Source code for tradeexecutor.strategy.cycle

"""Strategy cycle definitions.

See :ref:`strategy cycle` for more information.
"""
import datetime
import enum
from typing import Optional

import pandas as pd
from tradingstrategy.timebucket import TimeBucket


[docs]class CycleDuration(enum.Enum): """Strategy cycle duration options. This enum defines what strategy cycle durations backtesting and live testing engine supports. It is also the value you can enter as `trading_strategy_cycle` option for your strategies. All cycles are aligned to the wall clock time. E.g. 24h cycle is always run at 00:00. See :ref:`strategy cycle` for more information. """ #: Run `decide_trades()` one second #: #: Only used in unit testing. #: See `strategies/test_only_/enzymy_end_to_end.py`. #: cycle_1s = "1s" #: Run `decide_trades()` every minute cycle_1m = "1m" #: Run `decide_trades()` every 5 minutes cycle_5m = "5m" #: Run `decide_trades()` every 15 minutes cycle_15m = "15m" #: Run `decide_trades()` every 30 minutes cycle_30m = "30m" #: Run `decide_trades()` every hour cycle_1h = "1h" #: Run `decide_trades()` every 2 hours cycle_2h = "2h" #: Run `decide_trades()` every 4 hours cycle_4h = "4h" #: Run `decide_trades()` every 6 hours cycle_6h = "6h" #: Run `decide_trades()` for every 8 hours cycle_8h = "8h" #: Run `decide_trades()` for every 10 hours cycle_10h = "10h" #: Run `decide_trades()` for every 12 hours cycle_12h = "12h" #: Run `decide_trades()` for every 16 hours cycle_16h = "16h" #: Run `decide_trades()` for every 24h hours cycle_1d = "1d" #: Run `decide_trades()` for every 4 days cycle_4d = "4d" #: Run `decide_trades()` for every week cycle_7d = "7d" #: Run `decide_trades()` for every month cycle_30d = "30d" #: Don't really know or care about the trade cycle duration. #: #: Used when doing a simulated execution loop #: with `set_up_simulated_execution_loop` #: and where the time is ticked through manually by producing #: new blocks with EthereumTester chain. cycle_unknown = "unknown" #: Alias to match :py:class:`TimeBucket` s1 = cycle_1s #: Alias to match :py:class:`TimeBucket` m1 = cycle_1m #: Alias to match :py:class:`TimeBucket` m15 = cycle_15m #: Alias to match :py:class:`TimeBucket` h1 = cycle_1h #: Alias to match :py:class:`TimeBucket` h4 = cycle_4h #: Alias to match :py:class:`TimeBucket` d1 = cycle_1d #: Alias to match :py:class:`TimeBucket` d7 = cycle_7d #: Alias unknown = cycle_unknown
[docs] def to_timedelta(self) -> datetime.timedelta: """Get the duration of the strategy cycle as Python timedelta object.""" return _TICK_DURATIONS[self]
def to_pandas_timedelta(self) -> pd.Timedelta: return pd.Timedelta(self.to_timedelta())
[docs] def to_timebucket(self) -> Optional[TimeBucket]: """Convert to trading-strategy client format. TODO: Try to avoid tightly coupling and leaking trading-strategy client here. Unlike TimeBucket, CycleDuration may have "unknown" value that is presented by None """ return TimeBucket(self.value) if self != CycleDuration.cycle_unknown else None
[docs] def get_yearly_periods(self) -> float: """How many decision cycle periods a year has. This metric is used to calculate Sharpe, other metrics. See :py:func:`tradeexecutor.analysis.advanced_metrics.calculate_advanced_metrics` for more information. """ return pd.Timedelta(days=365.0) / self.to_timedelta()
[docs] @staticmethod def from_timebucket(bucket: TimeBucket) -> Optional["CycleDuration"]: """Convert from OHLCV time frame.""" return CycleDuration(bucket.value)
[docs]def round_datetime_up( ts: datetime.datetime, delta: datetime.timedelta, offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime: """Snap to next available timedelta. Preserve any timezone info on `ts`. If we are at the the given exact delta, then do not round, only add offset. :param ts: Timestamp we want to round :param delta: Our snap grid :param offset: Add a fixed time offset at the top of rounding :return: When to wake up from the sleep next time """ rounded = ts + (datetime.datetime.min.replace(tzinfo=ts.tzinfo) - ts) % delta return rounded + offset
[docs]def round_datetime_down( ts: datetime.datetime, delta: datetime.timedelta, offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime: """Snap to previous available timedelta. Preserve any timezone info on `ts`. If we are at the the given exact delta, then do not round, only add offset. :param ts: Timestamp we want to round :param delta: Our snap grid :param offset: Add a fixed time offset at the top of rounding :return: When to wake up from the sleep next time """ assert isinstance(ts, datetime.datetime) mod = (datetime.datetime.min.replace(tzinfo=ts.tzinfo) - ts) % delta if mod == datetime.timedelta(0): return ts rounded = ts - delta + mod return rounded + offset
[docs]def snap_to_next_tick( ts: datetime.datetime, tick_size: CycleDuration, offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime: """Calculate when the trading logic should wake up from the sleep next time. If cycle duration is unknown do nothing. :param ts: Current timestamp :param tick_size: How big leaps we are taking :param offset: How many minutes of offset we assume to ensure we have candle data generated after the timestamp :return: When to wake up from the sleep next time """ if tick_size == CycleDuration.cycle_unknown: return ts delta = tick_size.to_timedelta() return round_datetime_up(ts, delta, offset)
[docs]def snap_to_previous_tick( ts: datetime.datetime, tick_size: CycleDuration, offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime: """Calculate what should the tick time for given real time. If `ts` matches the tick, do nothing. If cycle duration is unknown do nothing. :param ts: Current timestamp :param tick_size: How big leaps we are taking :param offset: How many minutes of offset we assume to ensure we have candle data generated after the timestamp :return: What tick are we living in """ if tick_size == CycleDuration.cycle_unknown: return ts delta = tick_size.to_timedelta() return round_datetime_down(ts, delta, offset)
_TICK_DURATIONS = { CycleDuration.cycle_1s: datetime.timedelta(seconds=1), CycleDuration.cycle_1m: datetime.timedelta(minutes=1), CycleDuration.cycle_5m: datetime.timedelta(minutes=5), CycleDuration.cycle_15m: datetime.timedelta(minutes=15), CycleDuration.cycle_30m: datetime.timedelta(minutes=30), CycleDuration.cycle_1h: datetime.timedelta(hours=1), CycleDuration.cycle_2h: datetime.timedelta(hours=2), CycleDuration.cycle_4h: datetime.timedelta(hours=4), CycleDuration.cycle_6h: datetime.timedelta(hours=6), CycleDuration.cycle_8h: datetime.timedelta(hours=8), CycleDuration.cycle_10h: datetime.timedelta(hours=10), CycleDuration.cycle_12h: datetime.timedelta(hours=12), CycleDuration.cycle_16h: datetime.timedelta(hours=16), CycleDuration.cycle_1d: datetime.timedelta(hours=24), CycleDuration.cycle_4d: datetime.timedelta(days=4), CycleDuration.cycle_7d: datetime.timedelta(days=7), CycleDuration.cycle_30d: datetime.timedelta(days=30), CycleDuration.cycle_unknown: datetime.timedelta(days=0), } assert len(_TICK_DURATIONS) == len(CycleDuration) # sanity check