def generateCandidateCode(dbh, setup):
logic = {}
desc = formatCommentStrings(setup)
hdr = setHeader(setup)
logic["lsb"] = lsbLogic(setup)
logic["poi"] = poiLogic(dbh, setup)
logic["filters"] = filterLogic(dbh, setup)
logic["tseg"] = timeSegmentLogic(setup)
logic["stop_loss"] = stopLossLogic(setup)
logic["profit_target"] = profitTargetLogic(setup)
logger.debug(logic)
pprint.pprint(logic)
if not good_logic(logic):
warn("Not Good Logic")
return None
logger.debug(setup)
pprint.pprint(setup)
strat = processStrategyTemplate(setup["template_version"], hdr, desc, setup, logic)
logger.debug(f"write Candidate to {setup['strategy_file']}")
open(setup["strategy_file"], "w").write(strat)
return strat
def add_non_optimized_settings(dbh, proto_id, cand_params):
logger.debug(f"add_non_optimized_settings(dbh, {proto_id}, {cand_params}):")
proto_settings = queryPrototypeParams(dbh, proto_id)
for setting in proto_settings:
if setting.name not in cand_params.keys():
if setting.input_type != "var":
warn(
f"add_non_optimized_settings: setting should be var for proto {proto_id} var {setting.name} !!!!"
)
continue
cand_params[setting.name] = setting.value
def parseInput(param):
logger.debug(f"parseInput({param.input_type}):")
logger.debug(f"parseInput({param.value}):")
if param.input_type == "range":
return param.name, addInputRange(param)
elif param.input_type == "list":
return param.name, addInputList(param)
elif param.input_type == "var":
return param.name, addInputVar(param)
else:
warn(f"input_type({param.input_type}) not coded for, id={param.id}")
def poiLogic(dbh, setup):
logger.debug("================= poiLogic")
logger.debug(setup)
pprint.pprint(setup)
id_list = glom(setup, "opt_inputs.poi.value", default=None)
logger.debug(f"id_list = {id_list}")
if not id_list:
id_list = glom(setup, "param_vars.poi.value", default=None)
logger.debug(f"not id_list: {id_list}")
# new logic: candidate
if not id_list:
id_list = glom(setup, "vars.poi.setting", default=None)
logger.debug(f"poi id = {id_list}")
logic = []
if id_list == "" or id_list == None:
return logic
ids = id_list
if isinstance(id_list, str):
logger.debug("id_list is a str")
ids = id_list.split(",")
if len(ids) == 0:
return []
for id in ids:
logger.debug(f"for id is{id}")
q = queryPoi(dbh, id)
if not q:
# logic = None
warn(f"poiLogic: No POI logic for id: {id}")
continue
logger.debug("append to logic")
logic.append({
"poi_id": id,
"common": q.common_logic,
"long": q.long_logic,
"short": q.short_logic,
})
logger.debug("check vars")
if q.vars:
for v in q.vars.split(";"):
logger.debug(f"for v is {v}")
name, dtype, value = v.split(":")
# setup["param_vars"][name] = {"d_type": dtype, "value": value}
setup["vars"][name] = {
"d_type": dtype,
"setting": value,
"el_block": "variable",
}
#'opt_inputs': {'filter_1': {'dtype': 'int',
# 'type': 'distinct',
# 'value': [2, 5, 6]},
return logic
def timeSegmentLogic(setup):
seg = glom(setup, "opt_inputs.time_segment.value", default=None)
if not seg:
seg = glom(setup, "param_vars.time_segment.value", default=None)
# new logic: candidate
if not seg:
seg = glom(setup, "vars.time_segment.setting", default=None)
tseg = calcTimeSegmentSize(setup["sess_start"], setup["sess_end"])
timeframe = int(setup["timeframes"][0]["tf"])
sess_start = setup["sess_start"]
sess_end = setup["sess_end"]
if len(seg) > 1:
code = f"""
Switch (time_segment) begin
case 0: begin
time_filter = True;
end;
case 1 : begin
time_filter = time > {sess_start} and time <= {add2hhmm(sess_start, tseg)};
end;
case 2 : begin
time_filter = time > {add2hhmm(sess_start, tseg)} and time <= {add2hhmm(sess_start, (2*tseg) )};
end;
case 3 : begin
time_filter = time > {add2hhmm(sess_start, (2*tseg))} and time < {add2hhmm(sess_end,-timeframe)};
end;
end;
"""
elif len(seg) == 1:
if seg[0] == "0":
code = f"time_filter = True;"
elif seg[0] == "1":
code = f"time_filter = time > {sess_start} and time <= {add2hhmm(sess_start, tseg)};"
elif seg[0] == "2":
code = f"time_filter = time > {add2hhmm(sess_start, tseg)} and time <= {add2hhmm(sess_start, (2*tseg) )};"
elif seg[0] == "3":
code = f"time_filter = time > {add2hhmm(sess_start, (2*tseg))} and time < {add2hhmm(sess_end,-timeframe)};"
else:
warn(f"timeSegmentLogic({seg}) NOT CODED")
else:
code = f"time_filter = True;"
return code
def generateStrategyCode(dbh, setup):
logic = {}
desc = "" # formatCommentStrings(setup)
hdr = "" # setHeader(setup)
logic["lsb"] = lsbLogic(setup)
logic["poi"] = poiLogic(dbh, setup)
logic["filters"] = filterLogic(dbh, setup)
logic["tseg"] = timeSegmentLogic(setup)
logic["stop_loss"] = stopLossLogic(setup)
logic["profit_target"] = profitTargetLogic(setup)
setup["logic"] = {}
setup["logic"]["lsb"] = lsbLogic(setup)
setup["logic"]["poi"] = poiLogic(dbh, setup)
setup["logic"]["filters"] = filterLogic(dbh, setup)
setup["logic"]["tseg"] = timeSegmentLogic(setup)
setup["logic"]["stop_loss"] = stopLossLogic(setup)
setup["logic"]["profit_target"] = profitTargetLogic(setup)
logger.debug(logic)
pprint.pprint(logic)
if not good_logic(logic):
warn("Not Good Logic")
return None
logger.debug(setup)
pprint.pprint(setup)
hdr = ""
desc = {}
desc["chart_setup"] = ""
desc["prototype_info"] = ""
strat = processStrategyTemplate(setup["strategy_template_v"], hdr, desc,
setup, logic)
logger.debug(f"write Strategy to {setup['strategy_file']}")
open(setup["strategy_file"], "w").write(strat)
return strat
def getStrategySetup(dbh, strat_id):
logger.debug(f"strat_id = {strat_id}")
strat = queryStrategy(dbh, strat_id)
settings = queryStrategySettings(dbh, strat_id)
params = queryStrategyParams(dbh, strat_id)
setup = {}
setup["strat_id"] = strat_id
setup["cand_id"] = strat.cand_id
setup["strategy_template_v"] = strat.strategy_template_v
setup["oos_curve_template_v"] = strat.oos_curve_template_v
setup["jcl_version"] = strat.jcl_version
setup["symbol"] = strat.symbol
setup["chart_series"] = strat.chart_series
setup["reopt_param_names"] = strat.reopt_param_names
setup["fitness_func"] = strat.fitness_function
setup["max_bars_back"] = strat.max_days_back
setup["oosPercentLast"] = 0
setup["session_num"] = strat.market_session_id
setup["session_name"] = f"session {strat.market_session_id}"
setup["strategy_file"] = strat.strategy_file
setup["strategy_oos_file"] = strat.strategy_oos_file
setup["sess_start"], setup["sess_end"] = setSessionVars(
dbh, setup["session_num"])
setup["data_series"] = setDataSeries(setup["chart_series"])
setup["vars"] = {}
setup["counts"] = {}
setup["counts"]["el_vars"] = 0
setup["counts"]["el_inputs"] = 0
setup["counts"]["data_series"] = 0
setup["opt_inputs"] = {}
for p in params:
logger.debug(f"params: p={p.name}")
param_name, param_setup = parseInput(p)
setup["opt_inputs"][param_name] = param_setup
setup["vars"][param_name] = param_setup
setup["param_vars"] = {}
for s in settings:
logger.debug(f"settings: s={s.name}")
setup["vars"].setdefault(s.name, {})["d_type"] = s.data_type
setup["vars"][s.name]["setting"] = s.value
for k in setup["vars"]:
logger.debug(f"vars: k={k}")
if "value" in setup["vars"][k].keys() and isinstance(
setup["vars"][k]["value"], (list, )):
setup["vars"][k]["el_block"] = "input"
setup["counts"]["el_inputs"] += 1
else:
setup["vars"][k]["el_block"] = "variable"
setup["counts"]["el_vars"] += 1
setup["var_names"] = []
setup["input_names"] = []
for k, v in setup["vars"].items():
logger.debug(f"items: {v}")
pprint.pprint(f"*getCandidateSetup: items: {v}")
if v["el_block"] == "input":
setup["input_names"].append(k)
elif v["el_block"] == "variable":
setup["var_names"].append(k)
else:
warn(
f"el_block not defined, strat_id={setup['strat_id']}, var={k}")
setup["timeframes"] = []
for ds in setup["chart_series"].split(","):
i, symbol, tf, unit = ds.split(":")
tf_d = {"ds": i, "symbol": symbol, "tf": tf, "unit": unit}
setup["timeframes"].append(tf_d)
setup["counts"]["data_series"] += 1
dir = f"{ats_dir}/Data/StrategyCode/"
if platform.system() == "Windows":
dir = str(PureWindowsPath(ats_dir_win / strategy_code_dir))
setup["strategy_name"] = f"strat_{strat_id}"
setup["strategy_file"] = f"{dir}/{setup['strategy_name']}"
dir = f"{ats_dir}/Data/OptimizationApiCode/"
if platform.system() == "Windows":
dir = str(PureWindowsPath(ats_dir_win / jcl_code_dir))
setup["jcl_file"] = f"{dir}{setup['strategy_name']}.jcl"
return setup