def nullify_frame_stats(self, now):
"""
Save all period_stats to local directory
erase old files from the folder and nullify
self.frame_stats
Parameters
----------
now: Timestamp
Returns
-------
"""
save_algo_object(algo_name=self.algo_namespace,
key=now.floor('1D').strftime('%Y-%m-%d'),
obj=self.frame_stats,
rel_path='frame_stats')
error = remove_old_files(algo_name=self.algo_namespace,
today=now,
rel_path='frame_stats')
if error:
log.warning(error)
self.frame_stats = list()
def handle_data(self, data):
"""
Wrapper around the handle_data method of each algo.
Parameters
----------
data
"""
if not self.is_running:
return
# Resetting the frame stats every day to minimize memory footprint
today = data.current_dt.floor('1D')
if self.current_day is not None and today > self.current_day:
self.frame_stats = list()
self.performance_needs_update = False
new_orders = self.perf_tracker.todays_performance.orders_by_id.keys()
if new_orders != self._last_orders:
self.performance_needs_update = True
self._last_orders = new_orders
if self.performance_needs_update:
self.perf_tracker.update_performance()
self.performance_needs_update = False
if self.portfolio_needs_update:
cash, positions_value = retry(
action=self.synchronize_portfolio,
attempts=self.attempts['synchronize_portfolio_attempts'],
sleeptime=self.attempts['retry_sleeptime'],
retry_exceptions=(ExchangeRequestError, ),
cleanup=lambda: log.warn('Ordering again.'))
self.portfolio_needs_update = False
log.info('got totals from exchanges, cash: {} positions: {}'.format(
cash, positions_value))
if self._handle_data:
self._handle_data(self, data)
# Unlike trading controls which remain constant unless placing an
# order, account controls can change each bar. Thus, must check
# every bar no matter if the algorithm places an order or not.
self.validate_account_controls()
try:
self._save_stats_csv(self._process_stats(data))
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
save_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
obj=self.perf_tracker.cumulative_performance,
)
self.current_day = data.current_dt.floor('1D')
def _process_stats(self, data):
today = data.current_dt.floor('1D')
# Since the clock runs 24/7, I trying to disable the daily
# Performance tracker and keep only minute and cumulative
self.perf_tracker.update_performance()
frame_stats = self.prepare_period_stats(
data.current_dt, data.current_dt + timedelta(minutes=1)
)
# Saving the last hour in memory
self.frame_stats.append(frame_stats)
self.add_pnl_stats(frame_stats)
if self.recorded_vars:
self.add_custom_signals_stats(frame_stats)
recorded_cols = list(self.recorded_vars.keys())
else:
recorded_cols = None
self.add_exposure_stats(frame_stats)
log.info(
'statistics for the last {stats_minutes} minutes:\n'
'{stats}'.format(
stats_minutes=self.stats_minutes,
stats=get_pretty_stats(
stats=self.frame_stats,
recorded_cols=recorded_cols,
num_rows=self.stats_minutes,
)
))
# Saving the daily stats in a format usable for performance
# analysis.
daily_stats = self.prepare_period_stats(
start_dt=today,
end_dt=data.current_dt
)
save_algo_object(
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=daily_stats,
rel_path='daily_perf'
)
return recorded_cols
def _save_algo_state(self, data):
today = data.current_dt.floor('1D')
try:
self._save_stats_csv(self._process_stats(data))
except Exception as e:
log.warn('unable to calculate performance: {}'.format(e))
log.debug('saving cumulative performance object')
save_algo_object(
algo_name=self.algo_namespace,
key='cumulative_performance',
obj=self.perf_tracker.cumulative_performance,
)
log.debug('saving todays performance object')
save_algo_object(
algo_name=self.algo_namespace,
key=today.strftime('%Y-%m-%d'),
obj=self.perf_tracker.todays_performance,
rel_path='daily_performance'
)
