def initialize(self):
# Initialization
self.report = Report(self.wallet.initial_balance, self.pairs,
self.root_report_currency,
self.bot.get_pair_delimiter())
self.report.set_verbosity(self.verbosity)
self.plot = Plot()
class Engine:
"""
Main class for Simulation Engine
"""
arg_parser = configargparse.get_argument_parser()
arg_parser.add("--strategy", help="Name of strategy to be run (if not set, the default one will be used")
arg_parser.add("--plot", help="Generate a candle stick plot at simulation end", action='store_true')
arg_parser.add("--ticker_size", help="Simulation ticker size", default=5)
arg_parser.add("--root_report_currency", help="Root currency used in final plot")
arg_parser.add("--buffer_size", help="Buffer size in days", default=30)
arg_parser.add("--prefetch", help="Prefetch data from history DB", action='store_true')
arg_parser.add("--plot_pair", help="Plot pair")
arg_parser.add("--all", help="Include all currencies/tickers")
arg_parser.add("--days", help="Days to pre-fill")
buffer_size = None
interval = None
pairs = None
verbosity = None
ticker = None
look_back = None
history = None
bot = None
report = None
plot = None
plot_pair = None
trade_mode = None
root_report_currency = None
config_strategy_name = None
actions = None
prefetch = None
first_ticker = None
last_valid_ticker = None
def __init__(self):
self.args = self.arg_parser.parse_known_args()[0]
self.parse_config()
strategy_class = common.load_module('strategies.', self.args.strategy)
self.wallet = Wallet()
self.history = pd.DataFrame()
trade_columns = ['date', 'pair', 'close_price', 'action']
self.trades = pd.DataFrame(columns=trade_columns, index=None)
if self.args.backtest:
self.bot = Backtest(self.wallet.initial_balance.copy())
self.trade_mode = TradeMode.backtest
elif self.args.paper:
self.bot = Paper(self.wallet.initial_balance.copy())
self.trade_mode = TradeMode.paper
self.wallet.initial_balance = self.bot.get_balance()
self.wallet.current_balance = self.bot.get_balance()
elif self.args.live:
self.bot = Live()
self.trade_mode = TradeMode.live
self.wallet.initial_balance = self.bot.get_balance()
self.wallet.current_balance = self.bot.get_balance()
self.strategy = strategy_class()
self.pairs = self.bot.get_pairs()
self.look_back = pd.DataFrame()
self.max_lookback_size = int(self.buffer_size*(1440/self.interval)*len(self.pairs))
self.initialize()
def initialize(self):
# Initialization
self.report = Report(self.wallet.initial_balance,
self.pairs,
self.root_report_currency,
self.bot.get_pair_delimiter())
self.report.set_verbosity(self.verbosity)
self.plot = Plot()
def parse_config(self):
"""
Parsing of config.ini file
"""
self.root_report_currency = self.args.root_report_currency
self.buffer_size = self.args.buffer_size
self.prefetch = self.args.prefetch
if self.buffer_size != '':
self.buffer_size = int(self.buffer_size)
self.interval = self.args.ticker_size
if self.interval != '':
self.interval = int(self.interval)
self.config_strategy_name = self.args.strategy
self.plot_pair = self.args.plot_pair
self.verbosity = self.args.verbosity
def on_simulation_done(self):
"""
Last function called when the simulation is finished
"""
print('shutting down and writing final statistics!')
strategy_info = self.report.write_final_stats(self.first_ticker.copy(),
self.last_valid_ticker.copy(),
self.wallet, self.trades)
if self.args.plot:
plot_title = ['Simulation: ' + str(self.trade_mode) + ' Strategy: ' + self.config_strategy_name + ', Pair: '
+ str(self.pairs)]
strategy_info = plot_title + strategy_info
self.plot.draw(self.history,
self.trades,
self.plot_pair,
strategy_info)
@staticmethod
def validate_ticker(df):
"""
Validates if the given dataframe contains mandatory fields
"""
columns_to_check = ['close', 'volume']
df_column_names = list(df)
if not set(columns_to_check).issubset(df_column_names):
return False
nan_columns = df.columns[df.isnull().any()].tolist()
nans = [i for i in nan_columns if i in columns_to_check]
if len(nans) > 0:
return False
return True
def simulation_finished(self, new_ticker):
"""
Checks if simulation is finished based on new data
"""
# If we got an empty dataset finish simulation
if new_ticker.empty:
print('New ticker is empty,..')
return True
# If we have not data just continue
if self.ticker is None:
return False
# If we have received the same date,..we assume that we have no more data,..finish simulation
if not self.ticker.empty and (self.ticker is not None and new_ticker.equals(self.ticker)):
print(colored('Received ticker data are the same as previous data (this can happen,..but not too often): '
+ str(new_ticker.date[0]), 'yellow'))
if self.trade_mode == TradeMode.backtest:
return True
else:
return False
return False
def run(self):
"""
This is the main simulation loop
"""
if self.bot is None:
print(colored('The bots type is NOT specified. You need to choose one action (--sim, --paper, --trade)', 'red'))
exit(0)
print(colored('Starting simulation: ' + str(self.trade_mode) + ', Strategy: ' + self.config_strategy_name, 'yellow'))
# Prefetch Buffer Data (if enabled in config)
if self.prefetch:
self.history = self.bot.prefetch(self.strategy.get_min_history_ticks(), self.interval)
self.look_back = self.history.copy()
try:
while True:
# Get next ticker
new_ticker = self.bot.get_next(self.interval)
# print('new_ticker____:', new_ticker)
if self.simulation_finished(new_ticker):
print("No more data,..simulation done,. quitting")
exit(0)
self.ticker = new_ticker
# Check if ticker is valid
if not self.validate_ticker(self.ticker):
print(colored('Received invalid ticker, will have to skip it! Details:\n' + str(self.ticker), 'red'))
continue
# Save ticker to buffer
self.history = self.history.append(self.ticker, ignore_index=True)
self.look_back = self.look_back.append(self.ticker, ignore_index=True)
# Check if buffer is not overflown
self.look_back = common.handle_buffer_limits(self.look_back, self.max_lookback_size)
if self.first_ticker is None or self.first_ticker.empty:
self.first_ticker = self.ticker.copy()
self.last_valid_ticker = self.ticker.copy()
# Get next actions
self.actions = self.strategy.calculate(self.look_back, self.wallet)
# Set trade
self.actions = self.bot.trade(self.actions,
self.wallet.current_balance,
self.trades)
# Get wallet balance
self.wallet.current_balance = self.bot.get_balance()
# Write report
self.report.calc_stats(self.ticker, self.wallet)
except KeyboardInterrupt:
self.on_simulation_done()
except SystemExit:
self.on_simulation_done()
class Engine:
"""
Main class for Simulation Engine (main class where all is happening
"""
buffer_size = None
interval = None
pairs = None
verbosity = None
ticker = None
look_back = None
history = None
bot = None
report = None
plot = None
plot_pair = None
trade_mode = None
root_report_currency = None
config_strategy_name = None
actions = None
prefetch = None
first_ticker = None
last_valid_ticker = None
def __init__(self, args, config_file):
# Arguments should override config.ini file, so lets initialize
# them only after config file parsing
self.parse_config(config_file)
self.args = args
self.config = config_file
strategy_class = self.load_strategy(args.strategy,
self.config_strategy_name)
self.strategy = strategy_class(args, self.verbosity)
self.wallet = Wallet(config_file)
self.history = pd.DataFrame()
trade_columns = ['date', 'pair', 'close_price', 'action']
self.trades = pd.DataFrame(columns=trade_columns, index=None)
if args.backtest:
self.bot = Backtest(args, config_file)
self.trade_mode = TradeMode.backtest
elif args.paper:
self.bot = Paper(args, config_file)
self.trade_mode = TradeMode.paper
self.wallet.initial_balance = self.bot.get_balance()
self.wallet.current_balance = self.bot.get_balance()
elif args.live:
self.bot = Live(args, config_file)
self.trade_mode = TradeMode.live
self.wallet.initial_balance = self.bot.get_balance()
self.wallet.current_balance = self.bot.get_balance()
self.pairs = self.bot.get_pairs()
self.look_back = pd.DataFrame()
self.max_lookback_size = int(self.buffer_size * (60 / self.interval) *
len(self.pairs))
self.initialize()
def initialize(self):
# Initialization
self.report = Report(self.wallet.initial_balance, self.pairs,
self.root_report_currency,
self.bot.get_pair_delimiter())
self.report.set_verbosity(self.verbosity)
self.plot = Plot()
@staticmethod
def load_strategy(arg_strategy, config_strategy):
"""
Loads strategy module based on given name.
"""
if arg_strategy is None and config_strategy == '':
print(
colored(
'Not provided strategy,. please add it as an argument or in config file',
'red'))
sys.exit()
if arg_strategy is not None:
strategy_name = arg_strategy
else:
strategy_name = config_strategy
mod = import_module("strategies." + strategy_name)
strategy_class = getattr(mod, strategy_name.capitalize())
return strategy_class
def parse_config(self, config_file):
"""
Parsing of config.ini file
"""
config = configparser.ConfigParser()
config.read(config_file)
self.root_report_currency = config['Trade']['root_report_currency']
self.buffer_size = config['Trade']['buffer_size']
self.prefetch = config.getboolean('Trade', 'prefetch')
if self.buffer_size != '':
self.buffer_size = int(self.buffer_size)
self.interval = config['Trade']['interval']
if self.interval != '':
self.interval = int(self.interval)
self.config_strategy_name = config['Trade']['strategy']
self.plot_pair = config['Report']['plot_pair']
self.verbosity = int(config['General']['verbosity'])
def on_simulation_done(self):
"""
Last function called when the simulation is finished
"""
print('shutting down and writing final statistics!')
if self.args.plot:
self.plot.draw(self.history, self.trades, self.plot_pair)
self.report.write_final_stats(self.first_ticker,
self.last_valid_ticker, self.wallet,
self.trades)
@staticmethod
def validate_ticker(df):
"""
Validates if the given dataframe contains mandatory fields
"""
columns_to_check = ['close', 'volume']
df_column_names = list(df)
if not set(columns_to_check).issubset(df_column_names):
return False
nan_columns = df.columns[df.isnull().any()].tolist()
nans = [i for i in nan_columns if i in columns_to_check]
if len(nans) > 0:
return False
return True
def run(self):
"""
This is the main simulation loop
"""
if self.bot is None:
print(
colored(
'The bots type is NOT specified. You need to choose one action (--sim, --paper, --trade)',
'red'))
sys.exit()
print(
colored(
'Starting simulation: ' + str(self.trade_mode) +
', Strategy: ' + self.config_strategy_name, 'yellow'))
# Prefetch Buffer Data (if enabled in config)
if self.prefetch:
self.history = self.bot.prefetch(
self.strategy.get_min_history_ticks(), self.interval)
self.look_back = self.history.copy()
try:
while True:
# Get next ticker
self.ticker = self.bot.get_next(self.interval)
if self.ticker.empty:
print("No more data,..simulation done,. quitting")
exit(0)
# Check if ticker is valid
if not self.validate_ticker(self.ticker):
print(
colored(
'Received invalid ticker, will have to skip it! Details:\n'
+ str(self.ticker), 'red'))
continue
# Save ticker to buffer
self.history = self.history.append(self.ticker,
ignore_index=True)
self.look_back = self.look_back.append(self.ticker,
ignore_index=True)
buffer_size = len(self.look_back.index)
if buffer_size > self.max_lookback_size:
print('max memory exceeded, cleaning/cutting buffer')
rows_to_delete = buffer_size - self.max_lookback_size
self.look_back = self.look_back.ix[rows_to_delete:]
self.look_back = self.look_back.reset_index(drop=True)
if self.first_ticker is None:
self.first_ticker = self.ticker
self.last_valid_ticker = self.ticker
# Get next actions
self.actions = self.strategy.calculate(self.look_back,
self.wallet)
# Set trade
self.actions = self.bot.trade(self.actions,
self.wallet.current_balance,
self.trades)
# Get wallet balance
self.wallet.current_balance = self.bot.get_balance()
# Write report
self.report.calc_stats(self.ticker, self.wallet)
except KeyboardInterrupt:
self.on_simulation_done()
except SystemExit:
self.on_simulation_done()
