def test_set_pivots_4h(pair, timeframe, id, start, type, SR, SL, TP, entry,
pllen, settings_obj, clean_tmp):
"""
Check that self.pivots class attribute is correctly set using a H4 timeframe
"""
settings_obj.set('pivots', 'th_bounces', '0.01')
t = Trade(id=id,
start=start,
pair=pair,
timeframe=timeframe,
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settings=settings_obj)
c = Counter(trade=t, settings=settings_obj)
c.set_pivots()
assert len(c.pivots.plist) == pllen
def test_set_pivots_lasttime(pair, id, start, type, SR, SL, TP, entry, dates,
clean_tmp):
"""
Check that self.pivots_lasttime class attribute
has been initialized
"""
t = Trade(id=id,
start=start,
pair=pair,
timeframe='D',
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, period=1000, settingf='../../data/settings.ini')
c.set_lasttime()
c.set_pivots()
c.set_pivots_lasttime()
times = []
for p in c.pivots_lasttime.plist:
times.append(p.candle.time)
assert dates == times
def fetch_tradelist(self):
'''
This function will produce a TradeList object
using self.url
Returns
-------
TradeList
'''
trade_list = []
for index, row in self.df.iterrows():
pair = row['id'].split(" ")[0]
args = {
'pair': pair,
'settingf': self.settingf
}
for c in row.keys():
args[c] = row[c]
t = Trade(**args)
trade_list.append(t)
tl = TradeList(settingf=self.settingf,
tlist=trade_list,
ser_data_obj=self.ser_data_obj)
return tl
def test_run_trade_4hrs(pair, start, type, SL, TP, entry, outcome):
'''
This test checks the run_trade method with the 'expires' parameter
'''
td = Trade(start=start,
entry=entry,
SL=SL,
TP=TP,
pair=pair,
type=type,
timeframe="H4",
strat="counter_b2",
id="test",
settingf="../../data/settings.ini")
td.run_trade()
assert td.outcome == outcome
def test_run_trade_wexpire(pair, start, type, SL, TP, entry, entered):
'''
This test checks the run_trade method with the 'expires' parameter
'''
td = Trade(start=start,
entry=entry,
SL=SL,
TP=TP,
pair=pair,
type=type,
timeframe="D",
strat="counter_b2",
id="test",
settingf="../../data/settings.ini")
td.run_trade(expires=2)
assert td.entered == entered
def test_run_trade(pair, start, type, SL, TP, entry, outcome):
'''
This test checks the progression of the Trade
and checks if the outcome attribute is correctly
defined.
'''
td = Trade(start=start,
entry=entry,
SL=SL,
TP=TP,
pair=pair,
type=type,
timeframe="D",
strat="counter_b2",
id="test",
settingf="../../data/settings.ini")
td.run_trade()
assert td.outcome == outcome
def t_object():
'''Returns a Trade object'''
td = Trade(start="2017-04-20 14:00:00",
end="2017-04-26 14:00:00",
entry=0.75308,
TP=0.7594,
SL=0.74889,
pair="AUD/USD",
type="long",
timeframe="H8",
strat="counter_b2",
id="AUD_USD 20APR2017H8",
settingf="../../data/settings.ini")
return td
def ct_object():
'''Returns Counter object'''
t = Trade(id='EUR_GBP_13AUG2019D',
start='2019-08-12 22:00:00',
pair='EUR_GBP',
timeframe='D',
type='short',
SR=0.92909,
SL=0.93298,
TP=0.90366,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, settingf='../../data/settings.ini')
return c
def test_t_object_noTP():
'''Test the instantiation without TP and defined RR'''
td = Trade(start="2017-04-20 14:00:00",
end="2017-04-26 14:00:00",
entry=0.75308,
SL=0.74889,
RR=1.5,
pair="AUD/USD",
type="long",
timeframe="H8",
strat="counter_b2",
id="AUD_USD 20APR2017H8",
settingf="../../data/settings.ini")
# check that td.TP has been calculated
assert td.TP == 0.7594
def test_max_min_rsi(pair, timeframe, id, start, type, SR, SL, TP, entry,
avalue):
t = Trade(id=id,
start=start,
pair=pair,
timeframe=timeframe,
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, settingf='../../data/settings.ini')
assert avalue == c.max_min_rsi()
def test_is_entry_onrsi(pair, id, timeframe, start, type, SR, SL, TP, entry,
entry_onrsi, clean_tmp):
t = Trade(id=id,
start=start,
pair=pair,
timeframe=timeframe,
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, settingf='../../data/settings.ini', init_feats=True)
assert entry_onrsi == c.is_entry_onrsi()
def test_set_pips_c_trend(pair, id, timeframe, start, type, SR, SL, TP, entry,
pips_c_trend, clean_tmp):
t = Trade(id=id,
start=start,
pair=pair,
timeframe=timeframe,
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, settingf='../../data/settings.ini', init_feats=True)
assert pips_c_trend == c.pips_c_trend
def prepare_trade(self, type, SL, ic, harea_sel, delta):
'''
Prepare a Trade object
and check if it is taken
Parameters
----------
type : str,
Type of trade. 'short' or 'long'
SL : float,
Adjusted (by '__get_trade_type') SL price
ic : Candle object
Indecision candle for this trade
harea_sel : HArea of this trade
delta : Timedelta object corresponding to
the time that needs to be increased
Returns
-------
Trade object
'''
startO = ic.time + delta
if type == 'short':
# entry price will be the low of IC
entry_p = getattr(
ic, "low{0}".format(self.settings.get('general', 'bit')))
elif type == 'long':
# entry price will be the high of IC
entry_p = getattr(
ic, "high{0}".format(self.settings.get('general', 'bit')))
startO = ic.time + delta
t = Trade(id='{0}.bot'.format(self.pair),
start=startO.strftime('%Y-%m-%d %H:%M:%S'),
pair=self.pair,
timeframe=self.timeframe,
type=type,
entry=entry_p,
SR=harea_sel.price,
SL=SL,
RR=self.settings.getfloat('trade_bot', 'RR'),
strat='counter',
settingf=self.settingf,
settings=self.settings)
return t
def test_set_trend_i(pair, id, timeframe, start, type, SR, SL, TP, entry,
trend_i, clean_tmp):
t = Trade(id=id,
start=start,
pair=pair,
timeframe=timeframe,
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, settingf='../../data/settings.ini')
c.set_trend_i()
assert trend_i == c.trend_i
def test_ctobject_notype(start, SR, SL, TP, entry, clean_tmp):
"""
Check that Counter object without
a type defined is correctly instantiated
"""
t = Trade(id='test',
start=start,
pair='EUR_AUD',
timeframe='D',
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, period=1000, settingf='../../data/settings.ini')
assert 0
def test_set_lasttime(start, type, SR, SL, TP, entry, lasttime, clean_tmp):
"""
Check that self.lasttime class attribute
has been initialized
"""
t = Trade(id='test',
start=start,
pair='EUR_AUD',
timeframe='D',
type=type,
SR=SR,
SL=SL,
TP=TP,
entry=entry,
strat='counter_b1',
settingf="../../data/settings.ini")
c = Counter(trade=t, period=1000, settingf='../../data/settings.ini')
c.set_lasttime()
assert c.lasttime == lasttime
def calc_SR(self, adateObj):
'''
Function to calculate S/R lines
Parameters
----------
datetime object used for identifying
S/R areas
Return
------
HAreaList object
'''
# calculate price range for calculating S/R
ul, ll = self.get_max_min(adateObj)
tb_logger.info("Running calc_SR for estimated range: {0}-{1}".format(
ll, ul))
prices = []
bounces = [] # contains the number of pivots per price level
score_per_bounce = []
tot_score = []
# the increment of price in number of pips is double the hr_extension
prev_p = None
p = float(ll)
while p <= float(ul):
tb_logger.debug("Processing S/R at {0}".format(round(p, 4)))
# each of 'p' will become a S/R that will be tested for bounces
# set entry to price+self.settings.getint('trade_bot','i_pips')
entry = add_pips2price(self.pair, p,
self.settings.getint('trade_bot', 'i_pips'))
# set S/L to price-self.settings.getint('trade_bot','i_pips')
SL = substract_pips2price(
self.pair, p, self.settings.getint('trade_bot', 'i_pips'))
t = Trade(id='{0}.{1}.detect_sr.{2}'.format(
self.pair, adateObj.isoformat(), round(p, 5)),
start=adateObj.strftime('%Y-%m-%d %H:%M:%S'),
pair=self.pair,
timeframe=self.timeframe,
type='short',
entry=entry,
SR=p,
SL=SL,
RR=1.5,
strat='counter_b1',
settingf=self.settingf,
settings=self.settings)
# reduce period that Counter uses so the S/R
# are calculated with the most recent pivots
newperiod = self.settings.get('trade_bot', 'period_range')
self.settings.set('counter', 'period', newperiod)
c = Counter(trade=t, init_feats=True, settings=self.settings)
if len(c.pivots.plist) == 0:
mean_pivot = 0
else:
mean_pivot = round(c.score_pivot, 2)
prices.append(round(p, 5))
bounces.append(len(c.pivots.plist))
tot_score.append(c.total_score)
score_per_bounce.append(mean_pivot)
# increment price to following price.
# Because the increment is made in pips
# it does not suffer of the JPY pairs
# issue
p = add_pips2price(self.pair, p,
2 * self.settings.getint('trade_bot', 'i_pips'))
if prev_p is None:
prev_p = p
else:
increment_price = round(p - prev_p, 5)
prev_p = p
data = {
'price': prices,
'bounces': bounces,
'scores': score_per_bounce,
'tot_score': tot_score
}
df = pd.DataFrame(data=data)
### establishing bounces threshold as the args.th quantile
# selecting only rows with at least one pivot and tot_score>0,
# so threshold selection considers only these rows
# and selection is not biased when range of prices is wide
dfgt1 = df.loc[(df['bounces'] > 0)]
dfgt2 = df.loc[(df['tot_score'] > 0)]
bounce_th = dfgt1.bounces.quantile(
self.settings.getfloat('trade_bot', 'th'))
score_th = dfgt2.tot_score.quantile(
self.settings.getfloat('trade_bot', 'th'))
print("Selected number of pivot threshold: {0}".format(bounce_th))
print("Selected tot score threshold: {0}".format(score_th))
# selecting records over threshold
dfsel = df.loc[(df['bounces'] > bounce_th) |
(df['tot_score'] > score_th)]
# repeat until no overlap between prices
ret = self.__calc_diff(dfsel, increment_price)
dfsel = ret[0]
tog_seen = ret[1]
while tog_seen is True:
ret = self.__calc_diff(dfsel, increment_price)
dfsel = ret[0]
tog_seen = ret[1]
# iterate over DF with selected SR to create a HAreaList
halist = []
for index, row in dfsel.iterrows():
resist = HArea(price=row['price'],
pips=self.settings.getint('pivots', 'hr_pips'),
instrument=self.pair,
granularity=self.timeframe,
no_pivots=row['bounces'],
tot_score=row['tot_score'],
settingf=self.settingf,
settings=self.settings)
halist.append(resist)
halist = HAreaList(halist=halist,
settingf="data/settings.ini",
settings=self.settings)
tb_logger.info("Run done")
return halist