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testdata

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Ichinga Samuel
2024-09-02 17:41:07 +01:00
parent f9f40be1da
commit 31c9b4bcb7
1 changed files with 37 additions and 16 deletions
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src/aiomql/core/backtester/test_data.py
+37 -16
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@@ -13,6 +13,7 @@ from MetaTrader5 import (Tick, SymbolInfo, AccountInfo, TradeOrder, TradePositio
from ..meta_trader import MetaTrader
from ..constants import TimeFrame, CopyTicks, OrderType, TradeAction
from .get_data import Data
from ...account import Account
from ...utils import round_down, round_up
tz = pytz.timezone('Etc/UTC')
@@ -25,7 +26,7 @@ class TestData:
def __init__(self, data: Data):
self._data = data
self.account = AccountInfo(**data.account)
self.account = Account(**data.account)
self.symbols = {symbol: SymbolInfo(**info) for symbol, info in data.symbols.items()}
self.prices = data.prices
self.ticks = data.ticks
@@ -131,28 +132,49 @@ class TestData:
profit = volume * sym.trade_contract_size * (price_close - price_open)
return profit
def check_order(self, order: TradeOrder) -> bool:
def check_order(self, ticket: int) -> bool:
order = self.open_orders[ticket]
order_type, symbol = order.type, order.symbol
tick = self.prices[symbol].loc[self.cursor.time]
tp, sl = order.tp, order.sl
match order_type:
case self.mt5._ORDER_TYPE_BUY:
if tp >= tick.bid or sl <= tick.bid:
self.close_position(ticket)
case self.mt5.ORDER_TYPE_SELL:
if tp <= tick.ask or sl >= tick.ask:
self.close_position(ticket)
case _:
...
def check_position(self, ticket: int) -> bool:
...
def check_position(self, position: TradePosition) -> bool:
...
def close_position(self, position: TradePosition):
profit = position.profit
self.open_orders.pop(position.ticket)
self.open_positions.pop(position.ticket)
def close_position(self, ticket: int):
position = self.open_positions.pop(ticket)
margin = self.margins.pop(position.ticket)
profit = position.profit
self.update_account(profit, margin=margin)
def modify_stops(self, ticket: int, sl: int = None, tp: int = None):
...
async def modify_stops(self, ticket: int, sl: int = None, tp: int = None):
pos = self.open_positions.pop(ticket)
sl = sl or pos.sl
tp = tp or pos.tp
order_type, symbol, volume, price_open = pos.order_type, pos.symbol, pos.volume
pos = pos._asdict()
pos.update(tp=tp, sl=sl, time_update=self.cursor.time)
profit = await self.mt5.order_calc_profit(order_type, symbol, volume, price_open, sl)
self.open_positions[ticket] = TradePosition(**pos)
def update_account(self, profit: float, margin: float = 0):
self.account.balance += profit
self.account.equity += profit
self.account.margin -= margin
self.account.margin_free = self.account.equity - self.account.margin
self.account.margin_level = (self.account.equity / self.account.margin) * 100
self.account.margin_level = (self.account.equity / self.account.margin) * 100 if self.account.margin_mode
async def order_send(self, request: dict, use_terminal: bool = True) -> OrderSendResult:
osr = {'retcode': 10009, 'comment': 'Request completed', 'request': TradeRequest(**request)}
@@ -218,7 +240,7 @@ class TestData:
equity = acc.equity
used_margin = acc.margin + margin
free_margin = acc.margin_free - margin
margin_level = (equity / used_margin) * 100
margin_level = (equity / used_margin) * 100 if (acc.margin_mode == ACCOUNT_STOPOUT_MODE_PERCENT and used_margin > 0) else free_margin
if use_terminal and self.mt5.config.use_terminal_for_backtesting:
ocr_t = await self.mt5.order_check(request)
@@ -237,9 +259,8 @@ class TestData:
ocr['retcode'] = 10016
ocr['comment'] = 'Invalid stops'
return OrderCheckResult(**ocr)
level = margin_level if acc.margin_mode == ACCOUNT_STOPOUT_MODE_PERCENT else free_margin
if level < acc.margin_so_call or free_margin <= 0:
if margin_level < acc.margin_so_call:
ocr['retcode'] = 10019
ocr['comment'] = 'No money'