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Simplified coefficient class. Monitoring stores params so that they dont need to be passed around. Added support for different params for each timeframe. Updated GUI to show three timeframes for each calculation.

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This commit is contained in:
Jamie Cash
2021-03-10 15:22:17 +00:00
parent 0c17c7e5a9
commit 8c2cbf5df8
4 changed files with 144 additions and 117 deletions
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mt5_correlation/gui.py
+38 -18
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@@ -272,13 +272,13 @@ class MonitorFrame(wx.Frame):
# Autosave filename
filename = self.__opened_filename if self.__opened_filename is not None else 'autosave.cpd'
# Build calculation params and start monitor
calculation_params = [self.__config.get('monitor.calculations.long'),
self.__config.get('monitor.calculations.medium'),
self.__config.get('monitor.calculations.short')]
self.__cor.start_monitor(interval=self.__config.get('monitor.interval'),
calculate_from=[self.__config.get('monitor.calculate_from.long.minutes'),
self.__config.get('monitor.calculate_from.short.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'),
calculation_params=calculation_params,
cache_time=self.__config.get('monitor.tick_cache_time'),
autosave=self.__config.get('monitor.autosave'),
filename=filename)
@@ -326,13 +326,18 @@ class MonitorFrame(wx.Frame):
if restart_monitor_timer:
self.__log.info("Settings updated. Reloading monitoring timer.")
self.__cor.stop_monitor()
# Build calculation params and start monitor
calculation_params = [self.__config.get('monitor.calculations.long'),
self.__config.get('monitor.calculations.medium'),
self.__config.get('monitor.calculations.short')]
self.__cor.start_monitor(interval=self.__config.get('monitor.interval'),
calculate_from=[self.__config.get('monitor.calculate_from.long.minutes'),
self.__config.get('monitor.calculate_from.short.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'))
calculation_params=calculation_params,
cache_time=self.__config.get('monitor.tick_cache_time'),
autosave=self.__config.get('monitor.autosave'),
filename=self.__opened_filename)
if restart_gui_timer:
self.__log.info("Settings updated. Restarting gui timer.")
self.timer.Stop()
@@ -411,14 +416,17 @@ class MonitorFrame(wx.Frame):
symbol_2_ticks = self.__cor.get_ticks(symbol2, cache_only=True)
history_data_short = \
self.__cor.get_coefficient_history(symbol1, symbol2,
self.__config.get('monitor.calculate_from.short.minutes'))
self.__config.get('monitor.calculations.short.from'))
history_data_med = \
self.__cor.get_coefficient_history(symbol1, symbol2,
self.__config.get('monitor.calculations.medium.from'))
history_data_long = \
self.__cor.get_coefficient_history(symbol1, symbol2,
self.__config.get('monitor.calculate_from.long.minutes'))
self.__config.get('monitor.calculations.long.from'))
# Display if we have any data
self.__log.debug(f"Refreshing history graph {symbol1}:{symbol2}.")
self.__graph.draw(prices=[symbol_1_price_data, symbol_2_price_data], ticks=[symbol_1_ticks, symbol_2_ticks],
history=[history_data_short, history_data_long], symbols=[symbol1, symbol2])
history=[history_data_short, history_data_med, history_data_long], symbols=[symbol1, symbol2])
# Un-hide and layout if hidden
if not self.__graph.IsShown():
@@ -494,6 +502,7 @@ class DataTable(wx.grid.GridTableBase):
# If column is last coefficient, get value and check against threshold. Highlight if diverged.
threshold = Config().get('monitor.divergence_threshold')
if col in [MonitorFrame.COLUMN_LAST_COEFFICIENT]:
# Is coefficient <= threshold
value = self.GetValue(row, col)
if value != "":
value = float(value)
@@ -501,6 +510,16 @@ class DataTable(wx.grid.GridTableBase):
attr.SetBackgroundColour(wx.YELLOW)
else:
attr.SetBackgroundColour(wx.WHITE)
elif col in [MonitorFrame.COLUMN_LAST_CHECK]:
# Was the last check within the last 2 monitoring intervals
value = self.GetValue(row, col)
if value != "":
value = datetime.strptime(value, '%d-%m-%y %H:%M:%S')
if value >= datetime.now() - timedelta(minutes=2*Config().get('monitor.interval')):
attr.SetBackgroundColour(wx.YELLOW)
else:
attr.SetBackgroundColour(wx.WHITE)
return attr
@@ -550,7 +569,7 @@ class GraphPanel(wx.Panel):
# Check what data we have available
price_data_available = prices is not None and len(prices) == 2 and \
prices[0] is not None and prices[1] is not None
prices[0] is not None and prices[1] is not None
tick_data_available = ticks is not None and len(ticks) == 2 and ticks[0] is not None and ticks[1] is not None
history_data_available = history is not None and len(history) > 0
symbols_selected = symbols is not None and len(symbols) == 2
@@ -619,8 +638,9 @@ class GraphPanel(wx.Panel):
types = ['plot', 'plot', 'plot', 'plot', 'scatter']
# Legends
legends = [None, None, None, None, [f"{Config().get('monitor.calculate_from.short.minutes')} Minutes",
f"{Config().get('monitor.calculate_from.long.minutes')} Minutes"]]
legends = [None, None, None, None, [f"{Config().get('monitor.calculations.long.from')} Minutes",
f"{Config().get('monitor.calculations.medium.from')} Minutes",
f"{Config().get('monitor.calculations.short.from')} Minutes"]]
# Draw 5 charts
for index in range(0, len(self.__axes)):