599 lines
28 KiB
Python
599 lines
28 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
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from v2realbot.indicators.indicators import ema
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from v2realbot.indicators.oscillators import rsi
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from v2realbot.utils.utils import ltp, isrising, isfalling,trunc,AttributeDict, zoneNY, price2dec, print, safe_get, get_tick, round2five, is_open_rush, is_close_rush, eval_cond_dict
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from datetime import datetime
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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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import inspect
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print(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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""""
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Využívá: StrategyOrderLimitVykladaciNormalizedMYSELL
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Kopie RSI Normalizovane Vykladaci navíc s řízením prodeje.
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Nepoužíváme LIMITKU.
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Required CBAR. (pouze se změnou ceny)
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nepotvrzený CBAR bez minticku (pouze se změnou ceny)
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- se používá pro žízení prodeje
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potvrzený CBAR
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- se používá pro BUY
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"""
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stratvars = AttributeDict(maxpozic = 400,
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def_mode_from = 200,
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chunk = 10,
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MA = 2,
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Trend = 2,
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profit = 0.02,
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def_profit = 0.01,
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lastbuyindex=-6,
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pendingbuys={},
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limitka = None,
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limitka_price = None,
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jevylozeno=0,
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vykladka=5,
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curve = [0.01, 0.01, 0.01, 0, 0.02, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01],
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curve_def = [0.02, 0.02, 0.02, 0, 0, 0.02, 0, 0, 0, 0.02],
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blockbuy = 0,
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ticks2reset = 0.04,
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consolidation_bar_count = 10,
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slope_lookback = 300,
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lookback_offset = 20,
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minimum_slope = -0.05,
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first_buy_market = False
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)
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##toto rozparsovat a strategii spustit stejne jako v main
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toml_string = """
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[[strategies]]
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name = "V1 na BAC"
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symbol = "BAC"
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script = "ENTRY_backtest_strategyVykladaci"
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class = "StrategyOrderLimitVykladaci"
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open_rush = 0
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close_rush = 0
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[strategies.stratvars]
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maxpozic = 200
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chunk = 10
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MA = 6
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Trend = 5
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profit = 0.02
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lastbuyindex=-6
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pendingbuys={}
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limitka = "None"
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jevylozeno=0
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vykladka=5
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curve = [0.01, 0.01, 0.01,0.01, 0.02, 0.01,0.01, 0.01,0.03, 0.01, 0.01, 0.01,0.04, 0.01,0.01, 0.01,0.05, 0.01,0.01, 0.01,0.01, 0.06,0.01, 0.01,0.01, 0.01]
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blockbuy = 0
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ticks2reset = 0.04
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[[strategies.add_data]]
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symbol="BAC"
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rectype="bar"
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timeframe=5
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update_ltp=true
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align="round"
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mintick=0
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minsize=100
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exthours=false
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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)
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#ic(data)
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#
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def is_defensive_mode():
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akt_pozic = int(state.positions)
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max_pozic = int(state.vars.maxpozic)
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def_mode_from = safe_get(state.vars, "def_mode_from",max_pozic/2)
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if akt_pozic >= int(def_mode_from):
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#state.ilog(e=f"DEFENSIVE mode ACTIVE {state.vars.def_mode_from=}", msg=state.positions)
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return True
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else:
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#state.ilog(e=f"STANDARD mode ACTIVE {state.vars.def_mode_from=}", msg=state.positions)
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return False
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def get_limitka_price():
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def_profit = safe_get(state.vars, "def_profit",state.vars.profit)
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cena = float(state.avgp)
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#v MYSELL hrajeme i na 3 desetinna cisla - TBD mozna hrat jen na 5ky (0.125, 0.130, 0.135 atp.)
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if is_defensive_mode():
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return price2dec(cena+get_tick(cena,float(def_profit)),3)
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else:
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return price2dec(cena+get_tick(cena,float(state.vars.profit)),3)
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def consolidation():
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##CONSOLIDATION PART - moved here, musí být před nákupem, jinak to dělalo nepořádek v pendingbuys
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#docasne zkusime konzolidovat i kdyz neni vylozeno (aby se srovnala limitka ve vsech situacich)
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if state.vars.jevylozeno == 1 or 1==1:
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##CONSOLIDATION PART kazdy Nty bar dle nastaveni
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if int(data["index"])%int(state.vars.consolidation_bar_count) == 0:
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print("***CONSOLIDATION ENTRY***")
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state.ilog(e="CONSOLIDATION ENTRY ***")
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orderlist = state.interface.get_open_orders(symbol=state.symbol, side=None)
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#pro jistotu jeste dotahneme aktualni pozice
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state.avgp, state.positions = state.interface.pos()
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#print(orderlist)
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pendingbuys_new = {}
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#zaciname s cistym stitem
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state.vars.limitka = None
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state.vars.limitka_price = None
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for o in orderlist:
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if o.side == OrderSide.BUY and o.order_type == OrderType.LIMIT:
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pendingbuys_new[str(o.id)]=float(o.limit_price)
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if pendingbuys_new != state.vars.pendingbuys:
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state.ilog(e="Rozdilna PB prepsana", pb_new=pendingbuys_new, pb_old = state.vars.pendingbuys)
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print("ROZDILNA PENDINGBUYS přepsána")
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print("OLD",state.vars.pendingbuys)
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state.vars.pendingbuys = unpackb(packb(pendingbuys_new))
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print("NEW", state.vars.pendingbuys)
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else:
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print("PENDINGBUYS sedí - necháváme", state.vars.pendingbuys)
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state.ilog(e="PB sedi nechavame", pb_new=pendingbuys_new, pb_old = state.vars.pendingbuys)
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print("OLD jevylozeno", state.vars.jevylozeno)
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if len(state.vars.pendingbuys) > 0:
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state.vars.jevylozeno = 1
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else:
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state.vars.jevylozeno = 0
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print("NEW jevylozeno", state.vars.jevylozeno)
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state.ilog(e="Nove jevylozeno", msg=state.vars.jevylozeno)
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print("***CONSOLIDATION EXIT***")
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state.ilog(e="CONSOLIDATION EXIT ***")
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else:
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state.ilog(e="No time for consolidation", msg=data["index"])
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print("no time for consolidation", data["index"])
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#mozna presunout o level vys
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def vyloz():
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##prvni se vyklada na aktualni cenu, další jdou podle krivky, nula v krivce zvyšuje množství pro následující iteraci
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#curve = [0.01, 0.01, 0, 0, 0.01, 0, 0, 0, 0.02, 0, 0, 0, 0.03, 0,0,0,0,0, 0.02, 0,0,0,0,0,0, 0.02]
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curve = state.vars.curve
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##defenzivni krivka pro
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curve_def = state.vars.curve_def
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#vykladani po 5ti kusech, když zbývají 2 a méně, tak děláme nový výklad
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vykladka = state.vars.vykladka
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#kolik muzu max vylozit
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kolikmuzu = int((int(state.vars.maxpozic) - int(state.positions))/int(state.vars.chunk))
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akt_pozic = int(state.positions)
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max_pozic = int(state.vars.maxpozic)
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if akt_pozic >= max_pozic:
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state.ilog(e="MAX pozic reached, cannot vyklad")
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return
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#mame polovinu a vic vylozeno, pouzivame defenzicni krivku
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if is_defensive_mode():
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state.ilog(e="DEF: Pouzivame defenzivni krivku", akt_pozic=akt_pozic, max_pozic=max_pozic, curve_def=curve_def)
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curve = curve_def
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#zaroven docasne menime ticks2reset na defenzivni 0.06
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state.vars.ticks2reset = 0.06
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state.ilog(e="DEF: Menime tick2reset na 0.06", ticks2reset=state.vars.ticks2reset, ticks2reset_backup=state.vars.ticks2reset_backup)
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else:
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#vracime zpet, pokud bylo zmeneno
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if state.vars.ticks2reset != state.vars.ticks2reset_backup:
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state.vars.ticks2reset = state.vars.ticks2reset_backup
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state.ilog(e="DEF: Menime tick2reset zpet na"+str(state.vars.ticks2reset), ticks2reset=state.vars.ticks2reset, ticks2reset_backup=state.vars.ticks2reset_backup)
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if kolikmuzu < vykladka: vykladka = kolikmuzu
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if len(curve) < vykladka:
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vykladka = len(curve)
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qty = int(state.vars.chunk)
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last_price = price2dec(state.interface.get_last_price(state.symbol))
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#profit = float(state.vars.profit)
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price = last_price
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state.ilog(e="BUY Vykladame", msg=f"first price {price=} {vykladka=}", curve=curve, ema=state.indicators.ema[-1], trend=state.vars.Trend, price=price, vykladka=vykladka)
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##prvni se vyklada na aktualni cenu, další jdou podle krivky, nula v krivce zvyšuje množství pro následující iteraci
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##VAR - na zaklade conf. muzeme jako prvni posilat MARKET order
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if safe_get(state.vars, "first_buy_market") == True:
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#pri defenzivnim rezimu pouzivame vzdy LIMIT order
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if is_defensive_mode():
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state.ilog(e="DEF mode on, odesilame jako prvni limitku")
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state.buy_l(price=price, size=qty)
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else:
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state.ilog(e="Posilame jako prvni MARKET order")
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state.buy(size=qty)
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else:
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state.buy_l(price=price, size=qty)
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print("prvni limitka na aktuální cenu. Další podle křivky", price, qty)
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for i in range(0,vykladka-1):
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price = price2dec(float(price - get_tick(price, curve[i])))
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if price == last_price:
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qty = qty + int(state.vars.chunk)
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else:
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state.buy_l(price=price, size=qty)
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#print(i,"BUY limitka - delta",curve[i]," cena:", price, "mnozstvi:", qty)
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qty = int(state.vars.chunk)
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last_price = price
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state.vars.blockbuy = 1
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state.vars.jevylozeno = 1
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state.vars.last_buysignal_index = data['index']
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def eval_sell():
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""""
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TBD
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Když je RSI nahoře tak neprodávat, dokud 1) RSI neprestane stoupat 2)nedosahne to nad im not greedy limit
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"""
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##mame pozice
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##aktualni cena je vetsi nebo rovna cene limitky
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#muzeme zde jet i na pulcenty
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curr_price = float(data['close'])
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state.ilog(e="Eval SELL", price=curr_price, pos=state.positions, avgp=state.avgp, sell_in_progress=state.vars.sell_in_progress)
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if int(state.positions) > 0 and float(state.avgp)>0 and state.vars.sell_in_progress is False:
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goal_price = get_limitka_price()
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state.ilog(e=f"Goal price {goal_price}")
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if curr_price>=goal_price:
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#TODO cekat az slope prestane intenzivn erust, necekat az na klesani
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#TODO mozna cekat na nejaky signal RSI
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#TODO pripadne pokud dosahne TGTBB prodat ihned
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#OPTIMALIZACE pri stoupajícím angle
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if sell_protection_enabled() is False:
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state.interface.sell(size=state.positions)
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state.vars.sell_in_progress = True
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state.ilog(e=f"market SELL was sent {curr_price=}", positions=state.positions, avgp=state.avgp, sellinprogress=state.vars.sell_in_progress)
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def populate_ema_indicator():
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#BAR EMA INDICATOR -
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#plnime MAcko - nyni posilame jen N poslednich hodnot
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#zaroven osetrujeme pripady, kdy je malo dat a ukladame nulu
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try:
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ma = int(state.vars.MA)
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#poslednich ma hodnot
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source = state.bars.close[-ma:] #state.bars.vwap
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ema_value = ema(source, ma)
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##pokus MACKO zakrouhlit na tri desetina a petku
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state.indicators.ema[-1]=round2five(ema_value[-1])
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##state.indicators.ema[-1]=trunc(ema_value[-1],3)
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#state.ilog(e=f"EMA {state.indicators.ema[-1]}", ema_last=state.indicators.ema[-6:])
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except Exception as e:
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state.ilog(e="EMA nechavame 0", message=str(e)+format_exc())
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#state.indicators.ema[-1]=(0)
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#evaluate buy signal
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#consolidation
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def populate_slope_indicator():
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#SLOPE INDICATOR
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#úhel stoupání a klesání vyjádřený mezi -1 až 1
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#pravý bod přímky je aktuální cena, levý je průměr X(lookback offset) starších hodnot od slope_lookback.
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#obsahuje statický indikátor (angle) pro vizualizaci
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try:
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slope = 99
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slope_lookback = int(state.vars.slope_lookback)
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minimum_slope = float(state.vars.minimum_slope)
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lookback_offset = int(state.vars.lookback_offset)
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if len(state.bars.close) > (slope_lookback + lookback_offset):
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array_od = slope_lookback + lookback_offset
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array_do = slope_lookback
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lookbackprice_array = state.bars.vwap[-array_od:-array_do]
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#obycejný prumer hodnot
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lookbackprice = round(sum(lookbackprice_array)/lookback_offset,3)
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#výpočet úhlu - a jeho normalizace
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slope = ((state.bars.close[-1] - lookbackprice)/lookbackprice)*100
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slope = round(slope, 4)
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state.indicators.slope[-1]=slope
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#angle je ze slope
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state.statinds.angle = dict(time=state.bars.time[-1], price=state.bars.close[-1], lookbacktime=state.bars.time[-slope_lookback], lookbackprice=lookbackprice, minimum_slope=minimum_slope, maximum_slope=safe_get(state.vars, "bigwave_slope_above",0.20))
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#slope MA vyrovna vykyvy ve slope, dále pracujeme se slopeMA
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slope_MA_length = 5
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source = state.indicators.slope[-slope_MA_length:]
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slopeMAseries = ema(source, slope_MA_length) #state.bars.vwap
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slopeMA = slopeMAseries[-1]
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state.indicators.slopeMA[-1]=slopeMA
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state.ilog(e=f"{slope=} {slopeMA=}", msg=f"{lookbackprice=}", lookbackoffset=lookback_offset, minimum_slope=minimum_slope, last_slopes=state.indicators.slope[-10:], last_slopesMA=state.indicators.slopeMA[-10:])
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#dale pracujeme s timto MAckovanym slope
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slope = slopeMA
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else:
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#pokud plnime historii musime ji plnit od zacatku, vsehcny idenitifkatory maji spolecny time
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#kvuli spravnemu zobrazovani na gui
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#state.indicators.slopeMA[-1]=0
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#state.indicators.slopeMA.append(0)
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state.ilog(e="Slope - not enough data", slope_lookback=slope_lookback, slope=state.indicators.slope, slopeMA=state.indicators.slopeMA)
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except Exception as e:
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print("Exception in NEXT Slope Indicator section", str(e))
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state.ilog(e="EXCEPTION", msg="Exception in Slope Indicator section" + str(e) + format_exc())
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def populate_rsi_indicator():
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#RSI14 INDICATOR
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try:
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rsi_length = int(safe_get(state.vars, "rsi_length",14))
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source = state.bars.close #[-rsi_length:] #state.bars.vwap
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rsi_res = rsi(source, rsi_length)
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rsi_value = trunc(rsi_res[-1],3)
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state.indicators.RSI14[-1]=rsi_value
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#state.ilog(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(e=f"RSI {rsi_length=} necháváme 0", message=str(e)+format_exc())
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#state.indicators.RSI14[-1]=0
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def populate_cbar_rsi_indicator():
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#CBAR RSI indicator
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try:
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crsi_length = int(safe_get(state.vars, "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 = trunc(crsi_res[-1],3)
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state.cbar_indicators.CRSI[-1]=crsi_value
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#state.ilog(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(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 slope_too_low():
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return state.indicators.slopeMA[-1] < float(state.vars.minimum_slope)
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def slope_too_high():
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return state.indicators.slopeMA[-1] > float(safe_get(state.vars, "bigwave_slope_above",0.20))
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#resetujeme, kdyz 1) je aktivni buy protection 2) kdyz to ujede
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#TODO mozna tick2reset spoustet jednou za X opakovani
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def pendingbuys_optimalization():
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if len(state.vars.pendingbuys)>0:
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if buy_protection_enabled():
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#state.ilog(e="PENDINGBUYS reset", message=inspect.currentframe().f_code.co_name)
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res = asyncio.run(state.cancel_pending_buys())
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state.ilog(e="CANCEL pendingbuyes", pb=state.vars.pendingbuys, res=res)
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else:
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#pokud mame vylozeno a cena je vetsi nez tick2reset
|
|
maxprice = max(state.vars.pendingbuys.values())
|
|
if state.interface.get_last_price(state.symbol) > float(maxprice) + get_tick(maxprice, float(state.vars.ticks2reset)):
|
|
res = asyncio.run(state.cancel_pending_buys())
|
|
state.ilog(e=f"UJELO to. Rusime PB", msg=f"{state.vars.ticks2reset=}", pb=state.vars.pendingbuys)
|
|
|
|
#PENDING BUYS SPENT - PART
|
|
#pokud mame vylozeno a pendingbuys se vyklepou a
|
|
# 1 vykladame idned znovu
|
|
# vyloz()
|
|
# 2 nebo - počkat zase na signál a pokračovat dál
|
|
# state.vars.blockbuy = 0
|
|
# state.vars.jevylozeno = 0
|
|
# 3 nebo - počkat na signál s enablovaným lastbuy indexem (tzn. počká nutně ještě pár barů)
|
|
#podle BT vyhodnejsi vylozit ihned
|
|
if len(state.vars.pendingbuys) == 0:
|
|
state.vars.blockbuy = 0
|
|
state.vars.jevylozeno = 0
|
|
state.ilog(e="PB prazdne nastavujeme: neni vylozeno", jevylozeno=state.vars.jevylozeno)
|
|
|
|
##kdy nesmí být žádné nákupní objednávky - zruší se
|
|
def buy_protection_enabled():
|
|
dont_buy_when = dict(AND=dict(), OR=dict())
|
|
##add conditions here
|
|
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()
|
|
|
|
result, cond_met = eval_cond_dict(dont_buy_when)
|
|
if result:
|
|
state.ilog(e=f"BUY_PROTECTION {cond_met}")
|
|
return result
|
|
|
|
def sell_protection_enabled():
|
|
dont_sell_when = dict(AND=dict(), OR=dict())
|
|
##add conditions here
|
|
|
|
#IDENTIFIKOVAce rustoveho MOMENTA - pokud je momentum, tak prodávat později
|
|
|
|
#pokud je slope too high, pak prodavame jakmile slopeMA zacne klesat, napr. 4MA (TODO 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,2)
|
|
dont_sell_when['AND']['rsi_not_falling'] = not isfalling(state.indicators.RSI14,3)
|
|
#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(e=f"SELL_PROTECTION {conditions_met} enabled")
|
|
return result
|
|
|
|
#preconditions and conditions of BUY SIGNAL
|
|
def buy_conditions_met():
|
|
#preconditions
|
|
dont_buy_when = dict(AND=dict(), OR=dict())
|
|
|
|
|
|
if safe_get(state.vars, "buy_only_on_confirmed",True):
|
|
dont_buy_when['bar_not_confirmed'] = (data['confirmed'] == 0)
|
|
#od posledniho vylozeni musi ubehnout N baru
|
|
dont_buy_when['last_buy_offset_too_soon'] = data['index'] < (state.vars.last_buysignal_index + 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)
|
|
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['open_rush'] = is_open_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), safe_get(state.vars, "open_rush",0))
|
|
dont_buy_when['close_rush'] = is_close_rush(datetime.fromtimestamp(data['updated']).astimezone(zoneNY), safe_get(state.vars, "close_rush",0))
|
|
dont_buy_when['rsi_is_zero'] = (state.indicators.RSI14[-1] == 0)
|
|
|
|
#testing preconditions
|
|
result, cond_met = eval_cond_dict(dont_buy_when)
|
|
if result:
|
|
state.ilog(e=f"BUY precondition not met {cond_met}")
|
|
return False
|
|
|
|
#conditions - bud samostatne nebo v groupe - ty musi platit dohromady
|
|
buy_cond = dict(AND=dict(), OR=dict())
|
|
##add buy conditions here
|
|
#cond groups ["AND"]
|
|
#cond groups ["OR"]
|
|
#no cond group - takes first
|
|
#TEST BUY SIGNALu z cbartick_price - 3klesave za sebou
|
|
#buy_cond['tick_price_falling_trend'] = isfalling(state.cbar_indicators.tick_price,state.vars.Trend)
|
|
|
|
#slopeMA jde dolu, rsi jde nahoru
|
|
#buy mame kazdy potvrzeny, tzn. rsi falling muze byt jen 2
|
|
|
|
#buy_cond['AND']['slopeMA_falling'] = isfalling(state.indicators.slopeMA,3)
|
|
#buy_cond['AND']['rsi_is_rising'] = isrising(state.indicators.RSI14,2)
|
|
#buy_cond["AND"]["rsi_buy_signal_below"] = state.indicators.RSI14[-1] < safe_get(state.vars, "rsi_buy_signal_below",40)
|
|
|
|
#puvodni buy conditiony RSI pod + EMA klesajici
|
|
#buy_cond["AND"]["rsi_buy_signal_below"] = state.indicators.RSI14[-1] < safe_get(state.vars, "rsi_buy_signal_below",40)
|
|
#buy_cond["AND"]["ema_trend_is_falling"] = isfalling(state.indicators.ema,state.vars.Trend)
|
|
|
|
#pouze RSI nizke a RSI klesa
|
|
buy_cond["AND"]["rsi_buy_signal_below"] = state.indicators.RSI14[-1] < safe_get(state.vars, "rsi_buy_signal_below",40)
|
|
buy_cond["AND"]["rsi_is_falling"] = isfalling(state.indicators.RSI14,state.vars.Trend)
|
|
|
|
#buy_cond['crsi_below_crsi_buy_limit'] = state.cbar_indicators.CRSI[-1] < safe_get(state.vars, "crsi_buy_signal_below",30)
|
|
|
|
#slopME klesa a RSI začalo stoupat
|
|
# buy_cond["AND"]["rsi_is_rising2"] = isrising(state.indicators.RSI14,2)
|
|
# buy_cond['AND']['slopeMA_falling_Trend'] = isfalling(state.indicators.slopeMA,state.vars.Trend)
|
|
# buy_cond["AND"]["rsi_buy_signal_below"] = state.indicators.RSI14[-1] < safe_get(state.vars, "rsi_buy_signal_below",40)
|
|
|
|
|
|
#zkusit jako doplnkovy BUY SIGNAL 3 klesavy cbar RSI pripadne TICK PRICE
|
|
|
|
result, conditions_met = eval_cond_dict(buy_cond)
|
|
if result:
|
|
state.ilog(e=f"BUY SIGNAL {conditions_met}")
|
|
return result
|
|
|
|
def eval_buy():
|
|
if buy_conditions_met():
|
|
vyloz()
|
|
|
|
def populate_cbar_tick_price_indicator():
|
|
try:
|
|
#pokud v potvrzovacím baru nebyly zmeny, nechavam puvodni hodnoty
|
|
# if tick_delta_volume == 0:
|
|
# state.indicators.tick_price[-1] = state.indicators.tick_price[-2]
|
|
# state.indicators.tick_volume[-1] = state.indicators.tick_volume[-2]
|
|
# else:
|
|
|
|
tick_price = round2five(data['close'])
|
|
tick_delta_volume = data['volume'] - state.vars.last_tick_volume
|
|
|
|
#docasne dame pryc volume deltu a davame absolutni cislo
|
|
state.cbar_indicators.tick_price[-1] = tick_price
|
|
state.cbar_indicators.tick_volume[-1] = tick_delta_volume
|
|
except:
|
|
pass
|
|
|
|
state.ilog(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)
|
|
|
|
state.vars.last_tick_price = tick_price
|
|
state.vars.last_tick_volume = data['volume']
|
|
|
|
def get_last_ind_vals():
|
|
last_ind_vals = {}
|
|
#print(state.indicators.items())
|
|
for key in state.indicators:
|
|
if key != 'time':
|
|
last_ind_vals[key] = state.indicators[key][-5:]
|
|
|
|
for key in state.cbar_indicators:
|
|
if key != 'time':
|
|
last_ind_vals[key] = state.cbar_indicators[key][-5:]
|
|
return last_ind_vals
|
|
|
|
conf_bar = data['confirmed']
|
|
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'])
|
|
state.ilog(e=f"---{data['index']}-{conf_bar}--delta:{last_update_delta}")
|
|
|
|
#kroky pro CONFIRMED BAR only
|
|
if conf_bar == 1:
|
|
#logika pouze pro potvrzeny bar
|
|
state.ilog(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()
|
|
populate_cbar_rsi_indicator()
|
|
|
|
#SPOLECNA LOGIKA - bar indikatory muzeme populovat kazdy tick (dobre pro RT GUI), ale uklada se stejne az pri confirmu
|
|
|
|
|
|
populate_ema_indicator()
|
|
populate_slope_indicator()
|
|
populate_rsi_indicator()
|
|
eval_sell()
|
|
consolidation()
|
|
|
|
#HLAVNI ITERACNI LOG JESTE PRED AKCI - obsahuje aktualni hodnoty vetsiny parametru
|
|
lp = state.interface.get_last_price(symbol=state.symbol)
|
|
state.ilog(e="ENTRY", msg=f"LP:{lp} P:{state.positions}/{round(float(state.avgp),3)} profit:{round(float(state.profit),2)} Trades:{len(state.tradeList)} DEF:{str(is_defensive_mode())}", last_price=lp, data=data, stratvars=state.vars)
|
|
state.ilog(e="Indikatory", msg=str(get_last_ind_vals()))
|
|
|
|
eval_buy()
|
|
pendingbuys_optimalization()
|
|
|
|
def init(state: StrategyState):
|
|
#place to declare new vars
|
|
print("INIT v main",state.name)
|
|
|
|
state.vars['sell_in_progress'] = False
|
|
state.vars.last_tick_price = 0
|
|
state.vars.last_tick_volume = 0
|
|
state.vars.next_new = 0
|
|
state.vars.last_buysignal_index = 0
|
|
state.vars.last_update_time = 0
|
|
#state.cbar_indicators['ivwap'] = []
|
|
state.cbar_indicators['tick_price'] = []
|
|
state.cbar_indicators['tick_volume'] = []
|
|
state.cbar_indicators['CRSI'] = []
|
|
state.indicators['ema'] = []
|
|
state.indicators['slope'] = []
|
|
state.indicators['slopeMA'] = []
|
|
state.indicators['RSI14'] = []
|
|
#static indicators - those not series based
|
|
state.statinds['angle'] = dict(minimum_slope=state.vars["minimum_slope"], maximum_slope=safe_get(state.vars, "bigwave_slope_above",0.20))
|
|
state.vars["ticks2reset_backup"] = state.vars.ticks2reset
|
|
|
|
def main():
|
|
name = os.path.basename(__file__)
|
|
se = Event()
|
|
pe = Event()
|
|
s = StrategyOrderLimitVykladaciNormalizedMYSELL(name = name, symbol = "BAC", account=Account.ACCOUNT1, next=next, init=init, stratvars=stratvars, open_rush=10, close_rush=0, pe=pe, se=se, ilog_save=True)
|
|
s.set_mode(mode = Mode.BT,
|
|
debug = False,
|
|
start = datetime(2023, 4, 14, 10, 42, 0, 0, tzinfo=zoneNY),
|
|
end = datetime(2023, 4, 14, 14, 35, 0, 0, tzinfo=zoneNY),
|
|
cash=100000)
|
|
|
|
#na sekundovem baru nezaokrouhlovat MAcko
|
|
s.add_data(symbol="BAC",rectype=RecordType.BAR,timeframe=2,minsize=100,update_ltp=True,align=StartBarAlign.ROUND,mintick=0, exthours=False)
|
|
#s.add_data(symbol="C",rectype=RecordType.BAR,timeframe=1,filters=None,update_ltp=True,align=StartBarAlign.ROUND,mintick=0)
|
|
|
|
s.start()
|
|
print("zastavujeme")
|
|
|
|
if __name__ == "__main__":
|
|
main()
|
|
|
|
|
|
|
|
|
|
|