new files for indicators and signals
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159
market_trade/core/indicators.py
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159
market_trade/core/indicators.py
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import pandas as pd
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import datetime
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import numpy as np
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import market_trade.core.CoreTraidMath as CoreTraidMath
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import market_trade.core.CoreDraw as CoreDraw
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class coreIndicator():
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def __init__(self,
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data=pd.DataFrame(),
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options={},
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showMode='None',
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):
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'''
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showMode = None/Ind/PartOf
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'''
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self.data=data
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self.showMode=showMode
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self.options=options
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self.overlayInd=None #True/False
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self.ans=None
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self.figDict=None
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def getAns(self,data=None):
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if type(data)!=type(None):
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self.data=data
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self.ans=self.getCalculate()
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if self.showMode=='Ind' or self.showMode=='PartOf':
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self.figDict=self.getFigDict()
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if self.showMode=='Ind':
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self.getFig()
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return self.ans
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def getFig(self,row=1):
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CoreDraw.coreDraw(self.figDict,True)
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def getCalculate(self):
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return "Error"
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def getFigDict(self):
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return "Error"
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class indicatorAgrigator():
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'''
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Тема чисто для отладки
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jj=indicatorAgrigator().runAll([o1,o2],df_candle[:30])
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#jj.createIndFromList([o1,o2])
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#jj.calculateInd(df_candle[:30])
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'''
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def __init__(self):
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self.indList=None
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self.data=None
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def createInd(self,classDict):
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return classDict['name'](
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options=classDict['params'],
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showMode=classDict['showMode']
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)
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def createIndFromList(self,indList):
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self.indList=indList
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ans=[]
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for i in self.indList:
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ans.append(self.createInd(i))
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self.indList=ans
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return ans
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def calculateInd(self,data):
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self.data=data
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for i in self.indList:
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#i.getAns(data)
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i.data=self.data
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i.ans=i.getCalculate()
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i.figDict=i.getFigDict()
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#i.getFig()
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def agrigateFig(self):
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req=[[]]
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for i in self.indList:
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if i.overlayInd==True:
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req[0].append(i)
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else:
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req.append([i])
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CoreDraw.agrigateFig(req,True)
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def runAll(self,indList,df,needDraw=False):
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self.createIndFromList(indList)
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self.calculateInd(df)
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if needDraw:
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self.agrigateFig()
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class ind_BB(coreIndicator):
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def getCalculate(self):
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self.overlayInd=True
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ans={}
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opMA={'dataType':'ohcl',
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'action':'findMean',
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'actionOptions':{
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'MeanType':self.options['MeanType'],
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'valueType':self.options['valueType'],
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'window':self.options['window']
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}
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}
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ans['BB']=CoreTraidMath.CoreMath(self.data,opMA).ans
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opSTD={'dataType':'ohcl',
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'action':'findSTD',
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'actionOptions':{'valueType':self.options['valueType'],'window':self.options['window']}
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}
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ans['STD']=CoreTraidMath.CoreMath(self.data,opSTD).ans
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ans['pSTD']=ans['BB']+ans['STD']*self.options['kDev']
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ans['mSTD']=ans['BB']-ans['STD']*self.options['kDev']
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ans['x']=np.array(self.data['date'][self.options['window']-1:].to_list())
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return ans
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def getFigDict(self,row=1):
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req=[]
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req.append({
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'vtype':'Scatter',
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'df':pd.DataFrame(
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{'value':self.ans['BB'],'date':self.ans['x']}) ,
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'row':row,
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'col':1,
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'name':'BB'
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})
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req.append({
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'vtype':'Scatter',
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'df':pd.DataFrame(
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{'value':self.ans['pSTD'],'date':self.ans['x']}) ,
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'row':row,
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'col':1,
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'name':'pSTD'
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})
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req.append({
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'vtype':'Scatter',
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'df':pd.DataFrame(
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{'value':self.ans['mSTD'],'date':self.ans['x']}) ,
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'row':row,
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'col':1,
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'name':'mSTD'
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})
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return req
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class ind_OCHL(coreIndicator):
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def getCalculate(self):
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self.overlayInd=True
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def getFigDict(self,row=1):
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req=[]
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req.append({
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'vtype':'OCHL',
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'df':self.data,
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'row':1,
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'col':1,
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'name':'OHCL'
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})
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return req
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194
market_trade/core/signals.py
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194
market_trade/core/signals.py
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import pandas as pd
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import datetime
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import numpy as np
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import market_trade.core.CoreTraidMath as CoreTraidMath
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import market_trade.core.CoreDraw as CoreDraw
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from tqdm import tqdm
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from market_trade.core.indicators import *
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class coreSignalTrande():
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def __init__(self,
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data=pd.DataFrame(),
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dataType='candel',
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mode='online',
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batchSize=None,
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indParams=None,
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signalParams=None,
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# needFig=False,
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# showOnlyIndex=False,
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# drawFig=False,
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# equalityGap=0
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):
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self.data = data.reset_index(drop=True)
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self.onlineData = data.reset_index(drop=True)
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self.dataType = dataType
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self.mode = mode
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self.ans = None
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self.softAnalizList = np.asarray([])
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self.hardAnalizList = np.asarray([])
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self.analizMetrics = {}
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self.indParams = indParams
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self.signalParams = signalParams
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self.batchSize = batchSize
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# self.needFig=needFig
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# self.showOnlyIndex=showOnlyIndex
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# self.drawFig=drawFig
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# self.equalityGap=equalityGap
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# Роутер получения ответа
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def getAns(self, data):
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# ans='Error: unknown Mode!'
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ans = None
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print("Start processing...")
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if self.mode == 'online':
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ans = self.getOnlineAns(data.reset_index(drop=True))
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elif self.mode == 'retro':
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ans = self.getRetroAns(data)
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elif self.mode == 'retroFast':
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ans = self.getRetroFastAns(data)
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print("Processing DONE!")
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return ans
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# Ретро режим, где расширяется окно добавлением новых элементов
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def getRetroAns(self, data):
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ans = np.asarray([])
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for i in tqdm(range(self.batchSize, len(data) - 1)):
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# self.onlineData=self.data[0:i]
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window_data = data[0:i]
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window_data.reset_index(drop=True)
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ans = np.append(ans, (self.getOnlineAns(window_data)))
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self.ans = ans
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self.getAnaliz()
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self.getMetrix()
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return ans
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# Ретро режим, где двигается окно
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def getRetroFastAns(self, data):
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# print('d - ',data)
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ans = np.asarray([])
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for i in tqdm(range(len(data) - 1 - self.batchSize)):
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# self.onlineData=self.data[i:i+self.batchSize]
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window_data = data[i:i + self.batchSize]
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# print('win - ',window_data)
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window_data.reset_index(drop=True)
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# print('win - ',window_data)
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ans = np.append(ans, (self.getOnlineAns(window_data)))
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self.ans = ans
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self.getAnaliz()
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self.getMetrix()
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return ans
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# Метод, который будет переопределять каждый дочерний класс
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def getOnlineAns(self):
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return 'Error'
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def getAnaliz(self):
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print("Start analiz...")
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for i in (range(len(self.ans))):
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sourceValue = self.data[self.signalParams['source']][i + self.batchSize]
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targetValue = self.data[self.signalParams['target']][i + self.batchSize + 1]
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if (targetValue) > sourceValue:
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if self.ans[i] == 1:
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self.softAnalizList = np.append(self.softAnalizList, 1)
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self.hardAnalizList = np.append(self.hardAnalizList, 1)
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elif self.ans[i] == -1:
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self.softAnalizList = np.append(self.softAnalizList, -1)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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else:
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self.softAnalizList = np.append(self.softAnalizList, 0)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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elif (targetValue) < sourceValue:
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if self.ans[i] == 1:
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self.softAnalizList = np.append(self.softAnalizList, -1)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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elif self.ans[i] == -1:
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self.softAnalizList = np.append(self.softAnalizList, 1)
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self.hardAnalizList = np.append(self.hardAnalizList, 1)
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else:
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self.softAnalizList = np.append(self.softAnalizList, 0)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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else:
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if self.ans[i] == 1:
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self.softAnalizList = np.append(self.softAnalizList, -1)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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elif self.ans[i] == -1:
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self.softAnalizList = np.append(self.softAnalizList, -1)
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self.hardAnalizList = np.append(self.hardAnalizList, -1)
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else:
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self.softAnalizList = np.append(self.softAnalizList, 0)
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self.hardAnalizList = np.append(self.hardAnalizList, 1)
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print("Analiz DONE!")
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return 0
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def getMeteixDict(self, d):
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'''
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1 - (сбывшиеся + несбывшиеся) \ (сбывшиеся + несбывшиеся +0)
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2 - (сбывшиеся - несбывшиеся) \ (сбывшиеся + несбывшиеся +0)
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'''
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return {
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'1': (d['1'] + d['-1']) / (d['1'] + d['-1'] + d['0']),
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'2': (d['1'] - d['-1']) / (d['1'] + d['-1'] + d['0']),
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}
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def getMetrix(self):
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softAnalizCount = {'-1': 0, '0': 0, '1': 0}
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hardAnalizCount = {'-1': 0, '0': 0, '1': 0}
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for i in range(len(self.softAnalizList)):
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softAnalizCount[str(int(self.softAnalizList[i]))] += 1
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hardAnalizCount[str(int(self.hardAnalizList[i]))] += 1
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self.analizMetrics = {'softAnaliz': self.getMeteixDict(softAnalizCount),
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'hardAnaliz': self.getMeteixDict(hardAnalizCount)
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}
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class signal_BB(coreSignalTrande):
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def __init__(self,
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data=pd.DataFrame(),
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dataType='candel',
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mode='online',
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batchSize=None,
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indParams=None,
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signalParams=None,
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):
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super().__init__(
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data=data,
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dataType=dataType,
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mode=mode,
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batchSize=batchSize,
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indParams=indParams,
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signalParams=signalParams,
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)
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if self.indParams == None:
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indParams = {'MeanType': 'SMA', 'window': 15, 'valueType': 'low', 'kDev': 2}
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else:
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indParams = self.indParams
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self.BB = ind_BB(
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data=data,
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options=indParams,
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)
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def getOnlineAns(self, data):
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ans = 0
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# print(data)
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self.BB.getAns(data)
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# print(BB)
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lastValue = data[self.signalParams['source']].to_list()[-1]
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if lastValue > self.BB.ans['pSTD'][-1]:
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ans = -1
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elif lastValue < self.BB.ans['mSTD'][-1]:
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ans = +1
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else:
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ans = 0
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return ans
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