def get_test_data(interval):
mongo = _mongo()
redis = _redis()
# redis.lpush('testing_date')
# price_data = redis.get_list('testing_data')
# print(len(price_data))
# if len(price_data) == 0:
# price_data = mongo.get_testing_price_data()
# price_data = list(map(lambda p: Price.from_origin(p).to_dict(), price_data))
# [redis.lpush('testing_data', Price.from_dict(p).to_json()) for p in price_data]
# else:
# price_data = map(lambda p: Price.from_json(p).to_dict(), price_data)
price_data = mongo.get_testing_price_data()
price_data = list(map(lambda p: Price.from_origin(p).to_dict(),
price_data))
print(price_data[0])
df = pd.DataFrame(price_data)
df['time'] = pd.to_datetime(df['time'])
df = df.set_index('time')
df_resampled = df['ask'].resample(interval).ohlc()
df_resampled['date'] = df_resampled.index.to_series()
df_resampled['volume'] = 0
# df_bid = df['bid'].resample(interval).ohlc()
# df_resampled = pd.concat([df_ask, df_bid], axis=1, keys=['ask', 'bid'])
df_resampled.fillna(method='ffill', inplace=True)
# print(df_resampled.tail())
df_resampled = df_resampled.reset_index(drop=True)
# del df_resampled['time']
# x = df_resampled[['date', 'open', 'high', 'low', 'close', 'volume']]
print("interval", interval, "len", len(df_resampled))
return df_resampled
def get_testing_data(interval):
mongo = _mongo()
redis = _redis()
# redis.lpush('testing_date')
price_data = redis.get_list('testing_data')
print(len(price_data))
if len(price_data) == 0:
price_data = mongo.get_testing_price_data()
price_data = list(
map(lambda p: Price.from_origin(p).to_dict(), price_data))
[
redis.lpush('testing_data',
Price.from_dict(p).to_json()) for p in price_data
]
else:
price_data = map(lambda p: Price.from_json(p).to_dict(), price_data)
df = pd.DataFrame(price_data)
df['time'] = pd.to_datetime(df['time'])
df = df.set_index('time')
df_resampled = df['ask'].resample(interval).ohlc()
# df_bid = df['bid'].resample(interval).ohlc()
# df_resampled = pd.concat([df_ask, df_bid], axis=1, keys=['ask', 'bid'])
df_resampled.fillna(method='ffill', inplace=True)
# print(df_resampled.tail())
print("interval", interval, "len", len(df_resampled.index))
return df_resampled
import pandas as pd
import sys
from Trader import Trader
from Types import Price
from Types import PreOrder
from Constants import env
from Constants import trd
from Stategy.DefaultScalp import get_trade
from _rabbit import _rabbit
from _redis import _redis
from _time import _time
module_name = "TradeMaker"
rabbit = _rabbit()
redis = _redis()
# trader = Trader(*Trader.get_dependencies())
trader = Trader(*Trader.get_dependencies_bt())
price_list = []
def callback(ch, method, properties, body):
# start timer.
t0 = _time.time()
# trading configurables.
position_size, take_profit_pips, stop_loss_pips, time_in_force = 50, 0.0001, 0.0005, "GTC"
price = Price.from_json(body)
print(module_name, price.time, price.instrument, price.ask, price.bid)