Added support for multiple timeframes for coefficient calculation.
This commit is contained in:
Jamie Cash
+46
-25
@@ -284,7 +284,8 @@ class MonitorFrame(wx.Frame):
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filename = self.__opened_filename if self.__opened_filename is not None else 'autosave.cpd'
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self.__cor.start_monitor(interval=self.__config.get('monitor.interval'),
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from_mins=self.__config.get('monitor.from.minutes'),
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calculate_from=[self.__config.get('monitor.calculate_from.long.minutes'),
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self.__config.get('monitor.calculate_from.short.minutes')],
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min_prices=self.__config.get('monitor.min_prices'),
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max_set_size_diff_pct=self.__config.get('monitor.max_set_size_diff_pct'),
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overlap_pct=self.__config.get('monitor.overlap_pct'),
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@@ -329,7 +330,7 @@ class MonitorFrame(wx.Frame):
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reload_correlations = True
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if setting.startswith('logging.'):
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reload_logger = True
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if setting.startswith('monitor.from.'):
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if setting.startswith('monitor.calculate_from'):
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reload_graph = True
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# Now perform the actions
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@@ -337,7 +338,8 @@ class MonitorFrame(wx.Frame):
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self.__log.info("Settings updated. Reloading monitoring timer.")
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self.__cor.stop_monitor()
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self.__cor.start_monitor(interval=self.__config.get('monitor.interval'),
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from_mins=self.__config.get('monitor.from.minutes'),
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calculate_from=[self.__config.get('monitor.calculate_from.long.minutes'),
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self.__config.get('monitor.calculate_from.short.minutes')],
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min_prices=self.__config.get('monitor.min_prices'),
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max_set_size_diff_pct=self.__config.get('monitor.max_set_size_diff_pct'),
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overlap_pct=self.__config.get('monitor.overlap_pct'),
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@@ -418,14 +420,16 @@ class MonitorFrame(wx.Frame):
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symbol_2_price_data = self.__cor.get_price_data(symbol2)
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symbol_1_ticks = self.__cor.get_ticks(symbol1, cache_only=True)
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symbol_2_ticks = self.__cor.get_ticks(symbol2, cache_only=True)
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history_data = self.__cor.get_coefficient_history(symbol1, symbol2)
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times = history_data['UTC Date To']
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coefficients = history_data['Coefficient']
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history_data_short = \
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self.__cor.get_coefficient_history(symbol1, symbol2,
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self.__config.get('monitor.calculate_from.short.minutes'))
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history_data_long = \
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self.__cor.get_coefficient_history(symbol1, symbol2,
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self.__config.get('monitor.calculate_from.long.minutes'))
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# Display if we have any data
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self.__log.debug(f"Refreshing history graph {symbol1}:{symbol2}.")
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self.__graph.draw(times=times, coefficients=coefficients, prices=[symbol_1_price_data, symbol_2_price_data],
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ticks=[symbol_1_ticks, symbol_2_ticks], symbols=[symbol1, symbol2])
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self.__graph.draw(prices=[symbol_1_price_data, symbol_2_price_data], ticks=[symbol_1_ticks, symbol_2_ticks],
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history=[history_data_short, history_data_long], symbols=[symbol1, symbol2])
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# Un-hide and layout if hidden
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if not self.__graph.IsShown():
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@@ -434,7 +438,7 @@ class MonitorFrame(wx.Frame):
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def __timer_event(self, event):
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"""
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Called on timer event. Refreshes grid and updatates selected graph.
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Called on timer event. Refreshes grid and updates selected graph.
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:return:
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"""
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self.refresh_grid()
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@@ -486,7 +490,7 @@ class DataTable(wx.grid.GridTableBase):
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# If column is last coefficient, get value and check against threshold. Highlight if diverged.
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threshold = Config().get('monitor.divergence_threshold')
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if col == MonitorFrame.COLUMN_LAST_COEFFICIENT:
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if col in [MonitorFrame.COLUMN_LAST_COEFFICIENT]:
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value = self.GetValue(row, col)
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if value != "":
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value = float(value)
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@@ -531,26 +535,39 @@ class GraphPanel(wx.Panel):
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self.__axes = None
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self.__fig = None
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def draw(self, times, coefficients, prices=None, symbols=None, ticks=None):
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def draw(self, prices=None, ticks=None, history=None, symbols=None):
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"""
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Plot the correlations.
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:param times: Series of time values for x axis for coefficient history chart
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:param coefficients: Series of coefficients values for y axis of coefficient history chart
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:param prices: Price data used to calculate base coefficient. List [Symbol1 Price Data, Symbol 2 Price Data]
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:param symbols: Symbols. List [Symbol1, Symbol2]
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:param ticks: Ticks used to calculate last coefficient. List [Symbol1, Symbol2]
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:param history: Coefficient history data. List of data for one or more timeframes.
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:param symbols: Symbols. List [Symbol1, Symbol2]
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:return:
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"""
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# Get all plots for history. History can contain multiple plots for different timeframes. They will all be
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# plotted on the same chart.
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times = []
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coefficients = []
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for hist in history:
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times.append(hist['Date To'])
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coefficients.append(hist['Coefficient'])
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# Clear. We will need to redraw
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for ax in self.__axes:
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ax.clear()
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if symbols is not None and len(symbols) == 2:
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# Axis ranges
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price_chart_date_range = [min(min(prices[0]['time']), min(prices[1]['time'])),
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max(max(prices[0]['time']), max(prices[1]['time']))]
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tick_chart_date_range = [min(min(ticks[0]['time']), min(ticks[1]['time'])),
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max(max(ticks[0]['time']), max(ticks[1]['time']))]
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default_range = [datetime.now() - timedelta(days=1), datetime.now()]
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price_chart_date_range = default_range # We need a default here if no data is available
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if prices is not None and len(prices) == 0 and prices[0] is not None and prices[1] is not None:
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price_chart_date_range = [min(min(prices[0]['time']), min(prices[1]['time'])),
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max(max(prices[0]['time']), max(prices[1]['time']))]
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tick_chart_date_range = default_range # We need a default here if no data is available
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if ticks is not None and len(ticks) == 0 and ticks[0] is not None and ticks[1] is not None:
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tick_chart_date_range = [min(min(ticks[0]['time']), min(ticks[1]['time'])),
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max(max(ticks[0]['time']), max(ticks[1]['time']))]
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# Chart config
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titles = [f"Base Coefficient Price Data for {symbols[0]}", f"Base Coefficient Price Data for {symbols[1]}",
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@@ -560,7 +577,7 @@ class GraphPanel(wx.Panel):
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ylims = [None, None, None, None, [-1, 1]]
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xlabels = [None, None, None, None, None]
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ylabels = ['Price', 'Price', 'Price', 'Price', 'Coefficient']
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tick_labels = [[], prices[1]['time'], [], ticks[1]['time'], times]
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tick_labels = [[], prices[1]['time'], [], ticks[1]['time'], times[0]]
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mtick_fmts = [None, self.__tick_fmt_date, None, self.__tick_fmt_time, self.__tick_fmt_time]
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mtick_rot = [0, 45, 0, 45, 45]
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xdata = [prices[0]['time'], prices[1]['time'], ticks[0]['time'], ticks[1]['time'], times]
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@@ -591,11 +608,15 @@ class GraphPanel(wx.Panel):
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self.__axes[index].spines["top"].set_visible(False)
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self.__axes[index].spines["right"].set_visible(False)
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# Plot
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if types[index] == 'plot':
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self.__axes[index].plot(xdata[index], ydata[index])
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elif types[index] == 'scatter':
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self.__axes[index].scatter(xdata[index], ydata[index], s=1)
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# Plot. There may be more than one set of data or each chart. Convert single data to list, then loop
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xdata_list = xdata[index] if isinstance(xdata[index], list) else [xdata[index], ]
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ydata_list = ydata[index] if isinstance(ydata[index], list) else [ydata[index], ]
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for data_index in range(0, len(xdata_list)):
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if types[index] == 'plot':
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self.__axes[index].plot(xdata_list[data_index], ydata_list[data_index])
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elif types[index] == 'scatter':
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self.__axes[index].scatter(xdata_list[data_index], ydata_list[data_index], s=1)
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# Layout with padding between charts
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self.__fig.tight_layout(pad=0.5)
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