3.0.0rc5

DogsTailFarmer · Mar 3, 2024 · 37661c2 · 37661c2
1 parent 4990ff2
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,3 +1,10 @@
+## 3.0.0rc5 - 2024-03-03
+### Fix
+* logging for Simulate mode
+
+### Update
+* Binance: handling `EXPIRED_IN_MATCH`
+
 ## 3.0.0rc1 - 2024-03-02
 ### Fix
 # TODO * `cancel_order_call()`: not raised asyncio.TimeoutError on timeout

diff --git a/martin_binance/__init__.py b/martin_binance/__init__.py
@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc3"
+__version__ = "3.0.0rc5"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 

diff --git a/martin_binance/backtest/optimizer.py b/martin_binance/backtest/optimizer.py
@@ -6,13 +6,14 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2024 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc2"
+__version__ = "3.0.0rc4"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
 
 import asyncio
 import importlib.util as iu
+import logging.handlers
 import stat
 import sys
 from decimal import Decimal
@@ -21,6 +22,7 @@
 import optuna
 import ujson as json
 
+from martin_binance import LOG_PATH
 
 OPTIMIZER = Path(__file__).absolute()
 OPTIMIZER.chmod(OPTIMIZER.stat().st_mode | stat.S_IEXEC)
@@ -84,7 +86,17 @@ async def run_optimize(*args):
 
 
 if __name__ == "__main__":
+    logger = logging.getLogger('logger_S')
+    logger.level = logging.INFO
+    formatter = logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s")
+    #
+    fh = logging.handlers.RotatingFileHandler(Path(LOG_PATH, sys.argv[5]), maxBytes=500000, backupCount=5)
+    fh.setFormatter(formatter)
+    fh.setLevel(logging.INFO)
+    logger.addHandler(fh)
+    #
     study = optimize(sys.argv[1], sys.argv[2], int(sys.argv[3]), storage_name=sys.argv[4])
+    logger.info(f"Optimal parameters: {study.best_params} for get {study.best_value}")
     new_value = study.best_value
     _value = study.get_trials()[0].value
     if new_value > _value:

diff --git a/martin_binance/cli_0_BTCUSDT.py.template b/martin_binance/cli_0_BTCUSDT.py.template
@@ -87,8 +87,8 @@ ex.REVERSE_INIT_AMOUNT = Decimal('0')
 ex.REVERSE_STOP = False  # Stop after ending reverse cycle
 # Backtest mode parameters
 ex.MODE = 'T'  # 'T' - Trade, 'TC' - Trade and Collect, 'S' - Simulate
-ex.SAVE_DS = False  # Save session result data (ticker, orders) for compare
-ex.SAVE_PERIOD = 24 * 60 * 60  # sec, timetable for save data portion
+ex.SAVE_DS = True  # Save session result data (ticker, orders) for compare
+ex.SAVE_PERIOD = 4 * 60 * 60  # sec, timetable for save data portion
 ex.SELF_OPTIMIZATION = True  # Cyclic self-optimization of parameters, together with MODE == 'TC'
 ex.N_TRIALS = 250  # Number of optimization cycles for optuna study in self optimization mode
 ################################################################
@@ -114,15 +114,17 @@ def trade(strategy=None):
     import logging.handlers
     # For autoload last state
     ex.LOAD_LAST_STATE = 1 if len(sys.argv) > 1 else 0
-    #
-    log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}{'_S' if ex.MODE == 'S' else ''}.log")
     ex.LAST_STATE_FILE = Path(LAST_STATE_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.json")
     #
-    _logger = logging.getLogger('logger')
-    _logger.setLevel(logging.DEBUG)
-    handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
-    handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
-    _logger.addHandler(handler)
+    if ex.MODE == 'S':
+        _logger = logging.getLogger('logger_S')
+    else:
+        log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.log")
+        _logger = logging.getLogger('logger')
+        _logger.setLevel(logging.DEBUG)
+        handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
+        handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
+        _logger.addHandler(handler)
     _logger.propagate = False
     #
     if strategy is None:

diff --git a/martin_binance/cli_1_BTCUSDT.py.template b/martin_binance/cli_1_BTCUSDT.py.template
@@ -87,8 +87,8 @@ ex.REVERSE_INIT_AMOUNT = Decimal('0')
 ex.REVERSE_STOP = False  # Stop after ending reverse cycle
 # Backtest mode parameters
 ex.MODE = 'T'  # 'T' - Trade, 'TC' - Trade and Collect, 'S' - Simulate
-ex.SAVE_DS = False  # Save session result data (ticker, orders) for compare
-ex.SAVE_PERIOD = 24 * 60 * 60  # sec, timetable for save data portion
+ex.SAVE_DS = True  # Save session result data (ticker, orders) for compare
+ex.SAVE_PERIOD = 4 * 60 * 60  # sec, timetable for save data portion
 ex.SELF_OPTIMIZATION = True  # Cyclic self-optimization of parameters, together with MODE == 'TC'
 ex.N_TRIALS = 250  # Number of optimization cycles for optuna study in self optimization mode
 ################################################################
@@ -114,15 +114,17 @@ def trade(strategy=None):
     import logging.handlers
     # For autoload last state
     ex.LOAD_LAST_STATE = 1 if len(sys.argv) > 1 else 0
-    #
-    log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}{'_S' if ex.MODE == 'S' else ''}.log")
     ex.LAST_STATE_FILE = Path(LAST_STATE_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.json")
     #
-    _logger = logging.getLogger('logger')
-    _logger.setLevel(logging.DEBUG)
-    handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
-    handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
-    _logger.addHandler(handler)
+    if ex.MODE == 'S':
+        _logger = logging.getLogger('logger_S')
+    else:
+        log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.log")
+        _logger = logging.getLogger('logger')
+        _logger.setLevel(logging.DEBUG)
+        handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
+        handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
+        _logger.addHandler(handler)
     _logger.propagate = False
     #
     if strategy is None:

diff --git a/martin_binance/cli_2_TESTBTCTESTUSDT.py.template b/martin_binance/cli_2_TESTBTCTESTUSDT.py.template
@@ -87,8 +87,8 @@ ex.REVERSE_INIT_AMOUNT = Decimal('0')
 ex.REVERSE_STOP = False  # Stop after ending reverse cycle
 # Backtest mode parameters
 ex.MODE = 'T'  # 'T' - Trade, 'TC' - Trade and Collect, 'S' - Simulate
-ex.SAVE_DS = False  # Save session result data (ticker, orders) for compare
-ex.SAVE_PERIOD = 24 * 60 * 60  # sec, timetable for save data portion
+ex.SAVE_DS = True  # Save session result data (ticker, orders) for compare
+ex.SAVE_PERIOD = 4 * 60 * 60  # sec, timetable for save data portion
 ex.SELF_OPTIMIZATION = True  # Cyclic self-optimization of parameters, together with MODE == 'TC'
 ex.N_TRIALS = 250  # Number of optimization cycles for optuna study in self optimization mode
 ################################################################
@@ -114,15 +114,17 @@ def trade(strategy=None):
     import logging.handlers
     # For autoload last state
     ex.LOAD_LAST_STATE = 1 if len(sys.argv) > 1 else 0
-    #
-    log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}{'_S' if ex.MODE == 'S' else ''}.log")
     ex.LAST_STATE_FILE = Path(LAST_STATE_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.json")
     #
-    _logger = logging.getLogger('logger')
-    _logger.setLevel(logging.DEBUG)
-    handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
-    handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
-    _logger.addHandler(handler)
+    if ex.MODE == 'S':
+        _logger = logging.getLogger('logger_S')
+    else:
+        log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.log")
+        _logger = logging.getLogger('logger')
+        _logger.setLevel(logging.DEBUG)
+        handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
+        handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
+        _logger.addHandler(handler)
     _logger.propagate = False
     #
     if strategy is None:

diff --git a/martin_binance/cli_3_BTCUSDT.py.template b/martin_binance/cli_3_BTCUSDT.py.template
@@ -87,8 +87,8 @@ ex.REVERSE_INIT_AMOUNT = Decimal('0')
 ex.REVERSE_STOP = False  # Stop after ending reverse cycle
 # Backtest mode parameters
 ex.MODE = 'T'  # 'T' - Trade, 'TC' - Trade and Collect, 'S' - Simulate
-ex.SAVE_DS = False  # Save session result data (ticker, orders) for compare
-ex.SAVE_PERIOD = 24 * 60 * 60  # sec, timetable for save data portion
+ex.SAVE_DS = True  # Save session result data (ticker, orders) for compare
+ex.SAVE_PERIOD = 4 * 60 * 60  # sec, timetable for save data portion
 ex.SELF_OPTIMIZATION = True  # Cyclic self-optimization of parameters, together with MODE == 'TC'
 ex.N_TRIALS = 250  # Number of optimization cycles for optuna study in self optimization mode
 ################################################################
@@ -114,15 +114,17 @@ def trade(strategy=None):
     import logging.handlers
     # For autoload last state
     ex.LOAD_LAST_STATE = 1 if len(sys.argv) > 1 else 0
-    #
-    log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}{'_S' if ex.MODE == 'S' else ''}.log")
     ex.LAST_STATE_FILE = Path(LAST_STATE_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.json")
     #
-    _logger = logging.getLogger('logger')
-    _logger.setLevel(logging.DEBUG)
-    handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
-    handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
-    _logger.addHandler(handler)
+    if ex.MODE == 'S':
+        _logger = logging.getLogger('logger_S')
+    else:
+        log_file = Path(LOG_PATH, f"{ex.ID_EXCHANGE}_{ex.SYMBOL}.log")
+        _logger = logging.getLogger('logger')
+        _logger.setLevel(logging.DEBUG)
+        handler = logging.handlers.RotatingFileHandler(log_file, maxBytes=1000000, backupCount=10)
+        handler.setFormatter(logging.Formatter(fmt="[%(asctime)s: %(levelname)s] %(message)s"))
+        _logger.addHandler(handler)
     _logger.propagate = False
     #
     if strategy is None:

diff --git a/martin_binance/strategy_base.py b/martin_binance/strategy_base.py
@@ -4,7 +4,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.0rc3"
+__version__ = "3.0.0rc5"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -13,6 +13,7 @@
 import csv
 import logging
 import queue
+import os
 import random
 import sqlite3
 import time
@@ -44,7 +45,10 @@
 from martin_binance.lib import Candle, TradingCapabilityManager, Ticker, FundsEntry, OrderBook, Style, LogLevel, \
     any2str, PrivateTrade, Order, convert_from_minute, write_log, OrderUpdate, load_file, load_last_state, Klines
 
-logger = logging.getLogger('logger')
+if prm.MODE == 'S':
+    logger = logging.getLogger('logger_S')
+else:
+    logger = logging.getLogger('logger')
 loop = asyncio.get_event_loop()
 color_init()
 
@@ -317,7 +321,8 @@ async def backtest_control(self):
                             f"{self.exchange}_{self.symbol}",
                             Path(self.session_root, Path(prm.PARAMS).name),
                             str(prm.N_TRIALS),
-                            f"sqlite:///{storage_name}"
+                            f"sqlite:///{storage_name}",
+                            f"{prm.ID_EXCHANGE}_{prm.SYMBOL}_S.log"
                         )
                         _res = orjson.loads(_res)
                     except (asyncio.CancelledError, KeyboardInterrupt):
@@ -327,7 +332,7 @@ async def backtest_control(self):
                     else:
                         storage_name.replace(storage_name.with_name('study.db'))
                         if _res:
-                            self.message_log(f"Updating strategy parameters from backtest optimal,"
+                            self.message_log(f"Updating parameters from backtest,"
                                              f" predicted value {_res.pop('_value')} ->"
                                              f" {_res.pop('new_value')}",
                                              color=Style.B_WHITE, tlg=True)
@@ -822,7 +827,7 @@ async def cancel_order_call(self, _id: int, cancel_all=False, count=0):
         finally:
             if _fetch_order:
                 res = await self.fetch_order(_id, _filled_update_call=True)
-                if res.get('status') == 'CANCELED':
+                if res.get('status') in ('CANCELED', 'EXPIRED_IN_MATCH'):
                     await self.cancel_order_handler(_id, cancel_all)
                 elif res.get('status') == 'FILLED':
                     if _id in self.canceled_order_id:
@@ -1632,8 +1637,9 @@ async def main(self, _symbol):
             if restored:
                 loop.create_task(self.heartbeat(self.session))
                 loop.create_task(save_to_csv())
-        except SystemExit as e:
-            raise e
+        except (KeyboardInterrupt, SystemExit):
+            # noinspection PyProtectedMember, PyUnresolvedReferences
+            os._exit(1)
 
     # region AbstractMethod
     @abstractmethod