def should_update_data(self, time_frame, symbol):
smallest_time_frame = TimeFrameManager.find_min_time_frame(
self.config_time_frames)
if smallest_time_frame == time_frame:
# always True: refresh smallest timeframe systematically when possible
return True
else:
smallest_time_frame_sec = TimeFramesMinutes[smallest_time_frame]
smallest_time_frame_updated_times = self.time_frame_get_times[
symbol][smallest_time_frame.value]
# - 1 because smallest timeframe is the 1st to be updated: always return true for it but others need not to
# be biased by the previous + 1 from current timeframe update wave
smallest_time_frame_updated_times_to_compare = smallest_time_frame_updated_times - 1 \
if smallest_time_frame_updated_times > 0 else 0
current_time_frame_sec = TimeFramesMinutes[time_frame]
current_time_frame_updated_times = self.time_frame_get_times[
symbol][time_frame.value]
try:
smallest_time_frame_timestamp = self._get_current_timestamp(
smallest_time_frame, symbol, 1)
wanted_time_frame_timestamp = self._get_current_timestamp(
time_frame, symbol)
return wanted_time_frame_timestamp <= smallest_time_frame_timestamp + (
smallest_time_frame_sec / 2)
except IndexError:
return False
def _extract_data_with_limit(self, symbol, time_frame):
if not self.min_time_frames_offset:
self.min_time_frames_offset = TimeFrameManager.find_min_time_frame(
self.time_frames_offset[symbol].keys())
to_use_time_frame = time_frame.value or self.min_time_frames_offset.value
return self._extract_from_indexes(
self.get_ohlcv(symbol)[to_use_time_frame],
self._get_candle_index(to_use_time_frame, symbol), symbol)
def __init__(self, run_profitabilities, trades_counts, risk, time_frames, evaluators, strategy):
self.run_profitabilities = run_profitabilities
self.trades_counts = trades_counts
self.risk = risk
self.time_frames = time_frames
self.min_time_frame = TimeFrameManager.find_min_time_frame(self.time_frames)
self.evaluators = evaluators
self.strategy = strategy
def _set_config_time_frame(self):
for time_frame in TimeFrameManager.get_config_time_frame(self.config):
if self.time_frame_exists(time_frame.value):
self.time_frames.append(time_frame)
# add shortest timeframe for realtime evaluators
client_shortest_time_frame = TimeFrameManager.find_min_time_frame(self.client_time_frames, MIN_EVAL_TIME_FRAME)
if client_shortest_time_frame not in self.time_frames:
self.time_frames.append(client_shortest_time_frame)
def set_default_config(self):
time_frames = self.exchange.get_exchange_manager().get_config_time_frame()
min_time_frame = TimeFrameManager.find_min_time_frame(time_frames, MIN_EVAL_TIME_FRAME)
refresh_rate = DEFAULT_WEBSOCKET_REAL_TIME_EVALUATOR_REFRESH_RATE_SECONDS if \
self.exchange.get_exchange_manager().websocket_available() \
else DEFAULT_REST_REAL_TIME_EVALUATOR_REFRESH_RATE_SECONDS
self.specific_config = {
CONFIG_TIME_FRAME: min_time_frame,
CONFIG_REFRESH_RATE: refresh_rate,
}
def get_recent_trades(self, symbol, limit=50):
self._ensure_available_data(symbol)
time_frame_to_use = TimeFrameManager.find_min_time_frame(
self._get_used_time_frames(symbol))
index = 0
if symbol in self.time_frames_offset and time_frame_to_use.value in self.time_frames_offset[symbol] \
and time_frame_to_use.value in self.time_frame_get_times[symbol]:
# -2 because take into account the +1 in self.time_frame_get_times and the fact that it's an index
index = self.time_frames_offset[symbol][time_frame_to_use.value] \
+ self.time_frame_get_times[symbol][time_frame_to_use.value] \
- 2
trades = self._create_recent_trades(symbol, time_frame_to_use, index)
self.get_symbol_data(symbol).update_recent_trades(trades)
def should_update_data(self, time_frame, symbol):
smallest_time_frame = TimeFrameManager.find_min_time_frame(self.config_time_frames)
if smallest_time_frame == time_frame:
# always True: refresh smallest timeframe systematically when possible
return True
else:
smallest_time_frame_sec = TimeFramesMinutes[smallest_time_frame]
try:
smallest_time_frame_timestamp = self._get_current_timestamp(smallest_time_frame, symbol, 1)
wanted_time_frame_timestamp = self._get_current_timestamp(time_frame, symbol)
return wanted_time_frame_timestamp <= smallest_time_frame_timestamp + (smallest_time_frame_sec / 2)
except IndexError:
return False
def _find_min_time_frame_to_consider(self, time_frames, symbol):
time_frames_to_consider = copy.copy(time_frames)
self.min_time_frame_to_consider[symbol] = None
while not self.min_time_frame_to_consider[symbol] and time_frames_to_consider:
potential_min_time_frame_to_consider = TimeFrameManager.find_min_time_frame(time_frames_to_consider).value
if potential_min_time_frame_to_consider in self.data[symbol]:
self.min_time_frame_to_consider[symbol] = potential_min_time_frame_to_consider
else:
time_frames_to_consider.remove(potential_min_time_frame_to_consider)
if self.min_time_frame_to_consider[symbol]:
return self.data[symbol][self.min_time_frame_to_consider[symbol]][self.MIN_LIMIT] \
[PriceIndexes.IND_PRICE_TIME.value]
else:
self.logger.error(f"No data for the timeframes: {time_frames} in loaded backtesting file.")
if Backtesting.enabled(self.config):
self.backtesting.end(symbol)
def __init__(self, config, exchange_type, exchange_manager):
super().__init__(config, exchange_type)
self.initializing = True
self.exchange_manager = exchange_manager
if CONFIG_BACKTESTING not in self.config:
raise Exception("Backtesting config not found")
self.symbols = None
self.data = None
self._get_symbol_list()
self.config_time_frames = TimeFrameManager.get_config_time_frame(
self.config)
# set exchange manager attributes
self.exchange_manager.client_symbols = self.symbols
self.exchange_manager.client_time_frames = self.get_available_timeframes(
)
self.exchange_manager.time_frames = self.config_time_frames
self.time_frame_get_times = {}
self.time_frames_offset = {}
self.min_time_frame_to_consider = {}
self.min_time_frames_offset = None
self.DEFAULT_LIMIT = 100
self.MIN_LIMIT = 30
# used to force price movement
self.recent_trades_multiplier_factor = 1
self.MIN_ENABLED_TIME_FRAME = TimeFrameManager.find_min_time_frame(
self.config_time_frames)
self.DEFAULT_TIME_FRAME_RECENT_TRADE_CREATOR = self.MIN_ENABLED_TIME_FRAME
self.DEFAULT_TIME_FRAME_TICKERS_CREATOR = self.MIN_ENABLED_TIME_FRAME
self.RECENT_TRADES_TO_CREATE = max(SIMULATOR_LAST_PRICES_TO_CHECK,
ORDER_CREATION_LAST_TRADES_TO_USE)
self.backtesting = Backtesting(self.config, self)
self._prepare()
self.initializing = False
def get_number_of_candles(file_path):
try:
content = read_data_file(file_path)
if content:
candles_info = []
min_time_frame = TimeFrameManager.find_min_time_frame(
content.keys())
additional_time_frames = [min_time_frame.value]
for tf in TIME_FRAMES_TO_DISPLAY:
if tf not in additional_time_frames:
additional_time_frames.append(tf)
for time_frame in additional_time_frames:
if time_frame in content:
tf_content = content[time_frame]
candles_info.append(
f"{time_frame}: {len(tf_content[0]) if tf_content else 0}"
)
return ", ".join(candles_info)
return 0
except Exception as e:
return f"Impossible to read datafile: {e}"
def get_number_of_candles(file_path):
try:
content = read_data_file(file_path)
if content:
candles_info = []
time_frames = get_time_frames(file_path, content)
min_time_frame = TimeFrameManager.find_min_time_frame(time_frames)
additional_time_frames = [min_time_frame.value]
for tf in TIME_FRAMES_TO_DISPLAY:
if tf not in additional_time_frames:
additional_time_frames.append(tf)
ohlcv_per_tf = get_ohlcv_per_timeframe(file_path, content)
for time_frame in additional_time_frames:
if time_frame in ohlcv_per_tf:
tf_content = ohlcv_per_tf[time_frame]
candles_count = get_candles_count(file_path, tf_content) if tf_content else 0
candles_info.append(f"{time_frame}: {candles_count}")
return ", ".join(candles_info)
return 0
except Exception as e:
return f"Impossible to read datafile: {e}"
def _extract_data_with_limit(self, symbol, time_frame):
to_use_time_frame = time_frame.value if time_frame is not None \
else TimeFrameManager.find_min_time_frame(self.time_frames_offset[symbol].keys()).value
return self._extract_from_indexes(
self.data[symbol][to_use_time_frame],
self._get_candle_index(to_use_time_frame, symbol), symbol)
