2048 lines
108 KiB
Python
2048 lines
108 KiB
Python
import os,sys
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sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from v2realbot.strategy.base import StrategyState
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from v2realbot.strategy.StrategyOrderLimitVykladaciNormalizedMYSELL import StrategyOrderLimitVykladaciNormalizedMYSELL
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from v2realbot.enums.enums import RecordType, StartBarAlign, Mode, Account, OrderSide, OrderType, Followup
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from v2realbot.indicators.indicators import ema, natr, roc
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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, round2five, is_open_rush, is_close_rush, is_still, is_window_open, eval_cond_dict, Average, crossed_down, crossed_up, crossed, is_pivot, json_serial, pct_diff
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from v2realbot.utils.directive_utils import get_conditions_from_configuration
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from v2realbot.common.model import SLHistory
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from datetime import datetime, timedelta
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from v2realbot.config import KW
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from uuid import uuid4
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import random
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import json
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from numpy import inf
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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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from msgpack import packb, unpackb
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import asyncio
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import os
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from traceback import format_exc
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print(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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""""
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Využívá: StrategyClassicSL
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Klasická obousměrná multibuysignal strategie se stoplos.
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Používá pouze market order, hlídá profit a stoploss.
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Ve dvou fázích: 1) search and create prescriptions 2) evaluate prescriptions
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list(prescribedTrade)
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prescribedTrade:
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- validfrom
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- status .READY, ACTIVE, finished)
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- direction (long/short)
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- entry price:
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- stoploss: (fixed, trailing)
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Hlavní loop:
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- indikátory
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- if empty positions (avgp=0):
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- no prescribed trades
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- any prescribed trade?
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- eval input
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- eval eligible entries (do buy/sell)
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- if positions (avgp <>0)
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- eval exit (standard, forced by eod)
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- if not exit - eval optimalizations
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"""
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def next(data, state: StrategyState):
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print(10*"*","NEXT START",10*"*")
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# important vars state.avgp, state.positions, state.vars, data
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# region Common Subfunction
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def populate_cbar_rsi_indicator():
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#CBAR RSI indicator
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options = safe_get(state.vars.indicators, 'crsi', None)
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if options is None:
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state.ilog(lvl=1,e="No options for crsi in stratvars")
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return
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try:
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crsi_length = int(safe_get(options, 'crsi_length', 14))
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source = state.cbar_indicators.tick_price #[-rsi_length:] #state.bars.vwap
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crsi_res = rsi(source, crsi_length)
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crsi_value = crsi_res[-1]
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if str(crsi_value) == "nan":
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crsi_value = 0
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state.cbar_indicators.CRSI[-1]=crsi_value
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#state.ilog(lvl=0,e=f"RSI {rsi_length=} {rsi_value=} {rsi_dont_buy=} {rsi_buy_signal=}", rsi_indicator=state.indicators.RSI14[-5:])
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except Exception as e:
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state.ilog(lvl=1,e=f"CRSI {crsi_length=} necháváme 0", message=str(e)+format_exc())
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#state.indicators.RSI14[-1]=0
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def value_or_indicator(value):
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#preklad direktivy podle typu, pokud je int anebo float - je to primo hodnota
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#pokud je str, jde o indikator a dotahujeme posledni hodnotu z nej
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if isinstance(value, (int, float)):
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return value
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elif isinstance(value, str):
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try:
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#pokud existuje MA bereme MA jinak standard
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ret = get_source_or_MA(indicator=value)[-1]
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state.ilog(lvl=0,e=f"Pro porovnani bereme posledni hodnotu {ret} z indikatoru {value}")
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except Exception as e :
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ret = 0
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state.ilog(lvl=1,e=f"Neexistuje indikator s nazvem {value} vracime 0" + str(e) + format_exc())
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return ret
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#funkce vytvori podminky (bud pro AND/OR) z pracovniho dict
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def evaluate_directive_conditions(work_dict, cond_type):
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cond = {}
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cond[cond_type] = {}
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for indname, directive, value in work_dict[cond_type]:
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#direktivy zobecnime ve tvaru prefix_ACTION
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# ACTIONS = is_above, is_below, is_falling, is_rising, crossed_up, crossed_down, is_pivot_a, is_pivot_v
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#OBECNE DIREKTIVY - REUSOVATELNE
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if directive.endswith("above"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = get_source_or_MA(indname)[-1] > value_or_indicator(value)
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elif directive.endswith("below"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = get_source_or_MA(indname)[-1] < value_or_indicator(value)
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elif directive.endswith("falling"):
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if directive.endswith("not_falling"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = not isfalling(get_source_or_MA(indname),value)
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else:
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = isfalling(get_source_or_MA(indname),value)
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elif directive.endswith("rising"):
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if directive.endswith("not_rising"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = not isrising(get_source_or_MA(indname),value)
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else:
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = isrising(get_source_or_MA(indname),value)
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elif directive.endswith("crossed_down"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = buy_if_crossed_down(indname, value_or_indicator(value))
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elif directive.endswith("crossed_up"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = buy_if_crossed_up(indname, value_or_indicator(value))
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#nefunguje moc dobre
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elif directive.endswith("crossed"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = buy_if_crossed_down(indname, value_or_indicator(value)) or buy_if_crossed_up(indname, value_or_indicator(value))
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elif directive.endswith("pivot_a"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = is_pivot(source=get_source_or_MA(indname), leg_number=value, type="A")
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elif directive.endswith("pivot_v"):
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = is_pivot(source=get_source_or_MA(indname), leg_number=value, type="V")
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elif directive.endswith("still_for"):
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#for 2 decimals
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cond[cond_type][directive+"_"+indname+"_"+str(value)] = is_still(get_source_or_MA(indname),value, 2)
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#PRIPADNE DALSI SPECIFICKE ZDE
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# elif directive == "buy_if_necospecifckeho":
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# pass
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return eval_cond_dict(cond)
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#tato funkce vytvori dictionary typu podminek (OR/AND)
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# z indikatoru, ktere obsahuji direktivami daneho typu(buy_if, dont_buy_when)
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# v tuplu (nazevind,direktiva,hodnota)
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# do OR jsou dane i bez prefixu
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# {'AND': [('nazev indikatoru', 'nazev direktivy', 'hodnotadirektivy')], 'OR': []}
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#POZOR TOTO JE STARY FORMAT - podminky jsou uvnitr sekce indikatoru
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#v INITU uz mame novy format uvnitr sekce signal v podsekci conditions
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# def get_work_dict_with_directive(starts_with: str):
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# reslist = dict(AND=[], OR=[])
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# for indname, indsettings in state.vars.indicators.items():
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# for option,value in indsettings.items():
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# if option.startswith(starts_with):
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# reslist["OR"].append((indname, option, value))
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# if option == "AND":
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# #vsechny buy direktivy, ktere jsou pod AND
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# for key, val in value.items():
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# if key.startswith(starts_with):
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# reslist["AND"].append((indname, key, val))
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# if option == "OR" :
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# #vsechny buy direktivy, ktere jsou pod OR
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# for key, val in value.items():
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# if key.startswith(starts_with):
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# reslist["OR"].append((indname, key, val))
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# return reslist
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def get_source_or_MA(indicator):
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#pokud ma, pouzije MAcko, pokud ne tak standardni indikator
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try:
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return state.indicators[indicator+"MA"]
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except KeyError:
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return state.indicators[indicator]
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# #vrati true pokud dany indikator krosnul obema smery
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# def buy_if_crossed(indicator, value):
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# res = crossed(threshold=value, list=get_source_or_MA(indicator))
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# state.ilog(lvl=0,e=f"buy_if_crossed {indicator} {value} {res}")
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# return res
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#vrati true pokud dany indikator prekrocil threshold dolu
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def buy_if_crossed_down(indicator, value):
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res = crossed_down(threshold=value, list=get_source_or_MA(indicator))
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state.ilog(lvl=0,e=f"signal_if_crossed_down {indicator} {value} {res}")
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return res
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#vrati true pokud dany indikator prekrocil threshold nahoru
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def buy_if_crossed_up(indicator, value):
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res = crossed_up(threshold=value, list=get_source_or_MA(indicator))
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state.ilog(lvl=0,e=f"signal_if_crossed_up {indicator} {value} {res}")
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return res
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def populate_cbar_tick_price_indicator():
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try:
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#pokud v potvrzovacím baru nebyly zmeny, nechavam puvodni hodnoty
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# if tick_delta_volume == 0:
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# state.indicators.tick_price[-1] = state.indicators.tick_price[-2]
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# state.indicators.tick_volume[-1] = state.indicators.tick_volume[-2]
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# else:
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#tick_price = round2five(data['close'])
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tick_price = data['close']
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tick_delta_volume = data['volume'] - state.vars.last_tick_volume
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#docasne dame pryc volume deltu a davame absolutni cislo
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state.cbar_indicators.tick_price[-1] = tick_price
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state.cbar_indicators.tick_volume[-1] = tick_delta_volume
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except:
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pass
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state.ilog(lvl=0,e=f"TICK PRICE {tick_price} VOLUME {tick_delta_volume} {conf_bar=}", prev_price=state.vars.last_tick_price, prev_volume=state.vars.last_tick_volume)
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state.vars.last_tick_price = tick_price
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state.vars.last_tick_volume = data['volume']
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def get_last_ind_vals():
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last_ind_vals = {}
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#print(state.indicators.items())
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for key in state.indicators:
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if key != 'time':
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last_ind_vals[key] = state.indicators[key][-6:]
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for key in state.cbar_indicators:
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if key != 'time':
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last_ind_vals[key] = state.cbar_indicators[key][-6:]
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# for key in state.secondary_indicators:
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# if key != 'time':
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# last_ind_vals[key] = state.secondary_indicators[key][-5:]
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return last_ind_vals
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def populate_dynamic_indicators():
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#pro vsechny indikatory, ktere maji ve svych stratvars TYPE, poustime populaci daneho typu indikaotru
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for indname, indsettings in state.vars.indicators.items():
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for option,value in indsettings.items():
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if option == "type":
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populate_dynamic_indicator_hub(type=value, name=indname)
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def populate_dynamic_indicator_hub(type, name):
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if type == "slope":
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populate_dynamic_slope_indicator(name = name)
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#slope variant with continuous Left Point
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elif type == "slopeLP":
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populate_dynamic_slopeLP_indicator(name = name)
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elif type == "RSI":
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populate_dynamic_RSI_indicator(name = name)
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elif type == "EMA":
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populate_dynamic_ema_indicator(name = name)
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elif type == "NATR":
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populate_dynamic_natr_indicator(name = name)
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elif type == "custom":
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populate_dynamic_custom_indicator(name = name)
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else:
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return
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#WIP -
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def populate_dynamic_custom_indicator(name):
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ind_type = "custom"
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options = safe_get(state.vars.indicators, name, None)
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if options is None:
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state.ilog(lvl=1,e=f"No options for {name} in stratvars")
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return
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if safe_get(options, "type", False) is False or safe_get(options, "type", False) != ind_type:
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state.ilog(lvl=1,e="Type error")
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return
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#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
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subtype = safe_get(options, 'subtype', False)
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if subtype is False:
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state.ilog(lvl=1,e=f"No subtype for {name} in stratvars")
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return
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#if MA is required
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MA_length = safe_get(options, "MA_length", None)
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def is_time_to_run():
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# on_confirmed_only = true (def. False)
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# start_at_bar_index = 2 (def. None)
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# start_at_time = "9:31" (def. None)
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# repeat_every_Nbar = N (def.None) (opakovat každý N bar, 1 - každý bar, 2 - každý 2., 0 - pouze jednou)
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# repeat_every_Nmin = N (def. None) opakovat každých N minut
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on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
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start_at_bar_index = safe_get(options, 'start_at_bar_index', None)
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start_at_time = safe_get(options, 'start_at_time', None) # "9:30"
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repeat_every_Nbar = safe_get(options, 'repeat_every_Nbar', None)
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repeat_every_Nmin = safe_get(options, 'repeat_every_Nmin', None)
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#stavové promenne v ramci indikatoru last_run_time a last_run_index - pro repeat_every.. direktivy
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last_run_time = safe_get(options, 'last_run_time', None)
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last_run_index = safe_get(options, 'last_run_index', None)
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#confirmed
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cond = on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1)
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if cond is False:
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return cond, "not confirmed"
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#start_at_time - v rámci optimalizace presunout do INIT parametru indikátorů, které se naplní v initu a celou dobu se nemění
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if start_at_time is not None:
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dt_now = datetime.fromtimestamp(data["updated"]).astimezone(zoneNY)
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# Parse the maxTime string into a datetime object with the same date as timeA
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req_start_time = datetime.strptime(start_at_time, "%H:%M").replace(
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year=dt_now.year, month=dt_now.month, day=dt_now.day)
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# Compare the time components (hours and minutes) of timeA and maxTime
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if dt_now.time() > req_start_time.time():
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state.ilog(lvl=0,e=f"IND {name} {subtype} START FROM TIME - PASSED: now:{dt_now.time()} reqtime:{req_start_time.time()}")
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else:
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state.ilog(lvl=0,e=f"IND {name} {subtype} START FROM TIME - NOT YET: now:{dt_now.time()} reqtime:{req_start_time.time()}")
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cond = False
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if cond is False:
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return cond, "start_at_time not yet"
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#start_on_bar = 0
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if start_at_bar_index is not None:
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cond = start_at_bar_index < data["index"]
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if cond:
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state.ilog(lvl=0,e=f"IND {name} {subtype} START FROM BAR - PASSED: now:{data['index']} reqbar:{start_at_bar_index}")
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else:
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state.ilog(lvl=0,e=f"IND {name} {subtype} START FROM BAR - NOT YET: now:{data['index']} reqbar:{start_at_bar_index}")
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if cond is False:
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return cond, "start_at_bar_index not yet"
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#pokud 0 - opakujeme jednou, pokud 1 tak opakujeme vzdy, jinak dle poctu
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if repeat_every_Nbar is not None:
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#jiz bezelo - delame dalsi checky, pokud nebezelo, poustime jako true
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if last_run_index is not None:
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required_bar_to_run = last_run_index + repeat_every_Nbar
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if repeat_every_Nbar == 0:
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state.ilog(lvl=0,e=f"IND {name} {subtype} RUN ONCE ALREADY at:{last_run_index} at:{last_run_time}", repeat_every_Nbar=repeat_every_Nbar, last_run_index=last_run_index)
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cond = False
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elif repeat_every_Nbar == 1:
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pass
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elif data["index"] < required_bar_to_run:
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state.ilog(lvl=0,e=f"IND {name} {subtype} REPEAT EVERY N BAR WAITING: req:{required_bar_to_run} now:{data['index']}", repeat_every_Nbar=repeat_every_Nbar, last_run_index=last_run_index)
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cond = False
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if cond is False:
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return cond, "repeat_every_Nbar not yet"
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#pokud nepozadovano, pak poustime
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if repeat_every_Nmin is not None:
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#porovnavame jen pokud uz bezelo
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if last_run_time is not None:
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required_time_to_run = last_run_time + timedelta(minutes=repeat_every_Nmin)
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datetime_now = datetime.fromtimestamp(data["updated"]).astimezone(zoneNY)
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if datetime_now < required_time_to_run:
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state.ilog(lvl=0,e=f"IND {name} {subtype} REPEAT EVERY {repeat_every_Nmin}MINS WAITING", last_run_time=last_run_time, required_time_to_run=required_time_to_run, datetime_now=datetime_now)
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cond = False
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if cond is False:
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return cond, "repeat_every_Nmin not yet"
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return cond, "ok"
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#testing custom indicator CODE
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#TODO customer params bud implicitne **params nebo jako dict
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# return 0, new_val or -2, "err msg"
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def opengap(params):
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funcName = "opengap"
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param1 = safe_get(params, "param1")
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param2 = safe_get(params, "param2")
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state.ilog(lvl=0,e=f"INSIDE {funcName} {param1=} {param2=}", **params)
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last_close = 28.45
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today_open = 29.45
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val = pct_diff(last_close, today_open)
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return 0, val
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#random.randint(10, 20)
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#TODO error handling obecne v indicatorech
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# def average(params):
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# funcName = "average"
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# lookback = int(safe_get(params, "lookback",1))
|
|
# source = safe_get(params, "source", None)
|
|
# if source is None:
|
|
# state.ilog(lvl=1,e=f"INSIDE {funcName} source required 0", **params)
|
|
# return 0,0
|
|
|
|
# if source in ["open","high","low","close","vwap","hlcc4"]:
|
|
# source_series = state.bars[source]
|
|
# else:
|
|
# source_series = state.indicators[source]
|
|
|
|
# state.ilog(lvl=0,e=f"INSIDE {funcName}", source_series=source_series, **params)
|
|
|
|
# delka_pole = len(source_series)
|
|
# if delka_pole < lookback:
|
|
# lookback = delka_pole
|
|
|
|
# return 0, Average(source_series[-lookback:])
|
|
|
|
#abs/rel divergence of two indicators
|
|
def divergence(params):
|
|
funcName = "indicatorDivergence"
|
|
source1 = safe_get(params, "source1", None)
|
|
if source1 in ["open","high","low","close","vwap","hlcc4"]:
|
|
source1_series = state.bars[source1]
|
|
else:
|
|
source1_series = state.indicators[source1]
|
|
source2 = safe_get(params, "source2", None)
|
|
if source2 in ["open","high","low","close","vwap","hlcc4"]:
|
|
source2_series = state.bars[source2]
|
|
else:
|
|
source2_series = state.indicators[source2]
|
|
mode = safe_get(params, "type")
|
|
state.ilog(lvl=0,e=f"INSIDE {funcName} {source1=} {source2=} {mode=}", **params)
|
|
val = 0
|
|
if mode == "abs":
|
|
val = round(abs(float(source1_series[-1]) - float(source2_series[-1])),4)
|
|
elif mode == "absn":
|
|
val = round((abs(float(source1_series[-1]) - float(source2_series[-1])))/float(source1_series[-1]),4)
|
|
elif mode == "rel":
|
|
val = round(float(source1_series[-1]) - float(source2_series[-1]),4)
|
|
elif mode == "reln":
|
|
val = round((float(source1_series[-1]) - float(source2_series[-1]))/float(source1_series[-1]),4)
|
|
elif mode == "pctabs":
|
|
val = pct_diff(num1=float(source1_series[-1]),num2=float(source2_series[-1]), absolute=True)
|
|
elif mode == "pct":
|
|
val = pct_diff(num1=float(source1_series[-1]),num2=float(source2_series[-1]))
|
|
return 0, val
|
|
|
|
#rate of change - last value of source indicator vs lookback value of lookback_priceline indicator
|
|
def slope(params):
|
|
funcName = "slope"
|
|
source = safe_get(params, "source", None)
|
|
if source in ["open","high","low","close","vwap","hlcc4"]:
|
|
source_series = state.bars[source]
|
|
else:
|
|
source_series = state.indicators[source]
|
|
|
|
lookback = safe_get(params, "lookback", 5)
|
|
lookback_priceline = safe_get(params, "lookback_priceline", None)
|
|
if lookback_priceline is None:
|
|
lookback_series = source_series
|
|
elif lookback_priceline in ["open","high","low","close","vwap","hlcc4"]:
|
|
lookback_series = state.bars[lookback_priceline]
|
|
else:
|
|
lookback_series = state.indicators[lookback_priceline]
|
|
|
|
try:
|
|
lookbackprice = lookback_series[-lookback-1]
|
|
lookbacktime = state.bars.updated[-lookback-1]
|
|
except IndexError:
|
|
max_delka = len(lookback_series)
|
|
lookbackprice =lookback_series[-max_delka]
|
|
lookbacktime = state.bars.updated[-max_delka]
|
|
|
|
#výpočet úhlu - a jeho normalizace
|
|
currval = source_series[-1]
|
|
slope = ((currval - lookbackprice)/abs(lookbackprice))*100
|
|
#slope = round(slope, 4)
|
|
|
|
state.ilog(lvl=1,e=f"INSIDE {funcName} {slope} {source=} {lookback=}", currval_source=currval, lookbackprice=lookbackprice, lookbacktime=lookbacktime, **params)
|
|
return 0, slope
|
|
|
|
should_run, msg = is_time_to_run()
|
|
|
|
if should_run:
|
|
#TODO get custom params
|
|
custom_params = safe_get(options, "cp", None)
|
|
#vyplnime last_run_time a last_run_index
|
|
state.vars.indicators[name]["last_run_time"] = datetime.fromtimestamp(data["updated"]).astimezone(zoneNY)
|
|
state.vars.indicators[name]["last_run_index"] = data["index"]
|
|
|
|
# - volame custom funkci pro ziskani hodnoty indikatoru
|
|
# - tu ulozime jako novou hodnotu indikatoru a prepocteme MAcka pokud je pozadovane
|
|
# - pokud cas neni, nechavame puvodni, vcetna pripadneho MAcka
|
|
#pozor jako defaultní hodnotu dává engine 0 - je to ok?
|
|
try:
|
|
custom_function = eval(subtype)
|
|
res_code, new_val = custom_function(custom_params)
|
|
if res_code == 0:
|
|
state.indicators[name][-1]=new_val
|
|
state.ilog(lvl=1,e=f"IND {name} {subtype} VAL FROM FUNCTION: {new_val}", lastruntime=state.vars.indicators[name]["last_run_time"], lastrunindex=state.vars.indicators[name]["last_run_index"])
|
|
#prepocitame MA if required
|
|
if MA_length is not None:
|
|
src = state.indicators[name][-MA_length:]
|
|
MA_res = ema(src, MA_length)
|
|
MA_value = round(MA_res[-1],7)
|
|
state.indicators[name+"MA"][-1]=MA_value
|
|
state.ilog(lvl=0,e=f"IND {name}MA {subtype} {MA_value}")
|
|
|
|
else:
|
|
raise ValueError(f"IND ERROR {name} {subtype}Funkce {custom_function} vratila {res_code} {new_val}.")
|
|
|
|
except Exception as e:
|
|
if len(state.indicators[name]) >= 2:
|
|
state.indicators[name][-1]=state.indicators[name][-2]
|
|
if MA_length is not None and len(state.indicators[name+"MA"])>=2:
|
|
state.indicators[name+"MA"][-1]=state.indicators[name+"MA"][-2]
|
|
state.ilog(lvl=1,e=f"IND ERROR {name} {subtype} necháváme původní", message=str(e)+format_exc())
|
|
|
|
else:
|
|
state.ilog(lvl=0,e=f"IND {name} {subtype} COND NOT READY: {msg}")
|
|
|
|
#not time to run
|
|
if len(state.indicators[name]) >= 2:
|
|
state.indicators[name][-1]=state.indicators[name][-2]
|
|
|
|
if MA_length is not None and len(state.indicators[name+"MA"])>=2:
|
|
state.indicators[name+"MA"][-1]=state.indicators[name+"MA"][-2]
|
|
|
|
state.ilog(lvl=0,e=f"IND {name} {subtype} NOT TIME TO RUN - value(and MA) still original")
|
|
|
|
#EMA INDICATOR
|
|
# type = EMA, source = [close, vwap, hlcc4], length = [14], on_confirmed_only = [true, false]
|
|
def populate_dynamic_ema_indicator(name):
|
|
ind_type = "EMA"
|
|
options = safe_get(state.vars.indicators, name, None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e=f"No options for {name} in stratvars")
|
|
return
|
|
|
|
if safe_get(options, "type", False) is False or safe_get(options, "type", False) != ind_type:
|
|
state.ilog(lvl=1,e="Type error")
|
|
return
|
|
|
|
#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
|
|
on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
|
|
req_source = safe_get(options, 'source', 'vwap')
|
|
if req_source not in ["close", "vwap","hlcc4"]:
|
|
state.ilog(lvl=1,e=f"Unknown source error {req_source} for {name}")
|
|
return
|
|
ema_length = int(safe_get(options, "length",14))
|
|
if on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1):
|
|
try:
|
|
source = state.bars[req_source][-ema_length:]
|
|
#if len(source) > ema_length:
|
|
ema_value = ema(source, ema_length)
|
|
val = round(ema_value[-1],4)
|
|
state.indicators[name][-1]= val
|
|
#state.indicators[name][-1]= round2five(val)
|
|
state.ilog(lvl=0,e=f"IND {name} EMA {val} {ema_length=}")
|
|
#else:
|
|
# state.ilog(lvl=0,e=f"IND {name} EMA necháváme 0", message="not enough source data", source=source, ema_length=ema_length)
|
|
except Exception as e:
|
|
state.ilog(lvl=1,e=f"IND ERROR {name} EMA necháváme 0", message=str(e)+format_exc())
|
|
|
|
#NATR INDICATOR
|
|
# type = NATR, ĺength = [14], on_confirmed_only = [true, false]
|
|
def populate_dynamic_natr_indicator(name):
|
|
ind_type = "NATR"
|
|
options = safe_get(state.vars.indicators, name, None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e=f"No options for {name} in stratvars")
|
|
return
|
|
|
|
#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
|
|
on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
|
|
natr_length = int(safe_get(options, "length",5))
|
|
if on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1):
|
|
try:
|
|
source_high = state.bars["high"][-natr_length:]
|
|
source_low = state.bars["low"][-natr_length:]
|
|
source_close = state.bars["close"][-natr_length:]
|
|
#if len(source) > ema_length:
|
|
natr_value = natr(source_high, source_low, source_close, natr_length)
|
|
val = round(natr_value[-1],4)
|
|
state.indicators[name][-1]= val
|
|
#state.indicators[name][-1]= round2five(val)
|
|
state.ilog(lvl=0,e=f"IND {name} NATR {val} {natr_length=}")
|
|
#else:
|
|
# state.ilog(lvl=0,e=f"IND {name} EMA necháváme 0", message="not enough source data", source=source, ema_length=ema_length)
|
|
except Exception as e:
|
|
state.ilog(lvl=0,e=f"IND ERROR {name} NATR necháváme 0", message=str(e)+format_exc())
|
|
|
|
#RSI INDICATOR
|
|
# type = RSI, source = [close, vwap, hlcc4], rsi_length = [14], MA_length = int (optional), on_confirmed_only = [true, false]
|
|
# pokud existuje MA, vytvarime i stejnojnojmenny MAcko
|
|
def populate_dynamic_RSI_indicator(name):
|
|
ind_type = "RSI"
|
|
options = safe_get(state.vars.indicators, name, None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e=f"No options for {name} in stratvars")
|
|
return
|
|
|
|
if safe_get(options, "type", False) is False or safe_get(options, "type", False) != ind_type:
|
|
state.ilog(lvl=1,e="Type error")
|
|
return
|
|
|
|
#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
|
|
on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
|
|
req_source = safe_get(options, 'source', 'vwap')
|
|
if req_source not in ["close", "vwap","hlcc4"]:
|
|
state.ilog(lvl=1,e=f"Unknown source error {req_source} for {name}")
|
|
return
|
|
rsi_length = int(safe_get(options, "RSI_length",14))
|
|
rsi_MA_length = safe_get(options, "MA_length", None)
|
|
|
|
if on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1):
|
|
try:
|
|
source = state.bars[req_source]
|
|
#cekame na dostatek dat
|
|
if len(source) > rsi_length:
|
|
rsi_res = rsi(source, rsi_length)
|
|
rsi_value = round(rsi_res[-1],4)
|
|
state.indicators[name][-1]=rsi_value
|
|
state.ilog(lvl=0,e=f"IND {name} RSI {rsi_value}")
|
|
|
|
if rsi_MA_length is not None:
|
|
src = state.indicators[name][-rsi_MA_length:]
|
|
rsi_MA_res = ema(src, rsi_MA_length)
|
|
rsi_MA_value = round(rsi_MA_res[-1],4)
|
|
state.indicators[name+"MA"][-1]=rsi_MA_value
|
|
state.ilog(lvl=0,e=f"IND {name} RSIMA {rsi_MA_value}")
|
|
|
|
else:
|
|
state.ilog(lvl=0,e=f"IND {name} RSI necháváme 0", message="not enough source data", source=source, rsi_length=rsi_length)
|
|
except Exception as e:
|
|
state.ilog(lvl=1,e=f"IND ERROR {name} RSI necháváme 0", message=str(e)+format_exc())
|
|
|
|
#SLOPE LP
|
|
def populate_dynamic_slopeLP_indicator(name):
|
|
ind_type = "slopeLP"
|
|
options = safe_get(state.vars.indicators, name, None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e=f"No options for {name} in stratvars")
|
|
return
|
|
|
|
if safe_get(options, "type", False) is False or safe_get(options, "type", False) != ind_type:
|
|
state.ilog(lvl=1,e="Type error")
|
|
return
|
|
|
|
#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
|
|
on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
|
|
|
|
#pocet baru po kterých se levy bod z BUY prepne opet na standadni vypocet (prumer)
|
|
#kdyz se dlouho neprodává a cena nejde dolu, tak aby se nezastavilo nakupovani
|
|
back_to_standard_after = int(safe_get(options, 'back_to_standard_after', 0))
|
|
|
|
#slopeLP INDIKATOR
|
|
#levy bod je nejdrive standardne automaticky vypočtený podle hodnoty lookbacku (např. -8, offset 4)
|
|
#při nákupu se BUY POINT se stává levým bodem (až do doby kdy není lookbackprice nižší, pak pokračuje lookbackprice)
|
|
#při prodeji se SELL POINT se stává novým levým bodem (až do doby kdy není lookbackprice vyšší, pak pokračuje lookbackprice)
|
|
#zatím implementovat prvni část (mimo části ..až do doby) - tu pak dodelat podle vysledku, pripadne ji neimplementovat vubec a misto toho
|
|
#udelat slope RESET pri dosazeni urciteho pozitivniho nebo negativni slopu
|
|
|
|
#zkusime nejdriv: levy bod automat, po nakupu je levy bod cena nakupu
|
|
|
|
#VYSTUPY: state.indicators[name],
|
|
# state.indicators[nameMA]
|
|
# statický indikátor (angle) - stejneho jmena pro vizualizaci uhlu
|
|
|
|
if on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1):
|
|
try:
|
|
#slow_slope = 99
|
|
slope_lookback = safe_get(options, 'slope_lookback', 100)
|
|
minimum_slope = safe_get(options, 'minimum_slope', 25)
|
|
maximum_slope = safe_get(options, "maximum_slope",0.9)
|
|
lookback_offset = safe_get(options, 'lookback_offset', 25)
|
|
|
|
#typ leveho bodu [lastbuy - cena posledniho nakupu, baropen - cena otevreni baru]
|
|
leftpoint = safe_get(options, 'leftpoint', "lastbuy")
|
|
|
|
#lookback has to be even
|
|
if lookback_offset % 2 != 0:
|
|
lookback_offset += 1
|
|
|
|
if leftpoint == "lastbuy":
|
|
if len(state.bars.close) > (slope_lookback + lookback_offset):
|
|
#test prumer nejvyssi a nejnizsi hodnoty
|
|
# if name == "slope":
|
|
|
|
#levy bod bude vzdy vzdaleny o slope_lookback
|
|
#ten bude prumerem hodnot lookback_offset a to tak ze polovina offsetu z kazde strany
|
|
array_od = slope_lookback + int(lookback_offset/2)
|
|
array_do = slope_lookback - int(lookback_offset/2)
|
|
lookbackprice_array = state.bars.vwap[-array_od:-array_do]
|
|
#cas nastavujeme vzdy podle nastaveni (zatim)
|
|
lookbacktime = state.bars.time[-slope_lookback]
|
|
|
|
#pokud mame aktivni pozice, nastavime lookbackprice a time podle posledniho tradu
|
|
#pokud se ale dlouho nenakupuje (uplynulo od posledniho nakupu vic nez back_to_standard_after baru), tak se vracime k prumeru
|
|
if state.avgp > 0 and state.bars.index[-1] < int(state.vars.last_buy_index)+back_to_standard_after:
|
|
lb_index = -1 - (state.bars.index[-1] - int(state.vars.last_buy_index))
|
|
lookbackprice = state.bars.vwap[lb_index]
|
|
state.ilog(lvl=0,e=f"IND {name} slope {leftpoint}- LEFT POINT OVERRIDE bereme ajko cenu lastbuy {lookbackprice=} {lookbacktime=} {lb_index=}")
|
|
else:
|
|
#dame na porovnani jen prumer
|
|
lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
|
|
#lookbackprice = round((min(lookbackprice_array)+max(lookbackprice_array))/2,3)
|
|
# else:
|
|
# #puvodni lookback a od te doby dozadu offset
|
|
# array_od = slope_lookback + lookback_offset
|
|
# array_do = slope_lookback
|
|
# lookbackprice_array = state.bars.vwap[-array_od:-array_do]
|
|
# #obycejný prumer hodnot
|
|
# lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
|
|
|
|
lookbacktime = state.bars.time[-slope_lookback]
|
|
state.ilog(lvl=0,e=f"IND {name} slope {leftpoint} - LEFT POINT STANDARD {lookbackprice=} {lookbacktime=}")
|
|
else:
|
|
#kdyz neni dostatek hodnot, pouzivame jako levy bod open hodnotu close[0]
|
|
lookbackprice = state.bars.close[0]
|
|
lookbacktime = state.bars.time[0]
|
|
state.ilog(lvl=0,e=f"IND {name} slope - not enough data bereme left bod open", slope_lookback=slope_lookback)
|
|
elif leftpoint == "baropen":
|
|
lookbackprice = state.bars.open[-1]
|
|
lookbacktime = state.bars.time[-1]
|
|
state.ilog(lvl=0,e=f"IND {name} slope {leftpoint}- bereme cenu bar OPENu ", lookbackprice=lookbackprice, lookbacktime=lookbacktime)
|
|
else:
|
|
state.ilog(lvl=0,e=f"IND {name} UNKNOW LEFT POINT TYPE {leftpoint=}")
|
|
|
|
#výpočet úhlu - a jeho normalizace
|
|
slope = ((state.bars.close[-1] - lookbackprice)/lookbackprice)*100
|
|
slope = round(slope, 4)
|
|
state.indicators[name][-1]=slope
|
|
|
|
#angle ze slope
|
|
state.statinds[name] = dict(time=state.bars.updated[-1], price=state.bars.close[-1], lookbacktime=lookbacktime, lookbackprice=lookbackprice, minimum_slope=minimum_slope, maximum_slope=maximum_slope)
|
|
|
|
#slope MA vyrovna vykyvy ve slope
|
|
slope_MA_length = safe_get(options, 'MA_length', None)
|
|
slopeMA = None
|
|
last_slopesMA = None
|
|
#pokud je nastavena MA_length tak vytvarime i MAcko dane delky na tento slope
|
|
if slope_MA_length is not None:
|
|
source = state.indicators[name][-slope_MA_length:]
|
|
slopeMAseries = ema(source, slope_MA_length) #state.bars.vwap
|
|
slopeMA = round(slopeMAseries[-1],5)
|
|
state.indicators[name+"MA"][-1]=slopeMA
|
|
last_slopesMA = state.indicators[name+"MA"][-10:]
|
|
|
|
state.ilog(lvl=0,e=f"{name=} {slope=} {slopeMA=}", msg=f"{lookbackprice=}", lookbackoffset=lookback_offset, minimum_slope=minimum_slope, last_slopes=state.indicators[name][-10:], last_slopesMA=last_slopesMA)
|
|
#dale pracujeme s timto MAckovanym slope
|
|
#slope = slopeMA
|
|
|
|
except Exception as e:
|
|
print(f"Exception in {name} slope Indicator section", str(e))
|
|
state.ilog(lvl=1,e=f"EXCEPTION in {name}", msg="Exception in slope Indicator section" + str(e) + format_exc())
|
|
|
|
def populate_dynamic_slope_indicator(name):
|
|
options = safe_get(state.vars.indicators, name, None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e="No options for slow slope in stratvars")
|
|
return
|
|
|
|
if safe_get(options, "type", False) is False or safe_get(options, "type", False) != "slope":
|
|
state.ilog(lvl=1,e="Type error")
|
|
return
|
|
|
|
#poustet kazdy tick nebo jenom na confirmed baru (on_confirmed_only = true)
|
|
on_confirmed_only = safe_get(options, 'on_confirmed_only', False)
|
|
|
|
#SLOW SLOPE INDICATOR
|
|
#úhel stoupání a klesání vyjádřený mezi -1 až 1
|
|
#pravý bod přímky je aktuální cena, levý je průměr X(lookback offset) starších hodnot od slope_lookback.
|
|
#VYSTUPY: state.indicators[name],
|
|
# state.indicators[nameMA]
|
|
# statický indikátor (angle) - stejneho jmena pro vizualizaci uhlu
|
|
|
|
if on_confirmed_only is False or (on_confirmed_only is True and data['confirmed']==1):
|
|
try:
|
|
slope_lookback = safe_get(options, 'slope_lookback', 100)
|
|
lookback_priceline = safe_get(options, 'lookback_priceline', None)
|
|
lookback_offset = safe_get(options, 'lookback_offset', 25)
|
|
minimum_slope = safe_get(options, 'minimum_slope', 25)
|
|
maximum_slope = safe_get(options, "maximum_slope",0.9)
|
|
|
|
#jako levy body pouzivame lookback_priceline INDIKATOR vzdaleny slope_lookback barů
|
|
if lookback_priceline is not None:
|
|
try:
|
|
lookbackprice = state.indicators[lookback_priceline][-slope_lookback-1]
|
|
lookbacktime = state.bars.updated[-slope_lookback-1]
|
|
except IndexError:
|
|
max_delka = len(state.indicators[lookback_priceline])
|
|
lookbackprice = state.indicators[lookback_priceline][-max_delka]
|
|
lookbacktime = state.bars.updated[-max_delka]
|
|
|
|
else:
|
|
#NEMAME LOOKBACK PRICLINE - pouzivame stary způsob výpočtu, toto pozdeji decomissionovat
|
|
#lookback has to be even
|
|
if lookback_offset % 2 != 0:
|
|
lookback_offset += 1
|
|
|
|
#TBD pripdadne /2
|
|
if len(state.bars.close) > (slope_lookback + lookback_offset):
|
|
#test prumer nejvyssi a nejnizsi hodnoty
|
|
# if name == "slope":
|
|
|
|
#levy bod bude vzdy vzdaleny o slope_lookback
|
|
#ten bude prumerem hodnot lookback_offset a to tak ze polovina offsetu z kazde strany
|
|
array_od = slope_lookback + int(lookback_offset/2)
|
|
array_do = slope_lookback - int(lookback_offset/2)
|
|
lookbackprice_array = state.bars.vwap[-array_od:-array_do]
|
|
|
|
#dame na porovnani jen prumer
|
|
lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
|
|
#lookbackprice = round((min(lookbackprice_array)+max(lookbackprice_array))/2,3)
|
|
# else:
|
|
# #puvodni lookback a od te doby dozadu offset
|
|
# array_od = slope_lookback + lookback_offset
|
|
# array_do = slope_lookback
|
|
# lookbackprice_array = state.bars.vwap[-array_od:-array_do]
|
|
# #obycejný prumer hodnot
|
|
# lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
|
|
|
|
lookbacktime = state.bars.time[-slope_lookback]
|
|
else:
|
|
#kdyz neni dostatek hodnot, pouzivame jako levy bod open hodnotu close[0]
|
|
#lookbackprice = state.bars.vwap[0]
|
|
|
|
#dalsi vyarianta-- lookback je pole z toho všeho co mame
|
|
#lookbackprice = Average(state.bars.vwap)
|
|
|
|
|
|
|
|
#pokud neni dostatek, bereme vzdy prvni petinu z dostupnych barů
|
|
# a z ní uděláme průměr
|
|
cnt = len(state.bars.close)
|
|
if cnt>5:
|
|
sliced_to = int(cnt/5)
|
|
lookbackprice= Average(state.bars.vwap[:sliced_to])
|
|
lookbacktime = state.bars.time[int(sliced_to/2)]
|
|
else:
|
|
lookbackprice = Average(state.bars.vwap)
|
|
lookbacktime = state.bars.time[0]
|
|
|
|
state.ilog(lvl=1,e=f"IND {name} slope - not enough data bereme left bod open", slope_lookback=slope_lookback, lookbackprice=lookbackprice)
|
|
|
|
#výpočet úhlu - a jeho normalizace
|
|
slope = ((state.bars.close[-1] - lookbackprice)/lookbackprice)*100
|
|
slope = round(slope, 4)
|
|
state.indicators[name][-1]=slope
|
|
|
|
#angle je ze slope, ale pojmenovavame ho podle MA
|
|
state.statinds[name] = dict(time=state.bars.time[-1], price=state.bars.close[-1], lookbacktime=lookbacktime, lookbackprice=lookbackprice, minimum_slope=minimum_slope, maximum_slope=maximum_slope)
|
|
|
|
#slope MA vyrovna vykyvy ve slope
|
|
slope_MA_length = safe_get(options, 'MA_length', None)
|
|
slopeMA = None
|
|
last_slopesMA = None
|
|
#pokud je nastavena MA_length tak vytvarime i MAcko dane delky na tento slope
|
|
if slope_MA_length is not None:
|
|
source = state.indicators[name][-slope_MA_length:]
|
|
slopeMAseries = ema(source, slope_MA_length) #state.bars.vwap
|
|
slopeMA = round(slopeMAseries[-1],4)
|
|
state.indicators[name+"MA"][-1]=slopeMA
|
|
last_slopesMA = state.indicators[name+"MA"][-10:]
|
|
|
|
lb_priceline_string = "from "+lookback_priceline if lookback_priceline is not None else ""
|
|
|
|
state.ilog(lvl=1,e=f"IND {name} {lb_priceline_string} {slope=} {slopeMA=}", msg=f"{lookbackprice=} {lookbacktime=}", lookback_priceline=lookback_priceline, lookbackprice=lookbackprice, lookbacktime=lookbacktime, slope_lookback=slope_lookback, lookbackoffset=lookback_offset, minimum_slope=minimum_slope, last_slopes=state.indicators[name][-10:], last_slopesMA=last_slopesMA)
|
|
#dale pracujeme s timto MAckovanym slope
|
|
#slope = slopeMA
|
|
|
|
except Exception as e:
|
|
print(f"Exception in {name} slope Indicator section", str(e))
|
|
state.ilog(lvl=1,e=f"EXCEPTION in {name}", msg="Exception in slope Indicator section" + str(e) + format_exc())
|
|
|
|
def process_delta():
|
|
#PROCESs DELTAS - to function
|
|
last_update_delta = round((float(data['updated']) - state.vars.last_update_time),6) if state.vars.last_update_time != 0 else 0
|
|
state.vars.last_update_time = float(data['updated'])
|
|
|
|
if len(state.vars.last_50_deltas) >=50:
|
|
state.vars.last_50_deltas.pop(0)
|
|
state.vars.last_50_deltas.append(last_update_delta)
|
|
avg_delta = Average(state.vars.last_50_deltas)
|
|
|
|
state.ilog(lvl=1,e=f"-----{data['index']}-{conf_bar}--delta:{last_update_delta}---AVGdelta:{avg_delta}", data=data)
|
|
|
|
conf_bar = data['confirmed']
|
|
process_delta()
|
|
#kroky pro CONFIRMED BAR only
|
|
if conf_bar == 1:
|
|
#logika pouze pro potvrzeny bar
|
|
state.ilog(lvl=0,e="BAR potvrzeny")
|
|
|
|
#pri potvrzem CBARu nulujeme counter volume pro tick based indicator
|
|
state.vars.last_tick_volume = 0
|
|
state.vars.next_new = 1
|
|
#kroky pro CONTINOUS TICKS only
|
|
else:
|
|
#CBAR INDICATOR pro tick price a deltu VOLUME
|
|
populate_cbar_tick_price_indicator()
|
|
#TBD nize predelat na typizovane RSI (a to jak na urovni CBAR tak confirmed)
|
|
populate_cbar_rsi_indicator()
|
|
|
|
#populate indicators, that have type in stratvars.indicators
|
|
populate_dynamic_indicators()
|
|
# endregion
|
|
|
|
# region Subfunction
|
|
|
|
def dontexit_protection_met(direction: TradeDirection):
|
|
if direction == TradeDirection.LONG:
|
|
smer = "long"
|
|
else:
|
|
smer = "short"
|
|
|
|
mother_signal = state.vars.activeTrade.generated_by
|
|
|
|
if mother_signal is not None:
|
|
#TESTUJEME DONT_EXIT_
|
|
cond_dict = state.vars.conditions[KW.dont_exit][mother_signal][smer]
|
|
#OR
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"DONT_EXIT {mother_signal} {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
cond_dict = state.vars.conditions[KW.dont_exit]["common"][smer]
|
|
#OR
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"DONT_EXIT common {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
return result
|
|
|
|
def normalize_tick(tick: float, price: float = None, return_two_decimals: bool = False):
|
|
"""
|
|
Pokud je nastaveno v direktive:
|
|
#zda normalizovat vsechyn ticky (tzn. profit, maxprofit, SL atp.)
|
|
Normalize_ticks= true
|
|
Normalized Tick base price = 30
|
|
|
|
prevede normalizovany tick na tick odpovidajici vstupni cene
|
|
vysledek je zaokoruhleny na 2 des.mista
|
|
|
|
u cen pod 30, vrací 0.01. U cen nad 30 vrací pomerne zvetsene,
|
|
|
|
"""
|
|
#nemusime dodavat cenu, bereme aktualni
|
|
if price is None:
|
|
price = data["close"]
|
|
|
|
normalize_ticks = safe_get(state.vars, "normalize_ticks",False)
|
|
normalized_base_price = safe_get(state.vars, "normalized_base_price",30)
|
|
if normalize_ticks:
|
|
if price<normalized_base_price:
|
|
return tick
|
|
else:
|
|
#ratio of price vs base price
|
|
ratio = price/normalized_base_price
|
|
normalized_tick = ratio*tick
|
|
return price2dec(normalized_tick) if return_two_decimals else normalized_tick
|
|
else:
|
|
return tick
|
|
|
|
#funkce pro direktivy, ktere muzou byt overridnute v signal sekci
|
|
#tato funkce vyhleda signal sekci aktivniho tradu a pokusi se danou direktivu vyhledat tam,
|
|
#pokud nenajde tak vrati default, ktery byl poskytnut
|
|
def get_override_for_active_trade(directive_name: str, default_value: str):
|
|
val = default_value
|
|
override = "NO"
|
|
mother_signal = state.vars.activeTrade.generated_by
|
|
|
|
if mother_signal is not None:
|
|
override = "YES "+mother_signal
|
|
val = safe_get(state.vars.signals[mother_signal], directive_name, default_value)
|
|
|
|
state.ilog(lvl=0,e=f"{directive_name} OVERRIDE {override} NEWVAL:{val} ORIGINAL:{default_value} {mother_signal}", mother_signal=mother_signal,default_value=default_value)
|
|
return val
|
|
|
|
def get_default_sl_value(direction: TradeDirection):
|
|
|
|
if direction == TradeDirection.LONG:
|
|
smer = "long"
|
|
else:
|
|
smer = "short"
|
|
|
|
#TODO zda signal, ktery activeTrade vygeneroval, nema vlastni nastaveni + fallback na general
|
|
|
|
options = safe_get(state.vars, 'exit', None)
|
|
|
|
if options is None:
|
|
state.ilog(lvl=1,e="No options for exit in stratvars. Fallback.")
|
|
return 0.01
|
|
directive_name = 'SL_defval_'+str(smer)
|
|
val = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, 0.01))
|
|
return val
|
|
|
|
def get_profit_target_price():
|
|
directive_name = "profit"
|
|
def_profit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, 0.50))
|
|
|
|
normalized_def_profit = normalize_tick(float(def_profit))
|
|
|
|
state.ilog(lvl=0,e=f"PROFIT {def_profit=} {normalized_def_profit=}")
|
|
|
|
return price2dec(float(state.avgp)+normalized_def_profit,3) if int(state.positions) > 0 else price2dec(float(state.avgp)-normalized_def_profit,3)
|
|
|
|
def get_max_profit_price():
|
|
directive_name = "max_profit"
|
|
max_profit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, 0.35))
|
|
|
|
normalized_max_profit = normalize_tick(float(max_profit))
|
|
|
|
state.ilog(lvl=0,e=f"MAX PROFIT {max_profit=} {normalized_max_profit=}")
|
|
|
|
return price2dec(float(state.avgp)+normalized_max_profit,3) if int(state.positions) > 0 else price2dec(float(state.avgp)-normalized_max_profit,3)
|
|
|
|
#otestuje keyword podminky (napr. reverse_if, nebo exitadd_if)
|
|
def keyword_conditions_met(direction: TradeDirection, keyword: KW):
|
|
action = str(keyword).upper()
|
|
if direction == TradeDirection.LONG:
|
|
smer = "long"
|
|
else:
|
|
smer = "short"
|
|
|
|
directive_name = "exit_cond_only_on_confirmed"
|
|
exit_cond_only_on_confirmed = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
|
|
if exit_cond_only_on_confirmed and data['confirmed'] == 0:
|
|
state.ilog(lvl=0,e=f"{action} CHECK COND ONLY ON CONFIRMED BAR")
|
|
return False
|
|
|
|
#TOTO zatim u REVERSU neresime
|
|
# #POKUD je nastaven MIN PROFIT, zkontrolujeme ho a az pripadne pustime CONDITIONY
|
|
# directive_name = "exit_cond_min_profit"
|
|
# exit_cond_min_profit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
|
|
|
|
# #máme nastavený exit_cond_min_profit
|
|
# # zjistíme, zda jsme v daném profit a případně nepustíme dál
|
|
# # , zjistíme aktuální cenu a přičteme k avgp tento profit a podle toho pustime dal
|
|
|
|
# if exit_cond_min_profit is not None:
|
|
# exit_cond_min_profit_normalized = normalize_tick(float(exit_cond_min_profit))
|
|
# exit_cond_goal_price = price2dec(float(state.avgp)+exit_cond_min_profit_normalized,3) if int(state.positions) > 0 else price2dec(float(state.avgp)-exit_cond_min_profit_normalized,3)
|
|
# curr_price = float(data["close"])
|
|
# state.ilog(lvl=0,e=f"EXIT COND min profit {exit_cond_goal_price=} {exit_cond_min_profit=} {exit_cond_min_profit_normalized=} {curr_price=}")
|
|
# if (int(state.positions) < 0 and curr_price<=exit_cond_goal_price) or (int(state.positions) > 0 and curr_price>=exit_cond_goal_price):
|
|
# state.ilog(lvl=0,e=f"EXIT COND min profit PASS - POKRACUJEME")
|
|
# else:
|
|
# state.ilog(lvl=0,e=f"EXIT COND min profit NOT PASS")
|
|
# return False
|
|
|
|
#TOTO ZATIM NEMA VYZNAM
|
|
# options = safe_get(state.vars, 'exit_conditions', None)
|
|
# if options is None:
|
|
# state.ilog(lvl=0,e="No options for exit conditions in stratvars")
|
|
# return False
|
|
|
|
# disable_exit_proteciton_when = dict(AND=dict(), OR=dict())
|
|
|
|
# #preconditions
|
|
# disable_exit_proteciton_when['disabled_in_config'] = safe_get(options, 'enabled', False) is False
|
|
# #too good to be true (maximum profit)
|
|
# #disable_sell_proteciton_when['tgtbt_reached'] = safe_get(options, 'tgtbt', False) is False
|
|
# disable_exit_proteciton_when['disable_if_positions_above'] = int(safe_get(options, 'disable_if_positions_above', 0)) < abs(int(state.positions))
|
|
|
|
# #testing preconditions
|
|
# result, conditions_met = eval_cond_dict(disable_exit_proteciton_when)
|
|
# if result:
|
|
# state.ilog(lvl=0,e=f"EXIT_CONDITION for{smer} DISABLED by {conditions_met}", **conditions_met)
|
|
# return False
|
|
|
|
#bereme bud exit condition signalu, ktery activeTrade vygeneroval+ fallback na general
|
|
state.ilog(lvl=0,e=f"{action} CONDITIONS ENTRY {smer}", conditions=state.vars.conditions[KW.reverse])
|
|
|
|
mother_signal = state.vars.activeTrade.generated_by
|
|
|
|
if mother_signal is not None:
|
|
cond_dict = state.vars.conditions[keyword][mother_signal][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"{action} CONDITIONS of {mother_signal} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"{action} CONDITIONS of {mother_signal} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
|
|
#pokud nemame mother signal nebo exit nevratil nic, fallback na common
|
|
cond_dict = state.vars.conditions[keyword]["common"][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"{action} CONDITIONS of COMMON =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=0,e=f"{action} CONDITIONS of COMMON =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#DECOMISSIONOVANI - nahrazeno obacnou keyword_conditions_met
|
|
# def reverse_conditions_met(direction: TradeDirection):
|
|
# if direction == TradeDirection.LONG:
|
|
# smer = "long"
|
|
# else:
|
|
# smer = "short"
|
|
|
|
# directive_name = "exit_cond_only_on_confirmed"
|
|
# exit_cond_only_on_confirmed = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
|
|
# if exit_cond_only_on_confirmed and data['confirmed'] == 0:
|
|
# state.ilog(lvl=0,e="REVERSAL CHECK COND ONLY ON CONFIRMED BAR")
|
|
# return False
|
|
|
|
# #TOTO zatim u REVERSU neresime
|
|
# # #POKUD je nastaven MIN PROFIT, zkontrolujeme ho a az pripadne pustime CONDITIONY
|
|
# # directive_name = "exit_cond_min_profit"
|
|
# # exit_cond_min_profit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
|
|
|
|
# # #máme nastavený exit_cond_min_profit
|
|
# # # zjistíme, zda jsme v daném profit a případně nepustíme dál
|
|
# # # , zjistíme aktuální cenu a přičteme k avgp tento profit a podle toho pustime dal
|
|
|
|
# # if exit_cond_min_profit is not None:
|
|
# # exit_cond_min_profit_normalized = normalize_tick(float(exit_cond_min_profit))
|
|
# # exit_cond_goal_price = price2dec(float(state.avgp)+exit_cond_min_profit_normalized,3) if int(state.positions) > 0 else price2dec(float(state.avgp)-exit_cond_min_profit_normalized,3)
|
|
# # curr_price = float(data["close"])
|
|
# # state.ilog(lvl=0,e=f"EXIT COND min profit {exit_cond_goal_price=} {exit_cond_min_profit=} {exit_cond_min_profit_normalized=} {curr_price=}")
|
|
# # if (int(state.positions) < 0 and curr_price<=exit_cond_goal_price) or (int(state.positions) > 0 and curr_price>=exit_cond_goal_price):
|
|
# # state.ilog(lvl=0,e=f"EXIT COND min profit PASS - POKRACUJEME")
|
|
# # else:
|
|
# # state.ilog(lvl=0,e=f"EXIT COND min profit NOT PASS")
|
|
# # return False
|
|
|
|
# #TOTO ZATIM NEMA VYZNAM
|
|
# # options = safe_get(state.vars, 'exit_conditions', None)
|
|
# # if options is None:
|
|
# # state.ilog(lvl=0,e="No options for exit conditions in stratvars")
|
|
# # return False
|
|
|
|
# # disable_exit_proteciton_when = dict(AND=dict(), OR=dict())
|
|
|
|
# # #preconditions
|
|
# # disable_exit_proteciton_when['disabled_in_config'] = safe_get(options, 'enabled', False) is False
|
|
# # #too good to be true (maximum profit)
|
|
# # #disable_sell_proteciton_when['tgtbt_reached'] = safe_get(options, 'tgtbt', False) is False
|
|
# # disable_exit_proteciton_when['disable_if_positions_above'] = int(safe_get(options, 'disable_if_positions_above', 0)) < abs(int(state.positions))
|
|
|
|
# # #testing preconditions
|
|
# # result, conditions_met = eval_cond_dict(disable_exit_proteciton_when)
|
|
# # if result:
|
|
# # state.ilog(lvl=0,e=f"EXIT_CONDITION for{smer} DISABLED by {conditions_met}", **conditions_met)
|
|
# # return False
|
|
|
|
# #bereme bud exit condition signalu, ktery activeTrade vygeneroval+ fallback na general
|
|
# state.ilog(lvl=0,e=f"REVERSE CONDITIONS ENTRY {smer}", conditions=state.vars.conditions[KW.reverse])
|
|
|
|
# mother_signal = state.vars.activeTrade.generated_by
|
|
|
|
# if mother_signal is not None:
|
|
# cond_dict = state.vars.conditions[KW.reverse][state.vars.activeTrade.generated_by][smer]
|
|
# result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
# state.ilog(lvl=1,e=f"REVERSE CONDITIONS of {mother_signal} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
# if result:
|
|
# return True
|
|
|
|
# #OR neprosly testujeme AND
|
|
# result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
# state.ilog(lvl=1,e=f"REVERSE CONDITIONS of {mother_signal} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
# if result:
|
|
# return True
|
|
|
|
|
|
# #pokud nemame mother signal nebo exit nevratil nic, fallback na common
|
|
# cond_dict = state.vars.conditions[KW.reverse]["common"][smer]
|
|
# result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
# state.ilog(lvl=1,e=f"REVERSE CONDITIONS of COMMON =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
# if result:
|
|
# return True
|
|
|
|
# #OR neprosly testujeme AND
|
|
# result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
# state.ilog(lvl=0,e=f"REVERSE CONDITIONS of COMMON =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
# if result:
|
|
# return True
|
|
|
|
def exit_conditions_met(direction: TradeDirection):
|
|
if direction == TradeDirection.LONG:
|
|
smer = "long"
|
|
else:
|
|
smer = "short"
|
|
|
|
directive_name = "exit_cond_only_on_confirmed"
|
|
exit_cond_only_on_confirmed = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
|
|
if exit_cond_only_on_confirmed and data['confirmed'] == 0:
|
|
state.ilog(lvl=0,e="EXIT COND ONLY ON CONFIRMED BAR")
|
|
return False
|
|
|
|
## minimální počet barů od vstupu
|
|
directive_name = "exit_cond_req_bars"
|
|
exit_cond_req_bars = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, 1))
|
|
|
|
if state.vars.last_in_index is not None:
|
|
index_to_compare = int(state.vars.last_in_index)+int(exit_cond_req_bars)
|
|
if int(data["index"]) < index_to_compare:
|
|
state.ilog(lvl=1,e=f"EXIT COND WAITING on required bars from IN {exit_cond_req_bars} TOO SOON", currindex=data["index"], index_to_compare=index_to_compare, last_in_index=state.vars.last_in_index)
|
|
return False
|
|
|
|
#POKUD je nastaven MIN PROFIT, zkontrolujeme ho a az pripadne pustime CONDITIONY
|
|
directive_name = "exit_cond_min_profit"
|
|
exit_cond_min_profit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, None))
|
|
|
|
#máme nastavený exit_cond_min_profit
|
|
# zjistíme, zda jsme v daném profit a případně nepustíme dál
|
|
# , zjistíme aktuální cenu a přičteme k avgp tento profit a podle toho pustime dal
|
|
|
|
if exit_cond_min_profit is not None:
|
|
exit_cond_min_profit_normalized = normalize_tick(float(exit_cond_min_profit))
|
|
exit_cond_goal_price = price2dec(float(state.avgp)+exit_cond_min_profit_normalized,3) if int(state.positions) > 0 else price2dec(float(state.avgp)-exit_cond_min_profit_normalized,3)
|
|
curr_price = float(data["close"])
|
|
state.ilog(lvl=1,e=f"EXIT COND min profit {exit_cond_goal_price=} {exit_cond_min_profit=} {exit_cond_min_profit_normalized=} {curr_price=}")
|
|
if (int(state.positions) < 0 and curr_price<=exit_cond_goal_price) or (int(state.positions) > 0 and curr_price>=exit_cond_goal_price):
|
|
state.ilog(lvl=1,e=f"EXIT COND min profit PASS - POKRACUJEME")
|
|
else:
|
|
state.ilog(lvl=1,e=f"EXIT COND min profit NOT PASS")
|
|
return False
|
|
|
|
#TOTO ZATIM NEMA VYZNAM
|
|
# options = safe_get(state.vars, 'exit_conditions', None)
|
|
# if options is None:
|
|
# state.ilog(lvl=0,e="No options for exit conditions in stratvars")
|
|
# return False
|
|
|
|
# disable_exit_proteciton_when = dict(AND=dict(), OR=dict())
|
|
|
|
# #preconditions
|
|
# disable_exit_proteciton_when['disabled_in_config'] = safe_get(options, 'enabled', False) is False
|
|
# #too good to be true (maximum profit)
|
|
# #disable_sell_proteciton_when['tgtbt_reached'] = safe_get(options, 'tgtbt', False) is False
|
|
# disable_exit_proteciton_when['disable_if_positions_above'] = int(safe_get(options, 'disable_if_positions_above', 0)) < abs(int(state.positions))
|
|
|
|
# #testing preconditions
|
|
# result, conditions_met = eval_cond_dict(disable_exit_proteciton_when)
|
|
# if result:
|
|
# state.ilog(lvl=0,e=f"EXIT_CONDITION for{smer} DISABLED by {conditions_met}", **conditions_met)
|
|
# return False
|
|
|
|
#bereme bud exit condition signalu, ktery activeTrade vygeneroval+ fallback na general
|
|
state.ilog(lvl=0,e=f"EXIT CONDITIONS ENTRY {smer}", conditions=state.vars.conditions[KW.exit])
|
|
|
|
mother_signal = state.vars.activeTrade.generated_by
|
|
|
|
if mother_signal is not None:
|
|
cond_dict = state.vars.conditions[KW.exit][state.vars.activeTrade.generated_by][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"EXIT CONDITIONS of {mother_signal} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"EXIT CONDITIONS of {mother_signal} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
|
|
#pokud nemame mother signal nebo exit nevratil nic, fallback na common
|
|
cond_dict = state.vars.conditions[KW.exit]["common"][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"EXIT CONDITIONS of COMMON =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"EXIT CONDITIONS of COMMON =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
|
|
#ZVAZIT JESTLI nesledujici puvodni pravidlo pro dontsellwhen pujdou realizovat inverzne jako exit when
|
|
#PUVODNI NASTAVENI - IDENTIFIKOVAce rustoveho MOMENTA - pokud je momentum, tak prodávat později
|
|
|
|
# #pokud je slope too high, pak prodavame jakmile slopeMA zacne klesat, napr. 4MA (TODO 3)
|
|
|
|
# #TODO zkusit pro pevny profit, jednoduse pozdrzet prodej - dokud tick_price roste nebo se drzi tak neprodavat, pokud klesne prodat
|
|
# #mozna mit dva mody - pri vetsi volatilite pouzivat momentum, pri mensi nebo kdyz potrebuju pryc, tak prodat hned
|
|
|
|
#puvodni nastaveni
|
|
#slopeMA_rising = 2
|
|
#rsi_not_falling = 3
|
|
|
|
# #toto docasne pryc dont_sell_when['slope_too_high'] = slope_too_high() and not isfalling(state.indicators.slopeMA,4)
|
|
# dont_sell_when['AND']['slopeMA_rising'] = isrising(state.indicators.slopeMA,safe_get(options, 'slopeMA_rising', 2))
|
|
# dont_sell_when['AND']['rsi_not_falling'] = not isfalling(state.indicators.RSI14,safe_get(options, 'rsi_not_falling',3))
|
|
# #dont_sell_when['rsi_dont_buy'] = state.indicators.RSI14[-1] > safe_get(state.vars, "rsi_dont_buy_above",50)
|
|
|
|
# result, conditions_met = eval_cond_dict(dont_sell_when)
|
|
# if result:
|
|
# state.ilog(lvl=0,e=f"SELL_PROTECTION {conditions_met} enabled")
|
|
# return result
|
|
|
|
def insert_SL_history():
|
|
#insert stoploss history as key sl_history into runner archive extended data
|
|
state.extData["sl_history"].append(SLHistory(id=state.vars.activeTrade.id, time=state.time, sl_val=state.vars.activeTrade.stoploss_value))
|
|
|
|
def trail_SL_management():
|
|
#pokud se cena posouva nasim smerem olespon o (0.05) nad (SL + 0.09val), posuneme SL o offset
|
|
#+ varianta - skoncit breakeven
|
|
|
|
#DIREKTIVY:
|
|
#maximalni stoploss, fallout pro "exit_short_if" direktivy
|
|
# SL_defval_short = 0.10
|
|
# SL_defval_long = 0.10
|
|
# SL_trailing_enabled_short = true
|
|
# SL_trailing_enabled_long = true
|
|
# #minimalni vzdalenost od aktualni SL, aby se SL posunula na
|
|
# SL_trailing_offset_short = 0.05
|
|
# SL_trailing_offset_long = 0.05
|
|
# #zda trailing zastavit na brakeeven
|
|
# SL_trailing_stop_at_breakeven_short = true
|
|
# SL_trailing_stop_at_breakeven_long = true
|
|
if int(state.positions) != 0 and float(state.avgp)>0 and state.vars.pending is None:
|
|
|
|
if int(state.positions) < 0:
|
|
direction = TradeDirection.SHORT
|
|
smer = "short"
|
|
else:
|
|
direction = TradeDirection.LONG
|
|
smer = "long"
|
|
|
|
# zatim nastaveni SL plati pro vsechny - do budoucna per signal - pridat sekci
|
|
|
|
options = safe_get(state.vars, 'exit', None)
|
|
if options is None:
|
|
state.ilog(lvl=1,e="Trail SL. No options for exit conditions in stratvars.")
|
|
return
|
|
|
|
directive_name = 'SL_trailing_enabled_'+str(smer)
|
|
sl_trailing_enabled = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, False))
|
|
|
|
|
|
#SL_trailing_protection_window_short
|
|
directive_name = 'SL_trailing_protection_window_'+str(smer)
|
|
SL_trailing_protection_window = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, 0))
|
|
index_to_compare = int(state.vars.last_in_index)+int(SL_trailing_protection_window)
|
|
if index_to_compare > int(data["index"]):
|
|
state.ilog(lvl=1,e=f"SL trail PROTECTION WINDOW {SL_trailing_protection_window} - TOO SOON", currindex=data["index"], index_to_compare=index_to_compare, last_in_index=state.vars.last_in_index)
|
|
return
|
|
|
|
|
|
|
|
if sl_trailing_enabled is True:
|
|
directive_name = 'SL_trailing_stop_at_breakeven_'+str(smer)
|
|
stop_breakeven = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, False))
|
|
directive_name = 'SL_defval_'+str(smer)
|
|
def_SL = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, 0.01))
|
|
directive_name = "SL_trailing_offset_"+str(smer)
|
|
offset = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(options, directive_name, 0.01))
|
|
|
|
#pokud je pozadovan trail jen do breakeven a uz prekroceno
|
|
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)):
|
|
state.ilog(lvl=1,e=f"SL trail STOP at breakeven {str(smer)} SL:{state.vars.activeTrade.stoploss_value} UNCHANGED", stop_breakeven=stop_breakeven)
|
|
return
|
|
|
|
#IDEA: Nyni posouvame SL o offset, mozna ji posunout jen o direktivu step ?
|
|
|
|
offset_normalized = normalize_tick(offset) #to ticks and from options
|
|
def_SL_normalized = normalize_tick(def_SL)
|
|
if direction == TradeDirection.LONG:
|
|
move_SL_threshold = state.vars.activeTrade.stoploss_value + offset_normalized + def_SL_normalized
|
|
state.ilog(lvl=1,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
|
|
if (move_SL_threshold) < data['close']:
|
|
state.vars.activeTrade.stoploss_value += offset_normalized
|
|
insert_SL_history()
|
|
state.ilog(lvl=1,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)
|
|
elif direction == TradeDirection.SHORT:
|
|
move_SL_threshold = state.vars.activeTrade.stoploss_value - offset_normalized - def_SL_normalized
|
|
state.ilog(lvl=0,e=f"SL TRAIL EVAL {smer} SL:{round(state.vars.activeTrade.stoploss_value,3)} TRAILGOAL:{move_SL_threshold}", def_SL=def_SL, offset=offset, offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
|
|
if (move_SL_threshold) > data['close']:
|
|
state.vars.activeTrade.stoploss_value -= offset_normalized
|
|
insert_SL_history()
|
|
state.ilog(lvl=1,e=f"SL TRAIL GOAL {smer} reached {move_SL_threshold} SL moved to {state.vars.activeTrade.stoploss_value}", offset_normalized=offset_normalized, def_SL_normalized=def_SL_normalized)
|
|
|
|
def close_position(direction: TradeDirection, reason: str, followup: Followup = None):
|
|
followup_text = str(followup) if followup is not None else ""
|
|
state.ilog(lvl=1,e=f"CLOSING TRADE {followup_text} {reason} {str(direction)}", curr_price=data["close"], trade=state.vars.activeTrade)
|
|
if direction == TradeDirection.SHORT:
|
|
res = state.buy(size=abs(int(state.positions)))
|
|
if isinstance(res, int) and res < 0:
|
|
raise Exception(f"error in required operation {reason} {res}")
|
|
|
|
elif direction == TradeDirection.LONG:
|
|
res = state.sell(size=state.positions)
|
|
if isinstance(res, int) and res < 0:
|
|
raise Exception(f"error in required operation STOPLOSS SELL {res}")
|
|
|
|
else:
|
|
raise Exception(f"unknow TradeDirection in close_position")
|
|
|
|
#pri uzavreni tradu zapisujeme SL history - lepsi zorbazeni v grafu
|
|
insert_SL_history()
|
|
state.vars.pending = state.vars.activeTrade.id
|
|
state.vars.activeTrade = None
|
|
state.vars.last_exit_index = data["index"]
|
|
if followup is not None:
|
|
state.vars.requested_followup = followup
|
|
|
|
def eval_close_position():
|
|
curr_price = float(data['close'])
|
|
state.ilog(lvl=0,e="Eval CLOSE", price=curr_price, pos=state.positions, avgp=state.avgp, pending=state.vars.pending, activeTrade=str(state.vars.activeTrade))
|
|
|
|
if int(state.positions) != 0 and float(state.avgp)>0 and state.vars.pending is None:
|
|
|
|
#pevny target - presunout toto do INIT a pak jen pristupovat
|
|
goal_price = get_profit_target_price()
|
|
max_price = get_max_profit_price()
|
|
state.ilog(lvl=1,e=f"Goal price {goal_price} max price {max_price}")
|
|
|
|
#close position handling
|
|
#TBD pridat OPTIMALIZACI POZICE - EXIT 1/2
|
|
|
|
#mame short pozice - (IDEA: rozlisovat na zaklade aktivniho tradu - umozni mi spoustet i pri soucasne long pozicemi)
|
|
if int(state.positions) < 0:
|
|
#EOD EXIT - TBD
|
|
#FORCED EXIT PRI KONCI DNE
|
|
|
|
#SL - execution
|
|
if curr_price > state.vars.activeTrade.stoploss_value:
|
|
|
|
directive_name = 'reverse_for_SL_exit_short'
|
|
reverse_for_SL_exit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
followup_action = Followup.REVERSE if reverse_for_SL_exit else None
|
|
close_position(direction=TradeDirection.SHORT, reason="SL REACHED", followup=followup_action)
|
|
return
|
|
|
|
#REVERSE BASED ON REVERSE CONDITIONS
|
|
if keyword_conditions_met(direction=TradeDirection.SHORT, keyword=KW.reverse):
|
|
close_position(direction=TradeDirection.SHORT, reason="REVERSE COND MET", followup=Followup.REVERSE)
|
|
return
|
|
|
|
#EXIT ADD CONDITIONS MET (exit and add)
|
|
if keyword_conditions_met(direction=TradeDirection.SHORT, keyword=KW.exitadd):
|
|
close_position(direction=TradeDirection.SHORT, reason="EXITADD COND MET", followup=Followup.ADD)
|
|
return
|
|
|
|
#CLOSING BASED ON EXIT CONDITIONS
|
|
if exit_conditions_met(TradeDirection.SHORT):
|
|
directive_name = 'reverse_for_cond_exit_short'
|
|
reverse_for_cond_exit_short = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
directive_name = 'add_for_cond_exit_short'
|
|
add_for_cond_exit_short = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
if reverse_for_cond_exit_short:
|
|
followup_action = Followup.REVERSE
|
|
elif add_for_cond_exit_short:
|
|
followup_action = Followup.ADD
|
|
else:
|
|
followup_action = None
|
|
close_position(direction=TradeDirection.SHORT, reason="EXIT COND MET", followup=followup_action)
|
|
return
|
|
|
|
#PROFIT
|
|
if curr_price<=goal_price:
|
|
#TODO cekat az slope prestane intenzivn erust, necekat az na klesani
|
|
#TODO mozna cekat na nejaky signal RSI
|
|
#TODO pripadne pokud dosahne TGTBB prodat ihned
|
|
max_price_signal = curr_price<=max_price
|
|
#OPTIMALIZACE pri stoupajícím angle
|
|
if max_price_signal or dontexit_protection_met(direction=TradeDirection.SHORT) is False:
|
|
close_position(direction=TradeDirection.SHORT, reason=f"PROFIT or MAXPROFIT REACHED {max_price_signal=}")
|
|
return
|
|
#mame long
|
|
elif int(state.positions) > 0:
|
|
#EOD EXIT - TBD
|
|
|
|
#SL - execution
|
|
if curr_price < state.vars.activeTrade.stoploss_value:
|
|
directive_name = 'reverse_for_SL_exit_long'
|
|
reverse_for_SL_exit = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
followup_action = Followup.REVERSE if reverse_for_SL_exit else None
|
|
close_position(direction=TradeDirection.LONG, reason="SL REACHED", followup=followup_action)
|
|
return
|
|
|
|
|
|
#REVERSE BASED ON REVERSE CONDITIONS
|
|
if keyword_conditions_met(TradeDirection.LONG, KW.reverse):
|
|
close_position(direction=TradeDirection.LONG, reason="REVERSE COND MET", followup=Followup.REVERSE)
|
|
return
|
|
|
|
#EXIT ADD CONDITIONS MET (exit and add)
|
|
if keyword_conditions_met(TradeDirection.LONG, KW.exitadd):
|
|
close_position(direction=TradeDirection.LONG, reason="EXITADD COND MET", followup=Followup.ADD)
|
|
return
|
|
|
|
#EXIT CONDITIONS
|
|
if exit_conditions_met(TradeDirection.LONG):
|
|
directive_name = 'reverse_for_cond_exit_long'
|
|
reverse_for_cond_exit_long = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
directive_name = 'add_for_cond_exit_long'
|
|
add_for_cond_exit_long = get_override_for_active_trade(directive_name=directive_name, default_value=safe_get(state.vars, directive_name, False))
|
|
if reverse_for_cond_exit_long:
|
|
followup_action = Followup.REVERSE
|
|
elif add_for_cond_exit_long:
|
|
followup_action = Followup.ADD
|
|
else:
|
|
followup_action = None
|
|
close_position(direction=TradeDirection.LONG, reason="EXIT CONDS MET", followup=followup_action)
|
|
return
|
|
|
|
#PROFIT
|
|
if curr_price>=goal_price:
|
|
#TODO cekat az slope prestane intenzivn erust, necekat az na klesani
|
|
#TODO mozna cekat na nejaky signal RSI
|
|
#TODO pripadne pokud dosahne TGTBB prodat ihned
|
|
max_price_signal = curr_price>=max_price
|
|
#OPTIMALIZACE pri stoupajícím angle
|
|
if max_price_signal or dontexit_protection_met(direction=TradeDirection.LONG) is False:
|
|
close_position(direction=TradeDirection.LONG, reason=f"PROFIT or MAXPROFIT REACHED {max_price_signal=}")
|
|
return
|
|
|
|
def execute_prescribed_trades():
|
|
##evaluate prescribed trade, prvni eligible presuneme do activeTrade, zmenime stav and vytvorime objednavky
|
|
|
|
if state.vars.activeTrade is not None or len(state.vars.prescribedTrades) == 0:
|
|
return
|
|
#evaluate long (price/market)
|
|
state.ilog(lvl=1,e="evaluating prescr trades", trades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
|
|
for trade in state.vars.prescribedTrades:
|
|
if trade.status == TradeStatus.READY and trade.direction == TradeDirection.LONG and (trade.entry_price is None or trade.entry_price >= data['close']):
|
|
trade.status = TradeStatus.ACTIVATED
|
|
trade.last_update = datetime.fromtimestamp(state.time).astimezone(zoneNY)
|
|
state.ilog(lvl=1,e=f"evaluated LONG", trade=json.loads(json.dumps(trade, default=json_serial)), prescrTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
|
|
state.vars.activeTrade = trade
|
|
state.vars.last_buy_index = data["index"]
|
|
state.vars.last_in_index = data["index"]
|
|
break
|
|
#evaluate shorts
|
|
if not state.vars.activeTrade:
|
|
for trade in state.vars.prescribedTrades:
|
|
if trade.status == TradeStatus.READY and trade.direction == TradeDirection.SHORT and (trade.entry_price is None or trade.entry_price <= data['close']):
|
|
state.ilog(lvl=1,e=f"evaluaed SHORT", trade=json.loads(json.dumps(trade, default=json_serial)), prescTrades=json.loads(json.dumps(state.vars.prescribedTrades, default=json_serial)))
|
|
trade.status = TradeStatus.ACTIVATED
|
|
trade.last_update = datetime.fromtimestamp(state.time).astimezone(zoneNY)
|
|
state.vars.activeTrade = trade
|
|
state.vars.last_buy_index = data["index"]
|
|
state.vars.last_in_index = data["index"]
|
|
break
|
|
|
|
#odeslani ORDER + NASTAVENI STOPLOSS (zatim hardcoded)
|
|
if state.vars.activeTrade:
|
|
if state.vars.activeTrade.direction == TradeDirection.LONG:
|
|
state.ilog(lvl=1,e="odesilame LONG ORDER", trade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)))
|
|
if state.vars.activeTrade.size is not None:
|
|
size = state.vars.activeTrade.size
|
|
else:
|
|
size = state.vars.chunk
|
|
res = state.buy(size=size)
|
|
if isinstance(res, int) and res < 0:
|
|
raise Exception(f"error in required operation LONG {res}")
|
|
#pokud neni nastaveno SL v prescribe, tak nastavuji default dle stratvars
|
|
if state.vars.activeTrade.stoploss_value is None:
|
|
sl_defvalue = get_default_sl_value(direction=state.vars.activeTrade.direction)
|
|
#normalizuji dle aktualni ceny
|
|
sl_defvalue_normalized = normalize_tick(sl_defvalue)
|
|
state.vars.activeTrade.stoploss_value = float(data['close']) - sl_defvalue_normalized
|
|
insert_SL_history()
|
|
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
|
|
state.vars.pending = state.vars.activeTrade.id
|
|
elif state.vars.activeTrade.direction == TradeDirection.SHORT:
|
|
state.ilog(lvl=1,e="odesilame SHORT ORDER",trade=json.loads(json.dumps(state.vars.activeTrade, default=json_serial)))
|
|
if state.vars.activeTrade.size is not None:
|
|
size = state.vars.activeTrade.size
|
|
else:
|
|
size = state.vars.chunk
|
|
res = state.sell(size=size)
|
|
if isinstance(res, int) and res < 0:
|
|
raise Exception(f"error in required operation SHORT {res}")
|
|
#pokud neni nastaveno SL v prescribe, tak nastavuji default dle stratvars
|
|
if state.vars.activeTrade.stoploss_value is None:
|
|
sl_defvalue = get_default_sl_value(direction=state.vars.activeTrade.direction)
|
|
#normalizuji dle aktualni ceny
|
|
sl_defvalue_normalized = normalize_tick(sl_defvalue)
|
|
state.vars.activeTrade.stoploss_value = float(data['close']) + sl_defvalue_normalized
|
|
insert_SL_history()
|
|
state.ilog(lvl=1,e=f"Nastaveno SL na {sl_defvalue}, priced normalized: {sl_defvalue_normalized} price: {state.vars.activeTrade.stoploss_value }")
|
|
state.vars.pending = state.vars.activeTrade.id
|
|
else:
|
|
state.ilog(lvl=1,e="unknow direction")
|
|
state.vars.activeTrade = None
|
|
|
|
def execute_signal_generator_plugin(name):
|
|
if name == "asr":
|
|
execute_asr()
|
|
|
|
#vstupni signal pro asr
|
|
def execute_asr():
|
|
pass
|
|
|
|
#preconditions and conditions of LONG/SHORT SIGNAL
|
|
def go_conditions_met(signalname: str, direction: TradeDirection):
|
|
if direction == TradeDirection.LONG:
|
|
smer = "long"
|
|
else:
|
|
smer = "short"
|
|
#preconditiony dle smer
|
|
|
|
#SPECIFICKE DONT BUYS - direktivy zacinajici dont_buy
|
|
#dont_buy_below = value nebo nazev indikatoru
|
|
#dont_buy_above = value nebo hazev indikatoru
|
|
|
|
#TESTUJEME SPECIFICKY DONT_GO -
|
|
#u techto ma smysl pouze OR
|
|
cond_dict = state.vars.conditions[KW.dont_go][signalname][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"SPECIFIC PRECOND {smer} {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return False
|
|
|
|
# #OR neprosly testujeme AND
|
|
# result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
# state.ilog(lvl=0,e=f"EXIT CONDITIONS of activeTrade {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
# if result:
|
|
# return True
|
|
|
|
#tyto timto nahrazeny - dat do konfigurace (dont_short_when, dont_long_when)
|
|
#dont_buy_when['rsi_too_high'] = state.indicators.RSI14[-1] > safe_get(state.vars, "rsi_dont_buy_above",50)
|
|
#dont_buy_when['slope_too_low'] = slope_too_low()
|
|
#dont_buy_when['slope_too_high'] = slope_too_high()
|
|
#dont_buy_when['rsi_is_zero'] = (state.indicators.RSI14[-1] == 0)
|
|
#dont_buy_when['reverse_position_waiting_amount_not_0'] = (state.vars.reverse_position_waiting_amount != 0)
|
|
|
|
#u indikatoru muzoun byt tyto directivy pro generovani signaliu long/short
|
|
# long_if_crossed_down - kdyz prekrocil dolu, VALUE: hodnota nebo nazev indikatoru
|
|
# long_if_crossed_up - kdyz prekrocil nahoru, VALUE: hodnota nebo nazev indikatoru
|
|
# long_if_crossed - kdyz krosne obema smery, VALUE: hodnota nebo nazev indikatoru
|
|
# long_if_falling - kdyz je klesajici po N, VALUE: hodnota
|
|
# long_if_rising - kdyz je rostouci po N, VALUE: hodnota
|
|
# long_if_below - kdyz je pod prahem, VALUE: hodnota nebo nazev indikatoru
|
|
# long_if_above - kdyz je nad prahem, VALUE: hodnota nebo nazev indikatoru
|
|
# long_if_pivot_a - kdyz je pivot A. VALUE: delka nohou
|
|
# long_if_pivot_v - kdyz je pivot V. VALUE: delka nohou
|
|
|
|
# direktivy se mohou nachazet v podsekci AND nebo OR - daneho indikatoru (nebo na volno, pak = OR)
|
|
# OR - staci kdyz plati jedna takova podminka a buysignal je aktivni
|
|
# AND - musi platit vsechny podminky ze vsech indikatoru, aby byl buysignal aktivni
|
|
|
|
#populate work dict - muze byt i jen jednou v INIT nebo 1x za cas
|
|
#dict oindexovane podminkou (OR/AND) obsahuje vsechny buy_if direktivy v tuplu (nazevind,direktiva,hodnota
|
|
# {'AND': [('nazev indikatoru', 'nazev direktivy', 'hodnotadirektivy')], 'OR': []}
|
|
#work_dict_signal_if = get_work_dict_with_directive(starts_with=signalname+"_"+smer+"_if")
|
|
|
|
#TESTUJEME GO SIGNAL
|
|
cond_dict = state.vars.conditions[KW.go][signalname][smer]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"EVAL GO SIGNAL {smer} =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"EVAL GO SIGNAL {smer} =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
if result:
|
|
return True
|
|
|
|
return False
|
|
|
|
#obecne precondition preds vstupem - platne jak pro condition based tak pro plugin
|
|
def common_go_preconditions_check(signalname: str, options: dict):
|
|
#ZAKLADNI KONTROLY ATRIBUTU s fallbackem na obecné
|
|
#check working windows (open - close, in minutes from the start of marker)
|
|
|
|
window_open = safe_get(options, "window_open",safe_get(state.vars, "window_open",0))
|
|
window_close = safe_get(options, "window_close",safe_get(state.vars, "window_close",390))
|
|
|
|
if is_window_open(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), window_open, window_close) is False:
|
|
state.ilog(lvl=1,e=f"SIGNAL {signalname} - WINDOW CLOSED", msg=f"{window_open=} {window_close=} ")
|
|
return False
|
|
|
|
next_signal_offset = safe_get(options, "next_signal_offset_from_last_exit",safe_get(state.vars, "next_signal_offset_from_last_exit",0))
|
|
|
|
if state.vars.last_exit_index is not None:
|
|
index_to_compare = int(state.vars.last_exit_index)+int(next_signal_offset)
|
|
if index_to_compare > int(data["index"]):
|
|
state.ilog(lvl=1,e=f"NEXT SIGNAL OFFSET from EXIT {next_signal_offset} waiting - TOO SOON", currindex=data["index"], index_to_compare=index_to_compare, last_exit_index=state.vars.last_exit_index)
|
|
return False
|
|
|
|
# if is_open_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), open_rush) or is_close_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), close_rush):
|
|
# state.ilog(lvl=0,e=f"SIGNAL {signalname} - WINDOW CLOSED", msg=f"{open_rush=} {close_rush=} ")
|
|
# return False
|
|
|
|
#natvrdo nebo na podminku
|
|
activated = safe_get(options, "activated", True)
|
|
|
|
#check activation
|
|
if activated is False:
|
|
state.ilog(lvl=1,e=f"{signalname} not ACTIVATED")
|
|
cond_dict = state.vars.conditions[KW.activate][signalname]
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "OR")
|
|
state.ilog(lvl=1,e=f"EVAL ACTIVATION CONDITION =OR= {result}", **conditions_met, cond_dict=cond_dict)
|
|
|
|
if result is False:
|
|
#OR neprosly testujeme AND
|
|
result, conditions_met = evaluate_directive_conditions(cond_dict, "AND")
|
|
state.ilog(lvl=1,e=f"EVAL ACTIVATION CONDITION =AND= {result}", **conditions_met, cond_dict=cond_dict)
|
|
|
|
if result is False:
|
|
state.ilog(lvl=1,e=f"not ACTIVATED")
|
|
return False
|
|
else:
|
|
state.ilog(lvl=1,e=f"{signalname} JUST ACTIVATED")
|
|
state.vars.signals[signalname]["activated"] = True
|
|
|
|
# OBECNE PRECONDITIONS - typu dont_do_when
|
|
precond_check = dict(AND=dict(), OR=dict())
|
|
|
|
# #OBECNE DONT BUYS
|
|
if safe_get(options, "signal_only_on_confirmed",safe_get(state.vars, "signal_only_on_confirmed",True)):
|
|
precond_check['bar_not_confirmed'] = (data['confirmed'] == 0)
|
|
# #od posledniho vylozeni musi ubehnout N baru
|
|
# dont_buy_when['last_buy_offset_too_soon'] = data['index'] < (int(state.vars.lastbuyindex) + int(safe_get(state.vars, "lastbuy_offset",3)))
|
|
# dont_buy_when['blockbuy_active'] = (state.vars.blockbuy == 1)
|
|
# dont_buy_when['jevylozeno_active'] = (state.vars.jevylozeno == 1)
|
|
|
|
#obecne open_rush platne pro vsechny
|
|
#precond_check['on_confirmed_only'] = safe_get(options, 'on_confirmed_only', False) - chybi realizace podminky, pripadne dodelat na short_on_confirmed
|
|
|
|
# #testing preconditions
|
|
result, cond_met = eval_cond_dict(precond_check)
|
|
if result:
|
|
state.ilog(lvl=1,e=f"PRECOND GENERAL not met {cond_met}", message=cond_met, precond_check=precond_check)
|
|
return False
|
|
|
|
state.ilog(lvl=1,e=f"{signalname} ALL PRECOND MET")
|
|
return True
|
|
|
|
def execute_signal_generator(name):
|
|
state.ilog(lvl=0,e=f"SIGNAL SEARCH for {name}", cond_go=state.vars.conditions[KW.go][name], cond_dontgo=state.vars.conditions[KW.dont_go][name], cond_activate=state.vars.conditions[KW.activate][name] )
|
|
options = safe_get(state.vars.signals, name, None)
|
|
|
|
if options is None:
|
|
state.ilog(lvl=1,e="No options for {name} in stratvars")
|
|
return
|
|
|
|
if common_go_preconditions_check(signalname=name, options=options) is False:
|
|
return
|
|
|
|
# signal_plugin = "reverzni"
|
|
# signal_plugin_run_once_at_index = 3
|
|
#pokud existuje plugin, tak pro signal search volame plugin a ignorujeme conditiony
|
|
signal_plugin = safe_get(options, 'plugin', None)
|
|
signal_plugin_run_once_at_index = safe_get(options, 'signal_plugin_run_once_at_index', 3)
|
|
|
|
#pokud je plugin True, spusti se kod
|
|
if signal_plugin is not None and signal_plugin_run_once_at_index==data["index"]:
|
|
try:
|
|
custom_function = eval(signal_plugin)
|
|
custom_function()
|
|
except NameError:
|
|
state.ilog(lvl=1,e="Custom plugin {signal_plugin} not found")
|
|
else:
|
|
short_enabled = safe_get(options, "short_enabled",safe_get(state.vars, "short_enabled",True))
|
|
long_enabled = safe_get(options, "long_enabled",safe_get(state.vars, "long_enabled",True))
|
|
#common signals based on 1) configured signals in stratvars
|
|
#toto umoznuje jednoduchy prescribed trade bez ceny
|
|
if short_enabled is False:
|
|
state.ilog(lvl=1,e=f"{name} SHORT DISABLED")
|
|
if long_enabled is False:
|
|
state.ilog(lvl=1,e=f"{name} LONG DISABLED")
|
|
if long_enabled and go_conditions_met(signalname=name, direction=TradeDirection.LONG):
|
|
state.vars.prescribedTrades.append(Trade(
|
|
id=uuid4(),
|
|
last_update=datetime.fromtimestamp(state.time).astimezone(zoneNY),
|
|
status=TradeStatus.READY,
|
|
generated_by=name,
|
|
direction=TradeDirection.LONG,
|
|
entry_price=None,
|
|
stoploss_value = None))
|
|
elif short_enabled and go_conditions_met(signalname=name, direction=TradeDirection.SHORT):
|
|
state.vars.prescribedTrades.append(Trade(
|
|
id=uuid4(),
|
|
last_update=datetime.fromtimestamp(state.time).astimezone(zoneNY),
|
|
status=TradeStatus.READY,
|
|
generated_by=name,
|
|
direction=TradeDirection.SHORT,
|
|
entry_price=None,
|
|
stoploss_value = None))
|
|
else:
|
|
state.ilog(lvl=0,e=f"{name} NO SIGNAL")
|
|
|
|
def signal_search():
|
|
# SIGNAL sekce ve stratvars obsahuje signaly: Ty se skladaji z obecnych parametru a podsekce podminek.
|
|
# Obecne parametry mohou overridnout root parametry nebo dalsi upresneni(napr. plugin). Podsekce CONDITIONS,obsahuji podminky vstup a vystupu
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# OBECNE:
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# [stratvars.signals.trend2]
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# signal_only_on_confirmed = true
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# open_rush = 2
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# close_rush = 6000
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# short_enabled = false
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# long_enabled = false
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# activated = true
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# profit = 0.2
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# max_profit = 0.4
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# PODMINKY:
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# [stratvars.signals.trend2.conditions]
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# slope20.AND.in_long_if_above = 0.23
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# slope10.AND.in_long_if_rising = 5
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# slope10.out_long_if_crossed_down = -0.1
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# slope10.in_short_if_crossed_down = -0.1
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# slope10.out_short_if_above = 0
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# ema.AND.short_if_below = 28
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for signalname, signalsettings in state.vars.signals.items():
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execute_signal_generator(signalname)
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# #vysledek je vložení Trade Prescription a to bud s cenou nebo immediate
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# pokud je s cenou ceka se na cenu, pokud immmediate tak se hned provede
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# to vse za predpokladu, ze neni aktivni trade
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def manage_active_trade():
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trade = state.vars.activeTrade
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if trade is None:
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return -1
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#SL - trailing
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trail_SL_management()
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eval_close_position()
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#SELL STOPLOSS
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#SELL PROFIT
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#OPTIMIZE ADD TO PROFIT
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#zatim dynamicky profit
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# endregion
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#MAIN LOOP
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lp = data['close']
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state.ilog(lvl=1,e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} SL:{state.vars.activeTrade.stoploss_value if state.vars.activeTrade is not None else None} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)} pend:{state.vars.pending}", 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))
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inds = get_last_ind_vals()
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state.ilog(lvl=1,e="Indikatory", **inds)
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#TODO dat do initu inciializaci work directory pro directivy
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#pokud mame prazdne pozice a neceka se na nic
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if state.positions == 0 and state.vars.pending is None:
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execute_prescribed_trades()
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#pokud se neaktivoval nejaky trade, poustime signal search - ale jen jednou za bar?
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#if conf_bar == 1:
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if state.vars.pending is None:
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signal_search()
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#pro jistotu ihned zpracujeme
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execute_prescribed_trades()
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#mame aktivni trade a neceka se nani
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elif state.vars.activeTrade and state.vars.pending is None:
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manage_active_trade() #optimalize, close
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# - close means change status in prescribed Trends,update profit, delete from activeTrade
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def init(state: StrategyState):
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#place to declare new vars
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print("INIT v main",state.name)
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def initialize_dynamic_indicators():
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#pro vsechny indikatory, ktere maji ve svych stratvars TYPE inicializujeme
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dict_copy = state.vars.indicators.copy()
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for indname, indsettings in dict_copy.items():
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for option,value in list(indsettings.items()):
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#inicializujeme nejenom typizovane
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#if option == "type":
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state.indicators[indname] = []
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#pokud ma MA_length incializujeme i MA variantu
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if safe_get(indsettings, 'MA_length', False):
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state.indicators[indname+"MA"] = []
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#specifika pro slope
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if option == "type":
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if value == "slope":
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#inicializujeme statinds (pro uhel na FE)
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state.statinds[indname] = dict(minimum_slope=safe_get(indsettings, 'minimum_slope', -1), maximum_slope=safe_get(indsettings, 'maximum_slope', 1))
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if value == "custom":
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#pro typ custom inicializujeme promenne
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state.vars.indicators[indname]["last_run_time"] = None
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state.vars.indicators[indname]["last_run_index"] = None
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#TODO hlavne tedy do INITu dat exit dict, ty jsou evaluovane kazdy tick
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def intialize_directive_conditions():
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#inciializace pro akce: short, long, dont_short, dont_long, activate
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state.vars.conditions = {}
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# state.vars.work_dict_dont_do = {}
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# state.vars.work_dict_signal_if = {}
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# state.vars.work_dict_dont_do_new = {}
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# state.vars.work_dict_signal_if_new = {}
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# state.vars.work_dict_signal_activate_if = {}
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#KEYWORDS_if_CONDITION = value
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# např. go_short_if_below = 10
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#possible KEYWORDS in directive: (AND/OR) support
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# go_DIRECTION(go_long_if, go_short_if)
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# dont_go_DIRECTION (dont_long_if, dont_short_if)
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# exit_DIRECTION (exit_long_if, exit_short_if)
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# activate (activate_if)
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#possible CONDITIONs:
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# below, above, falling, rising, crossed_up, crossed_down
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#Tyto mohou byt bud v sekci conditions a nebo v samostatne sekci common
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#pro kazdou sekci "conditions" v signals
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#si vytvorime podminkove dictionary pro kazdou akci
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#projdeme vsechny singaly
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#nejprve genereujeme ze SIGNALu
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for signalname, signalsettings in state.vars.signals.items():
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if "conditions" in signalsettings:
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section = signalsettings["conditions"]
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#directivy non direction related
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state.vars.conditions.setdefault(KW.activate,{})[signalname] = get_conditions_from_configuration(action=KW.activate+"_if", section=section)
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#direktivy direction related
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for smer in TradeDirection:
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#IDEA navrhy condition dictionary - ty v signal sekci
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# state.vars.conditions["nazev_evaluacni_sekce"]["nazevsignalu_smer"] = #sada podminek
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#signal related
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# state.vars.conditions["activate"]["trendfollow"] = #sada podminek
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# state.vars.conditions["dont_go"]["trendfollow"]["long"] = #sada podminek
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# state.vars.conditions["go"]["trendfollow"]["short"] = #sada podminek
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# state.vars.conditions["exit"]["trendfollow"]["long"] = #sada podminek
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#common
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# state.vars.conditions["exit"]["common"]["long"] = #sada podminek
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# state.vars.conditions["exit"]["common"]["long"] = #sada podminek
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state.vars.conditions.setdefault(KW.dont_go,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.dont_go+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.dont_exit,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.dont_exit+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.go,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.go+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.exit,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.exit+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.reverse,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.reverse+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.exitadd,{}).setdefault(signalname,{})[smer] = get_conditions_from_configuration(action=KW.exitadd+"_" + smer +"_if", section=section)
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# state.vars.work_dict_dont_do[signalname+"_"+ smer] = get_work_dict_with_directive(starts_with=signalname+"_dont_"+ smer +"_if")
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# state.vars.work_dict_signal_if[signalname+"_"+ smer] = get_work_dict_with_directive(starts_with=signalname+"_"+smer+"_if")
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#POTOM generujeme z obecnych sekci, napr. EXIT.EXIT_CONDITIONS, kde je fallback pro signal exity
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section = state.vars.exit["conditions"]
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for smer in TradeDirection:
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state.vars.conditions.setdefault(KW.exit,{}).setdefault("common",{})[smer] = get_conditions_from_configuration(action=KW.exit+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.dont_exit,{}).setdefault("common",{})[smer] = get_conditions_from_configuration(action=KW.dont_exit+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.reverse,{}).setdefault("common",{})[smer] = get_conditions_from_configuration(action=KW.reverse+"_" + smer +"_if", section=section)
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state.vars.conditions.setdefault(KW.exitadd,{}).setdefault("common",{})[smer] = get_conditions_from_configuration(action=KW.exitadd+"_" + smer +"_if", section=section)
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#init klice v extData pro ulozeni historie SL
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state.extData["sl_history"] = []
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#nove atributy na rizeni tradu
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#identifikuje provedenou změnu na Tradu (neděláme změny dokud nepřijde potvrzeni z notifikace)
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state.vars.pending = None
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#obsahuje aktivni Trade a jeho nastaveni
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state.vars.activeTrade = None #pending/Trade
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#obsahuje pripravene Trady ve frontě
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state.vars.prescribedTrades = []
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#flag pro reversal
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state.vars.requested_followup = None
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#TODO presunout inicializaci work_dict u podminek - sice hodnoty nepujdou zmenit, ale zlepsi se performance
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#pripadne udelat refresh kazdych x-iterací
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state.vars['sell_in_progress'] = False
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state.vars.mode = None
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state.vars.last_tick_price = 0
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state.vars.last_50_deltas = []
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state.vars.last_tick_volume = 0
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state.vars.next_new = 0
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state.vars.last_buy_index = None
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state.vars.last_exit_index = None
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state.vars.last_in_index = None
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state.vars.last_update_time = 0
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state.vars.reverse_position_waiting_amount = 0
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#INIT promenne, ktere byly zbytecne ve stratvars
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state.vars.pendingbuys={}
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state.vars.limitka = None
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state.vars.limitka_price=0
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state.vars.jevylozeno=0
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state.vars.blockbuy = 0
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#state.cbar_indicators['ivwap'] = []
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state.cbar_indicators['tick_price'] = []
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state.cbar_indicators['tick_volume'] = []
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state.cbar_indicators['CRSI'] = []
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#state.secondary_indicators['SRSI'] = []
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#state.indicators['ema'] = []
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#state.indicators['RSI14'] = []
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initialize_dynamic_indicators()
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intialize_directive_conditions()
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#TODO - predelat tuto cas, aby dynamicky inicializovala indikatory na zaklade stratvars a type
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# vsechno nize vytvorit volana funkce
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# to jestli inicializovat i MA variantu pozna podle pritomnosti MA_length
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# #
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# state.indicators['slope'] = []
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# state.indicators['slopeNEW'] = []
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# state.indicators['slopeNEWMA'] = []
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# state.indicators['slope10'] = []
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# state.indicators['slope10puv'] = []
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# state.indicators['slope30'] = []
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# state.indicators['slopeMA'] = []
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# state.indicators['slow_slope'] = []
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# state.indicators['slow_slopeMA'] = []
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# #static indicators - those not series based
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# state.statinds['slope'] = dict(minimum_slope=state.vars['indicators']['slope']["minimum_slope"], maximum_slope=safe_get(state.vars['indicators']['slope'], "maximum_slope",0.20))
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# #state.statinds['angle_slow'] = dict(minimum_slope=safe_get(state.vars.indicators.slow_slope, "minimum_slope",-2), maximum_slope=safe_get(state.vars.indicators.slow_slope, "maximum_slope",2))
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# state.statinds['slow_slope'] = dict(minimum_slope=state.vars['indicators']['slow_slope']["minimum_slope"], maximum_slope=state.vars['indicators']['slow_slope']["maximum_slope"])
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def main():
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name = os.path.basename(__file__)
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se = Event()
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pe = Event()
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s = StrategyOrderLimitVykladaciNormalizedMYSELL(name = name, symbol = "BAC", account=Account.ACCOUNT1, next=next, init=init, stratvars=None, open_rush=10, close_rush=0, pe=pe, se=se, ilog_save=True)
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s.set_mode(mode = Mode.BT,
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debug = False,
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start = datetime(2023, 4, 14, 10, 42, 0, 0, tzinfo=zoneNY),
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end = datetime(2023, 4, 14, 14, 35, 0, 0, tzinfo=zoneNY),
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cash=100000)
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#na sekundovem baru nezaokrouhlovat MAcko
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s.add_data(symbol="BAC",rectype=RecordType.BAR,timeframe=2,minsize=100,update_ltp=True,align=StartBarAlign.ROUND,mintick=0, exthours=False)
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#s.add_data(symbol="C",rectype=RecordType.BAR,timeframe=1,filters=None,update_ltp=True,align=StartBarAlign.ROUND,mintick=0)
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s.start()
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print("zastavujeme")
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if __name__ == "__main__":
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main()
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