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This commit is contained in:
Oleg Sheynin
2025-12-30 10:52:33 +00:00
parent 2e32b26fad
commit 121c85def0
20 changed files with 211 additions and 515 deletions
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lib/pt_strategy/live/live_strategy.py
+25 -23
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@@ -8,8 +8,7 @@ import pandas as pd
# ---
from cvttpy_tools.base import NamedObject
from cvttpy_tools.app import App
from cvttpy_tools.logger import Log
from cvttpy_tools.settings.cvtt_types import JsonDictT
from cvttpy_tools.settings.cvtt_types import IntervalSecT
# ---
from cvttpy_trading.trading.instrument import ExchangeInstrument
from cvttpy_trading.trading.mkt_data.md_summary import MdTradesAggregate
@@ -18,7 +17,6 @@ from pairs_trading.lib.pt_strategy.model_data_policy import ModelDataPolicy
from pairs_trading.lib.pt_strategy.pt_model import Prediction
from pairs_trading.lib.pt_strategy.trading_pair import PairState, TradingPair
from pairs_trading.apps.pairs_trader import PairsTrader
from pairs_trading.lib.pt_strategy.pt_market_data import RealTimeMarketData
"""
--config=pair.cfg
--pair=PAIR-BTC-USDT:COINBASE_AT,PAIR-ETH-USDT:COINBASE_AT
@@ -41,7 +39,6 @@ class PtLiveStrategy(NamedObject):
model_data_policy_: ModelDataPolicy
pairs_trader_: PairsTrader
pt_mkt_data_: RealTimeMarketData
# ti_sender_: TradingInstructionsSender
# for presentation: history of prediction values and trading signals
@@ -90,27 +87,32 @@ class PtLiveStrategy(NamedObject):
pass # URGENT PtiveStrategy.on_mkt_data_hist_snapshot()
async def on_mkt_data_update(self, aggr: MdTradesAggregate) -> None:
market_data_df = await self.pt_mkt_data_.on_mkt_data_update(update=aggr)
if market_data_df is not None:
self.trading_pair_.market_data_ = market_data_df
self.model_data_policy_.advance()
prediction = self.trading_pair_.run(
market_data_df, self.model_data_policy_.advance()
)
self.predictions_ = pd.concat(
[self.predictions_, prediction.to_df()], ignore_index=True
)
# if market_data_df is not None:
# self.trading_pair_.market_data_ = market_data_df
# self.model_data_policy_.advance()
# prediction = self.trading_pair_.run(
# market_data_df, self.model_data_policy_.advance()
# )
# self.predictions_ = pd.concat(
# [self.predictions_, prediction.to_df()], ignore_index=True
# )
trading_instructions: List[TradingInstruction] = (
self._create_trading_instructions(
prediction=prediction, last_row=market_data_df.iloc[-1]
)
)
if len(trading_instructions) > 0:
await self._send_trading_instructions(trading_instructions)
# trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
pass
# trading_instructions: List[TradingInstruction] = (
# self._create_trading_instructions(
# prediction=prediction, last_row=market_data_df.iloc[-1]
# )
# )
# if len(trading_instructions) > 0:
# await self._send_trading_instructions(trading_instructions)
# # trades = self._create_trades(prediction=prediction, last_row=market_data_df.iloc[-1])
pass # URGENT
def interval_sec(self) -> IntervalSecT:
return 60 # URGENT use config
def history_depth_sec(self) -> IntervalSecT:
return 3600 * 60 * 2 # URGENT use config
async def _send_trading_instructions(
self, trading_instructions: List[TradingInstruction]
) -> None: