541 lines
27 KiB
Python
541 lines
27 KiB
Python
import math
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import logging
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import pandas as pd
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from datetime import datetime, timedelta
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import time
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import sched
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import threading
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import pytz
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from scipy.stats.stats import pearsonr
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import pickle
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import inspect
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import sys
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from mt5_correlation.mt5 import MT5
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class Correlation:
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"""
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A class to maintain the state of the calculated correlation coefficients.
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"""
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# Connection to metatrader
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__mt5 = None
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# Minimum base coefficient for monitoring. Symbol pairs with a lower correlation
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# coefficient than ths won't be monitored.
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monitoring_threshold = 0.9
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# Toggle on whether we are monitoring or not. Set through start_monitor and stop_monitor
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__monitoring = False
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__monitoring_params = {}
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# First run of scheduler
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__first_run = True
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# The price data used to calculate the correlations
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__price_data = None
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# Coefficient data and history. Will be created as dataframes in Init
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coefficient_data = None
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coefficient_history = None
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# Stores tick data used to calculate coefficient during Monitor.
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# Dict: {Symbol: [retrieved datetime, ticks dataframe]}
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__monitor_tick_data = {}
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def __init__(self):
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# Logger
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self.__log = logging.getLogger(__name__)
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# Connection to metatrader
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self.__mt5 = MT5()
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# Create dataframe for coefficient data
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self.__reset_coefficient_data()
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# Create timer for continuous monitoring
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self.__scheduler = sched.scheduler(time.time, time.sleep)
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@property
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def filtered_coefficient_data(self):
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"""
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:return: Coefficient data filtered so that all base coefficients >= monitoring_threshold
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"""
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if self.coefficient_data is not None:
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return self.coefficient_data.loc[self.coefficient_data['Base Coefficient'] >= self.monitoring_threshold]
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else:
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return None
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def load(self, filename):
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"""
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Loads calculated coefficients, price data used to calculate them and tick data used during monitoring.
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coefficients
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:param filename: The filename for the coefficient data to load.
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:return:
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"""
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# Load data
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with open(filename, 'rb') as file:
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loaded_dict = pickle.load(file)
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# Get data from loaded dict and save
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self.coefficient_data = loaded_dict["coefficient_data"]
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self.__price_data = loaded_dict["price_data"]
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self.__monitor_tick_data = loaded_dict["monitor_tick_data"]
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self.coefficient_history = loaded_dict["coefficient_history"]
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def save(self, filename):
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"""
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Saves the calculated coefficients, the price data used to calculate and the tick data for monitoring to a file.
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:param filename: The filename to save the data to.
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:return:
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"""
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# Add data to dict then use pickle to save
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save_dict = {"coefficient_data": self.coefficient_data, "price_data": self.__price_data,
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"monitor_tick_data": self.__monitor_tick_data, "coefficient_history": self.coefficient_history}
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with open(filename, 'wb') as file:
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pickle.dump(save_dict, file, protocol=pickle.HIGHEST_PROTOCOL)
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def calculate(self, date_from, date_to, timeframe, min_prices=100, max_set_size_diff_pct=90, overlap_pct=90,
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max_p_value=0.05):
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"""
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Calculates correlation coefficient between all symbols in MetaTrader5 Market Watch. Updates coefficient data.
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:param date_from: From date for price data from which to calculate correlation coefficients
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:param date_to: To date for price data from which to calculate correlation coefficients
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:param timeframe: Timeframe for price data from which to calculate correlation coefficients
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:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
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is not met then returned coefficient will be None
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:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
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within this pct of each other
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:param overlap_pct:
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:param max_p_value: The maximum p value for the correlation to be meaningful
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:return:
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"""
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coefficient = None
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# If we are monitoring, stop. We will need to restart later
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was_monitoring = self.__monitoring
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if self.__monitoring:
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self.stop_monitor()
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# Clear the existing correlations
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self.__reset_coefficient_data()
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# Get all visible symbols
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symbols = self.__mt5.get_symbols()
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# Get price data for selected symbols. 1 week of 15 min OHLC data for each symbol. Add to dict.
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self.__price_data = {}
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for symbol in symbols:
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self.__price_data[symbol] = self.__mt5.get_prices(symbol=symbol, from_date=date_from, to_date=date_to,
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timeframe=timeframe)
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# Loop through all symbol pair combinations and calculate coefficient. Make sure you don't double count pairs
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# eg. (USD/GBP AUD/USD vs AUD/USD USD/GBP). Use grid of all symbols with i and j axis. j starts at i + 1 to
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# avoid duplicating. We will store all coefficients in a dataframe for export as CSV.
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index = 0
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# There will be (x^2 - x) / 2 pairs where x is number of symbols
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num_pair_combinations = int((len(symbols) ** 2 - len(symbols)) / 2)
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for i in range(0, len(symbols)):
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symbol1 = symbols[i]
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for j in range(i + 1, len(symbols)):
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symbol2 = symbols[j]
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index += 1
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# Get price data for both symbols
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symbol1_price_data = self.__price_data[symbol1]
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symbol2_price_data = self.__price_data[symbol2]
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# Get coefficient
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if symbol1_price_data is not None and symbol2_price_data is not None:
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coefficient = self.calculate_coefficient(symbol1_prices=symbol1_price_data,
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symbol2_prices=symbol2_price_data,
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min_prices=min_prices,
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max_set_size_diff_pct=max_set_size_diff_pct,
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overlap_pct=overlap_pct, max_p_value=max_p_value)
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# Store if valid
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if coefficient is not None:
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self.coefficient_data = \
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self.coefficient_data.append({'Symbol 1': symbol1, 'Symbol 2': symbol2,
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'Base Coefficient': coefficient, 'UTC Date From': date_from,
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'UTC Date To': date_to, 'Timeframe': timeframe},
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ignore_index=True)
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self.__log.debug(f"Pair {index} of {num_pair_combinations}: {symbol1}:{symbol2} has a "
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f"coefficient of {coefficient}.")
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else:
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self.__log.debug(f"Coefficient for pair {index} of {num_pair_combinations}: {symbol1}:"
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f"{symbol2} could no be calculated.")
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# Sort, highest correlated first
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self.coefficient_data = self.coefficient_data.sort_values('Base Coefficient', ascending=False)
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# If we were monitoring, we stopped, so start again.
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if was_monitoring:
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self.start_monitor(interval=self.__monitoring_params['interval'],
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from_mins=self.__monitoring_params['from_mins'],
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min_prices=self.__monitoring_params['min_prices'],
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max_set_size_diff_pct=self.__monitoring_params['max_set_size_diff_pct'],
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overlap_pct=self.__monitoring_params['overlap_pct'],
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max_p_value=self.__monitoring_params['max_p_value'])
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def get_price_data(self, symbol):
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"""
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Returns the price data used to calculate the base coefficients for the specified symbol
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:param symbol: Symbol to get price data for.
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:return: price data
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"""
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price_data = None
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if symbol in self.__price_data:
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price_data = self.__price_data[symbol]
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return price_data
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def start_monitor(self, interval, from_mins, min_prices=100, max_set_size_diff_pct=90, overlap_pct=90,
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max_p_value=0.05, cache_time=10, autosave=False, filename='autosave.cpd'):
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"""
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Starts monitor to continuously update the coefficient for all symbol pairs in that meet the min_coefficient
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threshold.
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:param interval: How often to check in seconds
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:param from_mins: The number of minutes of tick data to use for calculations
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:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
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is not met then returned coefficient will be None
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:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
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within this pct of each other
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:param overlap_pct:
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:param max_p_value: The maximum p value for the correlation to be meaningful
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:param cache_time: Tick data is cached so that we can check coefficients for multiple symbol pairs and reuse
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the tick data. Number of seconds to cache tick data for before it becomes stale.
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:param autosave: Whether to autosave after every monitor run. If there is no filename specified then will
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create one named autosave.cpd
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:param filename: Filename for autosave. Default is autosave.cpd.
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:return: correlation coefficient, or None if coefficient could not be calculated.
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"""
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if self.__monitoring:
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self.__log.debug(f"Request to start monitor when monitor is already running. Monitor will be stopped and"
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f"restarted with new parameters.")
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self.stop_monitor()
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self.__log.debug(f"Starting monitor.")
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self.__monitoring = True
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# Create thread to run monitoring This will call private __monitor method that will run the calculation and
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# keep scheduling itself while self.monitoring is True. Store the params. We will need to use these if we have
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# to stop and restart the monitor. Note, this happens during calculate
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self.__monitoring_params = {'interval': interval, 'from_mins': from_mins,
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'min_prices': min_prices, 'max_set_size_diff_pct': max_set_size_diff_pct,
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'overlap_pct': overlap_pct, 'max_p_value': max_p_value, 'cache_time': cache_time,
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'autosave': autosave, 'filename': filename}
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thread = threading.Thread(target=self.__monitor, kwargs=self.__monitoring_params)
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thread.start()
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def stop_monitor(self):
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"""
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Stops monitoring symbol pairs for correlation.
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:return:
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"""
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if self.__monitoring:
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self.__log.debug(f"Stopping monitor.")
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self.__monitoring = False
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else:
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self.__log.debug(f"Request to stop monitor when it is not running. No action taken.")
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def calculate_coefficient(self, symbol1_prices, symbol2_prices, min_prices: int = 100,
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max_set_size_diff_pct: int = 90, overlap_pct: int = 90,
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max_p_value: float = 0.05):
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"""
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Calculates the correlation coefficient between two sets of price data. Uses close price.
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:param symbol1_prices: Pandas dataframe containing prices or ticks for symbol 1
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:param symbol2_prices: Pandas dataframe containing prices or ticks for symbol 2
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:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
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is not met then returned coefficient will be None
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:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
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within this pct of each other
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:param overlap_pct:
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:param max_p_value: The maximum p value for the correlation to be meaningful
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:return: correlation coefficient, or None if coefficient could not be calculated.
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:rtype: float or None
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"""
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assert symbol1_prices is not None and symbol2_prices is not None
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# Calculate size of intersection and determine if prices for symbols have enough overlapping timestamps for
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# correlation coefficient calculation to be meaningful. Is the smallest set at least max_set_size_diff_pct % of
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# the size of the largest set and is the overlap set size at least overlap_pct % the size of the smallest set?
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coefficient = None
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intersect_dates = (set(symbol1_prices['time']) & set(symbol2_prices['time']))
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len_smallest_set = int(min([len(symbol1_prices.index), len(symbol2_prices.index)]))
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len_largest_set = int(max([len(symbol1_prices.index), len(symbol2_prices.index)]))
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similar_size = len_largest_set * (max_set_size_diff_pct / 100) <= len_smallest_set
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enough_overlap = len(intersect_dates) >= len_smallest_set * (overlap_pct / 100)
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enough_prices = len_smallest_set >= min_prices
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suitable = similar_size and enough_overlap and enough_prices
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if suitable:
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# Calculate coefficient on close prices
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# First filter prices to only include those that intersect
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symbol1_prices_filtered = symbol1_prices[symbol1_prices['time'].isin(intersect_dates)]
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symbol2_prices_filtered = symbol2_prices[symbol2_prices['time'].isin(intersect_dates)]
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# Calculate coefficient. Only use if p value is < 0.01 (highly likely that coefficient is valid and null
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# hypothesis is false).
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coefficient_with_p_value = pearsonr(symbol1_prices_filtered['close'], symbol2_prices_filtered['close'])
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coefficient = None if coefficient_with_p_value[1] > max_p_value else coefficient_with_p_value[0]
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# If NaN, change to None
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if coefficient is not None and math.isnan(coefficient):
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coefficient = None
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self.__log.debug(f"Calculate coefficient returning {coefficient}. "
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f"Symbol 1 Prices: {len(symbol1_prices)} Symbol 2 Prices: {len(symbol2_prices)} "
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f"Overlap Prices: {len(intersect_dates)} Similar size: {similar_size} "
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f"Enough overlap: {enough_overlap} Enough prices: {enough_prices} Suitable: {suitable}.")
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return coefficient
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def get_coefficient_history(self, symbol1, symbol2):
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"""
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Returns the coefficient history for the specified symbol pair calculated during this instance.
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Coefficient history does not persist between instances.
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:param symbol1:
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:param symbol2:
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:return: dataframe containing history of coefficient data.
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"""
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history = self.coefficient_history[(self.coefficient_history['Symbol 1'] == symbol1) &
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(self.coefficient_history['Symbol 2'] == symbol2)]
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return history
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def get_ticks(self, symbol, date_from=None, date_to=None, cache_time=0, cache_only=False):
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"""
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Returns the ticks for the specified symbol. Get's from cache if available and not older than cache_timeframe.
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:param symbol: Name of symbol to get ticks for.
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:param date_from: Date to get ticks from. Can only be None if getting from cache (cache_only=True)
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:param date_to:Date to get ticks to. Can only be None if getting from cache (cache_only=True)
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:param cache_time: Number of seconds before cached data is stale. If > than this number of seconds has elapsed,
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get data from source and refresh cache.
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:param cache_only: Only retrieve from cache. cache_time is ignored. Returns None if symbol is not available in
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cache.
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:return:
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"""
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timezone = pytz.timezone("Etc/UTC")
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utc_now = datetime.now(tz=timezone)
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ticks = None
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# Cache only
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if cache_only:
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if symbol in self.__monitor_tick_data:
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ticks = self.__monitor_tick_data[symbol][1]
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# Check if we already have it and it is not stale
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elif symbol in self.__monitor_tick_data and utc_now < \
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self.__monitor_tick_data[symbol][0] + timedelta(seconds=cache_time):
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# Cached ticks are not stale. Get them
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ticks = self.__monitor_tick_data[symbol][1]
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self.__log.debug(f"Ticks for {symbol} retrieved from cache.")
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else:
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# Data does not exist in cache or cached data is stale. Retrieve from source and cache.
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ticks = self.__mt5.get_ticks(symbol=symbol, from_date=date_from, to_date=date_to)
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self.__monitor_tick_data[symbol] = [utc_now, ticks]
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self.__log.debug(f"Ticks for {symbol} retrieved from source and cached.")
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return ticks
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def __monitor(self, interval, from_mins, min_prices=100, max_set_size_diff_pct=90, overlap_pct=90,
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max_p_value=0.05, cache_time=10, autosave=False, filename='autosave.cpd'):
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"""
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The actual monitor method. Private. This should not be called outside of this class. Use start_monitoring and
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stop_monitoring.
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:param interval: How often to check in seconds
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:param from_mins: The number of minutes of tick data to use for calculations
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:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
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is not met then returned coefficient will be None
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:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
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within this pct of each other
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:param overlap_pct:
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:param max_p_value: The maximum p value for the correlation to be meaningful
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:param cache_time: Tick data is cached so that we can check coefficients for multiple symbol pairs and reuse
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the tick data. Number of seconds to cache tick data for before it becomes stale.
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:param autosave: Whether to autosave after every monitor run. If there is no filename specified then will
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create one named autosave.cpd
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:param filename: Filename for autosave. Default is autosave.cpd.
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:return: correlation coefficient, or None if coefficient could not be calculated.
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"""
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self.__log.debug(f"In monitor event. Monitoring: {self.__monitoring}.")
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# Only run if monitor is not stopped
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if self.__monitoring:
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# Update all coefficients
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self.__update_all_coefficients(from_mins=from_mins, min_prices=min_prices,
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max_set_size_diff_pct=max_set_size_diff_pct, overlap_pct=overlap_pct,
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max_p_value=max_p_value, cache_time=cache_time)
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# Autosave
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if autosave:
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self.save(filename=filename)
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# Schedule the timer to run again
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params = {'interval': interval, 'from_mins': from_mins, 'min_prices': min_prices,
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'max_set_size_diff_pct': max_set_size_diff_pct, 'overlap_pct': overlap_pct,
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'max_p_value': max_p_value, "cache_time": cache_time, 'autosave': autosave,
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'filename': filename}
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self.__scheduler.enter(delay=interval, priority=1, action=self.__monitor, kwargs=params)
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# Log the stack. Debug stack overflow
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self.__log.debug(f"Current stack size: {len(inspect.stack())} Recursion limit: {sys.getrecursionlimit()}")
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# Run
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if self.__first_run:
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self.__first_run = False
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self.__scheduler.run()
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def __update_coefficient(self, symbol1, symbol2, from_mins, min_prices=100, max_set_size_diff_pct=90,
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overlap_pct=90, max_p_value=0.05, cache_time=10):
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"""
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Updates the coefficient for the specified symbol pair
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:param symbol1: Name of symbol to calculate coefficient for.
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:param symbol2: Name of symbol to calculate coefficient for.
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:param from_mins: The number of minutes of tick data to use for calculations
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:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
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is not met then returned coefficient will be None
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:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
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within this pct of each other
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:param overlap_pct:
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:param max_p_value: The maximum p value for the correlation to be meaningful
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:param cache_time: Tick data is cached so that we can check coefficients for multiple symbol pairs and reuse
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the tick data. Number of seconds to cache tick data for before it becomes stale.
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:return: correlation coefficient, or None if coefficient could not be calculated.
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"""
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coefficient = None
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# Get dates
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# From and to dates for calculations.
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timezone = pytz.timezone("Etc/UTC")
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date_to = datetime.now(tz=timezone)
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date_from = date_to - timedelta(minutes=from_mins)
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# Get the tick data
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symbol1ticks = self.get_ticks(symbol=symbol1, date_from=date_from, date_to=date_to, cache_time=cache_time)
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symbol2ticks = self.get_ticks(symbol=symbol2, date_from=date_from, date_to=date_to, cache_time=cache_time)
|
|
|
|
# Resample to 1 sec OHLC, this will help with coefficient calculation ensuring that we dont have more than one
|
|
# tick per second and ensuring that times can match. We will need to set the index to time for the resample
|
|
# then revert back to a 'time' column. We will then need to remove rows with nan in 'close' price
|
|
if symbol1ticks is not None and symbol2ticks is not None and \
|
|
len(symbol1ticks.index) > 0 and len(symbol2ticks.index) > 0:
|
|
symbol1ticks = symbol1ticks.set_index('time')
|
|
symbol2ticks = symbol2ticks.set_index('time')
|
|
try:
|
|
symbol1prices = symbol1ticks['ask'].resample('1S').ohlc()
|
|
symbol2prices = symbol2ticks['ask'].resample('1S').ohlc()
|
|
except RecursionError:
|
|
self.__log.warning(f"Coefficient could not be calculated for {symbol1}:{symbol2} as prices could not "
|
|
f"be resampled.")
|
|
else:
|
|
symbol1prices.reset_index(inplace=True)
|
|
symbol2prices.reset_index(inplace=True)
|
|
symbol1prices = symbol1prices[symbol1prices['close'].notna()]
|
|
symbol2prices = symbol2prices[symbol2prices['close'].notna()]
|
|
|
|
# Calculate the coefficient
|
|
coefficient = self.calculate_coefficient(symbol1_prices=symbol1prices, symbol2_prices=symbol2prices,
|
|
min_prices=min_prices,
|
|
max_set_size_diff_pct=max_set_size_diff_pct,
|
|
overlap_pct=overlap_pct, max_p_value=max_p_value)
|
|
|
|
self.__log.debug(f"Symbol pair {symbol1}:{symbol2} has a coefficient of {coefficient}.")
|
|
else:
|
|
coefficient = None
|
|
|
|
# Update the coefficient data
|
|
if coefficient is not None:
|
|
self.__update_coefficient_data(symbol1=symbol1, symbol2=symbol2, coefficient=coefficient,
|
|
date_from=date_from, date_to=date_to)
|
|
|
|
return coefficient
|
|
|
|
def __update_all_coefficients(self, from_mins, min_prices=100, max_set_size_diff_pct=90, overlap_pct=90,
|
|
max_p_value=0.05, cache_time=10):
|
|
"""
|
|
Updates the coefficient for all symbol pairs in that meet the min_coefficient threshold. Symbol pairs that meet
|
|
the threshold can be accessed through the filtered_coefficient_data property.
|
|
|
|
:param from_mins: The number of minutes of tick data to use for calculations
|
|
:param min_prices: The minimum number of prices that should be used to calculate coefficient. If this threshold
|
|
is not met then returned coefficient will be None
|
|
:param max_set_size_diff_pct: Correlations will only be calculated if the sizes of the two price data sets are
|
|
within this pct of each other
|
|
:param overlap_pct:
|
|
:param max_p_value: The maximum p value for the correlation to be meaningful
|
|
:param cache_time: Tick data is cached so that we can check coefficients for multiple symbol pairs and reuse
|
|
the tick data. Number of seconds to cache tick data for before it becomes stale.
|
|
|
|
:return: correlation coefficient, or None if coefficient could not be calculated.
|
|
"""
|
|
# Update latest coefficient for every pair
|
|
for index, row in self.filtered_coefficient_data.iterrows():
|
|
symbol1 = row['Symbol 1']
|
|
symbol2 = row['Symbol 2']
|
|
self.__update_coefficient(symbol1=symbol1, symbol2=symbol2, from_mins=from_mins,
|
|
min_prices=min_prices, max_set_size_diff_pct=max_set_size_diff_pct,
|
|
overlap_pct=overlap_pct, max_p_value=max_p_value, cache_time=cache_time)
|
|
|
|
def __reset_coefficient_data(self):
|
|
"""
|
|
Clears coefficient data and history.
|
|
:return:
|
|
"""
|
|
# Create dataframe for coefficient data
|
|
coefficient_data_columns = ['Symbol 1', 'Symbol 2', 'Base Coefficient', 'UTC Date From', 'UTC Date To',
|
|
'Timeframe', 'Last Check', 'Last Coefficient']
|
|
self.coefficient_data = pd.DataFrame(columns=coefficient_data_columns)
|
|
|
|
# Create dataframe for coefficient history
|
|
coefficient_history_columns = ['Symbol 1', 'Symbol 2', 'Coefficient', 'UTC Date From', 'UTC Date To']
|
|
self.coefficient_history = pd.DataFrame(columns=coefficient_history_columns)
|
|
|
|
def __update_coefficient_data(self, symbol1, symbol2, coefficient, date_from, date_to):
|
|
"""
|
|
Updates the coefficient data with the latest coefficient and adds to coefficient history.
|
|
:param symbol1:
|
|
:param symbol2:
|
|
:param coefficient:
|
|
:param date_from:
|
|
:param date_to:
|
|
:return:
|
|
"""
|
|
|
|
timezone = pytz.timezone("Etc/UTC")
|
|
now = datetime.now(tz=timezone)
|
|
|
|
# Update data if we have a coefficient and add to history
|
|
if coefficient is not None:
|
|
self.coefficient_data.loc[(self.coefficient_data['Symbol 1'] == symbol1) &
|
|
(self.coefficient_data['Symbol 2'] == symbol2),
|
|
'Last Check'] = now
|
|
|
|
self.coefficient_data.loc[(self.coefficient_data['Symbol 1'] == symbol1) &
|
|
(self.coefficient_data['Symbol 2'] == symbol2),
|
|
'Last Coefficient'] = coefficient
|
|
|
|
row = pd.DataFrame(columns=self.coefficient_history.columns,
|
|
data=[[symbol1, symbol2, coefficient, date_from, date_to]])
|
|
self.coefficient_history = self.coefficient_history.append(row)
|