def test_avg_of_last_elems(self):
close = [1.0, 2.0, 3.0, 4.0]
open = [2.0, 3.0, 4.0, 5.0]
ohlcs = [
OHLC(date(2021, 1, 1) + timedelta(days=i),
open=open[i],
low=0.0,
high=10.0,
close=close[i],
num_trades=1,
volume=1.0,
waprice=1.0) for i in range(len(close))
]
series = OHLCSeries("i", ohlcs)
assert series.mean_of_last_elems(2) == (close[-2] + close[-1]) / 2
assert series.mean_of_last_elems(
2, lambda ohlc: ohlc.open) == (open[-2] + open[-1]) / 2
assert series.mean_of_last_elems(4) == (close[0] + close[1] +
close[2] + close[3]) / 4
with pytest.raises(ValueError):
series.mean_of_last_elems(5)
def get_triggered_signals(self, instr: moex.Instrument,
ser: instruments.OHLCSeries,
intraday_state: IntradayState) -> (Outcome, str):
"""returns tuple whose first element is true if triggered and second is message with details"""
# TODO: for bonds: add notification its price gets < 100.
try:
instr.update_ohlc_table(ser)
quote = instr.load_intraday_quotes()
if not quote.is_trading:
return Outcome.NOT_TRIGGERED_DUE_TO_NOT_READY, f"Skipping {instr} as it's not currently trading"
time_of_last_trade = quote.time
if intraday_state.time_of_last_trade is not None and \
time_of_last_trade < intraday_state.time_of_last_trade:
# trading day switched
logger.info(
f"Trading day switched for {instr}, resetting intraday averager"
)
intraday_state.moving_avg = MovingAvgCalculator(
self.intraday_window_size)
intraday_state.time_of_last_trade = time_of_last_trade
# TODO: add only if time of last trade differs, to track only deals, not ticks
intraday_state.moving_avg.add(quote.last)
hist_mean = ser.mean_of_last_elems(self.hist_window_size)
std_dev = ser.std_dev_of_last_elems(self.hist_window_size,
mean=hist_mean)
intra_mean = intraday_state.moving_avg.avg()
if intra_mean is None:
return Outcome.NOT_TRIGGERED_DUE_TO_NOT_READY, f"Skipping {instr} as it hasn't accumulated " \
f"{self.intraday_window_size} intraday quotes yet"
rel_diff = (intra_mean - hist_mean) / max(intra_mean, hist_mean)
nstd_devs = self.num_std_devs_thresh * std_dev
observed_num_std_devs_jump = abs(intra_mean - hist_mean) / std_dev
if intra_mean > hist_mean + nstd_devs:
return Outcome.TRIGGERED, f"Jump UP {round(rel_diff * 100.0, 2)}% to {round(intra_mean, 2)} " \
f"({self.intraday_window_size} tick avg) " \
f"from average of {round(hist_mean, 2)} of last {self.hist_window_size} days " \
f"(jump of {round(observed_num_std_devs_jump, 2)} std. devs from mean)"
elif intra_mean < hist_mean - nstd_devs:
return Outcome.TRIGGERED, f"Jump DOWN {round(rel_diff * 100.0, 2)}% to {round(intra_mean, 2)} " \
f"({self.intraday_window_size} tick avg) " \
f"from average of {round(hist_mean, 2)} of last {self.hist_window_size} days " \
f"(jump of {round(observed_num_std_devs_jump, 2)} std. devs from mean)"
else:
return Outcome.NOT_TRIGGERED_DUE_TO_THRESHOLD, f"{round(intra_mean, 2)} ({self.intraday_window_size} tick avg) is " \
f"{round(rel_diff * 100.0, 2)}% jump over last " \
f"{self.hist_window_size} days average of {round(hist_mean, 2)} " \
f"(jump of {round(observed_num_std_devs_jump, 2)} std. devs from mean)"
except Exception as ex:
logger.error(f"Error happened checking {instr}",
exc_info=ex,
stack_info=True)
return True, f"Could not check: {ex}"