241 lines
8.4 KiB
Python
241 lines
8.4 KiB
Python
from pathlib import Path
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from typing import Union
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import json
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from datetime import datetime, date, timedelta
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import re
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import pandas as pd
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from common.types import AccountBalances, MT5AccountInfo
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PACKAGE_ROOT = Path(__file__).parent.parent
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#PACKAGE_PARENT = '..'
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#SCRIPT_DIR = os.path.dirname(os.path.realpath(os.path.join(os.getcwd(), os.path.expanduser(__file__))))
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#sys.path.append(os.path.normpath(os.path.join(SCRIPT_DIR, PACKAGE_PARENT)))
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#PACKAGE_ROOT = os.path.dirname(os.path.abspath(__file__))
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class App:
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"""Globally visible variables."""
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# System
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loop = None # asyncio main loop
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sched = None # Scheduler
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analyzer = None # Store and analyze data
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# Connector client
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client = None
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# WebSocket for push notifications
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bm = None
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conn_key = None # Socket
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#
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# State of the server (updated after each interval)
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#
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# State 0 or None or empty means ok. String and other non empty objects mean error
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error_status = 0 # Networks, connections, exceptions etc. what does not allow us to work at all
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server_status = 0 # If server allow us to trade (maintenance, down etc.)
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account_status = 0 # If account allows us to trade (funds, suspended etc.)
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trade_state_status = 0 # Something wrong with our trading logic (wrong use, inconsistent state etc. what we cannot recover)
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df = None # Data from the latest analysis
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# Trade simulator
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transaction = None
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# Trade binance
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status = None # BOUGHT, SOLD, BUYING, SELLING
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order = None # Latest or current order
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order_time = None # Order submission time
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# Account Info
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# Available assets for trade
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# Can be set by the sync/recover function or updated by the trading algorithm
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# base_quantity = "0.04108219" # BTC owned (on account, already bought, available for trade)
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# quote_quantity = "1000.0" # USDT owned (on account, available for trade)
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account_info: Union[AccountBalances, MT5AccountInfo] = AccountBalances()
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#
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# Trader. Status data retrieved from the server. Below are examples only.
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#
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system_status = {"status": 0, "msg": "normal"} # 0: normal，1：system maintenance
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symbol_info = {}
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# account_info = {}
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#
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# Constant configuration parameters
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#
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config = {
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# Venue
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"venue": "",
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# Binance
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"api_key": "",
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"api_secret": "",
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# MetaTrader5
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"mt5_account_id": "",
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"mt5_password": "",
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"mt5_server": "",
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# Telegram
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"telegram_bot_token": "", # Source address of messages
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"telegram_chat_id": "", # Destination address of messages
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#
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# Conventions for the file and column names
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#
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"merge_file_name": "data.csv",
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"feature_file_name": "features.csv",
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"matrix_file_name": "matrix.csv",
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"predict_file_name": "predictions.csv", # predict, predict-rolling
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"signal_file_name": "signals.csv",
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"signal_models_file_name": "signal_models",
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"model_folder": "MODELS",
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"time_column": "timestamp",
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# File locations
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"data_folder": "C:/DATA_ITB", # Location for all source and generated data/models
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# ==============================================
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# === DOWNLOADER, MERGER and (online) READER ===
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# Symbol determines sub-folder and used in other identifiers
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"symbol": "BTCUSDT", # BTCUSDT ETHUSDT ^gspc EURUSD
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# This parameter determines time raster (granularity) for the data
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# It is pandas frequency
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"freq": "1min",
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# This list is used for downloading and then merging data
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# "folder" is symbol name for downloading. prefix will be added column names during merge
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"data_sources": [],
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# ==========================
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# === FEATURE GENERATION ===
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# What columns to pass to which feature generator and how to prefix its derived features
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# Each executes one feature generation function applied to columns with the specified prefix
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"feature_sets": [],
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# ========================
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# === LABEL GENERATION ===
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"label_sets": [],
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# ===========================
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# === MODEL TRAIN/PREDICT ===
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# predict off-line and on-line
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"label_horizon": 0, # This number of tail rows will be excluded from model training
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"train_length": 0, # train set maximum size. algorithms may decrease this length
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# List all features to be used for training/prediction by selecting them from the result of feature generation
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# The list of features can be found in the output of the feature generation (but not all must be used)
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# Currently the same feature set for all algorithms
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"train_features": [],
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# Labels to be used for training/prediction by all algorithms
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# List of available labels can be found in the output of the label generation (but not all must be used)
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"labels": [],
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# Algorithms and their configurations to be used for training/prediction
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"algorithms": [],
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# ===========================
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# ONLINE (PREDICTION) PARAMETERS
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# Minimum history length required to compute derived features
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"features_horizon": 10,
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# ===============
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# === SIGNALS ===
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"signal_sets": [],
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# =====================
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# === NOTIFICATIONS ===
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"score_notification_model": {},
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"diagram_notification_model": {},
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# ===============
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# === TRADING ===
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"trade_model": {
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"no_trades_only_data_processing": False, # in market or out of market processing is excluded (all below parameters ignored)
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"test_order_before_submit": False, # Send test submit to the server as part of validation
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"simulate_order_execution": False, # Instead of real orders, simulate their execution (immediate buy/sell market orders and use high price of klines for limit orders)
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"percentage_used_for_trade": 99, # in % to the available USDT quantity, that is, we will derive how much BTC to buy using this percentage
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"limit_price_adjustment": 0.005, # Limit price of orders will be better than the latest close price (0 means no change, positive - better for us, negative - worse for us)
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},
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"simulate_model": {},
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# =====================
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# === BINANCE TRADER ===
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"base_asset": "", # BTC ETH
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"quote_asset": "",
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# ==================
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# === COLLECTORS ===
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"collector": {
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"folder": "DATA",
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"flush_period": 300, # seconds
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"depth": {
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"folder": "DEPTH",
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"symbols": ["BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"],
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"limit": 100, # Legal values (depth): '5, 10, 20, 50, 100, 500, 1000, 5000' <100 weight=1
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"freq": "1min", # Pandas frequency
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},
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"stream": {
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"folder": "STREAM",
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# Stream formats:
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# For kline channel: <symbol>@kline_<interval>, Event type: "e": "kline", Symbol: "s": "BNBBTC"
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# For depth channel: <symbol>@depth<levels>[@100ms], Event type: NO, Symbol: NO
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# btcusdt@ticker
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"channels": ["kline_1m", "depth20"], # kline_1m, depth20, depth5
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"symbols": ["BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"],
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# "BTCUSDT", "ETHBTC", "ETHUSDT", "IOTAUSDT", "IOTABTC", "IOTAETH"
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}
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},
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}
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def data_provider_problems_exist():
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if App.error_status != 0:
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return True
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if App.server_status != 0:
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return True
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return False
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def problems_exist():
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if App.error_status != 0:
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return True
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if App.server_status != 0:
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return True
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if App.account_status != 0:
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return True
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if App.trade_state_status != 0:
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return True
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return False
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def load_config(config_file):
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if config_file:
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config_file_path = PACKAGE_ROOT / config_file
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with open(config_file_path, encoding='utf-8') as json_file:
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#conf_str = json.load(json_file)
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conf_str = json_file.read()
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# Remove everything starting with // and till the line end
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conf_str = re.sub(r"//.*$", "", conf_str, flags=re.M)
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conf_json = json.loads(conf_str)
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App.config.update(conf_json)
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if __name__ == "__main__":
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pass
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