Add charting components from `Quantdom`
Hand select necessary components to get real-time charting with `pyqtgraph` from the `Quantdom` projects: https://github.com/constverum/Quantdom We've offered to collaborate with the author but have received no response and the project has not been updated in over a year. Given this, we are moving forward with taking the required components to make further improvements upon especially since the `pyqtgraph` project is now being actively maintained again. If the author comes back we will be more then happy to contribute modified components upstream: https://github.com/constverum/Quantdom/issues/18 Relates to #80bar_select
Tyler Goodlet
parent
9c84e3c45d
commit
eddd8aacab
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"""
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Curated set of components from ``Quantdom`` used as a starting
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draft for real-time charting with ``pyqtgraph``.
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Much thanks to the author:
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https://github.com/constverum/Quantdom
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Note this code is licensed Apache 2.0:
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https://github.com/constverum/Quantdom/blob/master/LICENSE
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"""
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"""Base classes."""
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from enum import Enum, auto
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import numpy as np
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import pandas as pd
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from .const import ChartType, TimeFrame
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__all__ = ('Indicator', 'Symbol', 'Quotes')
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class BaseQuotes(np.recarray):
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def __new__(cls, shape=None, dtype=None, order='C'):
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dt = np.dtype(
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[
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('id', int),
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('time', float),
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('open', float),
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('high', float),
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('low', float),
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('close', float),
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('volume', int),
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]
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)
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shape = shape or (1,)
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return np.ndarray.__new__(cls, shape, (np.record, dt), order=order)
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def _nan_to_closest_num(self):
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"""Return interpolated values instead of NaN."""
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for col in ['open', 'high', 'low', 'close']:
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mask = np.isnan(self[col])
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if not mask.size:
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continue
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self[col][mask] = np.interp(
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np.flatnonzero(mask), np.flatnonzero(~mask), self[col][~mask]
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)
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def _set_time_frame(self, default_tf):
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tf = {
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1: TimeFrame.M1,
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5: TimeFrame.M5,
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15: TimeFrame.M15,
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30: TimeFrame.M30,
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60: TimeFrame.H1,
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240: TimeFrame.H4,
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1440: TimeFrame.D1,
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}
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minutes = int(np.diff(self.time[-10:]).min() / 60)
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self.timeframe = tf.get(minutes) or tf[default_tf]
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def new(self, data, source=None, default_tf=None):
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shape = (len(data),)
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self.resize(shape, refcheck=False)
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if isinstance(data, pd.DataFrame):
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data.reset_index(inplace=True)
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data.insert(0, 'id', data.index)
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data.Date = self.convert_dates(data.Date)
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data = data.rename(
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columns={
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'Date': 'time',
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'Open': 'open',
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'High': 'high',
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'Low': 'low',
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'Close': 'close',
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'Volume': 'volume',
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}
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)
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for name in self.dtype.names:
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self[name] = data[name]
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elif isinstance(data, (np.recarray, BaseQuotes)):
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self[:] = data[:]
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self._nan_to_closest_num()
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self._set_time_frame(default_tf)
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return self
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def convert_dates(self, dates):
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return np.array([d.timestamp() for d in dates])
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class SymbolType(Enum):
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FOREX = auto()
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CFD = auto()
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FUTURES = auto()
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SHARES = auto()
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class Symbol:
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FOREX = SymbolType.FOREX
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CFD = SymbolType.CFD
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FUTURES = SymbolType.FUTURES
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SHARES = SymbolType.SHARES
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def __init__(self, ticker, mode, tick_size=0, tick_value=None):
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self.ticker = ticker
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self.mode = mode
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if self.mode in [self.FOREX, self.CFD]:
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# number of units of the commodity, currency
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# or financial asset in one lot
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self.contract_size = 100_000 # (100000 == 1 Lot)
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elif self.mode == self.FUTURES:
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# cost of a single price change point ($10) /
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# one minimum price movement
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self.tick_value = tick_value
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# minimum price change step (0.0001)
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self.tick_size = tick_size
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if isinstance(tick_size, float):
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self.digits = len(str(tick_size).split('.')[1])
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else:
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self.digits = 0
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def __repr__(self):
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return 'Symbol (%s | %s)' % (self.ticker, self.mode)
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class Indicator:
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def __init__(
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self, label=None, window=None, data=None, tp=None, base=None, **kwargs
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):
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self.label = label
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self.window = window
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self.data = data or [0]
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self.type = tp or ChartType.LINE
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self.base = base or {'linewidth': 0.5, 'color': 'black'}
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self.lineStyle = {'linestyle': '-', 'linewidth': 0.5, 'color': 'blue'}
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self.lineStyle.update(kwargs)
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Quotes = BaseQuotes()
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"""Chart."""
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import numpy as np
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import pyqtgraph as pg
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from PyQt5 import QtCore, QtGui
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from .base import Quotes
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from .const import ChartType
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from .portfolio import Order, Portfolio
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from .utils import fromtimestamp, timeit
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__all__ = ('QuotesChart', 'EquityChart')
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# pg.setConfigOption('background', 'w')
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CHART_MARGINS = (0, 0, 20, 5)
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class SampleLegendItem(pg.graphicsItems.LegendItem.ItemSample):
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def paint(self, p, *args):
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p.setRenderHint(p.Antialiasing)
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if isinstance(self.item, tuple):
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positive = self.item[0].opts
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negative = self.item[1].opts
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p.setPen(pg.mkPen(positive['pen']))
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p.setBrush(pg.mkBrush(positive['brush']))
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p.drawPolygon(
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QtGui.QPolygonF(
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[
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QtCore.QPointF(0, 0),
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QtCore.QPointF(18, 0),
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QtCore.QPointF(18, 18),
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]
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)
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)
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p.setPen(pg.mkPen(negative['pen']))
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p.setBrush(pg.mkBrush(negative['brush']))
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p.drawPolygon(
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QtGui.QPolygonF(
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[
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QtCore.QPointF(0, 0),
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QtCore.QPointF(0, 18),
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QtCore.QPointF(18, 18),
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]
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)
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)
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else:
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opts = self.item.opts
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p.setPen(pg.mkPen(opts['pen']))
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p.drawRect(0, 10, 18, 0.5)
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class PriceAxis(pg.AxisItem):
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def __init__(self):
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super().__init__(orientation='right')
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self.style.update({'textFillLimits': [(0, 0.8)]})
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def tickStrings(self, vals, scale, spacing):
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digts = max(0, np.ceil(-np.log10(spacing * scale)))
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return [
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('{:<8,.%df}' % digts).format(v).replace(',', ' ') for v in vals
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]
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class DateAxis(pg.AxisItem):
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tick_tpl = {'D1': '%d %b\n%Y'}
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def __init__(self, *args, **kwargs):
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super().__init__(*args, **kwargs)
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self.quotes_count = len(Quotes) - 1
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def tickStrings(self, values, scale, spacing):
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s_period = 'D1'
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strings = []
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for ibar in values:
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if ibar > self.quotes_count:
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return strings
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dt_tick = fromtimestamp(Quotes[int(ibar)].time)
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strings.append(dt_tick.strftime(self.tick_tpl[s_period]))
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return strings
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class CenteredTextItem(QtGui.QGraphicsTextItem):
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def __init__(
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self,
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text='',
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parent=None,
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pos=(0, 0),
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pen=None,
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brush=None,
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valign=None,
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opacity=0.1,
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):
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super().__init__(text, parent)
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self.pen = pen
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self.brush = brush
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self.opacity = opacity
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self.valign = valign
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self.text_flags = QtCore.Qt.AlignCenter
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self.setPos(*pos)
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self.setFlag(self.ItemIgnoresTransformations)
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def boundingRect(self): # noqa
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r = super().boundingRect()
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if self.valign == QtCore.Qt.AlignTop:
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return QtCore.QRectF(-r.width() / 2, -37, r.width(), r.height())
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elif self.valign == QtCore.Qt.AlignBottom:
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return QtCore.QRectF(-r.width() / 2, 15, r.width(), r.height())
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def paint(self, p, option, widget):
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p.setRenderHint(p.Antialiasing, False)
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p.setRenderHint(p.TextAntialiasing, True)
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p.setPen(self.pen)
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if self.brush.style() != QtCore.Qt.NoBrush:
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p.setOpacity(self.opacity)
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p.fillRect(option.rect, self.brush)
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p.setOpacity(1)
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p.drawText(option.rect, self.text_flags, self.toPlainText())
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class AxisLabel(pg.GraphicsObject):
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bg_color = pg.mkColor('#dbdbdb')
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fg_color = pg.mkColor('#000000')
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def __init__(self, parent=None, digits=0, color=None, opacity=1, **kwargs):
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super().__init__(parent)
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self.parent = parent
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self.opacity = opacity
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self.label_str = ''
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self.digits = digits
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self.quotes_count = len(Quotes) - 1
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if isinstance(color, QtGui.QPen):
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self.bg_color = color.color()
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self.fg_color = pg.mkColor('#ffffff')
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elif isinstance(color, list):
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self.bg_color = {'>0': color[0].color(), '<0': color[1].color()}
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self.fg_color = pg.mkColor('#ffffff')
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self.setFlag(self.ItemIgnoresTransformations)
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def tick_to_string(self, tick_pos):
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raise NotImplementedError()
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def boundingRect(self): # noqa
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raise NotImplementedError()
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def update_label(self, evt_post, point_view):
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raise NotImplementedError()
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def update_label_test(self, ypos=0, ydata=0):
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self.label_str = self.tick_to_string(ydata)
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height = self.boundingRect().height()
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offset = 0 # if have margins
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new_pos = QtCore.QPointF(0, ypos - height / 2 - offset)
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self.setPos(new_pos)
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def paint(self, p, option, widget):
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p.setRenderHint(p.TextAntialiasing, True)
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p.setPen(self.fg_color)
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if self.label_str:
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if not isinstance(self.bg_color, dict):
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bg_color = self.bg_color
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else:
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if int(self.label_str.replace(' ', '')) > 0:
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bg_color = self.bg_color['>0']
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else:
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bg_color = self.bg_color['<0']
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p.setOpacity(self.opacity)
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p.fillRect(option.rect, bg_color)
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p.setOpacity(1)
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p.drawText(option.rect, self.text_flags, self.label_str)
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class XAxisLabel(AxisLabel):
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text_flags = (
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QtCore.Qt.TextDontClip | QtCore.Qt.AlignCenter | QtCore.Qt.AlignTop
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)
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def tick_to_string(self, tick_pos):
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# TODO: change to actual period
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tpl = self.parent.tick_tpl['D1']
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return fromtimestamp(Quotes[round(tick_pos)].time).strftime(tpl)
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def boundingRect(self): # noqa
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return QtCore.QRectF(0, 0, 60, 38)
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def update_label(self, evt_post, point_view):
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ibar = point_view.x()
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if ibar > self.quotes_count:
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return
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self.label_str = self.tick_to_string(ibar)
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width = self.boundingRect().width()
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offset = 0 # if have margins
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new_pos = QtCore.QPointF(evt_post.x() - width / 2 - offset, 0)
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self.setPos(new_pos)
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class YAxisLabel(AxisLabel):
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text_flags = (
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QtCore.Qt.TextDontClip | QtCore.Qt.AlignLeft | QtCore.Qt.AlignVCenter
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)
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def tick_to_string(self, tick_pos):
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return ('{: ,.%df}' % self.digits).format(tick_pos).replace(',', ' ')
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def boundingRect(self): # noqa
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return QtCore.QRectF(0, 0, 74, 24)
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def update_label(self, evt_post, point_view):
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self.label_str = self.tick_to_string(point_view.y())
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height = self.boundingRect().height()
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offset = 0 # if have margins
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new_pos = QtCore.QPointF(0, evt_post.y() - height / 2 - offset)
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self.setPos(new_pos)
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class CustomPlotWidget(pg.PlotWidget):
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sig_mouse_leave = QtCore.Signal(object)
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sig_mouse_enter = QtCore.Signal(object)
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def enterEvent(self, ev): # noqa
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self.sig_mouse_enter.emit(self)
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def leaveEvent(self, ev): # noqa
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self.sig_mouse_leave.emit(self)
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self.scene().leaveEvent(ev)
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_rate_limit = 30
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class CrossHairItem(pg.GraphicsObject):
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def __init__(self, parent, indicators=None, digits=0):
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super().__init__()
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# self.pen = pg.mkPen('#000000')
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self.pen = pg.mkPen('#a9a9a9')
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self.parent = parent
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self.indicators = {}
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self.activeIndicator = None
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self.xaxis = self.parent.getAxis('bottom')
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self.yaxis = self.parent.getAxis('right')
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self.vline = self.parent.addLine(x=0, pen=self.pen, movable=False)
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self.hline = self.parent.addLine(y=0, pen=self.pen, movable=False)
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self.proxy_moved = pg.SignalProxy(
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self.parent.scene().sigMouseMoved,
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rateLimit=_rate_limit,
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slot=self.mouseMoved,
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)
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self.yaxis_label = YAxisLabel(
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parent=self.yaxis, digits=digits, opacity=1
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)
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indicators = indicators or []
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if indicators:
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last_ind = indicators[-1]
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self.xaxis_label = XAxisLabel(
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parent=last_ind.getAxis('bottom'), opacity=1
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)
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self.proxy_enter = pg.SignalProxy(
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self.parent.sig_mouse_enter,
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rateLimit=_rate_limit,
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slot=lambda: self.mouseAction('Enter', False),
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)
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self.proxy_leave = pg.SignalProxy(
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self.parent.sig_mouse_leave,
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rateLimit=_rate_limit,
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slot=lambda: self.mouseAction('Leave', False),
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)
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else:
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self.xaxis_label = XAxisLabel(parent=self.xaxis, opacity=1)
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for i in indicators:
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vl = i.addLine(x=0, pen=self.pen, movable=False)
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hl = i.addLine(y=0, pen=self.pen, movable=False)
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yl = YAxisLabel(parent=i.getAxis('right'), opacity=1)
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px_moved = pg.SignalProxy(
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i.scene().sigMouseMoved, rateLimit=_rate_limit, slot=self.mouseMoved
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)
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px_enter = pg.SignalProxy(
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i.sig_mouse_enter,
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rateLimit=_rate_limit,
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slot=lambda: self.mouseAction('Enter', i),
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)
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px_leave = pg.SignalProxy(
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i.sig_mouse_leave,
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rateLimit=_rate_limit,
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slot=lambda: self.mouseAction('Leave', i),
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)
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self.indicators[i] = {
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'vl': vl,
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'hl': hl,
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'yl': yl,
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'px': (px_moved, px_enter, px_leave),
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}
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def mouseAction(self, action, ind=False): # noqa
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if action == 'Enter':
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if ind:
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self.indicators[ind]['hl'].show()
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self.indicators[ind]['yl'].show()
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self.activeIndicator = ind
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else:
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self.yaxis_label.show()
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self.hline.show()
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else: # Leave
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if ind:
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self.indicators[ind]['hl'].hide()
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self.indicators[ind]['yl'].hide()
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self.activeIndicator = None
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else:
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self.yaxis_label.hide()
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self.hline.hide()
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def mouseMoved(self, evt): # noqa
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pos = evt[0]
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if self.parent.sceneBoundingRect().contains(pos):
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# mouse_point = self.vb.mapSceneToView(pos)
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mouse_point = self.parent.mapToView(pos)
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self.vline.setX(mouse_point.x())
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self.xaxis_label.update_label(evt_post=pos, point_view=mouse_point)
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for opts in self.indicators.values():
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||||
opts['vl'].setX(mouse_point.x())
|
||||
|
||||
if self.activeIndicator:
|
||||
mouse_point_ind = self.activeIndicator.mapToView(pos)
|
||||
self.indicators[self.activeIndicator]['hl'].setY(
|
||||
mouse_point_ind.y()
|
||||
)
|
||||
self.indicators[self.activeIndicator]['yl'].update_label(
|
||||
evt_post=pos, point_view=mouse_point_ind
|
||||
)
|
||||
else:
|
||||
self.hline.setY(mouse_point.y())
|
||||
self.yaxis_label.update_label(
|
||||
evt_post=pos, point_view=mouse_point
|
||||
)
|
||||
|
||||
def paint(self, p, *args):
|
||||
pass
|
||||
|
||||
def boundingRect(self):
|
||||
return self.parent.boundingRect()
|
||||
|
||||
|
||||
class BarItem(pg.GraphicsObject):
|
||||
|
||||
w = 0.35
|
||||
bull_brush = pg.mkPen('#00cc00')
|
||||
bear_brush = pg.mkPen('#fa0000')
|
||||
|
||||
def __init__(self):
|
||||
super().__init__()
|
||||
self.generatePicture()
|
||||
|
||||
def _generate(self, p):
|
||||
hl = np.array(
|
||||
[QtCore.QLineF(q.id, q.low, q.id, q.high) for q in Quotes]
|
||||
)
|
||||
op = np.array(
|
||||
[QtCore.QLineF(q.id - self.w, q.open, q.id, q.open) for q in Quotes]
|
||||
)
|
||||
cl = np.array(
|
||||
[
|
||||
QtCore.QLineF(q.id + self.w, q.close, q.id, q.close)
|
||||
for q in Quotes
|
||||
]
|
||||
)
|
||||
lines = np.concatenate([hl, op, cl])
|
||||
long_bars = np.resize(Quotes.close > Quotes.open, len(lines))
|
||||
short_bars = np.resize(Quotes.close < Quotes.open, len(lines))
|
||||
|
||||
p.setPen(self.bull_brush)
|
||||
p.drawLines(*lines[long_bars])
|
||||
|
||||
p.setPen(self.bear_brush)
|
||||
p.drawLines(*lines[short_bars])
|
||||
|
||||
@timeit
|
||||
def generatePicture(self):
|
||||
self.picture = QtGui.QPicture()
|
||||
p = QtGui.QPainter(self.picture)
|
||||
self._generate(p)
|
||||
p.end()
|
||||
|
||||
def paint(self, p, *args):
|
||||
p.drawPicture(0, 0, self.picture)
|
||||
|
||||
def boundingRect(self):
|
||||
return QtCore.QRectF(self.picture.boundingRect())
|
||||
|
||||
|
||||
class CandlestickItem(BarItem):
|
||||
|
||||
w2 = 0.7
|
||||
line_pen = pg.mkPen('#000000')
|
||||
bull_brush = pg.mkBrush('#00ff00')
|
||||
bear_brush = pg.mkBrush('#ff0000')
|
||||
|
||||
def _generate(self, p):
|
||||
rects = np.array(
|
||||
[
|
||||
QtCore.QRectF(q.id - self.w, q.open, self.w2, q.close - q.open)
|
||||
for q in Quotes
|
||||
]
|
||||
)
|
||||
|
||||
p.setPen(self.line_pen)
|
||||
p.drawLines([QtCore.QLineF(q.id, q.low, q.id, q.high) for q in Quotes])
|
||||
|
||||
p.setBrush(self.bull_brush)
|
||||
p.drawRects(*rects[Quotes.close > Quotes.open])
|
||||
|
||||
p.setBrush(self.bear_brush)
|
||||
p.drawRects(*rects[Quotes.close < Quotes.open])
|
||||
|
||||
|
||||
class QuotesChart(QtGui.QWidget):
|
||||
|
||||
long_pen = pg.mkPen('#006000')
|
||||
long_brush = pg.mkBrush('#00ff00')
|
||||
short_pen = pg.mkPen('#600000')
|
||||
short_brush = pg.mkBrush('#ff0000')
|
||||
|
||||
zoomIsDisabled = QtCore.pyqtSignal(bool)
|
||||
|
||||
def __init__(self):
|
||||
super().__init__()
|
||||
self.signals_visible = False
|
||||
self.style = ChartType.BAR
|
||||
self.indicators = []
|
||||
|
||||
self.xaxis = DateAxis(orientation='bottom')
|
||||
self.xaxis.setStyle(
|
||||
tickTextOffset=7, textFillLimits=[(0, 0.80)], showValues=False
|
||||
)
|
||||
|
||||
self.xaxis_ind = DateAxis(orientation='bottom')
|
||||
self.xaxis_ind.setStyle(tickTextOffset=7, textFillLimits=[(0, 0.80)])
|
||||
|
||||
self.layout = QtGui.QVBoxLayout(self)
|
||||
self.layout.setContentsMargins(0, 0, 0, 0)
|
||||
|
||||
self.splitter = QtGui.QSplitter(QtCore.Qt.Vertical)
|
||||
self.splitter.setHandleWidth(4)
|
||||
|
||||
self.layout.addWidget(self.splitter)
|
||||
|
||||
def _show_text_signals(self, lbar, rbar):
|
||||
signals = [
|
||||
sig
|
||||
for sig in self.signals_text_items[lbar:rbar]
|
||||
if isinstance(sig, CenteredTextItem)
|
||||
]
|
||||
if len(signals) <= 50:
|
||||
for sig in signals:
|
||||
sig.show()
|
||||
else:
|
||||
for sig in signals:
|
||||
sig.hide()
|
||||
|
||||
def _remove_signals(self):
|
||||
self.chart.removeItem(self.signals_group_arrow)
|
||||
self.chart.removeItem(self.signals_group_text)
|
||||
del self.signals_text_items
|
||||
del self.signals_group_arrow
|
||||
del self.signals_group_text
|
||||
self.signals_visible = False
|
||||
|
||||
def _update_quotes_chart(self):
|
||||
self.chart.hideAxis('left')
|
||||
self.chart.showAxis('right')
|
||||
self.chart.addItem(_get_chart_points(self.style))
|
||||
self.chart.setLimits(
|
||||
xMin=Quotes[0].id,
|
||||
xMax=Quotes[-1].id,
|
||||
minXRange=60,
|
||||
yMin=Quotes.low.min() * 0.98,
|
||||
yMax=Quotes.high.max() * 1.02,
|
||||
)
|
||||
self.chart.showGrid(x=True, y=True)
|
||||
self.chart.setCursor(QtCore.Qt.BlankCursor)
|
||||
self.chart.sigXRangeChanged.connect(self._update_yrange_limits)
|
||||
|
||||
def _update_ind_charts(self):
|
||||
for ind, d in self.indicators:
|
||||
curve = pg.PlotDataItem(d, pen='b', antialias=True)
|
||||
ind.addItem(curve)
|
||||
ind.hideAxis('left')
|
||||
ind.showAxis('right')
|
||||
# ind.setAspectLocked(1)
|
||||
ind.setXLink(self.chart)
|
||||
ind.setLimits(
|
||||
xMin=Quotes[0].id,
|
||||
xMax=Quotes[-1].id,
|
||||
minXRange=60,
|
||||
yMin=Quotes.open.min() * 0.98,
|
||||
yMax=Quotes.open.max() * 1.02,
|
||||
)
|
||||
ind.showGrid(x=True, y=True)
|
||||
ind.setCursor(QtCore.Qt.BlankCursor)
|
||||
|
||||
def _update_sizes(self):
|
||||
min_h_ind = int(self.height() * 0.3 / len(self.indicators))
|
||||
sizes = [int(self.height() * 0.7)]
|
||||
sizes.extend([min_h_ind] * len(self.indicators))
|
||||
self.splitter.setSizes(sizes) # , int(self.height()*0.2)
|
||||
|
||||
def _update_yrange_limits(self):
|
||||
vr = self.chart.viewRect()
|
||||
lbar, rbar = int(vr.left()), int(vr.right())
|
||||
if self.signals_visible:
|
||||
self._show_text_signals(lbar, rbar)
|
||||
bars = Quotes[lbar:rbar]
|
||||
ylow = bars.low.min() * 0.98
|
||||
yhigh = bars.high.max() * 1.02
|
||||
|
||||
std = np.std(bars.close)
|
||||
self.chart.setLimits(yMin=ylow, yMax=yhigh, minYRange=std)
|
||||
self.chart.setYRange(ylow, yhigh)
|
||||
for i, d in self.indicators:
|
||||
# ydata = i.plotItem.items[0].getData()[1]
|
||||
ydata = d[lbar:rbar]
|
||||
ylow = ydata.min() * 0.98
|
||||
yhigh = ydata.max() * 1.02
|
||||
std = np.std(ydata)
|
||||
i.setLimits(yMin=ylow, yMax=yhigh, minYRange=std)
|
||||
i.setYRange(ylow, yhigh)
|
||||
|
||||
def plot(self, symbol):
|
||||
self.digits = symbol.digits
|
||||
self.chart = CustomPlotWidget(
|
||||
parent=self.splitter,
|
||||
axisItems={'bottom': self.xaxis, 'right': PriceAxis()},
|
||||
enableMenu=False,
|
||||
)
|
||||
# self.chart.getPlotItem().setContentsMargins(*CHART_MARGINS)
|
||||
self.chart.setFrameStyle(QtGui.QFrame.StyledPanel | QtGui.QFrame.Plain)
|
||||
|
||||
inds = [Quotes.open]
|
||||
|
||||
for d in inds:
|
||||
ind = CustomPlotWidget(
|
||||
parent=self.splitter,
|
||||
axisItems={'bottom': self.xaxis_ind, 'right': PriceAxis()},
|
||||
enableMenu=False,
|
||||
)
|
||||
ind.setFrameStyle(QtGui.QFrame.StyledPanel | QtGui.QFrame.Plain)
|
||||
ind.getPlotItem().setContentsMargins(*CHART_MARGINS)
|
||||
# self.splitter.addWidget(ind)
|
||||
self.indicators.append((ind, d))
|
||||
|
||||
self._update_quotes_chart()
|
||||
self._update_ind_charts()
|
||||
self._update_sizes()
|
||||
|
||||
ch = CrossHairItem(
|
||||
self.chart, [_ind for _ind, d in self.indicators], self.digits
|
||||
)
|
||||
self.chart.addItem(ch)
|
||||
|
||||
def add_signals(self):
|
||||
self.signals_group_text = QtGui.QGraphicsItemGroup()
|
||||
self.signals_group_arrow = QtGui.QGraphicsItemGroup()
|
||||
self.signals_text_items = np.empty(len(Quotes), dtype=object)
|
||||
|
||||
for p in Portfolio.positions:
|
||||
x, price = p.id_bar_open, p.open_price
|
||||
if p.type == Order.BUY:
|
||||
y = Quotes[x].low * 0.99
|
||||
pg.ArrowItem(
|
||||
parent=self.signals_group_arrow,
|
||||
pos=(x, y),
|
||||
pen=self.long_pen,
|
||||
brush=self.long_brush,
|
||||
angle=90,
|
||||
headLen=12,
|
||||
tipAngle=50,
|
||||
)
|
||||
text_sig = CenteredTextItem(
|
||||
parent=self.signals_group_text,
|
||||
pos=(x, y),
|
||||
pen=self.long_pen,
|
||||
brush=self.long_brush,
|
||||
text=('Buy at {:.%df}' % self.digits).format(price),
|
||||
valign=QtCore.Qt.AlignBottom,
|
||||
)
|
||||
text_sig.hide()
|
||||
else:
|
||||
y = Quotes[x].high * 1.01
|
||||
pg.ArrowItem(
|
||||
parent=self.signals_group_arrow,
|
||||
pos=(x, y),
|
||||
pen=self.short_pen,
|
||||
brush=self.short_brush,
|
||||
angle=-90,
|
||||
headLen=12,
|
||||
tipAngle=50,
|
||||
)
|
||||
text_sig = CenteredTextItem(
|
||||
parent=self.signals_group_text,
|
||||
pos=(x, y),
|
||||
pen=self.short_pen,
|
||||
brush=self.short_brush,
|
||||
text=('Sell at {:.%df}' % self.digits).format(price),
|
||||
valign=QtCore.Qt.AlignTop,
|
||||
)
|
||||
text_sig.hide()
|
||||
|
||||
self.signals_text_items[x] = text_sig
|
||||
|
||||
self.chart.addItem(self.signals_group_arrow)
|
||||
self.chart.addItem(self.signals_group_text)
|
||||
self.signals_visible = True
|
||||
|
||||
|
||||
class EquityChart(QtGui.QWidget):
|
||||
|
||||
eq_pen_pos_color = pg.mkColor('#00cc00')
|
||||
eq_pen_neg_color = pg.mkColor('#cc0000')
|
||||
eq_brush_pos_color = pg.mkColor('#40ee40')
|
||||
eq_brush_neg_color = pg.mkColor('#ee4040')
|
||||
long_pen_color = pg.mkColor('#008000')
|
||||
short_pen_color = pg.mkColor('#800000')
|
||||
buy_and_hold_pen_color = pg.mkColor('#4444ff')
|
||||
|
||||
def __init__(self):
|
||||
super().__init__()
|
||||
self.xaxis = DateAxis(orientation='bottom')
|
||||
self.xaxis.setStyle(tickTextOffset=7, textFillLimits=[(0, 0.80)])
|
||||
self.yaxis = PriceAxis()
|
||||
|
||||
self.layout = QtGui.QVBoxLayout(self)
|
||||
self.layout.setContentsMargins(0, 0, 0, 0)
|
||||
|
||||
self.chart = pg.PlotWidget(
|
||||
axisItems={'bottom': self.xaxis, 'right': self.yaxis},
|
||||
enableMenu=False,
|
||||
)
|
||||
self.chart.setFrameStyle(QtGui.QFrame.StyledPanel | QtGui.QFrame.Plain)
|
||||
self.chart.getPlotItem().setContentsMargins(*CHART_MARGINS)
|
||||
self.chart.showGrid(x=True, y=True)
|
||||
self.chart.hideAxis('left')
|
||||
self.chart.showAxis('right')
|
||||
|
||||
self.chart.setCursor(QtCore.Qt.BlankCursor)
|
||||
self.chart.sigXRangeChanged.connect(self._update_yrange_limits)
|
||||
|
||||
self.layout.addWidget(self.chart)
|
||||
|
||||
def _add_legend(self):
|
||||
legend = pg.LegendItem((140, 100), offset=(10, 10))
|
||||
legend.setParentItem(self.chart.getPlotItem())
|
||||
|
||||
for arr, item in self.curves:
|
||||
legend.addItem(
|
||||
SampleLegendItem(item),
|
||||
item.opts['name']
|
||||
if not isinstance(item, tuple)
|
||||
else item[0].opts['name'],
|
||||
)
|
||||
|
||||
def _add_ylabels(self):
|
||||
self.ylabels = []
|
||||
for arr, item in self.curves:
|
||||
color = (
|
||||
item.opts['pen']
|
||||
if not isinstance(item, tuple)
|
||||
else [i.opts['pen'] for i in item]
|
||||
)
|
||||
label = YAxisLabel(parent=self.yaxis, color=color)
|
||||
self.ylabels.append(label)
|
||||
|
||||
def _update_ylabels(self, vb, rbar):
|
||||
for i, curve in enumerate(self.curves):
|
||||
arr, item = curve
|
||||
ylast = arr[rbar]
|
||||
ypos = vb.mapFromView(QtCore.QPointF(0, ylast)).y()
|
||||
axlabel = self.ylabels[i]
|
||||
axlabel.update_label_test(ypos=ypos, ydata=ylast)
|
||||
|
||||
def _update_yrange_limits(self, vb=None):
|
||||
if not hasattr(self, 'min_curve'):
|
||||
return
|
||||
vr = self.chart.viewRect()
|
||||
lbar, rbar = int(vr.left()), int(vr.right())
|
||||
ylow = self.min_curve[lbar:rbar].min() * 1.1
|
||||
yhigh = self.max_curve[lbar:rbar].max() * 1.1
|
||||
|
||||
std = np.std(self.max_curve[lbar:rbar]) * 4
|
||||
self.chart.setLimits(yMin=ylow, yMax=yhigh, minYRange=std)
|
||||
self.chart.setYRange(ylow, yhigh)
|
||||
self._update_ylabels(vb, rbar)
|
||||
|
||||
@timeit
|
||||
def plot(self):
|
||||
equity_curve = Portfolio.equity_curve
|
||||
eq_pos = np.zeros_like(equity_curve)
|
||||
eq_neg = np.zeros_like(equity_curve)
|
||||
eq_pos[equity_curve >= 0] = equity_curve[equity_curve >= 0]
|
||||
eq_neg[equity_curve <= 0] = equity_curve[equity_curve <= 0]
|
||||
|
||||
# Equity
|
||||
self.eq_pos_curve = pg.PlotCurveItem(
|
||||
eq_pos,
|
||||
name='Equity',
|
||||
fillLevel=0,
|
||||
antialias=True,
|
||||
pen=self.eq_pen_pos_color,
|
||||
brush=self.eq_brush_pos_color,
|
||||
)
|
||||
self.eq_neg_curve = pg.PlotCurveItem(
|
||||
eq_neg,
|
||||
name='Equity',
|
||||
fillLevel=0,
|
||||
antialias=True,
|
||||
pen=self.eq_pen_neg_color,
|
||||
brush=self.eq_brush_neg_color,
|
||||
)
|
||||
self.chart.addItem(self.eq_pos_curve)
|
||||
self.chart.addItem(self.eq_neg_curve)
|
||||
|
||||
# Only Long
|
||||
self.long_curve = pg.PlotCurveItem(
|
||||
Portfolio.long_curve,
|
||||
name='Only Long',
|
||||
pen=self.long_pen_color,
|
||||
antialias=True,
|
||||
)
|
||||
self.chart.addItem(self.long_curve)
|
||||
|
||||
# Only Short
|
||||
self.short_curve = pg.PlotCurveItem(
|
||||
Portfolio.short_curve,
|
||||
name='Only Short',
|
||||
pen=self.short_pen_color,
|
||||
antialias=True,
|
||||
)
|
||||
self.chart.addItem(self.short_curve)
|
||||
|
||||
# Buy and Hold
|
||||
self.buy_and_hold_curve = pg.PlotCurveItem(
|
||||
Portfolio.buy_and_hold_curve,
|
||||
name='Buy and Hold',
|
||||
pen=self.buy_and_hold_pen_color,
|
||||
antialias=True,
|
||||
)
|
||||
self.chart.addItem(self.buy_and_hold_curve)
|
||||
|
||||
self.curves = [
|
||||
(Portfolio.equity_curve, (self.eq_pos_curve, self.eq_neg_curve)),
|
||||
(Portfolio.long_curve, self.long_curve),
|
||||
(Portfolio.short_curve, self.short_curve),
|
||||
(Portfolio.buy_and_hold_curve, self.buy_and_hold_curve),
|
||||
]
|
||||
|
||||
self._add_legend()
|
||||
self._add_ylabels()
|
||||
|
||||
ch = CrossHairItem(self.chart)
|
||||
self.chart.addItem(ch)
|
||||
|
||||
arrs = (
|
||||
Portfolio.equity_curve,
|
||||
Portfolio.buy_and_hold_curve,
|
||||
Portfolio.long_curve,
|
||||
Portfolio.short_curve,
|
||||
)
|
||||
np_arrs = np.concatenate(arrs)
|
||||
_min = abs(np_arrs.min()) * -1.1
|
||||
_max = np_arrs.max() * 1.1
|
||||
|
||||
self.chart.setLimits(
|
||||
xMin=Quotes[0].id,
|
||||
xMax=Quotes[-1].id,
|
||||
yMin=_min,
|
||||
yMax=_max,
|
||||
minXRange=60,
|
||||
)
|
||||
|
||||
self.min_curve = arrs[0].copy()
|
||||
self.max_curve = arrs[0].copy()
|
||||
for arr in arrs[1:]:
|
||||
self.min_curve = np.minimum(self.min_curve, arr)
|
||||
self.max_curve = np.maximum(self.max_curve, arr)
|
||||
|
||||
|
||||
def _get_chart_points(style):
|
||||
if style == ChartType.CANDLESTICK:
|
||||
return CandlestickItem()
|
||||
elif style == ChartType.BAR:
|
||||
return BarItem()
|
||||
return pg.PlotDataItem(Quotes.close, pen='b')
|
||||
|
|
@ -0,0 +1,36 @@
|
|||
"""Constants."""
|
||||
|
||||
from enum import Enum, auto
|
||||
|
||||
__all__ = ('ChartType', 'TimeFrame')
|
||||
|
||||
|
||||
class ChartType(Enum):
|
||||
BAR = auto()
|
||||
CANDLESTICK = auto()
|
||||
LINE = auto()
|
||||
|
||||
|
||||
class TimeFrame(Enum):
|
||||
M1 = auto()
|
||||
M5 = auto()
|
||||
M15 = auto()
|
||||
M30 = auto()
|
||||
H1 = auto()
|
||||
H4 = auto()
|
||||
D1 = auto()
|
||||
W1 = auto()
|
||||
MN = auto()
|
||||
|
||||
|
||||
ANNUAL_PERIOD = 252 # number of trading days in a year
|
||||
|
||||
# # TODO: 6.5 - US trading hours (trading session); fix it for fx
|
||||
# ANNUALIZATION_FACTORS = {
|
||||
# TimeFrame.M1: int(252 * 6.5 * 60),
|
||||
# TimeFrame.M5: int(252 * 6.5 * 12),
|
||||
# TimeFrame.M15: int(252 * 6.5 * 4),
|
||||
# TimeFrame.M30: int(252 * 6.5 * 2),
|
||||
# TimeFrame.H1: int(252 * 6.5),
|
||||
# TimeFrame.D1: 252,
|
||||
# }
|
||||
|
|
@ -0,0 +1,172 @@
|
|||
"""Parser."""
|
||||
|
||||
import logging
|
||||
import os.path
|
||||
import pickle
|
||||
|
||||
import pandas as pd
|
||||
import pandas_datareader.data as web
|
||||
from pandas_datareader._utils import RemoteDataError
|
||||
from pandas_datareader.data import (
|
||||
get_data_quandl,
|
||||
get_data_yahoo,
|
||||
get_data_alphavantage,
|
||||
)
|
||||
from pandas_datareader.nasdaq_trader import get_nasdaq_symbols
|
||||
from pandas_datareader.exceptions import ImmediateDeprecationError
|
||||
|
||||
from .base import Quotes
|
||||
from .utils import get_data_path, timeit
|
||||
|
||||
__all__ = (
|
||||
'YahooQuotesLoader',
|
||||
'QuandleQuotesLoader',
|
||||
'get_symbols',
|
||||
'get_quotes',
|
||||
)
|
||||
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class QuotesLoader:
|
||||
|
||||
source = None
|
||||
timeframe = '1D'
|
||||
sort_index = False
|
||||
default_tf = None
|
||||
name_format = '%(symbol)s_%(tf)s_%(date_from)s_%(date_to)s.%(ext)s'
|
||||
|
||||
@classmethod
|
||||
def _get(cls, symbol, date_from, date_to):
|
||||
quotes = web.DataReader(
|
||||
symbol, cls.source, start=date_from, end=date_to
|
||||
)
|
||||
if cls.sort_index:
|
||||
quotes.sort_index(inplace=True)
|
||||
return quotes
|
||||
|
||||
@classmethod
|
||||
def _get_file_path(cls, symbol, tf, date_from, date_to):
|
||||
fname = cls.name_format % {
|
||||
'symbol': symbol,
|
||||
'tf': tf,
|
||||
'date_from': date_from.isoformat(),
|
||||
'date_to': date_to.isoformat(),
|
||||
'ext': 'qdom',
|
||||
}
|
||||
return os.path.join(get_data_path('stock_data'), fname)
|
||||
|
||||
@classmethod
|
||||
def _save_to_disk(cls, fpath, data):
|
||||
logger.debug('Saving quotes to a file: %s', fpath)
|
||||
with open(fpath, 'wb') as f:
|
||||
pickle.dump(data, f, pickle.HIGHEST_PROTOCOL)
|
||||
|
||||
@classmethod
|
||||
def _load_from_disk(cls, fpath):
|
||||
logger.debug('Loading quotes from a file: %s', fpath)
|
||||
with open(fpath, 'rb') as f:
|
||||
return pickle.load(f)
|
||||
|
||||
@classmethod
|
||||
@timeit
|
||||
def get_quotes(cls, symbol, date_from, date_to):
|
||||
quotes = None
|
||||
fpath = cls._get_file_path(symbol, cls.timeframe, date_from, date_to)
|
||||
if os.path.exists(fpath):
|
||||
quotes = Quotes.new(cls._load_from_disk(fpath))
|
||||
else:
|
||||
quotes_raw = cls._get(symbol, date_from, date_to)
|
||||
quotes = Quotes.new(
|
||||
quotes_raw, source=cls.source, default_tf=cls.default_tf
|
||||
)
|
||||
cls._save_to_disk(fpath, quotes)
|
||||
return quotes
|
||||
|
||||
|
||||
class YahooQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'yahoo'
|
||||
|
||||
@classmethod
|
||||
def _get(cls, symbol, date_from, date_to):
|
||||
return get_data_yahoo(symbol, date_from, date_to)
|
||||
|
||||
|
||||
class QuandleQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'quandle'
|
||||
|
||||
@classmethod
|
||||
def _get(cls, symbol, date_from, date_to):
|
||||
quotes = get_data_quandl(symbol, date_from, date_to)
|
||||
quotes.sort_index(inplace=True)
|
||||
return quotes
|
||||
|
||||
|
||||
class AlphaVantageQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'alphavantage'
|
||||
api_key = 'demo'
|
||||
|
||||
@classmethod
|
||||
def _get(cls, symbol, date_from, date_to):
|
||||
quotes = get_data_alphavantage(
|
||||
symbol, date_from, date_to, api_key=cls.api_key
|
||||
)
|
||||
return quotes
|
||||
|
||||
|
||||
class StooqQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'stooq'
|
||||
sort_index = True
|
||||
default_tf = 1440
|
||||
|
||||
|
||||
class IEXQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'iex'
|
||||
|
||||
@classmethod
|
||||
def _get(cls, symbol, date_from, date_to):
|
||||
quotes = web.DataReader(
|
||||
symbol, cls.source, start=date_from, end=date_to
|
||||
)
|
||||
quotes['Date'] = pd.to_datetime(quotes.index)
|
||||
return quotes
|
||||
|
||||
|
||||
class RobinhoodQuotesLoader(QuotesLoader):
|
||||
|
||||
source = 'robinhood'
|
||||
|
||||
|
||||
def get_symbols():
|
||||
fpath = os.path.join(get_data_path('stock_data'), 'symbols.qdom')
|
||||
if os.path.exists(fpath):
|
||||
with open(fpath, 'rb') as f:
|
||||
symbols = pickle.load(f)
|
||||
else:
|
||||
symbols = get_nasdaq_symbols()
|
||||
symbols.reset_index(inplace=True)
|
||||
with open(fpath, 'wb') as f:
|
||||
pickle.dump(symbols, f, pickle.HIGHEST_PROTOCOL)
|
||||
return symbols
|
||||
|
||||
|
||||
def get_quotes(*args, **kwargs):
|
||||
quotes = []
|
||||
# don't work:
|
||||
# GoogleQuotesLoader, QuandleQuotesLoader,
|
||||
# AlphaVantageQuotesLoader, RobinhoodQuotesLoader
|
||||
loaders = [YahooQuotesLoader, IEXQuotesLoader, StooqQuotesLoader]
|
||||
while loaders:
|
||||
loader = loaders.pop(0)
|
||||
try:
|
||||
quotes = loader.get_quotes(*args, **kwargs)
|
||||
break
|
||||
except (RemoteDataError, ImmediateDeprecationError) as e:
|
||||
logger.error('get_quotes => error: %r', e)
|
||||
return quotes
|
||||
|
|
@ -0,0 +1,350 @@
|
|||
"""Performance."""
|
||||
|
||||
import codecs
|
||||
import json
|
||||
from collections import OrderedDict, defaultdict
|
||||
|
||||
import numpy as np
|
||||
|
||||
from .base import Quotes
|
||||
from .const import ANNUAL_PERIOD
|
||||
from .utils import fromtimestamp, get_resource_path
|
||||
|
||||
__all__ = (
|
||||
'BriefPerformance',
|
||||
'Performance',
|
||||
'Stats',
|
||||
'REPORT_COLUMNS',
|
||||
'REPORT_ROWS',
|
||||
)
|
||||
|
||||
|
||||
REPORT_COLUMNS = ('All', 'Long', 'Short', 'Market')
|
||||
with codecs.open(
|
||||
get_resource_path('report_rows.json'), mode='r', encoding='utf-8'
|
||||
) as f:
|
||||
REPORT_ROWS = OrderedDict(json.load(f))
|
||||
|
||||
|
||||
class Stats(np.recarray):
|
||||
def __new__(cls, positions, shape=None, dtype=None, order='C'):
|
||||
shape = shape or (len(positions['All']),)
|
||||
dtype = np.dtype(
|
||||
[
|
||||
('type', object),
|
||||
('symbol', object),
|
||||
('volume', float),
|
||||
('open_time', float),
|
||||
('close_time', float),
|
||||
('open_price', float),
|
||||
('close_price', float),
|
||||
('total_profit', float),
|
||||
('entry_name', object),
|
||||
('exit_name', object),
|
||||
('status', object),
|
||||
('comment', object),
|
||||
('abs', float),
|
||||
('perc', float),
|
||||
('bars', float),
|
||||
('on_bar', float),
|
||||
('mae', float),
|
||||
('mfe', float),
|
||||
]
|
||||
)
|
||||
dt = [(col, dtype) for col in REPORT_COLUMNS]
|
||||
return np.ndarray.__new__(cls, shape, (np.record, dt), order=order)
|
||||
|
||||
def __init__(self, positions, **kwargs):
|
||||
for col, _positions in positions.items():
|
||||
for i, p in enumerate(_positions):
|
||||
self._add_position(p, col, i)
|
||||
|
||||
def _add_position(self, p, col, i):
|
||||
self[col][i].type = p.type
|
||||
self[col][i].symbol = p.symbol
|
||||
self[col][i].volume = p.volume
|
||||
self[col][i].open_time = p.open_time
|
||||
self[col][i].close_time = p.close_time
|
||||
self[col][i].open_price = p.open_price
|
||||
self[col][i].close_price = p.close_price
|
||||
self[col][i].total_profit = p.total_profit
|
||||
self[col][i].entry_name = p.entry_name
|
||||
self[col][i].exit_name = p.exit_name
|
||||
self[col][i].status = p.status
|
||||
self[col][i].comment = p.comment
|
||||
self[col][i].abs = p.profit
|
||||
self[col][i].perc = p.profit_perc
|
||||
|
||||
quotes_on_trade = Quotes[p.id_bar_open : p.id_bar_close]
|
||||
|
||||
if not quotes_on_trade.size:
|
||||
# if position was opened and closed on the last bar
|
||||
quotes_on_trade = Quotes[p.id_bar_open : p.id_bar_close + 1]
|
||||
|
||||
kwargs = {
|
||||
'low': quotes_on_trade.low.min(),
|
||||
'high': quotes_on_trade.high.max(),
|
||||
}
|
||||
self[col][i].mae = p.calc_mae(**kwargs)
|
||||
self[col][i].mfe = p.calc_mfe(**kwargs)
|
||||
|
||||
bars = p.id_bar_close - p.id_bar_open
|
||||
self[col][i].bars = bars
|
||||
self[col][i].on_bar = p.profit_perc / bars
|
||||
|
||||
|
||||
class BriefPerformance(np.recarray):
|
||||
def __new__(cls, shape=None, dtype=None, order='C'):
|
||||
dt = np.dtype(
|
||||
[
|
||||
('kwargs', object),
|
||||
('net_profit_abs', float),
|
||||
('net_profit_perc', float),
|
||||
('year_profit', float),
|
||||
('win_average_profit_perc', float),
|
||||
('loss_average_profit_perc', float),
|
||||
('max_drawdown_abs', float),
|
||||
('total_trades', int),
|
||||
('win_trades_abs', int),
|
||||
('win_trades_perc', float),
|
||||
('profit_factor', float),
|
||||
('recovery_factor', float),
|
||||
('payoff_ratio', float),
|
||||
]
|
||||
)
|
||||
shape = shape or (1,)
|
||||
return np.ndarray.__new__(cls, shape, (np.record, dt), order=order)
|
||||
|
||||
def _days_count(self, positions):
|
||||
if hasattr(self, 'days'):
|
||||
return self.days
|
||||
self.days = (
|
||||
(
|
||||
fromtimestamp(positions[-1].close_time)
|
||||
- fromtimestamp(positions[0].open_time)
|
||||
).days
|
||||
if positions
|
||||
else 1
|
||||
)
|
||||
return self.days
|
||||
|
||||
def add(self, initial_balance, positions, i, kwargs):
|
||||
position_count = len(positions)
|
||||
profit = np.recarray(
|
||||
(position_count,), dtype=[('abs', float), ('perc', float)]
|
||||
)
|
||||
for n, position in enumerate(positions):
|
||||
profit[n].abs = position.profit
|
||||
profit[n].perc = position.profit_perc
|
||||
s = self[i]
|
||||
s.kwargs = kwargs
|
||||
s.net_profit_abs = np.sum(profit.abs)
|
||||
s.net_profit_perc = np.sum(profit.perc)
|
||||
days = self._days_count(positions)
|
||||
gain_factor = (s.net_profit_abs + initial_balance) / initial_balance
|
||||
s.year_profit = (gain_factor ** (365 / days) - 1) * 100
|
||||
s.win_average_profit_perc = np.mean(profit.perc[profit.perc > 0])
|
||||
s.loss_average_profit_perc = np.mean(profit.perc[profit.perc < 0])
|
||||
s.max_drawdown_abs = profit.abs.min()
|
||||
s.total_trades = position_count
|
||||
wins = profit.abs[profit.abs > 0]
|
||||
loss = profit.abs[profit.abs < 0]
|
||||
s.win_trades_abs = len(wins)
|
||||
s.win_trades_perc = round(s.win_trades_abs / s.total_trades * 100, 2)
|
||||
s.profit_factor = abs(np.sum(wins) / np.sum(loss))
|
||||
s.recovery_factor = abs(s.net_profit_abs / s.max_drawdown_abs)
|
||||
s.payoff_ratio = abs(np.mean(wins) / np.mean(loss))
|
||||
|
||||
|
||||
class Performance:
|
||||
"""Performance Metrics."""
|
||||
|
||||
rows = REPORT_ROWS
|
||||
columns = REPORT_COLUMNS
|
||||
|
||||
def __init__(self, initial_balance, stats, positions):
|
||||
self._data = {}
|
||||
for col in self.columns:
|
||||
column = type('Column', (object,), dict.fromkeys(self.rows, 0))
|
||||
column.initial_balance = initial_balance
|
||||
self._data[col] = column
|
||||
self.calculate(column, stats[col], positions[col])
|
||||
|
||||
def __getitem__(self, col):
|
||||
return self._data[col]
|
||||
|
||||
def _calc_trade_series(self, col, positions):
|
||||
win_in_series, loss_in_series = 0, 0
|
||||
for i, p in enumerate(positions):
|
||||
if p.profit >= 0:
|
||||
win_in_series += 1
|
||||
loss_in_series = 0
|
||||
if win_in_series > col.win_in_series:
|
||||
col.win_in_series = win_in_series
|
||||
else:
|
||||
win_in_series = 0
|
||||
loss_in_series += 1
|
||||
if loss_in_series > col.loss_in_series:
|
||||
col.loss_in_series = loss_in_series
|
||||
|
||||
def calculate(self, col, stats, positions):
|
||||
self._calc_trade_series(col, positions)
|
||||
|
||||
col.total_trades = len(positions)
|
||||
|
||||
profit_abs = stats[np.flatnonzero(stats.abs)].abs
|
||||
profit_perc = stats[np.flatnonzero(stats.perc)].perc
|
||||
bars = stats[np.flatnonzero(stats.bars)].bars
|
||||
on_bar = stats[np.flatnonzero(stats.on_bar)].on_bar
|
||||
|
||||
gt_zero_abs = stats[stats.abs > 0].abs
|
||||
gt_zero_perc = stats[stats.perc > 0].perc
|
||||
win_bars = stats[stats.perc > 0].bars
|
||||
|
||||
lt_zero_abs = stats[stats.abs < 0].abs
|
||||
lt_zero_perc = stats[stats.perc < 0].perc
|
||||
los_bars = stats[stats.perc < 0].bars
|
||||
|
||||
col.average_profit_abs = np.mean(profit_abs) if profit_abs.size else 0
|
||||
col.average_profit_perc = (
|
||||
np.mean(profit_perc) if profit_perc.size else 0
|
||||
)
|
||||
col.bars_on_trade = np.mean(bars) if bars.size else 0
|
||||
col.bar_profit = np.mean(on_bar) if on_bar.size else 0
|
||||
|
||||
col.win_average_profit_abs = (
|
||||
np.mean(gt_zero_abs) if gt_zero_abs.size else 0
|
||||
)
|
||||
col.win_average_profit_perc = (
|
||||
np.mean(gt_zero_perc) if gt_zero_perc.size else 0
|
||||
)
|
||||
col.win_bars_on_trade = np.mean(win_bars) if win_bars.size else 0
|
||||
|
||||
col.loss_average_profit_abs = (
|
||||
np.mean(lt_zero_abs) if lt_zero_abs.size else 0
|
||||
)
|
||||
col.loss_average_profit_perc = (
|
||||
np.mean(lt_zero_perc) if lt_zero_perc.size else 0
|
||||
)
|
||||
col.loss_bars_on_trade = np.mean(los_bars) if los_bars.size else 0
|
||||
|
||||
col.win_trades_abs = len(gt_zero_abs)
|
||||
col.win_trades_perc = (
|
||||
round(col.win_trades_abs / col.total_trades * 100, 2)
|
||||
if col.total_trades
|
||||
else 0
|
||||
)
|
||||
|
||||
col.loss_trades_abs = len(lt_zero_abs)
|
||||
col.loss_trades_perc = (
|
||||
round(col.loss_trades_abs / col.total_trades * 100, 2)
|
||||
if col.total_trades
|
||||
else 0
|
||||
)
|
||||
|
||||
col.total_profit = np.sum(gt_zero_abs)
|
||||
col.total_loss = np.sum(lt_zero_abs)
|
||||
col.net_profit_abs = np.sum(stats.abs)
|
||||
col.net_profit_perc = np.sum(stats.perc)
|
||||
col.total_mae = np.sum(stats.mae)
|
||||
col.total_mfe = np.sum(stats.mfe)
|
||||
|
||||
# https://financial-calculators.com/roi-calculator
|
||||
|
||||
days = (
|
||||
(
|
||||
fromtimestamp(positions[-1].close_time)
|
||||
- fromtimestamp(positions[0].open_time)
|
||||
).days
|
||||
if positions
|
||||
else 1
|
||||
)
|
||||
gain_factor = (
|
||||
col.net_profit_abs + col.initial_balance
|
||||
) / col.initial_balance
|
||||
col.year_profit = (gain_factor ** (365 / days) - 1) * 100
|
||||
col.month_profit = (gain_factor ** (365 / days / 12) - 1) * 100
|
||||
|
||||
col.max_profit_abs = stats.abs.max()
|
||||
col.max_profit_perc = stats.perc.max()
|
||||
col.max_profit_abs_day = fromtimestamp(
|
||||
stats.close_time[stats.abs == col.max_profit_abs][0]
|
||||
)
|
||||
col.max_profit_perc_day = fromtimestamp(
|
||||
stats.close_time[stats.perc == col.max_profit_perc][0]
|
||||
)
|
||||
|
||||
col.max_drawdown_abs = stats.abs.min()
|
||||
col.max_drawdown_perc = stats.perc.min()
|
||||
col.max_drawdown_abs_day = fromtimestamp(
|
||||
stats.close_time[stats.abs == col.max_drawdown_abs][0]
|
||||
)
|
||||
col.max_drawdown_perc_day = fromtimestamp(
|
||||
stats.close_time[stats.perc == col.max_drawdown_perc][0]
|
||||
)
|
||||
|
||||
col.profit_factor = (
|
||||
abs(col.total_profit / col.total_loss) if col.total_loss else 0
|
||||
)
|
||||
col.recovery_factor = (
|
||||
abs(col.net_profit_abs / col.max_drawdown_abs)
|
||||
if col.max_drawdown_abs
|
||||
else 0
|
||||
)
|
||||
col.payoff_ratio = (
|
||||
abs(col.win_average_profit_abs / col.loss_average_profit_abs)
|
||||
if col.loss_average_profit_abs
|
||||
else 0
|
||||
)
|
||||
col.sharpe_ratio = annualized_sharpe_ratio(stats)
|
||||
col.sortino_ratio = annualized_sortino_ratio(stats)
|
||||
|
||||
# TODO:
|
||||
col.alpha_ratio = np.nan
|
||||
col.beta_ratio = np.nan
|
||||
|
||||
|
||||
def day_percentage_returns(stats):
|
||||
days = defaultdict(float)
|
||||
trade_count = np.count_nonzero(stats)
|
||||
|
||||
if trade_count == 1:
|
||||
# market position, so returns should based on quotes
|
||||
# calculate percentage changes on a list of quotes
|
||||
changes = np.diff(Quotes.close) / Quotes[:-1].close * 100
|
||||
data = np.column_stack((Quotes[1:].time, changes)) # np.c_
|
||||
else:
|
||||
# slice `:trade_count` to exclude zero values in long/short columns
|
||||
data = stats[['close_time', 'perc']][:trade_count]
|
||||
|
||||
# FIXME: [FutureWarning] https://github.com/numpy/numpy/issues/8383
|
||||
for close_time, perc in data:
|
||||
days[fromtimestamp(close_time).date()] += perc
|
||||
returns = np.array(list(days.values()))
|
||||
|
||||
# if np.count_nonzero(stats) == 1:
|
||||
# import pudb; pudb.set_trace()
|
||||
if len(returns) >= ANNUAL_PERIOD:
|
||||
return returns
|
||||
|
||||
_returns = np.zeros(ANNUAL_PERIOD)
|
||||
_returns[: len(returns)] = returns
|
||||
return _returns
|
||||
|
||||
|
||||
def annualized_sharpe_ratio(stats):
|
||||
# risk_free = 0
|
||||
returns = day_percentage_returns(stats)
|
||||
return np.sqrt(ANNUAL_PERIOD) * np.mean(returns) / np.std(returns)
|
||||
|
||||
|
||||
def annualized_sortino_ratio(stats):
|
||||
# http://www.cmegroup.com/education/files/sortino-a-sharper-ratio.pdf
|
||||
required_return = 0
|
||||
returns = day_percentage_returns(stats)
|
||||
mask = [returns < required_return]
|
||||
tdd = np.zeros(len(returns))
|
||||
tdd[mask] = returns[mask] # keep only negative values and zeros
|
||||
# "or 1" to prevent division by zero, if we don't have negative returns
|
||||
tdd = np.sqrt(np.mean(np.square(tdd))) or 1
|
||||
return np.sqrt(ANNUAL_PERIOD) * np.mean(returns) / tdd
|
||||
|
|
@ -0,0 +1,410 @@
|
|||
"""Portfolio."""
|
||||
|
||||
import itertools
|
||||
from contextlib import contextmanager
|
||||
from enum import Enum, auto
|
||||
|
||||
import numpy as np
|
||||
|
||||
from .base import Quotes
|
||||
from .performance import BriefPerformance, Performance, Stats
|
||||
from .utils import fromtimestamp, timeit
|
||||
|
||||
__all__ = ('Portfolio', 'Position', 'Order')
|
||||
|
||||
|
||||
class BasePortfolio:
|
||||
def __init__(self, balance=100_000, leverage=5):
|
||||
self._initial_balance = balance
|
||||
self.balance = balance
|
||||
self.equity = None
|
||||
# TODO:
|
||||
# self.cash
|
||||
# self.currency
|
||||
self.leverage = leverage
|
||||
self.positions = []
|
||||
|
||||
self.balance_curve = None
|
||||
self.equity_curve = None
|
||||
self.long_curve = None
|
||||
self.short_curve = None
|
||||
self.mae_curve = None
|
||||
self.mfe_curve = None
|
||||
|
||||
self.stats = None
|
||||
self.performance = None
|
||||
self.brief_performance = None
|
||||
|
||||
def clear(self):
|
||||
self.positions.clear()
|
||||
self.balance = self._initial_balance
|
||||
|
||||
@property
|
||||
def initial_balance(self):
|
||||
return self._initial_balance
|
||||
|
||||
@initial_balance.setter
|
||||
def initial_balance(self, value):
|
||||
self._initial_balance = value
|
||||
|
||||
def add_position(self, position):
|
||||
position.ticket = len(self.positions) + 1
|
||||
self.positions.append(position)
|
||||
|
||||
def position_count(self, tp=None):
|
||||
if tp == Order.BUY:
|
||||
return len([p for p in self.positions if p.type == Order.BUY])
|
||||
elif tp == Order.SELL:
|
||||
return len([p for p in self.positions if p.type == Order.SELL])
|
||||
return len(self.positions)
|
||||
|
||||
def _close_open_positions(self):
|
||||
for p in self.positions:
|
||||
if p.status == Position.OPEN:
|
||||
p.close(
|
||||
price=Quotes[-1].open, volume=p.volume, time=Quotes[-1].time
|
||||
)
|
||||
|
||||
def _get_market_position(self):
|
||||
p = self.positions[0] # real postions
|
||||
p = Position(
|
||||
symbol=p.symbol,
|
||||
ptype=Order.BUY,
|
||||
volume=p.volume,
|
||||
price=Quotes[0].open,
|
||||
open_time=Quotes[0].time,
|
||||
close_price=Quotes[-1].close,
|
||||
close_time=Quotes[-1].time,
|
||||
id_bar_close=len(Quotes) - 1,
|
||||
status=Position.CLOSED,
|
||||
)
|
||||
p.profit = p.calc_profit(close_price=Quotes[-1].close)
|
||||
p.profit_perc = p.profit / self._initial_balance * 100
|
||||
return p
|
||||
|
||||
def _calc_equity_curve(self):
|
||||
"""Equity curve."""
|
||||
self.equity_curve = np.zeros_like(Quotes.time)
|
||||
for i, p in enumerate(self.positions):
|
||||
balance = np.sum(self.stats['All'][:i].abs)
|
||||
for ibar in range(p.id_bar_open, p.id_bar_close):
|
||||
profit = p.calc_profit(close_price=Quotes[ibar].close)
|
||||
self.equity_curve[ibar] = balance + profit
|
||||
# taking into account the real balance after the last trade
|
||||
self.equity_curve[-1] = self.balance_curve[-1]
|
||||
|
||||
def _calc_buy_and_hold_curve(self):
|
||||
"""Buy and Hold."""
|
||||
p = self._get_market_position()
|
||||
self.buy_and_hold_curve = np.array(
|
||||
[p.calc_profit(close_price=price) for price in Quotes.close]
|
||||
)
|
||||
|
||||
def _calc_long_short_curves(self):
|
||||
"""Only Long/Short positions curve."""
|
||||
self.long_curve = np.zeros_like(Quotes.time)
|
||||
self.short_curve = np.zeros_like(Quotes.time)
|
||||
|
||||
for i, p in enumerate(self.positions):
|
||||
if p.type == Order.BUY:
|
||||
name = 'Long'
|
||||
curve = self.long_curve
|
||||
else:
|
||||
name = 'Short'
|
||||
curve = self.short_curve
|
||||
balance = np.sum(self.stats[name][:i].abs)
|
||||
# Calculate equity for this position
|
||||
for ibar in range(p.id_bar_open, p.id_bar_close):
|
||||
profit = p.calc_profit(close_price=Quotes[ibar].close)
|
||||
curve[ibar] = balance + profit
|
||||
|
||||
for name, curve in [
|
||||
('Long', self.long_curve),
|
||||
('Short', self.short_curve),
|
||||
]:
|
||||
curve[:] = fill_zeros_with_last(curve)
|
||||
# taking into account the real balance after the last trade
|
||||
curve[-1] = np.sum(self.stats[name].abs)
|
||||
|
||||
def _calc_curves(self):
|
||||
self.mae_curve = np.cumsum(self.stats['All'].mae)
|
||||
self.mfe_curve = np.cumsum(self.stats['All'].mfe)
|
||||
self.balance_curve = np.cumsum(self.stats['All'].abs)
|
||||
self._calc_equity_curve()
|
||||
self._calc_buy_and_hold_curve()
|
||||
self._calc_long_short_curves()
|
||||
|
||||
@contextmanager
|
||||
def optimization_mode(self):
|
||||
"""Backup and restore current balance and positions."""
|
||||
# mode='general',
|
||||
self.backup_balance = self.balance
|
||||
self.backup_positions = self.positions.copy()
|
||||
self.balance = self._initial_balance
|
||||
self.positions.clear()
|
||||
yield
|
||||
self.balance = self.backup_balance
|
||||
self.positions = self.backup_positions.copy()
|
||||
self.backup_positions.clear()
|
||||
|
||||
@timeit
|
||||
def run_optimization(self, strategy, params):
|
||||
keys = list(params.keys())
|
||||
vals = list(params.values())
|
||||
variants = list(itertools.product(*vals))
|
||||
self.brief_performance = BriefPerformance(shape=(len(variants),))
|
||||
with self.optimization_mode():
|
||||
for i, vals in enumerate(variants):
|
||||
kwargs = {keys[n]: val for n, val in enumerate(vals)}
|
||||
strategy.start(**kwargs)
|
||||
self._close_open_positions()
|
||||
self.brief_performance.add(
|
||||
self._initial_balance, self.positions, i, kwargs
|
||||
)
|
||||
self.clear()
|
||||
|
||||
@timeit
|
||||
def summarize(self):
|
||||
self._close_open_positions()
|
||||
positions = {
|
||||
'All': self.positions,
|
||||
'Long': [p for p in self.positions if p.type == Order.BUY],
|
||||
'Short': [p for p in self.positions if p.type == Order.SELL],
|
||||
'Market': [self._get_market_position()],
|
||||
}
|
||||
self.stats = Stats(positions)
|
||||
self.performance = Performance(
|
||||
self._initial_balance, self.stats, positions
|
||||
)
|
||||
self._calc_curves()
|
||||
|
||||
|
||||
Portfolio = BasePortfolio()
|
||||
|
||||
|
||||
class PositionStatus(Enum):
|
||||
OPEN = auto()
|
||||
CLOSED = auto()
|
||||
CANCELED = auto()
|
||||
|
||||
|
||||
class Position:
|
||||
|
||||
OPEN = PositionStatus.OPEN
|
||||
CLOSED = PositionStatus.CLOSED
|
||||
CANCELED = PositionStatus.CANCELED
|
||||
|
||||
__slots__ = (
|
||||
'type',
|
||||
'symbol',
|
||||
'ticket',
|
||||
'open_price',
|
||||
'close_price',
|
||||
'open_time',
|
||||
'close_time',
|
||||
'volume',
|
||||
'sl',
|
||||
'tp',
|
||||
'status',
|
||||
'profit',
|
||||
'profit_perc',
|
||||
'commis',
|
||||
'id_bar_open',
|
||||
'id_bar_close',
|
||||
'entry_name',
|
||||
'exit_name',
|
||||
'total_profit',
|
||||
'comment',
|
||||
)
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
symbol,
|
||||
ptype,
|
||||
price,
|
||||
volume,
|
||||
open_time,
|
||||
sl=None,
|
||||
tp=None,
|
||||
status=OPEN,
|
||||
entry_name='',
|
||||
exit_name='',
|
||||
comment='',
|
||||
**kwargs,
|
||||
):
|
||||
self.type = ptype
|
||||
self.symbol = symbol
|
||||
self.ticket = None
|
||||
self.open_price = price
|
||||
self.close_price = None
|
||||
self.open_time = open_time
|
||||
self.close_time = None
|
||||
self.volume = volume
|
||||
self.sl = sl
|
||||
self.tp = tp
|
||||
self.status = status
|
||||
self.profit = None
|
||||
self.profit_perc = None
|
||||
self.commis = None
|
||||
self.id_bar_open = np.where(Quotes.time == self.open_time)[0][0]
|
||||
self.id_bar_close = None
|
||||
self.entry_name = entry_name
|
||||
self.exit_name = exit_name
|
||||
self.total_profit = 0
|
||||
self.comment = comment
|
||||
# self.bars_on_trade = None
|
||||
# self.is_profitable = False
|
||||
|
||||
for k, v in kwargs.items():
|
||||
setattr(self, k, v)
|
||||
|
||||
def __repr__(self):
|
||||
_type = 'LONG' if self.type == Order.BUY else 'SHORT'
|
||||
time = fromtimestamp(self.open_time).strftime('%d.%m.%y %H:%M')
|
||||
return '%s/%s/[%s - %.4f]' % (
|
||||
self.status.name,
|
||||
_type,
|
||||
time,
|
||||
self.open_price,
|
||||
)
|
||||
|
||||
def close(self, price, time, volume=None):
|
||||
# TODO: allow closing only part of the volume
|
||||
self.close_price = price
|
||||
self.close_time = time
|
||||
self.id_bar_close = np.where(Quotes.time == self.close_time)[0][0]
|
||||
self.profit = self.calc_profit(volume=volume or self.volume)
|
||||
self.profit_perc = self.profit / Portfolio.balance * 100
|
||||
|
||||
Portfolio.balance += self.profit
|
||||
|
||||
self.total_profit = Portfolio.balance - Portfolio.initial_balance
|
||||
self.status = self.CLOSED
|
||||
|
||||
def calc_profit(self, volume=None, close_price=None):
|
||||
# TODO: rewrite it
|
||||
close_price = close_price or self.close_price
|
||||
volume = volume or self.volume
|
||||
factor = 1 if self.type == Order.BUY else -1
|
||||
price_delta = (close_price - self.open_price) * factor
|
||||
if self.symbol.mode in [self.symbol.FOREX, self.symbol.CFD]:
|
||||
# Margin: Lots*Contract_Size/Leverage
|
||||
if (
|
||||
self.symbol.mode == self.symbol.FOREX
|
||||
and self.symbol.ticker[:3] == 'USD'
|
||||
):
|
||||
# Example: 'USD/JPY'
|
||||
# Прибыль Размер Объем Текущий
|
||||
# в пунктах пункта позиции курс
|
||||
# 1 * 0.0001 * 100000 / 1.00770
|
||||
# USD/CHF: 1*0.0001*100000/1.00770 = $9.92
|
||||
# 0.01
|
||||
# USD/JPY: 1*0.01*100000/121.35 = $8.24
|
||||
# (1.00770-1.00595)/0.0001 = 17.5 пунктов
|
||||
# (1.00770-1.00595)/0.0001*0.0001*100000*1/1.00770*1
|
||||
_points = price_delta / self.symbol.tick_size
|
||||
_profit = (
|
||||
_points
|
||||
* self.symbol.tick_size
|
||||
* self.symbol.contract_size
|
||||
/ close_price
|
||||
* volume
|
||||
)
|
||||
elif (
|
||||
self.symbol.mode == self.symbol.FOREX
|
||||
and self.symbol.ticker[-3:] == 'USD'
|
||||
):
|
||||
# Example: 'EUR/USD'
|
||||
# Profit: (close_price-open_price)*Contract_Size*Lots
|
||||
# EUR/USD BUY: (1.05875-1.05850)*100000*1 = +$25 (без комиссии)
|
||||
_profit = price_delta * self.symbol.contract_size * volume
|
||||
else:
|
||||
# Cross rates. Example: 'GBP/CHF'
|
||||
# Цена пункта =
|
||||
# объем поз.*размер п.*тек.курс баз.вал. к USD/тек. кросс-курс
|
||||
# GBP/CHF: 100000*0.0001*1.48140/1.48985 = $9.94
|
||||
# TODO: temporary patch (same as the previous choice) -
|
||||
# in the future connect to some quotes provider and get rates
|
||||
_profit = price_delta * self.symbol.contract_size * volume
|
||||
elif self.symbol.mode == self.symbol.FUTURES:
|
||||
# Margin: Lots *InitialMargin*Percentage/100
|
||||
# Profit: (close_price-open_price)*TickPrice/TickSize*Lots
|
||||
# CL BUY: (46.35-46.30)*10/0.01*1 = $50 (без учета комиссии!)
|
||||
# EuroFX(6E) BUY:(1.05875-1.05850)*12.50/0.0001*1 =$31.25 (без ком)
|
||||
# RTS (RIH5) BUY:(84510-84500)*12.26506/10*1 = @12.26506 (без ком)
|
||||
# E-miniSP500 BUY:(2065.95-2065.25)*12.50/0.25 = $35 (без ком)
|
||||
# http://americanclearing.ru/specifications.php
|
||||
# http://www.moex.com/ru/contract.aspx?code=RTS-3.18
|
||||
# http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html
|
||||
_profit = (
|
||||
price_delta
|
||||
* self.symbol.tick_value
|
||||
/ self.symbol.tick_size
|
||||
* volume
|
||||
)
|
||||
else:
|
||||
# shares
|
||||
_profit = price_delta * volume
|
||||
|
||||
return _profit
|
||||
|
||||
def calc_mae(self, low, high):
|
||||
"""Return [MAE] Maximum Adverse Excursion."""
|
||||
if self.type == Order.BUY:
|
||||
return self.calc_profit(close_price=low)
|
||||
return self.calc_profit(close_price=high)
|
||||
|
||||
def calc_mfe(self, low, high):
|
||||
"""Return [MFE] Maximum Favorable Excursion."""
|
||||
if self.type == Order.BUY:
|
||||
return self.calc_profit(close_price=high)
|
||||
return self.calc_profit(close_price=low)
|
||||
|
||||
|
||||
class OrderType(Enum):
|
||||
BUY = auto()
|
||||
SELL = auto()
|
||||
BUY_LIMIT = auto()
|
||||
SELL_LIMIT = auto()
|
||||
BUY_STOP = auto()
|
||||
SELL_STOP = auto()
|
||||
|
||||
|
||||
class Order:
|
||||
|
||||
BUY = OrderType.BUY
|
||||
SELL = OrderType.SELL
|
||||
BUY_LIMIT = OrderType.BUY_LIMIT
|
||||
SELL_LIMIT = OrderType.SELL_LIMIT
|
||||
BUY_STOP = OrderType.BUY_STOP
|
||||
SELL_STOP = OrderType.SELL_STOP
|
||||
|
||||
@staticmethod
|
||||
def open(symbol, otype, price, volume, time, sl=None, tp=None):
|
||||
# TODO: add margin calculation
|
||||
# and if the margin is not enough - do not open the position
|
||||
position = Position(
|
||||
symbol=symbol,
|
||||
ptype=otype,
|
||||
price=price,
|
||||
volume=volume,
|
||||
open_time=time,
|
||||
sl=sl,
|
||||
tp=tp,
|
||||
)
|
||||
Portfolio.add_position(position)
|
||||
return position
|
||||
|
||||
@staticmethod
|
||||
def close(position, price, time, volume=None):
|
||||
# FIXME: may be closed not the whole volume, but
|
||||
# the position status will be changed to CLOSED
|
||||
position.close(price=price, time=time, volume=volume)
|
||||
|
||||
|
||||
def fill_zeros_with_last(arr):
|
||||
"""Fill empty(zero) elements (between positions)."""
|
||||
index = np.arange(len(arr))
|
||||
index[arr == 0] = 0
|
||||
index = np.maximum.accumulate(index)
|
||||
return arr[index]
|
||||
|
|
@ -0,0 +1,82 @@
|
|||
"""Utils."""
|
||||
|
||||
import importlib.util
|
||||
import inspect
|
||||
import logging
|
||||
import os
|
||||
import os.path
|
||||
import sys
|
||||
import time
|
||||
from datetime import datetime
|
||||
from functools import wraps
|
||||
|
||||
from PyQt5 import QtCore
|
||||
|
||||
__all__ = (
|
||||
'BASE_DIR',
|
||||
'Settings',
|
||||
'timeit',
|
||||
'fromtimestamp',
|
||||
'get_data_path',
|
||||
'get_resource_path',
|
||||
'strategies_from_file',
|
||||
)
|
||||
|
||||
|
||||
BASE_DIR = os.path.dirname(os.path.dirname(os.path.abspath(__file__)))
|
||||
|
||||
|
||||
def get_data_path(path=''):
|
||||
data_path = QtCore.QStandardPaths.writableLocation(
|
||||
QtCore.QStandardPaths.AppDataLocation
|
||||
)
|
||||
data_path = os.path.join(data_path, path)
|
||||
os.makedirs(data_path, mode=0o755, exist_ok=True)
|
||||
return data_path
|
||||
|
||||
|
||||
def get_resource_path(relative_path):
|
||||
# PyInstaller creates a temp folder and stores path in _MEIPASS
|
||||
base_path = getattr(sys, '_MEIPASS', BASE_DIR)
|
||||
return os.path.join(base_path, relative_path)
|
||||
|
||||
|
||||
config_path = os.path.join(get_data_path(), 'Quantdom', 'config.ini')
|
||||
Settings = QtCore.QSettings(config_path, QtCore.QSettings.IniFormat)
|
||||
|
||||
|
||||
def timeit(fn):
|
||||
@wraps(fn)
|
||||
def wrapper(*args, **kwargs):
|
||||
t = time.time()
|
||||
res = fn(*args, **kwargs)
|
||||
logger = logging.getLogger('runtime')
|
||||
logger.debug(
|
||||
'%s.%s: %.4f sec'
|
||||
% (fn.__module__, fn.__qualname__, time.time() - t)
|
||||
)
|
||||
return res
|
||||
|
||||
return wrapper
|
||||
|
||||
|
||||
def fromtimestamp(timestamp):
|
||||
if timestamp == 0:
|
||||
# on Win zero timestamp cause error
|
||||
return datetime(1970, 1, 1)
|
||||
return datetime.fromtimestamp(timestamp)
|
||||
|
||||
|
||||
def strategies_from_file(filepath):
|
||||
from .strategy import AbstractStrategy
|
||||
|
||||
spec = importlib.util.spec_from_file_location('Strategy', filepath)
|
||||
module = importlib.util.module_from_spec(spec)
|
||||
spec.loader.exec_module(module)
|
||||
|
||||
is_strategy = lambda _class: ( # noqa:E731
|
||||
inspect.isclass(_class)
|
||||
and issubclass(_class, AbstractStrategy)
|
||||
and _class.__name__ != 'AbstractStrategy'
|
||||
)
|
||||
return [_class for _, _class in inspect.getmembers(module, is_strategy)]
|
||||
Loading…
Reference in New Issue