def model_transactions(self, my_candle, prior_signal, trader, prior_bank):
'''
This is a basic model:
1. Spend full cash_bank at first BUY signal
2. Sell full crypto_bank at first SELL signal after a BUY.
'''
# Delete the object if it already exists, we are re-calculating next
Bank.objects.filter(crypto_candle=my_candle, user=trader).delete()
# If current signal as the same as prior, we do not act, so bank will stay the same.
if prior_signal != my_candle.signal:
# This means we have cash on hand because prior action was SELL.
if my_candle.signal == "BUY":
my_bank = Bank(crypto_candle=my_candle,
user=trader,
crypto_bank=prior_bank.cash_bank / my_candle.period_close,
cash_bank=0.0)
buy_switch = "BUY"
elif my_candle.signal == "SELL":
my_bank = Bank(crypto_candle=my_candle,
user=trader,
crypto_bank=0.0,
cash_bank=prior_bank.crypto_bank * my_candle.period_close)
buy_switch = "SELL"
else:
my_bank = prior_bank
buy_switch = my_candle.signal
return (my_bank, buy_switch)
def transaction_history(self, trader_name="admin"):
'''
Transaction history created for simulation subset. This is separate from self.update_signal because it always needs to go in chronological order whereas update_signal does not.
'''
# initialize variables to be used in loop
# we start with "SELL" because we haven't bought anything yet.
buy_switch = "SELL"
trader = get_user_model().objects.get_or_create(
username=trader_name)[0]
prior_sim = None
# delete if bank object already exists, then re-create.
Bank.objects.filter(
signal_simulation__simulation=self.simulation,
user=trader,
signal_simulation__crypto_candle__crypto_traded=self.currency
).delete()
for candle in self.candle_data.order_by('period_start_timestamp'):
try:
sim = get_object_or_404(SignalSimulation,
crypto_candle=candle,
simulation=self.simulation)
except:
# skip loop if SignalSimulation object is not found.
next
else:
# Initialize our starting cash amount (we know it is beginning because there is no prior_sim.
if prior_sim is None:
my_bank = Bank(
signal_simulation=sim,
user=trader,
# crypto_bank=(0.0),
cash_bank='1.0')
my_bank.save()
elif sim.signal:
# Remove HOLD signal, make sure it copies signal from prior day
if sim.signal == "HOLD":
if prior_sim.signal:
sim.signal = prior_sim.signal
# If we are missing prior signal, then we just assume "SELL" because we haven't bought. Because we are sorting by start date, this will only happen on day 1.
else:
sim.signal = "SELL"
sim.save()
# simulate our bank
my_bank_results = self.create_transaction(
sim, buy_switch, trader, my_bank)
my_bank = my_bank_results[0]
buy_switch = my_bank_results[1]
prior_sim = sim
return my_bank
def transaction_history(self, trader_name="admin"):
'''
Transaction history created for simulation subset. This is separate from self.update_signal because it always needs to go in chronological order whereas update_signal does not.
'''
# initialize variables to be used in loop
buy_switch = "SELL"
trader = get_user_model().objects.get_or_create(
username=trader_name)[0]
prior_sim = ""
for candle in self.candle_subset.order_by('period_start_timestamp'):
try:
sim = get_object_or_404(SignalSimulation,
crypto_candle=candle,
simulation=self.simulation_obj)
except:
next
else:
# Initialize our starting cash amount.
if prior_sim == "":
# delete if bank object already exists, then re-create.
Bank.objects.filter(signal_simulation=sim,
user=trader).delete()
my_bank = Bank(
signal_simulation=sim,
user=trader,
# crypto_bank=(0.0),
cash_bank='1.0')
my_bank.save()
elif sim.signal:
# Remove HOLD signal, make sure it copies signal from prior day
if sim.signal == "HOLD":
sim.signal = prior_sim.signal
sim.save()
# simulate our bank
my_bank_results = self.create_transaction(
sim, buy_switch, trader, my_bank)
my_bank = my_bank_results[0]
buy_switch = my_bank_results[1]
prior_sim = sim
return my_bank
def create_transaction(self, my_sim, prior_signal, trader, prior_bank):
'''
This is a basic model:
1. Spend full cash_bank at first BUY signal
2. Sell full crypto_bank at first SELL signal after a BUY.
'''
# If current signal as the same as prior, we do not act, so bank will stay the same.
if prior_signal != my_sim.signal and my_sim.signal != "HOLD":
# This means we have cash on hand because prior action was SELL.
if my_sim.signal == "BUY":
my_bank = Bank(
signal_simulation=my_sim,
user=trader,
crypto_bank=str(
decimal.Decimal(prior_bank.cash_bank) /
decimal.Decimal(my_sim.crypto_candle.period_close)),
cash_bank=str(0.0))
buy_switch = "BUY"
elif my_sim.signal == "SELL":
my_bank = Bank(
signal_simulation=my_sim,
user=trader,
crypto_bank=str(0.0),
cash_bank=str(
decimal.Decimal(prior_bank.crypto_bank) *
decimal.Decimal(my_sim.crypto_candle.period_close)))
buy_switch = "SELL"
my_bank.save()
else:
my_bank = prior_bank
buy_switch = my_sim.signal
return (my_bank, buy_switch)
def update_signal(self):
'''
Loops through candle subset to update signal and bank estimates. One-time update each time the data sources are updated.
TODO (reminder): allow optional start/end date parameters
'''
# initiate variables to be used in loop
prior_candle = ""
x = 0
buy_switch = "SELL"
# for now, we are just trading with "admin" money
trader_name = "admin"
trader = get_user_model().objects.get_or_create(username=trader_name)[0]
# below i want to make sure my delta is working along with my period interval. This will need to be updated once we introduce hourly intervals.
if self.period_interval == "1d":
delta_requirement = 1
# clear the fields before updating them
self.candle_subset.update(signal=None, prior_period_candle=None)
for candle in self.candle_subset.order_by('period_start_timestamp'):
# For initial candle, we will initialize the bank and do nothing else.
if prior_candle == "":
Bank.objects.filter(crypto_candle=candle, user=trader).delete()
my_bank = Bank(crypto_candle=candle,
user=trader,
crypto_bank=0.0,
cash_bank=decimal.Decimal(1.0))
# Make sure we have required values to calculate signal: (1) a candle instance to compare against, (2) trend ratio to compare
elif candle.search_trend.trend_ratio:
candle_delta = candle.search_trend.date - prior_candle.search_trend.date
# Make sure the two objects meet delta requirements
if candle_delta.days == delta_requirement:
result = self.calculate_signal(candle, prior_candle)
# counting our success instances
if result:
x += 1
# simulate our bank
my_bank_results = self.model_transactions(candle, buy_switch, trader, my_bank)
my_bank = my_bank_results[0]
buy_switch = my_bank_results[1]
prior_candle = candle
return f"Inserted {x} records on {timezone.now()}."