods
vbt.pprint(basic_data) #to get correct shape, info about instance
```
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