91 lines
3.5 KiB
Python
91 lines
3.5 KiB
Python
from strategy.base import Strategy, StrategyState
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from strategy.strategyOrderLimit import StrategyOrderLimit
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from enums import RecordType, StartBarAlign, Mode
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from config import API_KEY, SECRET_KEY, MAX_BATCH_SIZE, PAPER
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from indicators import ema
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from rich import print
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from utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY
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from datetime import datetime
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from icecream import install, ic
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install()
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ic.configureOutput(includeContext=True)
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#ic.disable()
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""""
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Simple strategie pro test backtesting
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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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ic(state.avgp, state.positions)
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ic(state.vars.limitka)
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ic(state.vars.lastbuyindex)
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ic(data)
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#print("last trade price")
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#print(state.interface.get_last_price("BAC"))
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#print(state.vars.novaprom)
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#print("trades history", state.trades)
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#print("bar history", state.bars)
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#print("ltp", ltp.price["BAC"], ltp.time["BAC"])
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#TODO indikátory ukládat do vlastní historie - tu pak automaticky zobrazuje backtester graf
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#TODO ema = state.indicators.ema a pouzivat nize ema, zjistit jestli bude fungovat
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try:
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state.indicators.ema = ema(state.bars.hlcc4, state.vars.MA) #state.bars.vwap
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#trochu prasarna, EMAcko trunc na 3 mista - kdyz se osvedci, tak udelat efektivne
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state.indicators.ema = [trunc(i,3) for i in state.indicators.ema]
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ic(state.vars.MA, state.vars.Trend, state.indicators.ema[-5:])
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except Exception as e:
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print("No data for MA yet", str(e))
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print("is falling",isfalling(state.indicators.ema,state.vars.Trend))
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print("is rising",isrising(state.indicators.ema,state.vars.Trend))
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#ZDE JSEM SKONCIL
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#nejprve zacit s BARy
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#TODO vyzkoušet limit buy - vetsina z nakupu by se dala koupit o cent dva mene
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#proto dodělat LTP pro BT, neco jako get_last_price(self.state.time)
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##TODO vyzkouset hlidat si sell objednavku sam na zaklade tradu
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# v pripade ze to jde nahoru(is rising - nebo jiny indikator) tak neprodavat
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#vyuzit CBARy k tomuto .....
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#triggerovat buy treba po polovine CBARu, kdyz se cena bude rovnat nebo bude nizsi nez low
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#a hned na to (po potvrzeni) hlidat sell +0.01 nebo kdyz roste nechat rust.vyzkouset na LIVE
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if isfalling(state.indicators.ema,state.vars.Trend) and data['index'] > state.vars.lastbuyindex+state.vars.Trend: #and state.blockbuy == 0
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print("BUY MARKET")
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ic(data['updated'])
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ic(state.time)
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state.buy_l()
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print(10*"*","NEXT STOP",10*"*")
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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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state.vars['novaprom'] = 4
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state.indicators['ema'] = []
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def main():
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stratvars = AttributeDict(maxpozic = 2400, chunk = 400, MA = 6, Trend = 7, profit = 0.03, lastbuyindex=-6, pendingbuys={},limitka = None)
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s = StrategyOrderLimit(name = "BackTEST", symbol = "KO", next=next, init=init, stratvars=stratvars, debug=False)
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s.set_mode(mode = Mode.BT,
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start = datetime(2023, 2, 23, 9, 30, 0, 0, tzinfo=zoneNY),
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end = datetime(2023, 2, 23, 16, 00, 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="KO",rectype=RecordType.BAR,timeframe=30,filters=None,update_ltp=True,align=StartBarAlign.RANDOM,mintick=0)
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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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if __name__ == "__main__":
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main()
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