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Merge pull request #116 from Trading-Bot/master - Version 0.0.9-alpha
[Alpha Version] Version 0.0.9-alpha
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| Original file line number | Diff line number | Diff line change |
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@@ -104,7 +104,7 @@ ENV/ | |
| .mypy_cache/ | ||
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| # config | ||
| config.json | ||
| config/config.json | ||
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| # modules | ||
| /.gitmodules | ||
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| Original file line number | Diff line number | Diff line change |
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| @@ -1,7 +1,17 @@ | ||
| from config.cst import CONFIG_BACKTESTING, CONFIG_ENABLED_OPTION | ||
| import time | ||
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| from config.cst import * | ||
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| class Backtesting: | ||
| def __init__(self, config): | ||
| self.config = config | ||
| self.begin_time = time.time() | ||
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| def end(self): | ||
| # TODO : temp | ||
| raise Exception("End of simulation in {0} sec".format(time.time() - self.begin_time)) | ||
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| @staticmethod | ||
| def enabled(config): | ||
| return CONFIG_BACKTESTING in config and config[CONFIG_BACKTESTING][CONFIG_ENABLED_OPTION] |
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| Original file line number | Diff line number | Diff line change |
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| @@ -1,7 +1,166 @@ | ||
| import random | ||
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| from backtesting.backtesting import Backtesting | ||
| from backtesting.collector.data_collector import DataCollectorParser | ||
| from config.cst import * | ||
| from trading import Exchange | ||
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| class ExchangeSimulator(Exchange): | ||
| def __init__(self, config, exchange_type): | ||
| super().__init__(config, exchange_type) | ||
| super().__init__(config, exchange_type, connect=False) | ||
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| if CONFIG_BACKTESTING not in self.config: | ||
| raise Exception("Backtesting config not found") | ||
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| if CONFIG_DATA_COLLECTOR not in self.config: | ||
| raise Exception("Data collector config not found") | ||
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| self.data = DataCollectorParser.parse(self.config[CONFIG_BACKTESTING][CONFIG_BACKTESTING_DATA_FILE]) | ||
| self.backtesting = Backtesting(config) | ||
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| # todo temp | ||
| self.symbol = self.config[CONFIG_DATA_COLLECTOR][CONFIG_SYMBOL] | ||
| self.config_time_frames = self.get_config_time_frame(config) | ||
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| self.time_frame_get_times = {} | ||
| self.tickers = {} | ||
| self.fetched_trades = {} | ||
| self.fetched_trades_counter = {} | ||
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| self.DEFAULT_LIMIT = 100 | ||
| self.MIN_LIMIT = 20 | ||
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| self.MIN_TIME_FRAME_ENABLED = self.find_config_min_time_frame() | ||
| self.DEFAULT_TIME_FRAME_RECENT_TRADE_CREATOR = self.MIN_TIME_FRAME_ENABLED | ||
| self.CREATED_TRADES_BY_TIME_FRAME = 10 | ||
| self.DEFAULT_TIME_FRAME_TICKERS_CREATOR = self.MIN_TIME_FRAME_ENABLED | ||
| self.CREATED_TICKER_BY_TIME_FRAME = 1 | ||
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| self.prepare() | ||
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| def prepare(self): | ||
| # create symbol tickers | ||
| self.tickers[self.symbol] = self.create_tickers() | ||
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| # create symbol last trades | ||
| self.fetched_trades[self.symbol] = self.create_recent_trades() | ||
| self.fetched_trades_counter[self.symbol] = 0 | ||
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| # create get times | ||
| for time_frame in TimeFrames: | ||
| self.time_frame_get_times[time_frame.value] = 0 | ||
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| def should_update_data(self, time_frame): | ||
| previous_time_frame = self.get_previous_time_frame(time_frame, time_frame) | ||
| previous_time_frame_sec = TimeFramesMinutes[previous_time_frame] | ||
| previous_time_frame_updated_times = self.time_frame_get_times[previous_time_frame.value] | ||
| current_time_frame_sec = TimeFramesMinutes[time_frame] | ||
| current_time_frame_updated_times = self.time_frame_get_times[time_frame.value] | ||
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| if previous_time_frame_updated_times - ( | ||
| current_time_frame_updated_times * (current_time_frame_sec / previous_time_frame_sec)) >= 0: | ||
| return True | ||
| else: | ||
| return False | ||
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| def should_update_recent_trades(self, symbol): | ||
| if symbol in self.fetched_trades_counter: | ||
| if self.fetched_trades_counter[symbol] < self.time_frame_get_times[self.MIN_TIME_FRAME_ENABLED.value]: | ||
| self.fetched_trades_counter[symbol] += 1 | ||
| return True | ||
| return False | ||
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| def get_previous_time_frame(self, time_frame, origin_time_frame): | ||
| current_time_frame_index = TimeFramesRank.index(time_frame) | ||
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| if current_time_frame_index > 0: | ||
| previous = TimeFramesRank[current_time_frame_index - 1] | ||
| if previous in self.config_time_frames: | ||
| return previous | ||
| else: | ||
| return self.get_previous_time_frame(previous, origin_time_frame) | ||
| else: | ||
| if time_frame in self.config_time_frames: | ||
| return time_frame | ||
| else: | ||
| return origin_time_frame | ||
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| def find_config_min_time_frame(self): | ||
| for tf in TimeFramesRank: | ||
| if tf in self.config_time_frames: | ||
| try: | ||
| return TimeFrames(tf) | ||
| except ValueError: | ||
| pass | ||
| return TimeFrames.ONE_MINUTE | ||
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| def get_symbol_prices(self, symbol, time_frame, limit=None, data_frame=True): | ||
| result = self.extract_data_with_limit(time_frame) | ||
| self.time_frame_get_times[time_frame.value] += 1 | ||
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| if data_frame: | ||
| return self.candles_array_to_data_frame(result) | ||
| else: | ||
| return result | ||
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| # Will use the One Minute time frame | ||
| def create_tickers(self): | ||
| full = self.data[self.DEFAULT_TIME_FRAME_TICKERS_CREATOR.value] | ||
| created_tickers = [] | ||
| for tf in full: | ||
| max_price = max(tf[PriceIndexes.IND_PRICE_OPEN.value], tf[PriceIndexes.IND_PRICE_CLOSE.value]) | ||
| min_price = min(tf[PriceIndexes.IND_PRICE_OPEN.value], tf[PriceIndexes.IND_PRICE_CLOSE.value]) | ||
| for i in range(0, self.CREATED_TICKER_BY_TIME_FRAME): | ||
| created_tickers.append(random.uniform(min_price, max_price)) | ||
| return created_tickers | ||
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| def create_recent_trades(self): | ||
| full = self.data[self.DEFAULT_TIME_FRAME_RECENT_TRADE_CREATOR.value] | ||
| created_trades = [] | ||
| for tf in full: | ||
| max_price = max(tf[PriceIndexes.IND_PRICE_OPEN.value], tf[PriceIndexes.IND_PRICE_CLOSE.value]) | ||
| min_price = min(tf[PriceIndexes.IND_PRICE_OPEN.value], tf[PriceIndexes.IND_PRICE_CLOSE.value]) | ||
| for i in range(0, self.CREATED_TRADES_BY_TIME_FRAME): | ||
| created_trades.append( | ||
| { | ||
| "price": random.uniform(min_price, max_price) | ||
| } | ||
| ) | ||
| return created_trades | ||
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| def extract_indexes(self, array, index, factor=1, max_value=None): | ||
| max_limit = len(array) | ||
| index *= factor | ||
| max_count = max_value if max_value is not None else self.DEFAULT_LIMIT | ||
| min_count = max_value if max_value is not None else self.MIN_LIMIT | ||
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| if max_limit - (index + max_count) <= min_count: | ||
| self.backtesting.end() | ||
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| elif index + max_count >= max_limit: | ||
| return array[index::] | ||
| else: | ||
| return array[index:index + max_count] | ||
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| def extract_data_with_limit(self, time_frame): | ||
| return self.extract_indexes(self.data[time_frame.value], self.time_frame_get_times[time_frame.value]) | ||
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| def get_recent_trades(self, symbol): | ||
| return self.extract_indexes(self.fetched_trades[symbol], | ||
| self.time_frame_get_times[ | ||
| self.DEFAULT_TIME_FRAME_RECENT_TRADE_CREATOR.value], | ||
| factor=self.CREATED_TRADES_BY_TIME_FRAME) | ||
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| def get_all_currencies_price_ticker(self): | ||
| return { | ||
| self.symbol: { | ||
| "symbol": self.symbol, | ||
| ExchangeConstantsTickersColumns.LAST.value: | ||
| self.extract_indexes(self.tickers[self.symbol], | ||
| self.time_frame_get_times[ | ||
| self.DEFAULT_TIME_FRAME_TICKERS_CREATOR.value], | ||
| factor=self.CREATED_TICKER_BY_TIME_FRAME, | ||
| max_value=1)[0] | ||
| } | ||
| } |
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