class MAlgorithm2(AlgorithmBase):
def __init__(self, trader, log):
super().__init__(trader, log)
self.leverage = None
def start(self, broker, capital, interval, loss_cut, fee,
minimum_transaction_amount):
self.leverage = AlgorithmItem('122630')
self.add_item(self.leverage)
self.initialize(broker, capital, interval, loss_cut, fee,
minimum_transaction_amount)
# Open Orders cancellation
self.clear_open_orders()
# Charting & Monitoring
broker.chart_prices.clear()
broker.request_stock_price_min(self.leverage.item_code)
broker.demand_monitoring_items_info(self.leverage)
self.timer.start()
self.is_running = True
self.post('STARTED')
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
self.start_comment = 'start\n' + self.start_time_text + '\n' + format(
self.start_price, ',')
reference_price = wmath.get_top(item.current_price, self.interval)
self.set_reference(reference_price)
return
# Block during situation processing
if self.open_purchase_correct_orders or self.open_sale_correct_orders:
self.post('(BLOCK)', 'open correct orders',
self.open_correct_orders)
return
elif self.open_purchase_cancel_orders or self.open_sale_cancel_orders:
self.post('(BLOCK)', 'open cancel orders', self.open_cancel_orders)
return
elif self.open_cancel_orders:
self.post('(BLOCK)', 'open cancel orders', self.open_cancel_orders)
return
elif self.sell_off_ordered:
self.post('(BLOCK)', 'sell off ordered')
return
elif self.settle_up_in_progress:
self.post_without_repetition('(BLOCK)', 'settle up in progress')
return
elif self.finish_up_in_progress:
self.post_without_repetition('(BLOCK)', 'finish in progress')
return
# Update ask price
self.items[item.item_code].ask_price = abs(item.ask_price)
# Update chart
self.update_chart_prices(item.item_code, item.current_price,
item.volume)
# Purchase decision
self.bull_market()
if not self.leverage.purchase.ordered and self.bull_market():
self.buy(item)
# Trade according to current price
if item.current_price >= (self.reference_price + self.loss_cut):
self.post('Situation 1')
self.shift_reference_up()
if self.bull_market():
self.open_purchase_correct_orders = len(
self.leverage.purchases)
if self.open_purchase_correct_orders:
self.leverage.correct_purchases(self.buy_limit)
if self.leverage.holding_amount:
self.loss_limit -= self.loss_cut
else:
self.open_purchase_cancel_orders = len(self.leverage.purchases)
if self.open_purchase_cancel_orders:
self.leverage.cancel_purchases()
elif item.current_price <= self.loss_limit:
self.post('Situation 4')
self.shift_reference_down()
if self.leverage.holding_amount:
self.open_cancel_orders = len(self.leverage.sales)
self.sell_off_ordered = True
self.leverage.sell_off()
def bull_market(self):
chart = self.leverage.chart
self.debug(
'Diff5: {}, DiffDifff5[-1]:{}, DiffDiff10[-1]: {}, DiffDiff10[-2]: {}'
.format(chart.Diff5[-1], chart.DiffDiff5[-1], chart.DiffDiff10[-1],
chart.DiffDiff10[-2]))
# if chart.Diff5[-1] > 0 and chart.DiffDiff10[-1] > 0 and chart.DiffDiff10[-2] > 0:
# if chart.Diff5[-1] > 0 and chart.DiffDiff10[-1] > 0:
if chart.DiffDiff5[-1] > 0 and chart.DiffDiff10[-1] > 0:
return True
else:
return False
def buy(self, item):
self.episode_purchase.virtual_open_amount += self.episode_amount
self.episode_count += 1
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
self.leverage.buy(0, self.episode_amount, 'MARKET')
# self.leverage.buy(self.buy_limit, self.episode_amount)
def update_execution_info(self, order):
# Algorithm item update
self.leverage.update_execution_info(order)
# Order processing
self.process_subsequent_order(order)
self.process_synchronization(order)
# Display
self.trader.display_algorithm_trading()
self.trader.display_algorithm_results()
self.draw_chart.start()
def process_subsequent_order(self, order):
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.update_episode_purchase(order)
elif order.order_position in (SELL, CORRECT_SELL):
self.update_episode_sale(order)
if order.executed_amount:
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
def process_synchronization(self, order):
if order.order_position == CORRECT_PURCHASE and order.order_state == CONFIRMED:
self.open_purchase_correct_orders -= 1
elif order.order_position == CORRECT_SELL and order.order_state == CONFIRMED:
self.open_sale_correct_orders -= 1
elif order.order_position == CANCEL_PURCHASE and order.order_state == CONFIRMED:
if self.open_purchase_cancel_orders:
self.open_purchase_cancel_orders -= 1
elif order.order_position == CANCEL_SELL and order.order_state == CONFIRMED:
if self.open_sale_cancel_orders:
self.open_sale_cancel_orders -= 1
if self.settle_up_in_progress:
self.open_orders -= 1
if not self.open_orders:
self.settle_up_proper()
elif self.finish_up_in_progress:
self.open_orders -= 1
if not self.open_orders:
self.finish_up_proper()
def update_episode_purchase(self, order):
executed_amount = abs(order.executed_amount)
if self.purchase_episode_shifted:
old_purchase = self.episode_purchase
self.purchase_episode_shifted = False
self.episode_purchase = Order()
self.episode_purchase_number = self.get_episode_purchase_number()
self.episode_purchase.episode_number = self.episode_purchase_number
self.episode_purchase.item_name = order.item_name
self.episode_purchase.virtual_open_amount = old_purchase.virtual_open_amount
self.episode_purchase.order_amount += order.order_amount
self.episode_purchase.open_amount += order.open_amount
self.episode_purchase.order_price = order.order_price
self.episode_purchase.executed_time = order.executed_time
self.episode_purchase.order_number = order.order_number
self.episode_purchase.order_position = order.order_position
self.episode_purchase.order_state = order.order_state
self.episode_purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
pass
elif order.order_state == ORDER_EXECUTED:
self.episode_purchase.open_amount -= executed_amount
self.episode_purchase.virtual_open_amount -= executed_amount
self.episode_purchase.executed_amount_sum += executed_amount
self.orders[self.episode_purchase_number] = self.episode_purchase
def update_episode_sale(self, order):
executed_amount = abs(order.executed_amount)
if self.sale_episode_shifted:
self.sale_episode_shifted = False
old_sale = self.episode_sale
self.episode_sale = Order()
self.episode_sale_number = self.get_episode_sale_number()
self.episode_sale.episode_number = self.episode_sale_number
self.episode_sale.item_name = order.item_name
self.episode_sale.order_price = order.order_price
self.episode_sale.virtual_open_amount = old_sale.virtual_open_amount
self.episode_sale.executed_time = order.executed_time
self.episode_sale.order_number = order.order_number
self.episode_sale.order_position = order.order_position
self.episode_sale.order_state = order.order_state
self.episode_sale.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_sale.order_amount += order.order_amount
self.episode_sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_sale.open_amount -= executed_amount
self.episode_sale.virtual_open_amount -= executed_amount
self.episode_sale.executed_amount_sum += executed_amount
self.episode_sale.profit += order.profit
self.episode_sale.net_profit += order.net_profit
self.orders[self.episode_sale_number] = self.episode_sale
if self.sell_off_ordered and not order.open_amount:
self.sell_off_ordered = False
def customize_past_chart(self, item):
chart = item.chart
chart['MA5'] = chart.Close.rolling(5, 1).mean().apply(round)
chart['MA10'] = chart.Close.rolling(10, 1).mean().apply(round)
chart['MA20'] = chart.Close.rolling(20, 1).mean().apply(round)
chart['Diff5'] = chart.MA5.diff().fillna(0).apply(round)
chart['Diff10'] = chart.MA10.diff().fillna(0).apply(round)
chart['Diff20'] = chart.MA20.diff().fillna(0).apply(round)
chart['DiffDiff5'] = chart.Diff5.diff().fillna(0).apply(round)
chart['DiffDiff10'] = chart.Diff10.diff().fillna(0).apply(round)
chart['DiffDiff20'] = chart.Diff20.diff().fillna(0).apply(round)
def update_custom_chart(self, item):
chart = item.chart
chart_len = len(chart)
ma5 = -5
ma10 = -10
ma20 = -20
if chart_len < 5:
ma5 = chart_len * -1
ma10 = chart_len * -1
ma20 = chart_len * -1
elif chart_len < 10:
ma10 = chart_len * -1
ma20 = chart_len * -1
elif chart_len < 20:
ma20 = chart_len * -1
chart.MA5[-1] = round(chart.Close[ma5:].mean())
chart.MA10[-1] = round(chart.Close[ma10:].mean())
chart.MA20[-1] = round(chart.Close[ma20:].mean())
chart.Diff5[-1] = chart.MA5[-1] - chart.MA5[-2]
chart.Diff10[-1] = chart.MA10[-1] - chart.MA10[-2]
chart.Diff20[-1] = chart.MA20[-1] - chart.MA20[-2]
chart.DiffDiff5[-1] = chart.Diff5[-1] - chart.Diff5[-2]
chart.DiffDiff10[-1] = chart.Diff10[-1] - chart.Diff10[-2]
chart.DiffDiff20[-1] = chart.Diff20[-1] - chart.Diff20[-2]
def display_chart(self):
chart = self.leverage.chart
if not len(chart):
return
self.trader.ax.clear()
# Axis ticker formatting
if len(chart) // 30 > len(self.chart_locator) - 1:
for index in range(len(self.chart_locator) * 30, len(chart), 30):
time_format = chart.index[index].strftime('%H:%M')
self.chart_locator.append(index)
self.chart_formatter.append(time_format)
self.trader.ax.xaxis.set_major_locator(
ticker.FixedLocator(self.chart_locator))
self.trader.ax.xaxis.set_major_formatter(
ticker.FixedFormatter(self.chart_formatter))
# Axis yticks & lines
max_price = chart.High.max()
min_price = chart.Low.min()
if max_price > self.top_price or min_price < self.bottom_price:
self.top_price = math.ceil(
max_price / self.interval) * self.interval
self.bottom_price = math.floor(
min_price / self.interval) * self.interval
self.interval_prices = list(
range(self.bottom_price, self.top_price + self.interval,
self.interval))
self.loss_cut_prices = list(
range(self.bottom_price + self.interval - self.loss_cut,
self.top_price, self.interval))
self.trader.ax.grid(axis='x', alpha=0.5)
self.trader.ax.set_yticks(self.interval_prices)
for price in self.interval_prices:
self.trader.ax.axhline(price, alpha=0.5, linewidth=0.2)
for price in self.loss_cut_prices:
self.trader.ax.axhline(price,
alpha=0.4,
linewidth=0.2,
color='Gray')
# Current Price Annotation
current_time = len(chart)
current_price = chart.Close.iloc[-1]
self.trader.ax.text(current_time + 0.5, current_price,
format(current_price, ','))
# Moving average
x = range(0, len(chart))
self.trader.ax.plot(x, chart.MA5, label='MA5')
self.trader.ax.plot(x, chart.MA10, label='MA10')
self.trader.ax.plot(x, chart.MA20, label='MA20')
self.trader.ax.legend(loc='best')
# Slope
slope_x = range(len(chart) - 1, len(chart) + 1)
slope = numpy.polyfit(slope_x, chart.MA5[-2:], 1)
x = range(len(chart) - 20, len(chart))
y = numpy.poly1d(slope)
self.trader.ax.plot(x, y(x))
# Set lim
x2 = len(chart)
x1 = x2 - self.chart_scope
if x1 < 0:
x1 = 0
elif x1 > x2 - 1:
x1 = x2 - 1
y1 = self.get_min_price(x1, x2) - 20
y2 = self.get_max_price(x1, x2) + 20
self.trader.ax.set_xlim(x1, x2)
self.trader.ax.set_ylim(y1, y2)
# After price data acquired
if self.reference_price:
self.annotate_chart(current_time)
# Draw chart
candlestick2_ohlc(self.trader.ax,
chart.Open,
chart.High,
chart.Low,
chart.Close,
width=0.4,
colorup='red',
colordown='blue')
self.trader.fig.tight_layout()
self.trader.canvas.draw()
def annotate_chart(self, current_time):
x_lim = self.trader.ax.get_xlim()[0]
y_lim = self.trader.ax.get_ylim()[0]
# Start time
if self.start_time > x_lim:
self.trader.ax.plot(self.start_time,
self.start_price,
marker='o',
markersize=3,
color='Lime')
self.trader.ax.vlines(self.start_time,
self.bottom_price,
self.start_price,
alpha=0.8,
linewidth=0.2,
color='Green')
self.trader.ax.text(self.start_time,
y_lim + 5,
self.start_comment,
color='RebeccaPurple')
# References
reference_offset = 0.5
self.trader.ax.axhline(self.reference_price,
alpha=1,
linewidth=0.2,
color='Maroon')
self.trader.ax.text(x_lim + reference_offset, self.reference_price,
'Reference')
self.trader.ax.axhline(self.buy_limit,
alpha=1,
linewidth=0.2,
color='Maroon')
self.trader.ax.text(x_lim + reference_offset, self.buy_limit,
'Buy limit')
self.trader.ax.axhline(self.loss_limit,
alpha=1,
linewidth=0.2,
color='DeepPink')
self.trader.ax.text(x_lim + reference_offset, self.loss_limit,
'Loss cut')
# Purchases and Sales
total_range = self.top_price - self.bottom_price
offset = total_range * 0.035
x = current_time
y = self.reference_price
sales = copy.deepcopy(self.leverage.sales)
for order in sales.values():
if order.open_amount:
y += offset
self.trader.ax.text(
x, y, '({}/{})'.format(order.executed_amount_sum,
order.order_amount))
y = self.buy_limit - offset
purchases = copy.deepcopy(self.leverage.purchases)
for order in purchases.values():
if order.open_amount:
y -= offset
self.trader.ax.text(
x, y, '({}/{})'.format(order.executed_amount_sum,
order.order_amount))
def get_max_price(self, x1, x2):
max_price = self.leverage.chart.High[x1:x2].max()
return max_price
def get_min_price(self, x1, x2):
min_price = self.leverage.chart.Low[x1:x2].min()
return min_price
class VAlgorithm6(AlgorithmBase):
def __init__(self, log):
super().__init__(log)
self.leverage = None
def start(self, broker, capital, interval, loss_cut, fee,
minimum_transaction_amount):
self.leverage = AlgorithmItem('122630')
self.add_item(self.leverage)
self.initialize(broker, capital, interval, loss_cut, fee,
minimum_transaction_amount)
# Open Orders cancellation
self.clear_open_orders()
# Charting & Monitoring
broker.go_chart(self.leverage.item_code)
broker.demand_monitoring_items_info(self.leverage)
self.is_running = True
self.post('STARTED')
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
reference_price = wmath.get_top(item.current_price, self.interval)
self.set_reference(reference_price)
self.episode_purchase.virtual_open_amount = self.episode_amount
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
# self.purchase_ordered = True
self.leverage.buy(self.buy_limit, self.episode_amount)
return
# Update ask price
self.items[item.item_code].ask_price = abs(item.ask_price)
# Block during situation processing
# if self.purchase_ordered:
# self.post('(BLOCK)', 'purchase ordered')
# return
# elif self.sale_ordered:
# self.post('(BLOCK)', 'sale ordered')
# return
if self.open_correct_orders:
self.post('(BLOCK)', 'open correct orders',
self.open_correct_orders)
return
elif self.open_cancel_orders:
self.post('(BLOCK)', 'open cancel orders', self.open_cancel_orders)
return
elif self.sell_off_ordered:
self.post('(BLOCK)', 'sell off ordered')
return
elif self.settle_up_in_progress:
self.post_without_repetition('(BLOCK)', 'settle up in progress')
return
elif self.finish_up_in_progress:
self.post_without_repetition('(BLOCK)', 'finish in progress')
return
# Trade according to current price
if item.current_price >= (self.reference_price + self.loss_cut):
self.post('Situation 1')
self.open_correct_orders = len(self.leverage.purchases)
self.shift_reference_up()
self.purchase_episode_shifted = True
self.sale_episode_shifted = True
self.leverage.correct_purchases(self.buy_limit)
if self.leverage.holding_amount:
self.loss_limit -= self.loss_cut
elif item.current_price <= self.loss_limit:
self.post('Situation 4')
self.open_cancel_orders = len(self.leverage.sales)
self.shift_reference_down()
self.purchase_episode_shifted = True
self.sell_off_ordered = True
self.leverage.sell_off()
def update_execution_info(self, order):
# Inverse update execution
self.leverage.update_execution_info(order)
# Order processing
self.process_subsequent_order(order)
self.process_synchronization(order)
self.signal('algorithm_update')
self.broker.draw_chart.start()
def process_subsequent_order(self, order):
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.update_episode_purchase(order)
# if order.executed_amount:
# order_amount = self.leverage.holding_amount - self.episode_sale.virtual_open_amount
# if order_amount >= self.minimum_transaction_amount and not self.settle_up_in_progress:
# self.episode_sale.virtual_open_amount += order_amount
# self.leverage.sell(self.reference_price, order_amount)
elif order.order_position in (SELL, CORRECT_SELL):
self.update_episode_sale(order)
if order.executed_amount:
order_amount = self.episode_amount - self.episode_purchase.virtual_open_amount
order_amount -= self.leverage.holding_amount
if order_amount >= self.minimum_transaction_amount and not self.settle_up_in_progress:
self.episode_purchase.virtual_open_amount += order_amount
self.leverage.buy(self.buy_limit, order_amount)
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
def process_synchronization(self, order):
if order.order_position in (CORRECT_PURCHASE, CORRECT_SELL
) and order.order_state == CONFIRMED:
self.open_correct_orders -= 1
elif order.order_position in (CANCEL_PURCHASE, CANCEL_SELL
) and order.order_state == CONFIRMED:
if self.open_cancel_orders:
self.open_cancel_orders -= 1
# if not self.open_cancel_orders:
# self.sell_off_ordered = True
# self.leverage.sell_off()
if self.settle_up_in_progress:
self.open_orders -= 1
self.debug('%%%%%%%% (SETTLE UP) OPEN ORDER', self.open_orders)
if not self.open_orders:
self.settle_up_proper()
elif self.finish_up_in_progress:
self.open_orders -= 1
if not self.open_orders:
self.finish_up_proper()
def update_episode_purchase(self, order):
executed_amount = abs(order.executed_amount)
if self.purchase_episode_shifted and order.order_price != self.episode_purchase.order_price:
old_purchase = self.episode_purchase
self.purchase_episode_shifted = False
self.episode_purchase = Order()
self.episode_purchase_number = self.get_episode_purchase_number()
self.episode_purchase.episode_number = self.episode_purchase_number
self.episode_purchase.item_name = order.item_name
self.episode_purchase.order_price = order.order_price
self.episode_purchase.virtual_open_amount = old_purchase.virtual_open_amount
self.episode_purchase.executed_time = order.executed_time
self.episode_purchase.order_number = order.order_number
self.episode_purchase.order_position = order.order_position
self.episode_purchase.order_state = order.order_state
self.episode_purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_purchase.order_amount += order.order_amount
self.episode_purchase.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_purchase.open_amount -= executed_amount
self.episode_purchase.virtual_open_amount -= executed_amount
self.episode_purchase.executed_amount_sum += executed_amount
self.orders[self.episode_purchase_number] = self.episode_purchase
def update_episode_sale(self, order):
executed_amount = abs(order.executed_amount)
# if self.sale_episode_shifted and order.order_price != self.episode_sale.order_price:
if self.sale_episode_shifted:
self.sale_episode_shifted = False
old_sale = self.episode_sale
self.episode_sale = Order()
self.episode_sale_number = self.get_episode_sale_number()
self.episode_sale.episode_number = self.episode_sale_number
self.episode_sale.item_name = order.item_name
self.episode_sale.order_price = order.order_price
self.episode_sale.virtual_open_amount = old_sale.virtual_open_amount
self.episode_sale.executed_time = order.executed_time
self.episode_sale.order_number = order.order_number
self.episode_sale.order_position = order.order_position
self.episode_sale.order_state = order.order_state
self.episode_sale.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.episode_sale.order_amount += order.order_amount
self.episode_sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.episode_sale.open_amount -= executed_amount
self.episode_sale.virtual_open_amount -= executed_amount
self.episode_sale.executed_amount_sum += executed_amount
self.episode_sale.profit += order.profit
self.episode_sale.net_profit += order.net_profit
self.orders[self.episode_sale_number] = self.episode_sale
if self.sell_off_ordered and not order.open_amount:
self.sale_episode_shifted = True
self.sell_off_ordered = False
