def simulator( candles: dict, run_silently: bool, hyperparameters: dict = None ) -> None: begin_time_track = time.time() key = f"{config['app']['considering_candles'][0][0]}-{config['app']['considering_candles'][0][1]}" first_candles_set = candles[key]['candles'] length = len(first_candles_set) # to preset the array size for performance try: store.app.starting_time = first_candles_set[0][0] except IndexError: raise IndexError('Check your "warm_up_candles" config value') store.app.time = first_candles_set[0][0] # initiate strategies for r in router.routes: # if the r.strategy is str read it from file if isinstance(r.strategy_name, str): StrategyClass = jh.get_strategy_class(r.strategy_name) # else it is a class object so just use it else: StrategyClass = r.strategy_name try: r.strategy = StrategyClass() except TypeError: raise exceptions.InvalidStrategy( "Looks like the structure of your strategy directory is incorrect. Make sure to include the strategy INSIDE the __init__.py file." "\nIf you need working examples, check out: https://github.com/jesse-ai/example-strategies" ) except: raise r.strategy.name = r.strategy_name r.strategy.exchange = r.exchange r.strategy.symbol = r.symbol r.strategy.timeframe = r.timeframe # read the dna from strategy's dna() and use it for injecting inject hyperparameters # first convert DNS string into hyperparameters if len(r.strategy.dna()) > 0 and hyperparameters is None: hyperparameters = jh.dna_to_hp(r.strategy.hyperparameters(), r.strategy.dna()) # inject hyperparameters sent within the optimize mode if hyperparameters is not None: r.strategy.hp = hyperparameters # init few objects that couldn't be initiated in Strategy __init__ # it also injects hyperparameters into self.hp in case the route does not uses any DNAs r.strategy._init_objects() selectors.get_position(r.exchange, r.symbol).strategy = r.strategy # add initial balance save_daily_portfolio_balance() progressbar = Progressbar(length, step=60) for i in range(length): # update time store.app.time = first_candles_set[i][0] + 60_000 # add candles for j in candles: short_candle = candles[j]['candles'][i] if i != 0: previous_short_candle = candles[j]['candles'][i - 1] short_candle = _get_fixed_jumped_candle(previous_short_candle, short_candle) exchange = candles[j]['exchange'] symbol = candles[j]['symbol'] store.candles.add_candle(short_candle, exchange, symbol, '1m', with_execution=False, with_generation=False) # print short candle if jh.is_debuggable('shorter_period_candles'): print_candle(short_candle, True, symbol) _simulate_price_change_effect(short_candle, exchange, symbol) # generate and add candles for bigger timeframes for timeframe in config['app']['considering_timeframes']: # for 1m, no work is needed if timeframe == '1m': continue count = jh.timeframe_to_one_minutes(timeframe) # until = count - ((i + 1) % count) if (i + 1) % count == 0: generated_candle = generate_candle_from_one_minutes( timeframe, candles[j]['candles'][(i - (count - 1)):(i + 1)]) store.candles.add_candle(generated_candle, exchange, symbol, timeframe, with_execution=False, with_generation=False) # update progressbar if not run_silently and i % 60 == 0: progressbar.update() sync_publish('progressbar', { 'current': progressbar.current, 'estimated_remaining_seconds': progressbar.estimated_remaining_seconds }) # now that all new generated candles are ready, execute for r in router.routes: count = jh.timeframe_to_one_minutes(r.timeframe) # 1m timeframe if r.timeframe == timeframes.MINUTE_1: r.strategy._execute() elif (i + 1) % count == 0: # print candle if jh.is_debuggable('trading_candles'): print_candle(store.candles.get_current_candle(r.exchange, r.symbol, r.timeframe), False, r.symbol) r.strategy._execute() # now check to see if there's any MARKET orders waiting to be executed store.orders.execute_pending_market_orders() if i != 0 and i % 1440 == 0: save_daily_portfolio_balance() if not run_silently: # print executed time for the backtest session finish_time_track = time.time() sync_publish('alert', { 'message': f'Successfully executed backtest simulation in: {round(finish_time_track - begin_time_track, 2)} seconds', 'type': 'success' }) for r in router.routes: r.strategy._terminate() store.orders.execute_pending_market_orders() # now that backtest is finished, add finishing balance save_daily_portfolio_balance()
def simulator(candles: Dict[str, Dict[str, Union[str, np.ndarray]]], hyperparameters=None) -> None: begin_time_track = time.time() key = '{}-{}'.format(config['app']['considering_candles'][0][0], config['app']['considering_candles'][0][1]) first_candles_set = candles[key]['candles'] length = len(first_candles_set) # to preset the array size for performance store.app.starting_time = first_candles_set[0][0] store.app.time = first_candles_set[0][0] # initiate strategies for r in router.routes: StrategyClass = jh.get_strategy_class(r.strategy_name) try: r.strategy = StrategyClass() except TypeError: raise exceptions.InvalidStrategy( "Looks like the structure of your strategy directory is incorrect. Make sure to include the strategy INSIDE the __init__.py file." "\nIf you need working examples, check out: https://github.com/jesse-ai/example-strategies" ) except: raise r.strategy.name = r.strategy_name r.strategy.exchange = r.exchange r.strategy.symbol = r.symbol r.strategy.timeframe = r.timeframe # inject hyper parameters (used for optimize_mode) # convert DNS string into hyperparameters if r.dna and hyperparameters is None: hyperparameters = jh.dna_to_hp(r.strategy.hyperparameters(), r.dna) # inject hyperparameters sent within the optimize mode if hyperparameters is not None: r.strategy.hp = hyperparameters # init few objects that couldn't be initiated in Strategy __init__ # it also injects hyperparameters into self.hp in case the route does not uses any DNAs r.strategy._init_objects() selectors.get_position(r.exchange, r.symbol).strategy = r.strategy # add initial balance save_daily_portfolio_balance() with click.progressbar(length=length, label='Executing simulation...') as progressbar: for i in range(length): # update time store.app.time = first_candles_set[i][0] + 60_000 # add candles for j in candles: short_candle = candles[j]['candles'][i] if i != 0: previous_short_candle = candles[j]['candles'][i - 1] short_candle = _get_fixed_jumped_candle( previous_short_candle, short_candle) exchange = candles[j]['exchange'] symbol = candles[j]['symbol'] store.candles.add_candle(short_candle, exchange, symbol, '1m', with_execution=False, with_generation=False) # print short candle if jh.is_debuggable('shorter_period_candles'): print_candle(short_candle, True, symbol) _simulate_price_change_effect(short_candle, exchange, symbol) # generate and add candles for bigger timeframes for timeframe in config['app']['considering_timeframes']: # for 1m, no work is needed if timeframe == '1m': continue count = jh.timeframe_to_one_minutes(timeframe) until = count - ((i + 1) % count) if (i + 1) % count == 0: generated_candle = generate_candle_from_one_minutes( timeframe, candles[j]['candles'][(i - (count - 1)):(i + 1)]) store.candles.add_candle(generated_candle, exchange, symbol, timeframe, with_execution=False, with_generation=False) # update progressbar if not jh.is_debugging() and not jh.should_execute_silently( ) and i % 60 == 0: progressbar.update(60) # now that all new generated candles are ready, execute for r in router.routes: count = jh.timeframe_to_one_minutes(r.timeframe) # 1m timeframe if r.timeframe == timeframes.MINUTE_1: r.strategy._execute() elif (i + 1) % count == 0: # print candle if jh.is_debuggable('trading_candles'): print_candle( store.candles.get_current_candle( r.exchange, r.symbol, r.timeframe), False, r.symbol) r.strategy._execute() # now check to see if there's any MARKET orders waiting to be executed store.orders.execute_pending_market_orders() if i != 0 and i % 1440 == 0: save_daily_portfolio_balance() if not jh.should_execute_silently(): if jh.is_debuggable('trading_candles') or jh.is_debuggable( 'shorter_period_candles'): print('\n') # print executed time for the backtest session finish_time_track = time.time() print( 'Executed backtest simulation in: ', '{} seconds'.format(round(finish_time_track - begin_time_track, 2))) for r in router.routes: r.strategy._terminate() store.orders.execute_pending_market_orders() # now that backtest is finished, add finishing balance save_daily_portfolio_balance()
def simulator(candles, hyper_parameters=None): begin_time_track = time.time() key = '{}-{}'.format(config['app']['trading_exchanges'][0], config['app']['trading_symbols'][0]) first_candles_set = candles[key]['candles'] length = len(first_candles_set) # to preset the array size for performance store.app.starting_time = first_candles_set[0][0] # initiate strategies for r in router.routes: StrategyClass = jh.get_strategy_class(r.strategy_name) # convert DNS string into hyper_parameters if r.dna and hyper_parameters is None: hyper_parameters = jh.dna_to_hp(StrategyClass.hyper_parameters(), r.dna) r.strategy = StrategyClass() r.strategy.name = r.strategy_name r.strategy.exchange = r.exchange r.strategy.symbol = r.symbol r.strategy.timeframe = r.timeframe # init few objects that couldn't be initiated in Strategy __init__ r.strategy._init_objects() # inject hyper parameters (used for optimize_mode) if hyper_parameters is not None: r.strategy.hp = hyper_parameters selectors.get_position(r.exchange, r.symbol).strategy = r.strategy # add initial balance _save_daily_portfolio_balance() with click.progressbar(length=length, label='Executing simulation...') as progressbar: for i in range(length): # update time store.app.time = first_candles_set[i][0] + 60_000 # add candles for j in candles: short_candle = candles[j]['candles'][i] exchange = candles[j]['exchange'] symbol = candles[j]['symbol'] store.candles.add_candle(short_candle, exchange, symbol, '1m', with_execution=False, with_generation=False) # print short candle if jh.is_debuggable('shorter_period_candles'): print_candle(short_candle, True, symbol) _simulate_price_change_effect(short_candle, exchange, symbol) # generate and add candles for bigger timeframes for timeframe in config['app']['considering_timeframes']: # for 1m, no work is needed if timeframe == '1m': continue count = jh.timeframe_to_one_minutes(timeframe) until = count - ((i + 1) % count) if (i + 1) % count == 0: generated_candle = generate_candle_from_one_minutes( timeframe, candles[j]['candles'][(i - (count - 1)):(i + 1)]) store.candles.add_candle(generated_candle, exchange, symbol, timeframe, with_execution=False, with_generation=False) # update progressbar if not jh.is_debugging() and not jh.should_execute_silently( ) and i % 60 == 0: progressbar.update(60) # now that all new generated candles are ready, execute for r in router.routes: count = jh.timeframe_to_one_minutes(r.timeframe) # 1m timeframe if r.timeframe == timeframes.MINUTE_1: r.strategy._execute() elif (i + 1) % count == 0: # print candle if jh.is_debuggable('trading_candles'): print_candle( store.candles.get_current_candle( r.exchange, r.symbol, r.timeframe), False, r.symbol) r.strategy._execute() # now check to see if there's any MARKET orders waiting to be executed store.orders.execute_pending_market_orders() if i != 0 and i % 1440 == 0: _save_daily_portfolio_balance() if not jh.should_execute_silently(): if jh.is_debuggable('trading_candles') or jh.is_debuggable( 'shorter_period_candles'): print('\n') # print executed time for the backtest session finish_time_track = time.time() print( 'Executed backtest simulation in: ', '{} seconds'.format(round(finish_time_track - begin_time_track, 2))) for r in router.routes: r.strategy._terminate() # now that backtest is finished, add finishing balance _save_daily_portfolio_balance()