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Added charts

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This commit is contained in:
Jamie Cash
2021-02-26 17:55:39 +00:00
parent e44f9451d0
commit 7ca46b1be2
4 changed files with 462 additions and 162 deletions
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mt5_correlation/gui.py
+193 -47
View File
@@ -1,5 +1,10 @@
import wx
import wx.grid
import matplotlib.pyplot as plt
from matplotlib.backends.backend_wxagg import FigureCanvasWxAgg as FigureCanvas
import matplotlib.dates
import matplotlib
from mt5_correlation.correlation import Correlation
from mt5_correlation.config import Config, SettingsDialog
from datetime import datetime, timedelta
@@ -7,15 +12,21 @@ import pytz
import pandas as pd
import logging
import logging.config
import os
matplotlib.use('WXAgg')
class MonitorFrame(wx.Frame):
cor = None
rows = 0 # Need to track as we need to notify grid if row count changes.
opened_filename = None # So we can save to same file as we opened
__opened_filename = None # So we can save to same file as we opened
config = None # The applications config
__selected_correlation = [] # List of Symbol 1 & Symbol 2
# Columns for coefficient table
COLUMN_INDEX = 0
COLUMN_SYMBOL1 = 1
COLUMN_SYMBOL2 = 2
@@ -31,7 +42,7 @@ class MonitorFrame(wx.Frame):
wx.Frame.__init__(self, parent=None, id=wx.ID_ANY, title="Divergence Monitor")
# Create logger and get config
self.log = logging.getLogger(__name__)
self.__log = logging.getLogger(__name__)
self.config = Config()
# Create correlation instance to maintain state of calculated coefficients. Set min coefficient from config
@@ -76,8 +87,8 @@ class MonitorFrame(wx.Frame):
panel = wx.Panel(self, wx.ID_ANY)
toggle_sizer = wx.BoxSizer(wx.HORIZONTAL) # Label and toggle
correlations_sizer = wx.BoxSizer(wx.VERTICAL) # Toggle sizer and correlations grid
main_sizer = wx.BoxSizer(wx.HORIZONTAL) # Correlations sizer and graphs panel
panel.SetSizer(main_sizer)
self.__main_sizer = wx.BoxSizer(wx.HORIZONTAL) # Correlations sizer and graphs panel
panel.SetSizer(self.__main_sizer)
# Create the label and toggle, populate the toggle sizer and add the toggle sizer to the correlations sizer
monitor_toggle_label = wx.StaticText(panel, id=wx.ID_ANY, label="Monitoring")
@@ -111,12 +122,13 @@ class MonitorFrame(wx.Frame):
self.grid_correlations.SetMaxSize((520, -1))
correlations_sizer.Add(self.grid_correlations, 1, wx.ALL | wx.EXPAND, 1)
# Create the charts
charts = wx.StaticText(panel, wx.ID_ANY, "Charts Go Here", style=wx.ALIGN_CENTER_HORIZONTAL)
# Create the charts and hide as we have no data to display yet
self.__graph = GraphPanel(panel)
self.__graph.Hide()
# Add the correlations sizer and the charts to the main sizer.
main_sizer.Add(correlations_sizer, 1, wx.ALL | wx.EXPAND, 1)
main_sizer.Add(charts, 1, wx.ALL | wx.EXPAND, 1)
self.__main_sizer.Add(correlations_sizer, 0, wx.ALL | wx.EXPAND, 1)
self.__main_sizer.Add(self.__graph, 1, wx.ALL | wx.EXPAND, 1)
# Size the window.
self.SetSize((800, 500))
@@ -129,7 +141,7 @@ class MonitorFrame(wx.Frame):
self.monitor_toggle.Bind(wx.EVT_TOGGLEBUTTON, self.monitor)
# Bind timer
self.Bind(wx.EVT_TIMER, self.refresh_grid, self.timer)
self.Bind(wx.EVT_TIMER, self.__timer_event, self.timer)
# Bind menu items
self.Bind(wx.EVT_MENU, self.open_file, menu_item_open)
@@ -139,6 +151,9 @@ class MonitorFrame(wx.Frame):
self.Bind(wx.EVT_MENU, self.open_settings, menu_item_settings)
self.Bind(wx.EVT_MENU, self.quit, menu_item_exit)
# Bind row select
self.Bind(wx.grid.EVT_GRID_SELECT_CELL, self.select_cell, self.grid_correlations)
# Bind window close event
self.Bind(wx.EVT_CLOSE, self.on_close, self)
@@ -149,18 +164,28 @@ class MonitorFrame(wx.Frame):
if fileDialog.ShowModal() == wx.ID_CANCEL:
return # the user changed their mind
# Load the file chosen by the user
self.opened_filename = fileDialog.GetPath()
self.cor.load(self.opened_filename)
# Load the file chosen by the user. Also load the corresponding data file if there is one.
self.__opened_filename = fileDialog.GetPath()
data_filename = f"{os.path.splitext(self.__opened_filename)[0]}.price.data"
if os.path.isfile(data_filename):
self.cor.load(self.__opened_filename, price_data_filename=data_filename)
else:
self.cor.load(self.__opened_filename)
# Refresh data in grid
self.refresh_grid(event)
self.refresh_grid()
self.SetStatusText(f"File {self.opened_filename} loaded.")
self.SetStatusText(f"File {self.__opened_filename} loaded.")
def save_file(self, event):
self.cor.save(self.opened_filename)
self.SetStatusText(f"File saved as {self.opened_filename}")
self.SetStatusText(f"Saving file as {self.__opened_filename}")
if self.__opened_filename is None:
self.save_file_as(event)
else:
self.cor.save(self.__opened_filename)
self.SetStatusText(f"File saved as {self.__opened_filename}")
def save_file_as(self, event):
with wx.FileDialog(self, "Save Coefficients file", wildcard="CSV (*.csv)|*.csv",
@@ -168,11 +193,14 @@ class MonitorFrame(wx.Frame):
if fileDialog.ShowModal() == wx.ID_CANCEL:
return # the user changed their mind
# Save the file, changing opened filename so next save writes to new file
self.opened_filename = fileDialog.GetPath()
self.cor.save(self.opened_filename)
# Save the file and price data file, changing opened filename so next save writes to new file
self.SetStatusText(f"Saving file as {self.__opened_filename}")
self.SetStatusText(f"File saved as {self.opened_filename}")
self.__opened_filename = fileDialog.GetPath()
data_filename = f"{os.path.splitext(self.__opened_filename)[0]}.price.data"
self.cor.save(self.__opened_filename, price_data_filename=data_filename)
self.SetStatusText(f"File saved as {self.__opened_filename}")
def calculate_coefficients(self, event):
# set time zone to UTC to avoid local offset issues, and get from and to dates (a week ago to today)
@@ -191,30 +219,30 @@ class MonitorFrame(wx.Frame):
self.SetStatusText("")
# Show calculated data
self.refresh_grid(event)
self.refresh_grid()
def quit(self, event):
self.Close()
def refresh_grid(self, event):
def refresh_grid(self):
"""
Refreshes grid. Notifies if rows have been added or deleted.
:return:
"""
self.log.debug(f"Refreshing grid. Timer running: {self.timer.IsRunning()}")
self.__log.debug(f"Refreshing grid. Timer running: {self.timer.IsRunning()}")
# Update data
self.table.data = self.cor.coefficient_data.copy()
# Format
self.table.data['Base Coefficient'] = self.table.data['Base Coefficient'].map('{:.5f}'.format)
self.table.data['Last Check'] = pd.to_datetime(self.table.data['Last Check'], utc=True)
self.table.data['Last Check'] = self.table.data['Last Check'].dt.strftime('%d-%m-%y %H:%M:%S')
self.table.data['Last Coefficient'] = self.table.data['Last Coefficient'].map('{:.5f}'.format)
self.table.data.loc[:, 'Base Coefficient'] = self.table.data['Base Coefficient'].map('{:.5f}'.format)
self.table.data.loc[:, 'Last Check'] = pd.to_datetime(self.table.data['Last Check'], utc=True)
self.table.data.loc[:, 'Last Check'] = self.table.data['Last Check'].dt.strftime('%d-%m-%y %H:%M:%S')
self.table.data.loc[:, 'Last Coefficient'] = self.table.data['Last Coefficient'].map('{:.5f}'.format)
# Remove nans. The ones from the float column wil be str nan as they have been formatted
# Remove nans. The ones from the float column will be str nan as they have been formatted
self.table.data = self.table.data.fillna('')
self.table.data['Last Coefficient'] = self.table.data['Last Coefficient'].replace('nan', '')
self.table.data.loc[:, 'Last Coefficient'] = self.table.data['Last Coefficient'].replace('nan', '')
# Start refresh
self.grid_correlations.BeginBatch()
@@ -244,24 +272,21 @@ class MonitorFrame(wx.Frame):
def monitor(self, event):
# Check state of toggle button. If on, then start monitoring, else stop
if self.monitor_toggle.GetValue():
self.log.debug("Starting monitoring.")
self.__log.info("Starting monitoring.")
self.monitor_toggle.SetBackgroundColour(wx.GREEN)
self.monitor_toggle.SetLabelText("On")
self.SetStatusText("Monitoring for changes to coefficients.")
# From and to dates for calculations.
timezone = pytz.timezone("Etc/UTC")
utc_to = datetime.now(tz=timezone)
utc_from = utc_to - timedelta(minutes=self.config.get('monitor.from.minutes'))
self.timer.Start(self.config.get('monitor.interval')*1000)
self.cor.start_monitor(interval=self.config.get('monitor.interval'), date_from=utc_from, date_to=utc_to,
self.cor.start_monitor(interval=self.config.get('monitor.interval'),
from_mins=self.config.get('monitor.from.minutes'),
min_prices=self.config.get('monitor.min_prices'),
max_set_size_diff_pct=self.config.get('monitor.max_set_size_diff_pct'),
overlap_pct=self.config.get('monitor.overlap_pct'),
max_p_value=self.config.get('monitor.max_p_value'))
max_p_value=self.config.get('monitor.max_p_value'),
cache_time=self.config.get('monitor.tick_cache_time'))
else:
self.log.debug("Stopping monitoring.")
self.__log.info("Stopping monitoring.")
self.monitor_toggle.SetBackgroundColour(wx.RED)
self.monitor_toggle.SetLabelText("Off")
self.SetStatusText("Monitoring stopped.")
@@ -288,7 +313,7 @@ class MonitorFrame(wx.Frame):
# If 'monitor.interval has changed then restart gui timer.
# If 'monitor.monitoring_threshold' has changed, then refresh correlation data.
# If any 'logging.' settings have changed, then reload logger config.
if setting.startswith('monitor. ') and setting != 'monitor.divergence_threshold':
if setting.startswith('monitor.') and setting != 'monitor.divergence_threshold':
restart_monitor_timer = True
if setting == 'monitor.interval':
restart_gui_timer = True
@@ -299,29 +324,30 @@ class MonitorFrame(wx.Frame):
# Now perform the actions
if restart_monitor_timer:
self.log.debug("Settings updated. Reloading monitoring timer.")
self.__log.info("Settings updated. Reloading monitoring timer.")
self.cor.stop_monitor()
# From and to dates for calculations.
timezone = pytz.timezone("Etc/UTC")
utc_to = datetime.now(tz=timezone)
utc_from = utc_to - timedelta(minutes=self.config.get('monitor.from.minutes'))
self.cor.start_monitor(interval=self.config.get('monitor.interval'), date_from=utc_from, date_to=utc_to,
self.cor.start_monitor(interval=self.config.get('monitor.interval'),
from_mins=self.config.get('monitor.from.minutes'),
min_prices=self.config.get('monitor.min_prices'),
max_set_size_diff_pct=self.config.get('monitor.max_set_size_diff_pct'),
overlap_pct=self.config.get('monitor.overlap_pct'),
max_p_value=self.config.get('monitor.max_p_value'))
if restart_gui_timer:
self.log.debug("Settings updated. Restarting gui timer.")
self.__log.info("Settings updated. Restarting gui timer.")
self.timer.Stop()
self.timer.Start(self.config.get('monitor.interval') * 1000)
if reload_correlations:
self.log.debug("Settings updated. Updating monitoring threshold and reloading grid.")
self.__log.info("Settings updated. Updating monitoring threshold and reloading grid.")
self.cor.monitoring_threshold = self.config.get("monitor.monitoring_threshold")
self.refresh_grid(event)
self.refresh_grid()
if reload_logger:
self.log.debug("Settings updated. Reloading logger.")
self.__log.info("Settings updated. Reloading logger.")
log_config = Config().get('logging')
logging.config.dictConfig(log_config)
@@ -331,13 +357,64 @@ class MonitorFrame(wx.Frame):
:param event:
:return:
"""
if self.opened_filename is not None:
self.cor.save(self.opened_filename)
if self.__opened_filename is not None:
self.cor.save(self.__opened_filename)
self.cor.stop_monitor()
# Kill graph as it seems to be stopping script from ending
self.__graph = None
# End
event.Skip()
def select_cell(self, event):
"""
A cell was selected. Show the graph for the correlation.
:param event:
:return:
"""
# Get row and symbols.
row = event.GetRow()
symbol1 = self.grid_correlations.GetCellValue(row, self.COLUMN_SYMBOL1)
symbol2 = self.grid_correlations.GetCellValue(row, self.COLUMN_SYMBOL2)
self.__selected_correlation = [symbol1, symbol2]
self.show_graph(symbol1, symbol2)
def show_graph(self, symbol1, symbol2):
"""
Displays the graph for the specified symbols correlation history
:param symbol1:
:param symbol2:
:return:
"""
# Get the data price data for the base coefficient calculation and the coefficient history data
symbol_1_price_data = self.cor.get_price_data(symbol1)
symbol_2_price_data = self.cor.get_price_data(symbol2)
history_data = self.cor.get_coefficient_history(symbol1, symbol2)
times = history_data['UTC Date To']
coefficients = history_data['Coefficient']
# Display if we have any data
self.__log.debug(f"Refreshing history graph {symbol1}:{symbol2}.")
self.__graph.draw(times=times, coefficients=coefficients, prices=[symbol_1_price_data, symbol_2_price_data],
symbols=[symbol1, symbol2])
# Un-hide and layout if hidden
if not self.__graph.IsShown():
self.__graph.Show()
self.__main_sizer.Layout()
def __timer_event(self, event):
"""
Called on timer event. Refreshes grid and updatates selected graph.
:return:
"""
self.refresh_grid()
if len(self.__selected_correlation) == 2:
self.show_graph(symbol1=self.__selected_correlation[0], symbol2=self.__selected_correlation[1])
class DataTable(wx.grid.GridTableBase):
"""
@@ -393,3 +470,72 @@ class DataTable(wx.grid.GridTableBase):
attr.SetBackgroundColour(wx.WHITE)
return attr
class GraphPanel(wx.Panel):
def __init__(self, parent):
# Super
wx.Panel.__init__(self, parent)
# 3 axis, price data 1, price data 2 and coefficient data. All will have axis labels and top and right boarders
# removed
self.__fig, self.__axes = plt.subplots(nrows=3, ncols=1)
# Create the canvas
self.__canvas = FigureCanvas(self, -1, self.__fig)
# Date format for x axes
self.__tick_fmt_date = matplotlib.dates.DateFormatter('%d-%b')
self.__tick_fmt_time = matplotlib.dates.DateFormatter('%H:%M:%S')
# Sizer etc.
self.__sizer = wx.BoxSizer(wx.VERTICAL)
self.__sizer.Add(self.__canvas, 1, wx.LEFT | wx.TOP | wx.GROW)
self.SetSizer(self.__sizer)
self.Fit()
def __del__(self):
# Close all plots
plt.close('all')
self.__axes = None
self.__fig = None
def draw(self, times, coefficients, prices=None, symbols=None):
"""
Plot the correlations.
:param times: Series of time values for x axis
:param coefficients: Series of coefficients values for y axis
:param prices: Price data used to calculate base coefficient. List [Symbol1 Price Data, Symbol 2 Price Data]
:param symbols: Symbols. List [Symbol1, Symbol2]
:return:
"""
# Clear. We will need to redraw
for ax in self.__axes:
ax.clear()
if symbols is not None and len(symbols) == 2:
# Price history chart for both symbols
for i in range(0, 2):
if symbols[i] is not None and prices is not None and len(prices) == 2 and prices[i] is not None:
self.__axes[i].set_title(f"Base Coefficient Price Data for {symbols[i]}")
self.__axes[i].set_xlabel('Time')
self.__axes[i].set_ylabel('Price')
self.__axes[i].plot(prices[i]['time'], prices[i]['close'])
self.__axes[i].xaxis.set_major_formatter(self.__tick_fmt_date)
self.__axes[i].xaxis.set_minor_formatter(self.__tick_fmt_time)
plt.setp(self.__axes[i].xaxis.get_majorticklabels(), rotation=45)
# Coefficient history chart
self.__axes[2].set_title(f"Coefficient History for {symbols[0]}:{symbols[1]}")
self.__axes[2].set_xlabel('Time')
self.__axes[2].set_ylabel('Coefficient')
self.__axes[2].plot(times, coefficients)
self.__axes[2].set_ylim([-1, 1])
self.__axes[2].xaxis.set_major_formatter(self.__tick_fmt_time)
plt.setp(self.__axes[2].xaxis.get_majorticklabels(), rotation=45)
# Layout with padding between charts
self.__fig.tight_layout(pad=0.5)
# Redraw canvas
self.__canvas.draw()