gavindiaz/aiomql
1
0
Fork 0
mirror of https://github.com/Ichinga-Samuel/aiomql.git synced 2026-08-03 07:17:49 +00:00
Code Issues Packages Projects Releases Wiki Activity

testdata

Browse Source
This commit is contained in:
Ichinga Samuel
2024-09-25 05:53:46 +01:00
parent d80212c270
commit 14aae0cfef
3 changed files with 100 additions and 50 deletions
Download Patch File Download Diff File Expand all files Collapse all files
src/aiomql/contrib/backtester/test_data.py
+94 -47
View File
@@ -10,6 +10,7 @@ from functools import cached_property
import pandas as pd
import pytz
import numpy as np
from debugpy.common.timestamp import current
from pandas import DataFrame
from MetaTrader5 import (Tick, SymbolInfo, AccountInfo, TradeOrder, TradePosition, TradeDeal,
TradeRequest, OrderCheckResult, OrderSendResult, TerminalInfo)
@@ -17,6 +18,7 @@ from MetaTrader5 import (Tick, SymbolInfo, AccountInfo, TradeOrder, TradePositio
from ...core.meta_trader import MetaTrader
from ...core.constants import TimeFrame, CopyTicks, OrderType, TradeAction, AccountStopOutMode
from ...core.config import Config
from ...lib.strategies.finger_trap import logger
from ...utils import round_down, round_up, error_handler, error_handler_sync, async_cache
from .get_data import Data, GetData
@@ -123,12 +125,15 @@ class TestData:
print(err)
@async_cache
async def get_price_tick(self, symbol: str, time: int) -> Tick | None:
if self.config.use_terminal_for_backtesting:
tick = await self.mt5.copy_ticks_from(symbol, time, 1, CopyTicks.ALL)
return Tick(tick[-1]) if tick else None
tick = self.prices[symbol].loc[self.cursor.time]
return Tick(tick)
async def get_price_tick(self, *, symbol: str, time: int) -> Tick | None:
try:
if self.config.use_terminal_for_backtesting:
tick = await self.mt5.copy_ticks_from(symbol, time, 1, CopyTicks.ALL)
return Tick(tick[-1]) if tick else None
tick = self.prices[symbol].loc[self.cursor.time]
return Tick(tick)
except Exception as exe:
logger.error(f"Error Getting Price Tick: {exe}")
@error_handler
async def check_order(self, ticket: int):
@@ -157,14 +162,18 @@ class TestData:
profit = await self.order_calc_profit(order_type, symbol, volume, price_open, price_current, use_terminal)
self.positions.update(ticket=pos.ticket, profit=profit, price_current=price_current, time_update=self.cursor.time)
def close_position(self, ticket: int):
@error_handler(response=False)
def close_position(self, *, ticket: int) -> bool:
position = self.positions.pop(ticket)
margin = self.margins.pop(position.ticket)
del self.orders[ticket]
del self.positions[ticket]
self.orders.update(ticket=ticket, time_done=self.cursor.time)
self.update_account(gain=position.profit, margin=-margin) # ToDo: Create a deal object here? modify update account
self.update_account(gain=position.profit, margin=-margin)
return True
def modify_stops(self, ticket: int, sl: int = None, tp: int = None):
@error_handler(response=False)
def modify_stops(self, *, ticket: int, sl: int = None, tp: int = None) -> bool:
pos = self.positions[ticket]
order = self.orders[ticket]
sl = sl or pos.sl
@@ -172,7 +181,8 @@ class TestData:
self.positions.update(ticket=ticket, sl=sl, tp=tp, time_update=self.cursor.time)
sl = sl or order.sl
tp = tp or order.tp
self.order.update(ticket=ticket, sl=sl, tp=tp, time_update=self.cursor.time)
self.orders.update(ticket=ticket, sl=sl, tp=tp, time_update=self.cursor.time)
return True
def update_account(self, *, profit: float = None, margin: float = 0, gain: float = 0):
self._account.balance += gain
@@ -229,45 +239,76 @@ class TestData:
return symbols
@error_handler
async def order_send(self, request: dict, use_terminal: bool = True) -> OrderSendResult:
print('sending orders')
ticket = random.randint(100_000_000, 999_999_999)
osr = {'retcode': 10009, 'comment': 'Request completed', 'request': TradeRequest(request)}
if (position := request.get('position')) in self.open_positions:
pos = self.open_positions[position]
order_type = OrderType(request['type'])
pos_type = OrderType(pos.type)
if order_type.opposite == pos_type: # ToDo: is there another way to check if the order is a close order?
# close position
self.close_position(pos.ticket)
self.to_json(osr) # ToDo: remove later
return OrderSendResult(osr) # ToDo: Create a deal object here
action = request['action']
if action == TradeAction.SLTP:
self.modify_stops(position, request['sl'], request['tp'])
return OrderSendResult(osr)
async def order_send(self, *, request: dict, use_terminal: bool = True) -> OrderSendResult:
order_ticket = random.randint(100_000_000, 999_999_999)
deal_ticket = random.randint(100_000_000, 999_999_999)
if (action := request.get('action')) == TradeAction.DEAL:
ocr = await self.order_check(request, use_terminal=use_terminal)
if ocr.retcode != 0:
osr.update({'comment': ocr.comment, 'retcode': ocr.retcode})
self.to_json(osr) # ToDo: remove later
return OrderSendResult(osr)
osr = {'retcode': 10013, 'comment': 'Invalid request',
'request': TradeRequest(request.get(k, (0 if k != 'comment' else '')) for k in
TradeRequest.__match_args__)}
deal_ticket = random.randint(100_000_000, 999_999_999)
tick = self.get_symbol_info_tick(request['symbol'])
trade_order = {'ticket': order_ticket, 'time_setup': self.cursor.time,
'time_setup_msc': self.cursor.time * 1000,
**{k: v for k, v in request.items() if k in TradeOrder.__match_args__}}
order_type, symbol, action, position_ticket = (request.get('type'), request.get('symbol', ''),
request.get('action'), request.get('position'))
order_type = OrderType(order_type)
current_position = self.positions.get(position_ticket)
# closing an order by an opposite order using a position ticket and Deal action
if action == TradeAction.DEAL and current_position and order_type.opposite == current_position.type:
res = self.close_position(current_position.ticket)
if res:
trade_order.update({'comment': 'Done', 'position_id': deal_ticket,
'position_by_id': current_position.ticket})
# ToDo: Create a deal object here?
# ToDo: Update trade order with more information?
order = TradeOrder((trade_order.get(k, 0) for k in TradeOrder.__match_args__))
self.orders[order.ticket] = order
del self.orders[order.ticket]
osr.update({'comment': 'Request completed', 'retcode': 10009,
'order': order_ticket, 'deal': deal_ticket,})
# ToDo: remove later
self.to_json(osr)
return OrderSendResult((osr.get(k, 0) for k in OrderSendResult.__match_args__))
if action == TradeAction.SLTP and current_position:
check = await self.order_check(position_ticket)
if check.retcode != 0:
osr = {'retcode': check.retcode, 'comment': check.comment, 'request': check.request}
return OrderSendResult((osr.get(k, 0) for k in OrderSendResult.__match_args__))
res = self.modify_stops(ticket=position_ticket, sl=request.get('sl'), tp=request.get('tp'))
if res:
# ToDo: Create a deal object here
osr.update({'comment': 'Request completed', 'retcode': 10009, 'order': order_ticket, 'deal': deal_ticket,})
self.to_json(osr) # ToDo: remove later
return OrderSendResult((osr.get(k, 0) for k in OrderSendResult.__match_args__))
if action == TradeAction.DEAL and order_type in (OrderType.BUY, OrderType.SELL):
check = await self.order_check(request=request)
if check.retcode != 0:
osr = {'retcode': check.retcode, 'comment': check.comment, 'request': check.request}
return OrderSendResult((osr.get(k, 0) for k in OrderSendResult.__match_args__))
self.to_json(osr) # ToDo: remove later
return OrderSendResult(osr)
order_type = request['type']
price = tick.ask if request['type'] == OrderType.BUY else tick.bid
volume = request['volume']
sl, tp = request.get('sl', 0), request.get('tp', 0)
symbol = request['symbol']
pos = {'comment': 'open position', 'ticket': ticket, 'symbol': symbol, 'volume': volume,
pos = {'comment': 'open position', 'ticket': order_ticket, 'symbol': symbol, 'volume': volume,
'price_open': price, 'price_current': price, 'type': order_type, 'profit': 0,
'sl': sl, 'tp': tp, 'time': tick.time,
'time_msc': tick.time_msc}
order = {'ticket': ticket, 'symbol': symbol, 'volume': volume, 'price': price, 'price_current': price,
order = {'ticket': order_ticket, 'symbol': symbol, 'volume': volume, 'price': price, 'price_current': price,
'price_open': price, 'type': order_type, 'time_setup': tick.time,
'time_setup_msc': tick.time_msc, 'volume_current': volume, 'sl': sl, 'tp': tp, }
@@ -278,10 +319,10 @@ class TestData:
self.open_orders[order.ticket] = order
self.orders.setdefault(order.symbol, {})[order.ticket] = order
self.positions.setdefault(pos.symbol, {})[pos.ticket] = pos
osr.update({'order': ticket, 'price': price, 'volume': volume, 'bid': tick.bid,
osr.update({'order': order_ticket, 'price': price, 'volume': volume, 'bid': tick.bid,
'ask': tick.ask, 'deal': deal_ticket})
margin = await self.order_calc_margin(action, symbol, volume, price, use_terminal=use_terminal)
self.margins[ticket] = margin
self.margins[order_ticket] = margin
self.update_account(margin=margin)
self.to_json(osr) # ToDo: remove later
return OrderSendResult(osr)
@@ -290,7 +331,8 @@ class TestData:
async def order_check(self, request: dict) -> OrderCheckResult:
ocr = {'retcode': 10013, 'balance': 0, 'profit': 0, 'margin': 0, 'equity': 0, 'margin_free': 0,
'margin_level': 0, 'comment': 'Invalid request',
'request': TradeRequest(request.get(k, (0 if k != 'comment' else 0)) for k in TradeRequest.__match_args__)}
'request': TradeRequest(request.get(k, (0 if k != 'comment' else '')) for k in
TradeRequest.__match_args__)}
action, symbol, volume = request.get('action'), request.get('symbol'), request.get('volume')
@@ -301,7 +343,7 @@ class TestData:
return OrderCheckResult((ocr.get(k, 0) for k in OrderCheckResult.__match_args__))
# check margin and confirm order can go through
if order_type in (OrderType.BUY, OrderType.SELL):
if action == TradeAction.DEAL and order_type in (OrderType.BUY, OrderType.SELL):
margin = await self.order_calc_margin(action, symbol, volume, price)
if margin is None:
return OrderCheckResult((ocr.get(k, 0) for k in OrderCheckResult.__match_args__))
@@ -321,14 +363,14 @@ class TestData:
return OrderCheckResult((ocr.get(k, 0) for k in OrderCheckResult.__match_args__))
# check if the stops level is valid
sym = await self.get_symbol_info(symbol)
sym = await self.get_symbol_info(symbol=symbol)
sl, tp = request.get('sl', 0), request.get('tp', 0)
current_price = price
if tp or sl:
if action == TradeAction.SLTP:
pos = self.positions.get(request.get('position'))
sym = await self.get_symbol_info(pos.symbol)
current_tick = await self.get_price_tick(sym, self.cursor.time)
sym = sym or await self.get_symbol_info(pos.symbol)
current_tick = sym or await self.get_price_tick(pos.symbol, self.cursor.time)
current_price = current_tick.bid if pos.type == OrderType.BUY else current_tick.ask
min_sl = min(sl, tp)
@@ -339,11 +381,16 @@ class TestData:
ocr['comment'] = 'Invalid stops'
return OrderCheckResult((ocr.get(k, 0) for k in OrderCheckResult.__match_args__))
elif action == TradeAction.SLTP:
ocr['comment'] = 'Done'
ocr['retcode'] = 0
return OrderCheckResult((ocr.get(k, 0) for k in OrderCheckResult.__match_args__))
if self.mt5.config.use_terminal_for_backtesting:
ocr_t = await self.mt5.order_check(request)
if ocr_t.retcode in (10013, 10014):
return ocr_t
else:
elif action == TradeAction.DEAL and order_type in (OrderType.BUY, OrderType.SELL):
# check volume
if volume < sym.volume_min or volume > sym.volume_max:
ocr['retcode'] = 10014
@@ -388,12 +435,12 @@ class TestData:
return AccountInfo(self._account.asdict().values())
@error_handler
async def get_symbol_info_tick(self, symbol: str) -> Tick | None:
async def get_symbol_info_tick(self, *, symbol: str) -> Tick | None:
tick = await self.get_price_tick(symbol, self.cursor.time)
return tick
@error_handler
async def get_symbol_info(self, symbol: str) -> SymbolInfo:
async def get_symbol_info(self, *, symbol: str) -> SymbolInfo:
if self.config.use_terminal_for_backtesting:
info = await self.mt5.symbol_info(symbol)
else:
src/aiomql/contrib/backtester/types.py
+3 -1
View File
@@ -1,9 +1,11 @@
from typing import Generic
from MetaTrader5 import TradePosition, TradeOrder, TradeDeal
from aiomql.utils import logger
class TradingData:
class TradingData[Generic]:
_data: dict[int, TradePosition | TradeOrder | TradeDeal]
_open_items: set[int]
src/aiomql/utils.py
+3 -2
View File
@@ -46,9 +46,9 @@ def backoff_decorator(func=None, *, max_retries: int = 5, retries: int = 0, erro
return wrapper
def error_handler(func=None, *, msg='', exe = Exception):
def error_handler(func=None, *, msg='', exe = Exception, response=None):
if func is None:
return partial(error_handler, msg=msg, exe=exe)
return partial(error_handler, msg=msg, exe=exe, response=response)
@wraps(func)
async def wrapper(*args, **kwargs):
@@ -57,6 +57,7 @@ def error_handler(func=None, *, msg='', exe = Exception):
return res
except exe as err:
logger.error(f'Error in {func.__name__}: {msg or err}')
return response
return wrapper