def get_all_new_pastes(self):
"""
Get all new pastes and set the last crawl time to now
"""
page = 1
oldest_timestamp = None
new_pastes = []
while oldest_timestamp is None or oldest_timestamp > self.__last_crawl:
try:
current_pastes = self._list_pastes(page)
# Page does not exist
except KeyError:
break
for paste_id in current_pastes:
paste_json = self._get_paste(paste_id)
if oldest_timestamp is None or \
Arrow.fromtimestamp(paste_json["timestamp"]).replace(tzinfo="UTC") < oldest_timestamp:
oldest_timestamp = Arrow.fromtimestamp(
paste_json["timestamp"])
if oldest_timestamp > self.__last_crawl:
new_pastes.append(paste_json)
page += 1
self._logger.info("Found %d new pastes since %s" %
(len(new_pastes), self.__last_crawl.for_json()))
self.__set_last_crawl()
return new_pastes
def set_name(self, site: str = ''):
self.site = site.lower()
set1 = self.dbdata.find({
'site': site,
't0': {
'$gt': self.start_timestamp()
}
})
qtrhrs = set1.distinct('qtrhr')
result = []
for qh in sorted(qtrhrs):
#
qset = self.dbdata.find({'site': site, 'qtrhr': qh})
detail = []
for row in qset:
reading = self.data_obj(row)
detail.append(reading)
minmax = self.determine_max_min(detail)
qtrhour = {
'ts': Arrow.fromtimestamp(timestamp=qh).for_json(),
'dt': Arrow.fromtimestamp(timestamp=qh),
'min': minmax['min'],
'max': minmax['max'],
'avg': minmax['avg'],
}
result.append(qtrhour)
#
# Prepare for plot
#
dev_x = []
dev_y = []
labels = []
for r in result:
time = r['dt'].strftime('%m/%d %H:%M')
dev_x.append(time)
labels.append(time)
dev_y.append(r['avg'])
n = labels.__len__()
i = n - 1
div_factor = math.floor(n / 10)
while i > 0:
if i % div_factor != 0:
labels[i] = ''
i = i - 1
result = {'site': self.site, 'x': dev_x, 'y': dev_y, 'labels': labels}
self.data = result
def user_action_stat(interval,user_out_name,song_out_name):
#统计用户三日的数据量
## step 1: 读入数据
base_time = 1426348800 #3-15-0-0-0的unix时间戳
base_time_stamp = Arrow.fromtimestamp(base_time)
interval_seconds = interval * 24 * 3600
parts = load_csv_as_dict('%s/data_source/%s' %(PROJECT_PATH,'mars_tianchi_user_actions.csv'))
user_dict = defaultdict(
lambda: defaultdict(lambda: defaultdict(lambda: 0.0))) # 默认dict的一个trick！
song_dict = defaultdict(lambda:defaultdict(lambda:defaultdict(lambda:0.0)))
count = 0
## step 2:统计数据
for part in parts:
user_id = part['user_id']
song_id = part['song_id']
action_type = part['action_type']
gmt_create = eval(part['gmt_create'])
date_interval_belong = int((Arrow.fromtimestamp(gmt_create) - base_time_stamp).total_seconds())/interval_seconds
user_dict[user_id][date_interval_belong][action_type] += 1
song_dict[song_id][date_interval_belong][action_type] += 1
count += 1
if count % 1000 == 0:
print 'statistical %s records' % count
print 'total users: %s' % len(user_dict)
print 'total songs: %s' % len(song_dict)
## step 3:写入到feature文件
fs = open('%s/feature/%s.csv' % (PROJECT_PATH,user_out_name),'w')
fs.write('user_id,date_interval_%s ,plays,downloads,favors\n' % interval)
count = 0
for user in user_dict:
date_dict = user_dict[user]
for date in date_dict:
action = date_dict[date]
fs.write('%s,%s,%s,%s,%s\n' % (user,date,action['1'],action['2'],action['3']))
count = count + 1
if count % 1000 == 0:
print 'write %s length' % count
fs.close()
print 'user_dict is write done'
fs = open('%s/feature/%s.csv' % (PROJECT_PATH,song_out_name),'w')
fs.write('song_id,date_interval_%s,plays,downloads,favors\n' % interval)
count = 0
for song in song_dict:
date_dict = song_dict[song]
for date in date_dict:
action = date_dict[date]
fs.write('%s,%s,%s,%s,%s\n' % (song,date,action['1'],action['2'],action['3']))
count += 1
if count % 1000 == 0:
print 'write %s length' % count
fs.close()
print 'song_dict is write done'
def dump(self, record, data):
"""Dump the data."""
try:
parent_data = dict_lookup(data, self.keys, parent=True)
pd = parse_edtf(parent_data[self.key])
parent_data[f"{self.key}_start"] = Arrow.fromtimestamp(
calendar.timegm(pd.lower_strict()),
tzinfo=utc).date().isoformat()
parent_data[f"{self.key}_end"] = Arrow.fromtimestamp(
calendar.timegm(pd.upper_strict()),
tzinfo=utc).date().isoformat()
except (KeyError, EDTFParseException):
# The field does not exists or had wrong data
return data # FIXME: should log this in debug mode?
def evaluate_ct(self):
try:
print("Evaluating confirmation time (ECT), pre-notification at " +
str(self.pre_latch_notif) + " out of " +
str(self.data.confirmation_updates))
last_holdoff = self.ct.holdoff
# reset the timer if no notifications received for a while
if (self.pre_latch_notif >= self.data.confirmation_updates):
print("ECT: Reset confirmation time.")
self.ct.time = 2
self.ct.holdoff = False
result = self.ct.update(self.latched_value)
self.pre_latch_notif += 1
if self.ct.holdoff:
announcement = str(
(self.ct.delay - self.ct.time) *
self.data.confirmation_interval
) + " until " + self.data.enumeration[self.latched_value]
print("ECT: in holdoff, publishing time announcement: " +
announcement)
self.publish("tweeter/time_announce", announcement)
if last_holdoff and not self.ct.holdoff:
announcement = "is " + self.data.enumeration[result[1]]
print("ECT: new value or value restored: " + announcement)
self.publish("tweeter/time_announce", announcement)
if result[0]:
attime = arrow.fromtimestamp(time.time()).to(
self.data.timezone).strftime(self.data.time_format)
self.tweet(
self.data.message.format(self.data.enumeration[result[1]],
attime))
except:
traceback.print_ext()
os._exit(1)
async def from_dataset(cls, client: "ProtosBot",
ds: "AutoPurgeJob") -> "Job":
"""
Create a new job from a dataset.
"""
channel = await client.fetch_channel(ds.channel_id)
return Job(client, channel, ds.pattern, Arrow.fromtimestamp(ds.last))
def sources():
sources = get_collection('sources')
limit = request.args.get('limit', 50)
skip = request.args.get('skip', 0)
skip = skip if skip != 0 else request.args.get(
'offset', 0) # allow another namespace 'offset'
keyword = request.args.get('keyword', None)
start_urls_keyword = request.args.get('start_urls_keyword', None)
comment_keyword = request.args.get('comment_keyword', None)
startwith = request.args.get('startwith', None)
coop = request.args.get('coop', None)
sql_filter = {}
if keyword:
sql_filter.update({"title": {'$regex': keyword, '$options': 'i'}})
if start_urls_keyword:
sql_filter.update(
{"start_urls": {
'$regex': start_urls_keyword,
'$options': 'i'
}})
if comment_keyword:
sql_filter.update(
{"comments": {
'$regex': comment_keyword,
'$options': 'i'
}})
if startwith:
sql_filter.update({'_id': {'$lte': ObjectId(startwith)}})
if coop:
sql_filter.update({'coops': coop})
data = []
data.extend([
clean_id(i)
for i in sources.find(sql_filter).sort('machine_name', 1).skip(
int(skip)).limit(int(limit))
])
for d in data:
if d.get('latestArticleCreated'):
last_time = Arrow.fromtimestamp(
d['latestArticleCreated']).to('Asia/Shanghai')
d['latestArticleCreatedHuman'] = u'最后时间:{0}'.format(
last_time.humanize(locale='zh_cn'))
if (Arrow.utcnow() - last_time).days > 1:
d['latestArticleCreatedHuman'] = u'<span class="text-danger">{}</span>'.format(
d['latestArticleCreatedHuman'])
ret = {'data': data, 'total': sources.find().count()}
return jsonify(ret)
def validate_token(token):
if not isinstance(token, str):
raise TypeError('token은 반드시 `str` 이여야합니다.')
secret_key = get_secret_key()
s = JSONWebSignatureSerializer(secret_key)
try:
data = s.loads(token.encode('utf-8'))
except BadSignature as e:
raise InvalidTokenError('잘못된 token입니다.')
expired_at = Arrow.fromtimestamp(data['expired_at'])
now = utcnow()
if expired_at < now:
raise ExpiredTokenError('만료된 token입니다.')
return data
def _reformat_json(self, dict_to_write):
"""
In-place reformatting method for a consistent format between objects.
:param dict dict_to_write: Formats all JSONs to write out
:return: None, changes the JSON in place
"""
self._logger.debug("Reformatting JSON: %s" % str(dict_to_write))
for key in dict_to_write:
if key == "timestamp":
arrow_date = Arrow.fromtimestamp(
dict_to_write[key]).replace(tzinfo=self.timezone)
val = arrow_date.for_json()
elif key == "author":
author = dict_to_write[key]
val = author if str(author).lower(
) not in TinyWriter._unknown_authors else "Unknown"
else:
val = str(dict_to_write[key]).strip() if self.should_strip and type(dict_to_write[key]) == str\
else dict_to_write[key]
if type(val) == str:
val.replace("\r\n", "\n")
dict_to_write[key] = val
def names():
items = get_collection('items')
if request.method == 'GET':
name_list = items.distinct('name')
current = []
if os.path.exists('filter.json'):
with open('filter.json', 'r') as f:
current = json.load(f)
msgs = {}
for name in name_list:
item = [
i for i in items.find({
'name': name
}, {
'_id': 0
}).sort([('ctime', -1)]).limit(1)
]
if item:
item = item[0]
last_time = Arrow.fromtimestamp(
item['ctime']).to('Asia/Shanghai')
msgs[name] = u'最后时间:{0}'.format(
last_time.humanize(locale='zh_cn'))
if (Arrow.utcnow() - last_time).days > 1:
msgs[name] = u'<span class="text-danger">{}</span>'.format(
msgs[name])
return jsonp({'all': name_list, 'current': current, 'msg': msgs})
elif request.method == 'POST':
code = 500
if request.json:
with open('filter.json', 'w') as f:
f.write(
json.dumps(request.json,
ensure_ascii=False).encode('utf8'))
code = 200
return Response('', code)
def test_generate_backtest_stats(default_conf, testdatadir):
default_conf.update({'strategy': 'DefaultStrategy'})
StrategyResolver.load_strategy(default_conf)
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
default_conf,
'locks': [],
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
btdata = history.load_data(testdatadir,
'1m', ['UNITTEST/BTC'],
timerange=timerange,
fill_up_missing=True)
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['backtest_start'] == min_date.datetime
assert strat_stats['backtest_end'] == max_date.datetime
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown'] == 0.0
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, -0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, -0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
"trade_duration": [123, 34, 31, 14],
"open_at_end": [False, False, False, True],
"sell_reason": [
SellType.ROI, SellType.STOP_LOSS, SellType.ROI,
SellType.FORCE_SELL
]
}),
'config':
default_conf
}
}
assert strat_stats['max_drawdown'] == 0.0
assert strat_stats['drawdown_start'] == datetime(1970,
1,
1,
tzinfo=timezone.utc)
assert strat_stats['drawdown_end'] == datetime(1970,
1,
1,
tzinfo=timezone.utc)
assert strat_stats['drawdown_end_ts'] == 0
assert strat_stats['drawdown_start_ts'] == 0
assert strat_stats['pairlist'] == ['UNITTEST/BTC']
# Test storing stats
filename = Path(testdatadir / 'btresult.json')
filename_last = Path(testdatadir / LAST_BT_RESULT_FN)
_backup_file(filename_last, copy_file=True)
assert not filename.is_file()
store_backtest_stats(filename, stats)
# get real Filename (it's btresult-<date>.json)
last_fn = get_latest_backtest_filename(filename_last.parent)
assert re.match(r"btresult-.*\.json", last_fn)
filename1 = (testdatadir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown' in content
assert 'strategy' in content
assert 'pairlist' in content
assert filename_last.is_file()
_clean_test_file(filename_last)
filename1.unlink()
def _format_date(date):
"""Format the given date into ISO format."""
arrow = Arrow.fromtimestamp(calendar.timegm(date), tzinfo=utc)
return arrow.date().isoformat()
def test_generate_backtest_stats(default_conf, testdatadir, tmpdir):
default_conf.update({'strategy': CURRENT_TEST_STRATEGY})
StrategyResolver.load_strategy(default_conf)
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [
ExitType.ROI, ExitType.STOP_LOSS, ExitType.ROI,
ExitType.FORCE_EXIT
]
}),
'config':
default_conf,
'locks': [],
'final_balance':
1000.02,
'rejected_signals':
20,
'timedout_entry_orders':
0,
'timedout_exit_orders':
0,
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
'run_id':
'123',
}
}
timerange = TimeRange.parse_timerange('1510688220-1510700340')
min_date = Arrow.fromtimestamp(1510688220)
max_date = Arrow.fromtimestamp(1510700340)
btdata = history.load_data(testdatadir,
'1m', ['UNITTEST/BTC'],
timerange=timerange,
fill_up_missing=True)
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert strat_stats['backtest_start'] == min_date.strftime(
DATETIME_PRINT_FORMAT)
assert strat_stats['backtest_end'] == max_date.strftime(
DATETIME_PRINT_FORMAT)
assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
# Above sample had no loosing trade
assert strat_stats['max_drawdown_account'] == 0.0
# Retry with losing trade
results = {
'DefStrat': {
'results':
pd.DataFrame({
"pair": [
"UNITTEST/BTC", "UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC"
],
"profit_ratio": [0.003312, 0.010801, -0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, -0.000014, 0.000003],
"open_date": [
Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime
],
"close_date": [
Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime
],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.0032903, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [
ExitType.ROI, ExitType.ROI, ExitType.STOP_LOSS,
ExitType.FORCE_EXIT
]
}),
'config':
default_conf,
'locks': [],
'final_balance':
1000.02,
'rejected_signals':
20,
'timedout_entry_orders':
0,
'timedout_exit_orders':
0,
'backtest_start_time':
Arrow.utcnow().int_timestamp,
'backtest_end_time':
Arrow.utcnow().int_timestamp,
'run_id':
'124',
}
}
stats = generate_backtest_stats(btdata, results, min_date, max_date)
assert isinstance(stats, dict)
assert 'strategy' in stats
assert 'DefStrat' in stats['strategy']
assert 'strategy_comparison' in stats
strat_stats = stats['strategy']['DefStrat']
assert pytest.approx(strat_stats['max_drawdown_account']) == 1.399999e-08
assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
assert strat_stats['drawdown_end_ts'] == 1510699380000
assert strat_stats['drawdown_start_ts'] == 1510697400000
assert strat_stats['pairlist'] == ['UNITTEST/BTC']
# Test storing stats
filename = Path(tmpdir / 'btresult.json')
filename_last = Path(tmpdir / LAST_BT_RESULT_FN)
_backup_file(filename_last, copy_file=True)
assert not filename.is_file()
store_backtest_stats(filename, stats)
# get real Filename (it's btresult-<date>.json)
last_fn = get_latest_backtest_filename(filename_last.parent)
assert re.match(r"btresult-.*\.json", last_fn)
filename1 = Path(tmpdir / last_fn)
assert filename1.is_file()
content = filename1.read_text()
assert 'max_drawdown_account' in content
assert 'strategy' in content
assert 'pairlist' in content
assert filename_last.is_file()
_clean_test_file(filename_last)
filename1.unlink()
def __set_last_crawl(self, timestamp=str(time())):
if type(timestamp) == Arrow:
self.__last_crawl = timestamp
else:
self.__last_crawl = Arrow.fromtimestamp(
str(timestamp)).replace(tzinfo="UTC")
def process_data(self):
try:
logger.info("Processing WindsSpots data...")
result = requests.get("http://api.windspots.com/windmobile/stationinfos?allStation=true",
timeout=(self.connect_timeout, self.read_timeout))
for windspots_station in result.json()['stationInfo']:
station_id = None
try:
windspots_id = windspots_station['@id'][10:]
station_id = self.get_station_id(windspots_id)
station = self.save_station(
station_id,
windspots_station['@shortName'],
windspots_station['@name'],
windspots_station['@wgs84Latitude'],
windspots_station['@wgs84Longitude'],
windspots_station['@maintenanceStatus'],
altitude=windspots_station['@altitude'],
url=urllib.parse.urljoin(self.provider_url, "/spots"))
try:
# Asking 2 days of data
result = requests.get(
"http://api.windspots.com/windmobile/stationdatas/windspots:{windspots_id}/60"
.format(windspots_id=windspots_id), timeout=(self.connect_timeout, self.read_timeout))
try:
windspots_measure = result.json()
except ValueError:
raise ProviderException("Action=Data return invalid json response")
measures_collection = self.measures_collection(station_id)
new_measures = []
try:
key = arrow.get(windspots_measure['@lastUpdate']).timestamp
except arrow.parser.ParserError:
raise ProviderException("Unable to parse measure date: '{0}".format(
windspots_measure['@lastUpdate']))
wind_direction_last = windspots_measure['windDirectionChart']['serie']['points'][0]
wind_direction_key = int(wind_direction_last['date']) / 1000
if key != wind_direction_key:
logger.warn(
"{name} ({id}): wind direction measure '{direction}' is inconsistent with key '{key}'"
.format(
name=station['short'],
id=station_id,
key=Arrow.fromtimestamp(key).format('DD-MM-YY HH:mm:ssZZ'),
direction=Arrow.fromtimestamp(wind_direction_key).format('DD-MM-YY HH:mm:ssZZ')))
if not measures_collection.find_one(key):
try:
measure = self.create_measure(
key,
wind_direction_last['value'],
windspots_measure.get('windAverage'),
windspots_measure.get('windMax'),
windspots_measure.get('airTemperature'),
windspots_measure.get('airHumidity'))
new_measures.append(measure)
except ProviderException as e:
logger.warn("Error while processing measure '{0}' for station '{1}': {2}"
.format(key, station_id, e))
except Exception as e:
logger.exception("Error while processing measure '{0}' for station '{1}': {2}"
.format(key, station_id, e))
self.raven_client.captureException()
self.insert_new_measures(measures_collection, station, new_measures, logger)
except ProviderException as e:
logger.warn("Error while processing measure for station '{0}': {1}".format(station_id, e))
except Exception as e:
logger.exception("Error while processing measure for station '{0}': {1}".format(station_id, e))
self.raven_client.captureException()
self.add_last_measure(station_id)
except ProviderException as e:
logger.warn("Error while processing station '{0}': {1}".format(station_id, e))
except Exception as e:
logger.exception("Error while processing station '{0}': {1}".format(station_id, e))
self.raven_client.captureException()
except ProviderException as e:
logger.warn("Error while processing Windspots: {0}".format(e))
except Exception as e:
logger.exception("Error while processing Windspots: {0}".format(e))
self.raven_client.captureException()
logger.info("Done !")
def generate_strategy_stats(btdata: Dict[str, DataFrame], strategy: str,
content: Dict[str, Any], min_date: Arrow,
max_date: Arrow,
market_change: float) -> Dict[str, Any]:
"""
:param btdata: Backtest data
:param strategy: Strategy name
:param content: Backtest result data in the format:
{'results: results, 'config: config}}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:param market_change: float indicating the market change
:return: Dictionary containing results per strategy and a stratgy summary.
"""
results: Dict[str, DataFrame] = content['results']
if not isinstance(results, DataFrame):
return {}
config = content['config']
max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
starting_balance = config['dry_run_wallet']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results,
skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(
starting_balance=starting_balance, results=results)
left_open_results = generate_pair_metrics(
btdata,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results.loc[results['is_open']],
skip_nan=True)
daily_stats = generate_daily_stats(results)
trade_stats = generate_trading_stats(results)
best_pair = max(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
results['open_timestamp'] = results['open_date'].astype(int64) // 1e6
results['close_timestamp'] = results['close_date'].astype(int64) // 1e6
max_date_real = Arrow.fromtimestamp(max(results['close_timestamp'])).to(
'utc') if not results['close_timestamp'].empty else max_date
ended_early = False
if (max_date_real < max_date):
max_date = max_date_real
ended_early = True
backtest_days = (max_date - min_date).days
strat_stats = {
'trades':
results.to_dict(orient='records'),
'config':
config,
'locks': [lock.to_json() for lock in content['locks']],
'best_pair':
best_pair,
'worst_pair':
worst_pair,
'results_per_pair':
pair_results,
'sell_reason_summary':
sell_reason_stats,
'left_open_trades':
left_open_results,
'total_trades':
len(results),
'total_volume':
float(results['stake_amount'].sum()),
'avg_stake_amount':
results['stake_amount'].mean() if len(results) > 0 else 0,
'profit_mean':
results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_median':
results['profit_ratio'].median() if len(results) > 0 else 0,
'profit_total':
results['profit_abs'].sum() / starting_balance,
'profit_total_abs':
results['profit_abs'].sum(),
'backtest_start':
min_date.datetime,
'backtest_start_ts':
min_date.int_timestamp * 1000,
'backtest_end':
max_date.datetime,
'backtest_end_ts':
max_date.int_timestamp * 1000,
'backtest_days':
backtest_days,
'early_end':
'* ' if ended_early else '',
'win_loss_ratio':
round(
len(results[results['profit_abs'] > 0]) /
len(results[results['profit_abs'] < 0]), 4)
if len(results[results['profit_abs'] < 0]) > 0 else 0.0,
'backtest_run_start_ts':
content['backtest_start_time'],
'backtest_run_end_ts':
content['backtest_end_time'],
'trades_per_day':
round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'market_change':
market_change,
'pairlist':
list(btdata.keys()),
'stake_amount':
config['stake_amount'],
'stake_currency':
config['stake_currency'],
'stake_currency_decimals':
decimals_per_coin(config['stake_currency']),
'starting_balance':
starting_balance,
'dry_run_wallet':
starting_balance,
'final_balance':
content['final_balance'],
'max_open_trades':
max_open_trades,
'max_open_trades_setting':
(config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe':
config['timeframe'],
'timerange':
config.get('timerange', ''),
'enable_protections':
config.get('enable_protections', False),
'strategy_name':
strategy,
# Parameters relevant for backtesting
'stoploss':
config['stoploss'],
'trailing_stop':
config.get('trailing_stop', False),
'trailing_stop_positive':
config.get('trailing_stop_positive'),
'trailing_stop_positive_offset':
config.get('trailing_stop_positive_offset', 0.0),
'trailing_only_offset_is_reached':
config.get('trailing_only_offset_is_reached', False),
'use_custom_stoploss':
config.get('use_custom_stoploss', False),
'minimal_roi':
config['minimal_roi'],
'use_sell_signal':
config['ask_strategy']['use_sell_signal'],
'sell_profit_only':
config['ask_strategy']['sell_profit_only'],
'sell_profit_offset':
config['ask_strategy']['sell_profit_offset'],
'ignore_roi_if_buy_signal':
config['ask_strategy']['ignore_roi_if_buy_signal'],
**daily_stats,
**trade_stats
}
try:
max_drawdown, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio')
drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(
results, value_col='profit_abs')
strat_stats.update({
'max_drawdown':
max_drawdown,
'max_drawdown_pct':
drawdown_abs / (high_val + starting_balance),
'max_drawdown_abs':
drawdown_abs,
'drawdown_start':
drawdown_start,
'drawdown_start_ts':
drawdown_start.timestamp() * 1000,
'drawdown_end':
drawdown_end,
'drawdown_end_ts':
drawdown_end.timestamp() * 1000,
'max_drawdown_low':
low_val + starting_balance,
'max_drawdown_high':
high_val + starting_balance,
})
csum_min, csum_max = calculate_csum(results, starting_balance)
strat_stats.update({'csum_min': csum_min, 'csum_max': csum_max})
except ValueError:
strat_stats.update({
'max_drawdown':
0.0,
'max_drawdown_pct':
0.0,
'max_drawdown_abs':
0.0,
'max_drawdown_low':
0.0,
'max_drawdown_high':
0.0,
'drawdown_start':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_start_ts':
0,
'drawdown_end':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_end_ts':
0,
'csum_min':
0,
'csum_max':
0
})
return strat_stats
