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Added support for inverse correlations

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This commit is contained in:
Jamie Cash
2021-03-16 15:02:19 +00:00
parent 4fdf4bedc7
commit d0049546fe
4 changed files with 143 additions and 59 deletions
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mt5_correlation/gui.py
+21 -8
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@@ -52,7 +52,8 @@ class MonitorFrame(wx.Frame):
# Create correlation instance to maintain state of calculated coefficients. Set min coefficient from config
self.__cor = cor.Correlation(monitoring_threshold=self.__config.get("monitor.monitoring_threshold"),
divergence_threshold=self.__config.get("monitor.divergence_threshold"))
divergence_threshold=self.__config.get("monitor.divergence_threshold"),
monitor_inverse=self.__config.get("monitor.monitor_inverse"))
# Status bar. 2 fields, one for monitoring status and one for general status. On open, monitoring status is not
# monitoring. SetBackgroundColour will change colour of both. Couldn't find a way to set on single field only.
@@ -221,12 +222,8 @@ class MonitorFrame(wx.Frame):
"""
self.__log.debug(f"Refreshing grid. Timer running: {self.timer.IsRunning()}")
# Get coefficient data and join to history data
coef_data = self.__cor.coefficient_data.copy()
hist_data = self.__cor.get_coefficient_history()
# Update data
self.table.data = self.__cor.coefficient_data.copy()
self.table.data = self.__cor.filtered_coefficient_data.copy()
# Format
self.table.data.loc[:, 'Base Coefficient'] = self.table.data['Base Coefficient'].map('{:.5f}'.format)
@@ -426,7 +423,9 @@ class MonitorFrame(wx.Frame):
# 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_med, history_data_long], symbols=[symbol1, symbol2])
history=[history_data_short, history_data_med, history_data_long], symbols=[symbol1, symbol2],
divergence_threshold=self.__cor.divergence_threshold,
monitor_inverse=self.__cor.monitor_inverse)
# Un-hide and layout if hidden
if not self.__graph.IsShown():
@@ -552,13 +551,17 @@ class GraphPanel(wx.Panel):
self.__axes = None
self.__fig = None
def draw(self, prices=None, ticks=None, history=None, symbols=None):
def draw(self, prices=None, ticks=None, history=None, symbols=None, divergence_threshold=None,
monitor_inverse=False):
"""
Plot the correlations.
:param prices: Price data used to calculate base coefficient. List [Symbol1 Price Data, Symbol 2 Price Data]
:param ticks: Ticks used to calculate last coefficient. List [Symbol1, Symbol2]
:param history: Coefficient history data. List of data for one or more timeframes.
:param symbols: Symbols. List [Symbol1, Symbol2]
:param divergence_threshold: The divergence threshold. Will be plotted on the coefficients charts if specified.
:param monitor_inverse: Are we monitoring inverse correlations. If so, a line for the inverse threshold will be
plotted if the divergence threshold is specified.
:return:
"""
@@ -638,6 +641,10 @@ class GraphPanel(wx.Panel):
f"{Config().get('monitor.calculations.medium.from')} Minutes",
f"{Config().get('monitor.calculations.short.from')} Minutes"]]
# lines
horiz_lines = [None, None, None, None, [divergence_threshold, divergence_threshold * -1
if divergence_threshold is not None and monitor_inverse else None]]
# Draw 5 charts
for index in range(0, len(self.__axes)):
# Titles and axis labels
@@ -679,6 +686,12 @@ class GraphPanel(wx.Panel):
else:
self.__axes[index].set_xticklabels([])
# Lines
if horiz_lines[index] is not None and isinstance(horiz_lines[index], list):
for line_pos in horiz_lines[index]:
if line_pos is not None:
self.__axes[index].axhline(y=line_pos, color="red", label='_nolegend_', linewidth=1)
# Legends
if legends[index] is not None:
self.__axes[index].legend(legends[index])