Oleg Sheynin
296 lines
11 KiB
Python
296 lines
11 KiB
Python
"""Panel application for single-day SPBT result analysis."""
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from __future__ import annotations
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from pathlib import Path
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import sys
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from typing import Any
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import pandas as pd
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import panel as pn
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APP_DIR = Path(__file__).resolve().parent
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REPO_ROOT = APP_DIR.parent
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if str(REPO_ROOT) not in sys.path:
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sys.path.insert(0, str(REPO_ROOT))
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from scripts import spbt_day
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pn.extension("tabulator", "plotly")
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PAIR_THEO_RET_SORT_COLUMNS = ["total_pnl", "pair_name"]
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PAIR_THEO_RET_DISPLAY_DROP_COLUMNS = ["total_pnl"]
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APP_TITLE = "SPBT Day Analysis"
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APP_ACCENT_COLOR = "#226c67"
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APP_HEADER_COLOR = "#184c47"
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class SpbtDayPanelApp:
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"""Stateful Panel UI for single-day SPBT analysis."""
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def __init__(self, repo_root: Path | None = None) -> None:
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self.repo_root = (repo_root or spbt_day.find_repo_root(REPO_ROOT)).resolve()
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self.selector_pair_rankings = pd.DataFrame()
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self.trading_instructions = pd.DataFrame()
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self.pair_theo_ret = pd.DataFrame()
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self.selected_pair_theo_executions = pd.DataFrame()
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self.selected_pair_name: str | None = None
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self.min_pctg_change = 0.0
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self.directory_input = pn.widgets.TextInput(
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label="Directory",
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value=str(self.repo_root / "data"),
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)
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self.show_all_files = pn.widgets.Checkbox(label="Show all files", value=False)
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self.refresh_button = pn.widgets.Button(label="Refresh")
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self.file_select = pn.widgets.Select(
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label="SQLite result file",
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options={},
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width=360,
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)
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self.min_pctg_change_input = pn.widgets.FloatInput(
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label="Mininal TARGET change (%)",
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value=0.0,
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step=1.0,
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width=220,
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)
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self.calculate_button = pn.widgets.Button(
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label="Calculate",
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color="primary",
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width=110,
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)
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self.status = pn.pane.Markdown("")
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self.pair_theo_ret_table = spbt_day.create_pair_theo_ret_analyze_grid(
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pd.DataFrame(),
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height=420,
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)
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self.total_pnl_histogram = pn.pane.Plotly(
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None,
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height=360,
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sizing_mode="stretch_width",
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)
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self.selected_pair_message = pn.pane.Markdown(
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"Click Analyze in the Pair TheoRet grid to load individual-pair details."
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)
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self.selected_pair_executions_table = spbt_day.create_selected_pair_executions_grid(
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height=320,
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)
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self.selected_pair_market_plot = pn.pane.Plotly(
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None,
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height=520,
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sizing_mode="stretch_width",
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)
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self.refresh_button.on_click(self.refresh_files)
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self.calculate_button.on_click(self.calculate)
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self.directory_input.param.watch(self.refresh_files, "value")
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self.show_all_files.param.watch(self.refresh_files, "value")
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self.pair_theo_ret_table.on_click(
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self.analyze_pair_click,
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column=spbt_day.ANALYZE_BUTTON_COLUMN,
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)
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self.refresh_files()
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def set_status(self, message: str, *, error: bool = False) -> None:
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"""Update visible status text."""
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prefix = "**Error:** " if error else ""
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self.status.object = f"{prefix}{message}" if message else ""
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def selected_database_path(self) -> Path:
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"""Return the selected result database path."""
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if not self.file_select.value:
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raise ValueError("Select a SQLite result file before calculating.")
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db_path = Path(str(self.file_select.value)).resolve()
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if not db_path.exists():
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raise FileNotFoundError(f"Selected database does not exist: {db_path}")
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if not db_path.is_file():
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raise ValueError(f"Selected database path is not a file: {db_path}")
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return db_path
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def refresh_files(self, *_events: Any) -> None:
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"""Refresh selectable SQLite files from the configured directory."""
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try:
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directory = spbt_day.normalize_directory(
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self.directory_input.value,
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self.repo_root,
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)
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candidates = spbt_day.list_candidate_files(
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directory,
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show_all=self.show_all_files.value,
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)
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except Exception as exc:
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self.file_select.options = {}
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self.file_select.value = None
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self.set_status(str(exc), error=True)
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return
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options = {path.name: str(path) for path in candidates}
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previous_value = self.file_select.value
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self.file_select.options = options
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if previous_value in options.values():
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self.file_select.value = previous_value
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elif options:
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self.file_select.value = next(iter(options.values()))
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else:
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self.file_select.value = None
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if options:
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self.set_status(f"Found {len(options):,} file(s) in {directory}.")
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else:
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self.set_status(f"No selectable files found in {directory}.")
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def calculate(self, *_events: Any) -> None:
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"""Load selected data and calculate all-pair TheoRet."""
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self.calculate_button.loading = True
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try:
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db_path = self.selected_database_path()
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self.min_pctg_change = float(self.min_pctg_change_input.value)
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conn = spbt_day.connect_sqlite_read_only(db_path)
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try:
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self.selector_pair_rankings = spbt_day.load_selector_pair_rankings(conn)
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self.trading_instructions = spbt_day.load_trading_instructions(conn)
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finally:
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conn.close()
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self.pair_theo_ret = (
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spbt_day.add_total_pnl(
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spbt_day.calculate_ranked_pairs_theo_ret(
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self.selector_pair_rankings,
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self.trading_instructions,
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min_pctg_change=self.min_pctg_change,
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)
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)
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.sort_values(
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PAIR_THEO_RET_SORT_COLUMNS,
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ascending=[True, True],
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kind="mergesort",
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)
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.drop(columns=PAIR_THEO_RET_DISPLAY_DROP_COLUMNS)
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.reset_index(drop=True)
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)
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self.pair_theo_ret_table.value = spbt_day.format_pair_theo_ret_for_analyze_grid(
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self.pair_theo_ret
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)
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self.total_pnl_histogram.object = spbt_day.create_total_pnl_histogram(
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self.pair_theo_ret
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)
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self.clear_selected_pair_analysis()
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self.set_status(
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f"Calculated {len(self.pair_theo_ret):,} pair row(s) from {db_path.name}."
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)
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except Exception as exc:
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self.set_status(str(exc), error=True)
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finally:
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self.calculate_button.loading = False
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def clear_selected_pair_analysis(self) -> None:
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"""Clear individual-pair outputs until a row Analyze button is clicked."""
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self.selected_pair_name = None
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self.selected_pair_theo_executions = pd.DataFrame()
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self.selected_pair_message.object = (
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"Click Analyze in the Pair TheoRet grid to load individual-pair details."
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)
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self.selected_pair_executions_table.value = pd.DataFrame(
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columns=spbt_day.SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS
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)
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self.selected_pair_market_plot.object = None
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def analyze_pair_click(self, event: Any) -> None:
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"""Run selected-pair analysis from a Pair TheoRet Analyze button click."""
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self.update_selected_pair(
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spbt_day.pair_name_from_analyze_event(self.pair_theo_ret_table, event)
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)
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def analyze_pair_row(self, row: int) -> None:
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"""Run selected-pair analysis for a Pair TheoRet table row."""
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event = type("AnalyzeEvent", (), {"row": row})()
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self.analyze_pair_click(event)
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def update_selected_pair(self, pair_name: str) -> None:
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"""Calculate selected-pair executions and market plot."""
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if self.trading_instructions.empty:
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self.clear_selected_pair_analysis()
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return
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self.selected_pair_name = pair_name
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self.selected_pair_message.object = (
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f"Selected pair: **{spbt_day.format_pair_name_for_display(pair_name)}**"
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)
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self.selected_pair_theo_executions = spbt_day.calculate_pair_theo_executions(
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pair_name,
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self.trading_instructions,
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min_pctg_change=self.min_pctg_change,
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)
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self.selected_pair_executions_table.value = (
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self.selected_pair_theo_executions.reindex(
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columns=spbt_day.SELECTED_PAIR_EXECUTION_DISPLAY_COLUMNS
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)
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)
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try:
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trading_day_start_ns = spbt_day.infer_trading_day_start_ns(
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self.trading_instructions
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)
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conn = spbt_day.connect_sqlite_read_only(self.selected_database_path())
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try:
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selected_pair_market_data = spbt_day.load_pair_market_data(
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conn,
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pair_name,
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trading_day_start_ns=trading_day_start_ns,
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)
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finally:
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conn.close()
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self.selected_pair_market_plot.object = spbt_day.create_pair_trades_market_plot(
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pair_name,
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selected_pair_market_data,
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self.selected_pair_theo_executions,
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)
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except Exception as exc:
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self.selected_pair_market_plot.object = None
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self.set_status(str(exc), error=True)
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@property
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def view(self) -> pn.template.FastListTemplate:
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"""Return the app layout."""
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controls = pn.Column(
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"## Inputs",
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pn.Row(self.directory_input, self.refresh_button),
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self.show_all_files,
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self.file_select,
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self.min_pctg_change_input,
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self.calculate_button,
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self.status,
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width=400,
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)
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main = pn.Column(
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"## Pair TheoRet",
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self.pair_theo_ret_table,
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self.total_pnl_histogram,
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"## Individual Pair",
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self.selected_pair_message,
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"### Theoretical Executions",
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self.selected_pair_executions_table,
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"### Trades on Market Data",
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self.selected_pair_market_plot,
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)
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return pn.template.FastListTemplate(
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title=APP_TITLE,
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sidebar=[controls],
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main=[main],
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sidebar_width=430,
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accent_base_color=APP_ACCENT_COLOR,
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header_background=APP_HEADER_COLOR,
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main_layout=None,
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)
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app_controller = SpbtDayPanelApp()
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app = app_controller.view
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app.servable(title=APP_TITLE)
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