gavindiaz/mt5-correlation
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Added UI and basic monitoring

Browse Source
This commit is contained in:
Jamie Cash
2021-02-10 18:21:49 +00:00
parent 16d8a98609
commit ef28f80a85
14 changed files with 896 additions and 131 deletions
Download Patch File Download Diff File Expand all files Collapse all files
mt5_correlation/gui.py
+343
View File
@@ -0,0 +1,343 @@
import wx
import wx.grid
import wx.lib.masked as masked
from mt5_correlation.correlation import Correlation
from mt5_correlation.config import Config
from datetime import datetime, timedelta
import pytz
import pandas as pd
import logging
import definitions
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
config = None # The applications config
COLUMN_INDEX = 0
COLUMN_SYMBOL1 = 1
COLUMN_SYMBOL2 = 2
COLUMN_BASE_COEFFICIENT = 3
COLUMN_DATE_FROM = 4
COLUMN_DATE_TO = 5
COLUMN_TIMEFRAME = 6
COLUMN_LAST_CHECK = 7
COLUMN_LAST_COEFFICIENT = 8
def __init__(self, *args, **kwds):
self.log = logging.getLogger(__name__)
self.config = Config.instance()
# Create correlation instance to maintain state of calculated coefficients
self.cor = Correlation()
kwds["style"] = kwds.get("style", 0) | wx.DEFAULT_FRAME_STYLE
wx.Frame.__init__(self, *args, **kwds)
self.SetSize((1235, 800))
self.SetTitle("Monitor for Divergence")
# Status bar
self.statusbar = self.CreateStatusBar(1)
# Menu Bar
self.menubar = wx.MenuBar()
file_menu = wx.Menu()
# Open and save
menu_item_open = file_menu.Append(wx.ID_ANY, "Open", "Open correlations file.")
menu_item_save = file_menu.Append(wx.ID_ANY, "Save", "Save correlations file.")
menu_item_saveas = file_menu.Append(wx.ID_ANY, "Save As", "Save correlations file.")
# Calculate
file_menu.AppendSeparator()
menu_item_calculate = file_menu.Append(wx.ID_ANY, "Calculate", "Calculate base coefficients.")
# Close
file_menu.AppendSeparator()
menu_item_exit = file_menu.Append(wx.ID_ANY, "Exit", "Close the application")
# Add file menu and set menu bar
self.menubar.Append(file_menu, "File")
self.SetMenuBar(self.menubar)
# Main window
self.window = wx.SplitterWindow(self, wx.ID_ANY)
self.window.SetMinimumPaneSize(20)
self.correlations_pane = wx.Panel(self.window, wx.ID_ANY)
sizer_grid = wx.BoxSizer(wx.VERTICAL)
# Filter label, input box and button
sizer_coefficient = wx.BoxSizer(wx.HORIZONTAL)
sizer_grid.Add(sizer_coefficient, 0, 0, 0)
label_min_coefficient = wx.StaticText(self.correlations_pane, wx.ID_ANY, "Min Coefficient (Range -1 - 1)")
sizer_coefficient.Add(label_min_coefficient, 0, wx.ALL, 0)
self.edit_ctrl_min_coefficient = masked.NumCtrl(self.correlations_pane, value=self.cor.min_coefficient,
allowNegative=True, min=-1, max=1, integerWidth=1,
fractionWidth=5)
sizer_coefficient.Add(self.edit_ctrl_min_coefficient, 0, wx.ALL, 0)
self.filter_button = wx.Button(self.correlations_pane, wx.ID_ANY, label="Filter")
sizer_coefficient.Add(self.filter_button, 0, wx.ALL, 0)
self.monitor_toggle = wx.ToggleButton(self.correlations_pane, wx.ID_ANY, label="Monitoring")
sizer_coefficient.Add(self.monitor_toggle, 0, wx.ALL, 0)
# Data table using pandas dataframe for underlying data
self.table = DataTable(self.cor.filtered_coefficient_data)
self.grid_correlations = wx.grid.Grid(self.correlations_pane, wx.ID_ANY, size=(1, 1))
self.grid_correlations.SetTable(self.table, takeOwnership=True)
self.grid_correlations.EnableEditing(0)
self.grid_correlations.EnableDragRowSize(0)
self.grid_correlations.EnableDragGridSize(0)
self.grid_correlations.SetSelectionMode(wx.grid.Grid.SelectRows)
self.grid_correlations.SetColSize(self.COLUMN_INDEX, 0) # Index. Hide
self.grid_correlations.SetColSize(self.COLUMN_SYMBOL1, 100) # Symbol 1
self.grid_correlations.SetColSize(self.COLUMN_SYMBOL2, 100) # Symbol 2
self.grid_correlations.SetColSize(self.COLUMN_BASE_COEFFICIENT, 100) # Base Coefficient
self.grid_correlations.SetColSize(self.COLUMN_DATE_FROM, 0) # UTC Date From. Hide
self.grid_correlations.SetColSize(self.COLUMN_DATE_TO, 0) # UTC Date To. Hide
self.grid_correlations.SetColSize(self.COLUMN_TIMEFRAME, 0) # Timeframe. Hide.
self.grid_correlations.SetColSize(self.COLUMN_LAST_CHECK, 100) # Last Check
self.grid_correlations.SetColSize(self.COLUMN_LAST_COEFFICIENT, 100) # Last Coefficient
sizer_grid.Add(self.grid_correlations, 1, wx.ALL | wx.EXPAND, 0)
self.charts_pane = wx.Panel(self.window, wx.ID_ANY)
# Charts
sizer_chart = wx.BoxSizer(wx.VERTICAL)
label_2 = wx.StaticText(self.charts_pane, wx.ID_ANY, "Charts Go Here", style=wx.ALIGN_CENTER_HORIZONTAL)
sizer_chart.Add(label_2, 0, wx.ALIGN_CENTER_HORIZONTAL, 0)
# Add the sizers to the panes
self.charts_pane.SetSizer(sizer_chart)
self.correlations_pane.SetSizer(sizer_grid)
# Set window split to 2 panes and layout
self.window.SplitVertically(self.correlations_pane, self.charts_pane)
self.Layout()
# Set up timer to refresh grid
self.timer = wx.Timer(self)
# Bind my buttons, timer, menu
self.filter_button.Bind(wx.EVT_BUTTON, self.change_min_coefficient)
self.monitor_toggle.Bind(wx.EVT_TOGGLEBUTTON, self.monitor)
self.Bind(wx.EVT_TIMER, self.refresh_grid, self.timer)
self.Bind(wx.EVT_MENU, self.open_file, menu_item_open)
self.Bind(wx.EVT_MENU, self.save_file, menu_item_save)
self.Bind(wx.EVT_MENU, self.save_file_as, menu_item_saveas)
self.Bind(wx.EVT_MENU, self.calculate_coefficients, menu_item_calculate)
self.Bind(wx.EVT_MENU, self.quit, menu_item_exit)
# Bind window close event
self.Bind(wx.EVT_CLOSE, self.on_close, self)
def open_file(self, event):
with wx.FileDialog(self, "Open Coefficients file", wildcard="CSV (*.csv)|*.csv",
style=wx.FD_OPEN | wx.FD_FILE_MUST_EXIST) as fileDialog:
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)
# Refresh data in grid
self.refresh_grid(event)
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}")
def save_file_as(self, event):
with wx.FileDialog(self, "Save Coefficients file", wildcard="CSV (*.csv)|*.csv",
style=wx.FD_SAVE) as fileDialog:
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)
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)
timezone = pytz.timezone("Etc/UTC")
utc_to = datetime.now(tz=timezone)
utc_from = utc_to - timedelta(days=self.config.get('calculate.from.days'))
# Set timeframe
timeframe = self.config.get('calculate.timeframe')
# Calculate
self.SetStatusText("Calculating coefficients.")
self.cor.calculate(date_from=utc_from, date_to=utc_to,
timeframe=self.config.get('calculate.timeframe'),
min_prices=self.config.get('calculate.min_prices'),
max_set_size_diff_pct=self.config.get('calculate.max_set_size_diff_pct'),
overlap_pct=self.config.get('calculate.overlap_pct'),
max_p_value=self.config.get('calculate.max_p_value'))
self.SetStatusText("")
# Show calculated data
self.refresh_grid(event)
def quit(self, event):
self.Close()
def change_min_coefficient(self, event):
self.cor.min_coefficient = self.edit_ctrl_min_coefficient.GetValue()
self.refresh_grid(event)
def refresh_grid(self, event):
"""
Refreshes grid. Notifies if rows have been added or deleted.
:return:
"""
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)
# Remove nans. The ones from the float column wil 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', '')
# Start refresh
self.grid_correlations.BeginBatch()
# Check if num rows in dataframe has changed, and send appropriate APPEND or DELETE messages
cur_rows = len(self.cor.filtered_coefficient_data.index)
if cur_rows < self.rows:
# Data has been deleted. Send message
msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_NOTIFY_ROWS_DELETED,
self.rows - cur_rows, self.rows - cur_rows)
self.grid_correlations.ProcessTableMessage(msg)
elif cur_rows > self.rows:
# Data has been added. Send message
msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_NOTIFY_ROWS_APPENDED,
cur_rows - self.rows) # how many
self.grid_correlations.ProcessTableMessage(msg)
self.grid_correlations.EndBatch()
# Send updated message
msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_REQUEST_VIEW_GET_VALUES)
self.grid_correlations.ProcessTableMessage(msg)
# Update row count
self.rows = cur_rows
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.SetStatusText("Monitoring for changes to coefficients.")
# Calculate correlations fro last 10 mins
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(10000)
self.cor.start_monitor(interval=self.config.get('monitor.interval'), date_from=utc_from, date_to=utc_to,
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'))
else:
self.log.debug("Stopping monitoring.")
self.SetStatusText("Monitoring stopped.")
self.timer.Stop()
self.cor.stop_monitor()
def on_close(self, event):
"""
Window closing. Save coefficients and stop monitoring.
:param event:
:return:
"""
if self.opened_filename is not None:
self.cor.save(self.opened_filename)
self.cor.stop_monitor()
event.Skip()
class DataTable(wx.grid.GridTableBase):
"""
A data table that holds data in a pandas dataframe
"""
def __init__(self, data=None):
wx.grid.GridTableBase.__init__(self)
self.headerRows = 1
if data is None:
data = pd.DataFrame()
self.data = data
# Get divergence threshold from app config
# Get application config
self.config = Config.instance()
# Get divergence threshold. This will be used by DataTable to highlight cells
self.divergence_threshold = self.config.get('monitor.divergence_threshold')
def GetNumberRows(self):
return len(self.data)
def GetNumberCols(self):
return len(self.data.columns) + 1
def GetValue(self, row, col):
if col == 0:
return self.data.index[row]
return self.data.iloc[row, col - 1]
def SetValue(self, row, col, value):
self.data.iloc[row, col - 1] = value
def GetColLabelValue(self, col):
if col == 0:
if self.data.index.name is None:
return 'Index'
else:
return self.data.index.name
return str(self.data.columns[col - 1])
def GetTypeName(self, row, col):
return wx.grid.GRID_VALUE_STRING
def GetAttr(self, row, col, prop):
attr = wx.grid.GridCellAttr()
# If column is last coefficient, get value and check against threshold. Highlight if diverged.
threshold = self.config.get('monitor.divergence_threshold')
if col == MonitorFrame.COLUMN_LAST_COEFFICIENT:
value = self.GetValue(row, col)
if value != "":
value = float(value)
if value <= threshold:
attr.SetBackgroundColour(wx.YELLOW)
else:
attr.SetBackgroundColour(wx.WHITE)
return attr