def HeikinAshi(candles_open, candles_high, candles_low, candles_close):
"""
Return HeikinAshi array of the given candles
:param open: list of open
:param high: list of high
:param low: list of low
:param close: list of close
:return: HAopen, HAhigh, HAlow, HAclose
"""
haOpen, haHigh, haLow, haClose = [np.array([]) for i in range(4)]
for i, (open_value, high_value, low_value, close_value) \
in enumerate(zip(candles_open, candles_high, candles_low, candles_close)):
if i == 0:
haOpen = np.append(haOpen, open_value)
haHigh = np.append(haHigh, high_value)
haLow = np.append(haLow, low_value)
haClose = np.append(haClose, close_value)
continue
haOpen = np.append(
haOpen, mean([candles_open[i - 1], candles_close[i - 1]]))
haHigh = np.append(haHigh, high_value)
haLow = np.append(haLow, low_value)
haClose = np.append(
haClose, mean([open_value, high_value, low_value,
close_value]))
return haOpen, haHigh, haLow, haClose
def _find_optimal_configuration_using_results(self):
for time_frame in self.all_time_frames:
time_frame_sorted_results = self._get_sorted_results(
self.run_results, time_frame)
self.sorted_results_by_time_frame[
time_frame.value] = time_frame_sorted_results
results_through_all_time_frame = {}
for results in self.sorted_results_by_time_frame.values():
for rank, result in enumerate(results):
result_summary = result.get_config_summary()
if result_summary not in results_through_all_time_frame:
results_through_all_time_frame[result_summary] = [[], 0]
results_through_all_time_frame[result_summary][RANK] += rank
results_through_all_time_frame[result_summary][
TRADES] += result.trades_counts
result_list = [(result, trades_and_rank[RANK],
data_util.mean(trades_and_rank[TRADES]))
for result, trades_and_rank in
results_through_all_time_frame.items()]
# inner function to replace uncythonizable lambda expression
def _sorting_key(elem):
return elem[RANK]
self.sorted_results_through_all_time_frame = sorted(result_list,
key=_sorting_key)
def get_average_score(self):
bot_profitabilities = [
profitability_result[self.BOT_PROFITABILITY] -
profitability_result[self.MARKET_PROFITABILITY]
for profitability_result in self.run_profitabilities
]
return data_util.mean(bot_profitabilities)
def HL2(candles_high, candles_low):
"""
Return a list of HL2 value (high + low ) / 2
:param high: list of high
:param low: list of low
:return: list of HL2
"""
return np.array(
list(
map((lambda candles_high, candles_low: mean(
[candles_high, candles_low])), candles_high, candles_low)))
def HLC3(candles_high, candles_low, candles_close):
"""
Return a list of HLC3 values (high + low + close) / 3
:param high: list of high
:param low: list of low
:param close: list of close
:return: list of HLC3
"""
return np.array(
list(
map((lambda candles_high, candles_low, candles_close: mean(
[candles_high, candles_low, candles_close])), candles_high,
candles_low, candles_close)))
def OHLC4(candles_open, candles_high, candles_low, candles_close):
"""
Return a list of OHLC4 value (open + high + low + close) / 4
:param open: list of open
:param high: list of high
:param low: list of low
:param close: list of close
:return: list of OHLC4
"""
return np.array(
list(
map((lambda candles_open, candles_high, candles_low,
candles_close: mean([
candles_open, candles_high, candles_low, candles_close
])), candles_open, candles_high, candles_low,
candles_close)))
async def _analyse_arbitrage_opportunities(self):
other_exchanges_average_price = data_util.mean(self.other_exchanges_mark_prices.values())
state = None
if other_exchanges_average_price > self.own_exchange_mark_price * self.sup_triggering_price_delta_ratio:
# min long = high price > own_price / (1 - 2fees)
state = trading_enums.EvaluatorStates.LONG
elif other_exchanges_average_price < self.own_exchange_mark_price * self.inf_triggering_price_delta_ratio:
# min short = low price < own_price * (1 - 2fees)
state = trading_enums.EvaluatorStates.SHORT
if state is not None:
# lock to prevent concurrent order management
async with self.lock:
# 1. cancel invalided opportunities if any
await self._ensure_no_expired_opportunities(other_exchanges_average_price, state)
# 2. handle new opportunities
await self._trigger_arbitrage_opportunity(other_exchanges_average_price, state)
def get_average_trades_count(self):
return data_util.mean(self.trades_counts)
def test_mean():
assert mean([1, 2, 3, 4, 5, 6, 7]) == 4.0
assert mean([0.684, 1, 2, 3, 4, 5.5, 6, 7.5]) == 3.7105
assert mean([]) == 0
