344 lines
14 KiB
Python
344 lines
14 KiB
Python
import wx
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import wx.grid
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import wx.lib.masked as masked
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from mt5_correlation.correlation import Correlation
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from mt5_correlation.config import Config
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from datetime import datetime, timedelta
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import pytz
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import pandas as pd
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import logging
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import definitions
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class MonitorFrame(wx.Frame):
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cor = None
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rows = 0 # Need to track as we need to notify grid if row count changes.
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opened_filename = None # So we can save to same file as we opened
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config = None # The applications config
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COLUMN_INDEX = 0
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COLUMN_SYMBOL1 = 1
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COLUMN_SYMBOL2 = 2
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COLUMN_BASE_COEFFICIENT = 3
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COLUMN_DATE_FROM = 4
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COLUMN_DATE_TO = 5
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COLUMN_TIMEFRAME = 6
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COLUMN_LAST_CHECK = 7
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COLUMN_LAST_COEFFICIENT = 8
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def __init__(self, *args, **kwds):
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self.log = logging.getLogger(__name__)
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self.config = Config.instance()
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# Create correlation instance to maintain state of calculated coefficients
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self.cor = Correlation()
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kwds["style"] = kwds.get("style", 0) | wx.DEFAULT_FRAME_STYLE
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wx.Frame.__init__(self, *args, **kwds)
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self.SetSize((1235, 800))
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self.SetTitle("Monitor for Divergence")
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# Status bar
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self.statusbar = self.CreateStatusBar(1)
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# Menu Bar
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self.menubar = wx.MenuBar()
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file_menu = wx.Menu()
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# Open and save
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menu_item_open = file_menu.Append(wx.ID_ANY, "Open", "Open correlations file.")
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menu_item_save = file_menu.Append(wx.ID_ANY, "Save", "Save correlations file.")
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menu_item_saveas = file_menu.Append(wx.ID_ANY, "Save As", "Save correlations file.")
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# Calculate
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file_menu.AppendSeparator()
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menu_item_calculate = file_menu.Append(wx.ID_ANY, "Calculate", "Calculate base coefficients.")
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# Close
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file_menu.AppendSeparator()
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menu_item_exit = file_menu.Append(wx.ID_ANY, "Exit", "Close the application")
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# Add file menu and set menu bar
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self.menubar.Append(file_menu, "File")
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self.SetMenuBar(self.menubar)
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# Main window
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self.window = wx.SplitterWindow(self, wx.ID_ANY)
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self.window.SetMinimumPaneSize(20)
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self.correlations_pane = wx.Panel(self.window, wx.ID_ANY)
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sizer_grid = wx.BoxSizer(wx.VERTICAL)
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# Filter label, input box and button
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sizer_coefficient = wx.BoxSizer(wx.HORIZONTAL)
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sizer_grid.Add(sizer_coefficient, 0, 0, 0)
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label_min_coefficient = wx.StaticText(self.correlations_pane, wx.ID_ANY, "Min Coefficient (Range -1 - 1)")
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sizer_coefficient.Add(label_min_coefficient, 0, wx.ALL, 0)
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self.edit_ctrl_min_coefficient = masked.NumCtrl(self.correlations_pane, value=self.cor.min_coefficient,
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allowNegative=True, min=-1, max=1, integerWidth=1,
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fractionWidth=5)
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sizer_coefficient.Add(self.edit_ctrl_min_coefficient, 0, wx.ALL, 0)
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self.filter_button = wx.Button(self.correlations_pane, wx.ID_ANY, label="Filter")
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sizer_coefficient.Add(self.filter_button, 0, wx.ALL, 0)
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self.monitor_toggle = wx.ToggleButton(self.correlations_pane, wx.ID_ANY, label="Monitoring")
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sizer_coefficient.Add(self.monitor_toggle, 0, wx.ALL, 0)
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# Data table using pandas dataframe for underlying data
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self.table = DataTable(self.cor.filtered_coefficient_data)
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self.grid_correlations = wx.grid.Grid(self.correlations_pane, wx.ID_ANY, size=(1, 1))
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self.grid_correlations.SetTable(self.table, takeOwnership=True)
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self.grid_correlations.EnableEditing(0)
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self.grid_correlations.EnableDragRowSize(0)
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self.grid_correlations.EnableDragGridSize(0)
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self.grid_correlations.SetSelectionMode(wx.grid.Grid.SelectRows)
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self.grid_correlations.SetColSize(self.COLUMN_INDEX, 0) # Index. Hide
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self.grid_correlations.SetColSize(self.COLUMN_SYMBOL1, 100) # Symbol 1
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self.grid_correlations.SetColSize(self.COLUMN_SYMBOL2, 100) # Symbol 2
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self.grid_correlations.SetColSize(self.COLUMN_BASE_COEFFICIENT, 100) # Base Coefficient
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self.grid_correlations.SetColSize(self.COLUMN_DATE_FROM, 0) # UTC Date From. Hide
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self.grid_correlations.SetColSize(self.COLUMN_DATE_TO, 0) # UTC Date To. Hide
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self.grid_correlations.SetColSize(self.COLUMN_TIMEFRAME, 0) # Timeframe. Hide.
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self.grid_correlations.SetColSize(self.COLUMN_LAST_CHECK, 100) # Last Check
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self.grid_correlations.SetColSize(self.COLUMN_LAST_COEFFICIENT, 100) # Last Coefficient
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sizer_grid.Add(self.grid_correlations, 1, wx.ALL | wx.EXPAND, 0)
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self.charts_pane = wx.Panel(self.window, wx.ID_ANY)
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# Charts
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sizer_chart = wx.BoxSizer(wx.VERTICAL)
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label_2 = wx.StaticText(self.charts_pane, wx.ID_ANY, "Charts Go Here", style=wx.ALIGN_CENTER_HORIZONTAL)
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sizer_chart.Add(label_2, 0, wx.ALIGN_CENTER_HORIZONTAL, 0)
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# Add the sizers to the panes
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self.charts_pane.SetSizer(sizer_chart)
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self.correlations_pane.SetSizer(sizer_grid)
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# Set window split to 2 panes and layout
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self.window.SplitVertically(self.correlations_pane, self.charts_pane)
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self.Layout()
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# Set up timer to refresh grid
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self.timer = wx.Timer(self)
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# Bind my buttons, timer, menu
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self.filter_button.Bind(wx.EVT_BUTTON, self.change_min_coefficient)
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self.monitor_toggle.Bind(wx.EVT_TOGGLEBUTTON, self.monitor)
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self.Bind(wx.EVT_TIMER, self.refresh_grid, self.timer)
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self.Bind(wx.EVT_MENU, self.open_file, menu_item_open)
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self.Bind(wx.EVT_MENU, self.save_file, menu_item_save)
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self.Bind(wx.EVT_MENU, self.save_file_as, menu_item_saveas)
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self.Bind(wx.EVT_MENU, self.calculate_coefficients, menu_item_calculate)
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self.Bind(wx.EVT_MENU, self.quit, menu_item_exit)
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# Bind window close event
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self.Bind(wx.EVT_CLOSE, self.on_close, self)
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def open_file(self, event):
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with wx.FileDialog(self, "Open Coefficients file", wildcard="CSV (*.csv)|*.csv",
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style=wx.FD_OPEN | wx.FD_FILE_MUST_EXIST) as fileDialog:
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if fileDialog.ShowModal() == wx.ID_CANCEL:
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return # the user changed their mind
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# Load the file chosen by the user
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self.opened_filename = fileDialog.GetPath()
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self.cor.load(self.opened_filename)
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# Refresh data in grid
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self.refresh_grid(event)
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self.SetStatusText(f"File {self.opened_filename} loaded.")
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def save_file(self, event):
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self.cor.save(self.opened_filename)
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self.SetStatusText(f"File saved as {self.opened_filename}")
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def save_file_as(self, event):
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with wx.FileDialog(self, "Save Coefficients file", wildcard="CSV (*.csv)|*.csv",
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style=wx.FD_SAVE) as fileDialog:
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if fileDialog.ShowModal() == wx.ID_CANCEL:
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return # the user changed their mind
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# Save the file, changing opened filename so next save writes to new file
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self.opened_filename = fileDialog.GetPath()
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self.cor.save(self.opened_filename)
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self.SetStatusText(f"File saved as {self.opened_filename}")
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def calculate_coefficients(self, event):
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# set time zone to UTC to avoid local offset issues, and get from and to dates (a week ago to today)
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timezone = pytz.timezone("Etc/UTC")
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utc_to = datetime.now(tz=timezone)
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utc_from = utc_to - timedelta(days=self.config.get('calculate.from.days'))
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# Set timeframe
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timeframe = self.config.get('calculate.timeframe')
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# Calculate
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self.SetStatusText("Calculating coefficients.")
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self.cor.calculate(date_from=utc_from, date_to=utc_to,
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timeframe=self.config.get('calculate.timeframe'),
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min_prices=self.config.get('calculate.min_prices'),
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max_set_size_diff_pct=self.config.get('calculate.max_set_size_diff_pct'),
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overlap_pct=self.config.get('calculate.overlap_pct'),
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max_p_value=self.config.get('calculate.max_p_value'))
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self.SetStatusText("")
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# Show calculated data
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self.refresh_grid(event)
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def quit(self, event):
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self.Close()
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def change_min_coefficient(self, event):
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self.cor.min_coefficient = self.edit_ctrl_min_coefficient.GetValue()
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self.refresh_grid(event)
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def refresh_grid(self, event):
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"""
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Refreshes grid. Notifies if rows have been added or deleted.
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:return:
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"""
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self.log.debug(f"Refreshing grid. Timer running: {self.timer.IsRunning()}")
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# Update data
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self.table.data = self.cor.coefficient_data.copy()
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# Format
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self.table.data['Base Coefficient'] = self.table.data['Base Coefficient'].map('{:.5f}'.format)
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self.table.data['Last Check'] = pd.to_datetime(self.table.data['Last Check'], utc=True)
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self.table.data['Last Check'] = self.table.data['Last Check'].dt.strftime('%d-%m-%y %H:%M:%S')
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self.table.data['Last Coefficient'] = self.table.data['Last Coefficient'].map('{:.5f}'.format)
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# Remove nans. The ones from the float column wil be str nan as they have been formatted
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self.table.data = self.table.data.fillna('')
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self.table.data['Last Coefficient'] = self.table.data['Last Coefficient'].replace('nan', '')
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# Start refresh
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self.grid_correlations.BeginBatch()
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# Check if num rows in dataframe has changed, and send appropriate APPEND or DELETE messages
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cur_rows = len(self.cor.filtered_coefficient_data.index)
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if cur_rows < self.rows:
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# Data has been deleted. Send message
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msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_NOTIFY_ROWS_DELETED,
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self.rows - cur_rows, self.rows - cur_rows)
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self.grid_correlations.ProcessTableMessage(msg)
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elif cur_rows > self.rows:
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# Data has been added. Send message
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msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_NOTIFY_ROWS_APPENDED,
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cur_rows - self.rows) # how many
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self.grid_correlations.ProcessTableMessage(msg)
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self.grid_correlations.EndBatch()
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# Send updated message
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msg = wx.grid.GridTableMessage(self.table, wx.grid.GRIDTABLE_REQUEST_VIEW_GET_VALUES)
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self.grid_correlations.ProcessTableMessage(msg)
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# Update row count
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self.rows = cur_rows
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def monitor(self, event):
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# Check state of toggle button. If on, then start monitoring, else stop
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if self.monitor_toggle.GetValue():
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self.log.debug("Starting monitoring.")
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self.SetStatusText("Monitoring for changes to coefficients.")
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# Calculate correlations fro last 10 mins
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timezone = pytz.timezone("Etc/UTC")
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utc_to = datetime.now(tz=timezone)
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utc_from = utc_to - timedelta(minutes=self.config.get('monitor.from.minutes'))
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self.timer.Start(10000)
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self.cor.start_monitor(interval=self.config.get('monitor.interval'), date_from=utc_from, date_to=utc_to,
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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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max_p_value=self.config.get('monitor.max_p_value'))
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else:
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self.log.debug("Stopping monitoring.")
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self.SetStatusText("Monitoring stopped.")
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self.timer.Stop()
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self.cor.stop_monitor()
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def on_close(self, event):
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"""
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Window closing. Save coefficients and stop monitoring.
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:param event:
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:return:
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"""
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if self.opened_filename is not None:
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self.cor.save(self.opened_filename)
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self.cor.stop_monitor()
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event.Skip()
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class DataTable(wx.grid.GridTableBase):
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"""
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A data table that holds data in a pandas dataframe
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"""
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def __init__(self, data=None):
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wx.grid.GridTableBase.__init__(self)
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self.headerRows = 1
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if data is None:
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data = pd.DataFrame()
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self.data = data
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# Get divergence threshold from app config
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# Get application config
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self.config = Config.instance()
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# Get divergence threshold. This will be used by DataTable to highlight cells
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self.divergence_threshold = self.config.get('monitor.divergence_threshold')
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def GetNumberRows(self):
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return len(self.data)
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def GetNumberCols(self):
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return len(self.data.columns) + 1
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def GetValue(self, row, col):
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if col == 0:
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return self.data.index[row]
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return self.data.iloc[row, col - 1]
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def SetValue(self, row, col, value):
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self.data.iloc[row, col - 1] = value
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def GetColLabelValue(self, col):
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if col == 0:
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if self.data.index.name is None:
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return 'Index'
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else:
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return self.data.index.name
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return str(self.data.columns[col - 1])
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def GetTypeName(self, row, col):
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return wx.grid.GRID_VALUE_STRING
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def GetAttr(self, row, col, prop):
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attr = wx.grid.GridCellAttr()
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# If column is last coefficient, get value and check against threshold. Highlight if diverged.
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threshold = self.config.get('monitor.divergence_threshold')
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if col == 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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if value <= threshold:
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attr.SetBackgroundColour(wx.YELLOW)
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else:
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attr.SetBackgroundColour(wx.WHITE)
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return attr
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