3.0.2

DogsTailFarmer · Apr 3, 2024 · 42e1267 · 42e1267
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,3 +1,13 @@
+## 3.0.2 - 2024-04-03
+### Fix
+* `Backtesting`: updating the balances at slippage
+* `class PrivateTrade:` convert trade_id to int()
+* `Backtest control`: orjson.JSONDecodeError: unexpected character: line 1 column 1 (char 0)
+
+### Update
+* Up requirements for exchanges-wrapper==2.1.7
+* Some minor improvement
+
 ## 3.0.1 - 2024-03-31
 ### Refined and added new features
 * Project architecture

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__ = "3.0.1"
+__version__ = "3.0.2"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 

diff --git a/martin_binance/backtest/exchange_simulator.py b/martin_binance/backtest/exchange_simulator.py
@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.1"
+__version__ = "3.0.2"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -49,13 +49,14 @@ def on_order_canceled(self, side: str, amount: Decimal, price: Decimal):
             self.base['free'] += amount
             self.base['locked'] -= amount
 
-    def on_order_filled(self, side: str, amount: Decimal, price: Decimal, fee: Decimal):
+    def on_order_filled(self, side: str, amount: Decimal, price: Decimal, last_price: Decimal, fee: Decimal):
         if side == 'BUY':
             self.base['free'] += amount - fee * amount / 100
             self.quote['locked'] -= amount * price
+            self.quote['free'] += amount * (price - last_price)
         else:
             self.base['locked'] -= amount
-            self.quote['free'] += amount * price - fee * (amount * price) / 100
+            self.quote['free'] += amount * last_price - fee * (amount * last_price) / 100
 
 
 class Order:
@@ -184,7 +185,6 @@ def create_order(
             # Market event
             self.market_ids.append(order_id)
 
-        # print(f"create_order.order: {vars(order)}")
         return {'symbol': order.symbol,
                 'orderId': order.order_id,
                 'orderListId': order.order_list_id,
@@ -218,23 +218,23 @@ def cancel_order(self, order_id: int, ts: int):
                     self.grid_sell[ts] = self.orders_sell
         except Exception as ex:
             raise UserWarning(f"Order {order_id} not active: {ex}") from ex
-        else:
-            self.orders[order_id] = order
-            self.funds.on_order_canceled(order.side, order.orig_qty, order.price)
-            return {'symbol': order.symbol,
-                    'origClientOrderId': order.client_order_id,
-                    'orderId': order.order_id,
-                    'orderListId': order.order_list_id,
-                    'clientOrderId': 'qwert',
-                    'price': str(order.price),
-                    'origQty': str(order.orig_qty),
-                    'executedQty': str(order.executed_qty),
-                    'cummulativeQuoteQty': str(order.cummulative_quote_qty),
-                    'status': order.status,
-                    'timeInForce': order.time_in_force,
-                    'type': order.type,
-                    'side': order.side,
-                    'selfTradePreventionMode': order.self_trade_prevention_mode}
+
+        self.orders[order_id] = order
+        self.funds.on_order_canceled(order.side, order.orig_qty - order.executed_qty, order.price)
+        return {'symbol': order.symbol,
+                'origClientOrderId': order.client_order_id,
+                'orderId': order.order_id,
+                'orderListId': order.order_list_id,
+                'clientOrderId': 'qwert',
+                'price': str(order.price),
+                'origQty': str(order.orig_qty),
+                'executedQty': str(order.executed_qty),
+                'cummulativeQuoteQty': str(order.cummulative_quote_qty),
+                'status': order.status,
+                'timeInForce': order.time_in_force,
+                'type': order.type,
+                'side': order.side,
+                'selfTradePreventionMode': order.self_trade_prevention_mode}
 
     def on_ticker_update(self, ticker: {}, ts: int) -> [dict]:
         filled_buy_id = []
@@ -330,9 +330,11 @@ def on_ticker_update(self, ticker: {}, ts: int) -> [dict]:
             }
             #
             orders_filled.append(res)
+
             self.funds.on_order_filled(
                 order.side,
                 order.last_executed_quantity,
+                order.price,
                 order.last_executed_price,
                 self.fee_taker if order_id in self.market_ids else self.fee_maker
             )

diff --git a/martin_binance/backtest/optimizer.py b/martin_binance/backtest/optimizer.py
@@ -101,6 +101,7 @@ async def run_optimize(*args):
     logger.addHandler(fh)
     #
     prm_best = json.loads(sys.argv[5])
+    logger.info(f"Previous best params: {prm_best}")
     try:
         study = optimize(
             sys.argv[1],
@@ -115,11 +116,11 @@ async def run_optimize(*args):
         logger.info(f"optimizer: {ex}")
     else:
         new_value = round(study.best_value, ndigits=6)
-        logger.info(f"Optimal parameters: {study.best_params} for get {new_value}")
+        bp = {k: int(any2str(v)) if isinstance(v, int) else float(any2str(v)) for k, v in study.best_params.items()}
+        logger.info(f"Optimal parameters: {bp} for get {new_value}")
         _value = round(study.get_trials()[0].value, ndigits=6)
         if not prm_best or new_value > _value:
-            res = study.best_params
-            res |= {'new_value': any2str(new_value), '_value': any2str(_value)}
-            print(json.dumps(res))
+            bp |= {'new_value': any2str(new_value), '_value': any2str(_value)}
+            print(json.dumps(bp))
         else:
             print(json.dumps({}))
diff --git a/martin_binance/executor.py b/martin_binance/executor.py
@@ -4,7 +4,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.1"
+__version__ = "3.0.2"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = 'https://github.com/DogsTailFarmer'
 ##################################################################
@@ -124,7 +124,6 @@ def __init__(self, call_super=True):
         #
         schedule.every(5).minutes.do(self.event_grid_update)
         schedule.every(5).seconds.do(self.event_processing)
-        schedule.every(1).minutes.do(self.event_grid_only_release)
         schedule.every().minute.at(":30").do(self.event_grid_only_release)
         schedule.every().minute.at(":35").do(self.event_update_tp)
         schedule.every(2).seconds.do(self.event_exec_command)
@@ -416,7 +415,6 @@ def event_processing(self):
                             self.wait_wss_refresh['allow_grid_shift'],
                             self.wait_wss_refresh['additional_grid'],
                             self.wait_wss_refresh['grid_update'])
-        self.event_update_tp()
         if self.wait_refunding_for_start or self.tp_order_hold or self.grid_hold:
             self.get_buffered_funds()
         if self.reverse_hold:
@@ -443,10 +441,10 @@ def event_processing(self):
                 self.start_reverse_time = self.get_time()
 
     def event_update_tp(self):
-        if ADAPTIVE_TRADE_CONDITION and self.stable_state():
-            if self.tp_order_id and not self.tp_part_amount_first and self.get_time() - self.tp_order[3] > 60 * 15:
-                self.message_log("Update TP order", color=Style.B_WHITE)
-                self.place_profit_order()
+        if ADAPTIVE_TRADE_CONDITION and self.stable_state() \
+              and self.tp_order_id and not self.tp_part_amount_first and self.get_time() - self.tp_order[3] > 60 * 15:
+            self.message_log("Update TP order", color=Style.B_WHITE)
+            self.place_profit_order()
 
     def event_grid_only_release(self):
         if self.grid_only_restart and START_ON_BUY and AMOUNT_FIRST:

diff --git a/martin_binance/lib.py b/martin_binance/lib.py
@@ -4,7 +4,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "3.0.1"
+__version__ = "3.0.2"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -234,7 +234,7 @@ def __init__(self, _trade: {}) -> None:
         self.amount = Decimal(_trade["qty"])
         self.buy = _trade.get('isBuyer', False)
         self.is_maker = _trade.get('isMaker', False)
-        self.id = _trade["id"]
+        self.id = int(_trade["id"])
         self.order_id = int(_trade["orderId"])
         self.price = Decimal(_trade["price"])
         self.commission = Decimal(_trade.get('commission', "0"))

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__ = "3.0.1"
+__version__ = "3.0.2"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -15,15 +15,14 @@
 import queue
 import os
 import random
-import shutil
 import sqlite3
 import time
 import traceback
 from abc import abstractmethod
 from datetime import datetime, timedelta, timezone
 from decimal import Decimal
 from pathlib import Path
-from shutil import rmtree, copy
+from shutil import rmtree, copy, make_archive
 from typing import Dict, List
 
 import jsonpickle
@@ -338,31 +337,32 @@ async def backtest_control(self):
                     except Exception as err:
                         self.message_log(f"Backtest control: {err}", log_level=logging.ERROR)
                         self.message_log(f"Exception traceback: {traceback.format_exc()}", log_level=logging.DEBUG)
-                    else:
-                        storage_name.replace(storage_name.with_name('study.db'))
-                        if prm_best:
-                            _prm_best = dict(prm_best)
-                            self.message_log(
-                                f"Updating parameters from backtest,"
-                                f" predicted value {prm_best.pop('_value')} -> {prm_best.pop('new_value')}",
-                                color=Style.B_WHITE,
-                                tlg=True
-                            )
-                            for key, value in prm_best.items():
-                                self.message_log(f"{key}: {getattr(prm, key)} -> {value}")
-                                setattr(
-                                    prm, key,
-                                    value if isinstance(value, int) or key in PARAMS_FLOAT else Decimal(f"{value}")
-                                )
-                        l_m = str(
-                            datetime.now(timezone.utc).replace(tzinfo=None) - _ts + timedelta(seconds=prm.SAVE_PERIOD)
-                        ).rsplit('.')[0]
+                        break
+                    #
+                    storage_name.replace(storage_name.with_name('study.db'))
+                    if prm_best:
+                        _prm_best = dict(prm_best)
                         self.message_log(
-                            f"Strategy parameters are optimal now. Optimization cycle duration {l_m}",
+                            f"Updating parameters from backtest,"
+                            f" predicted value {prm_best.pop('_value')} -> {prm_best.pop('new_value')}",
                             color=Style.B_WHITE,
                             tlg=True
                         )
-                        restart = True
+                        for key, value in prm_best.items():
+                            self.message_log(f"{key}: {getattr(prm, key)} -> {value}")
+                            setattr(
+                                prm, key,
+                                value if isinstance(value, int) or key in PARAMS_FLOAT else Decimal(f"{value}")
+                            )
+                    l_m = str(
+                        datetime.now(timezone.utc).replace(tzinfo=None) - _ts + timedelta(seconds=prm.SAVE_PERIOD)
+                    ).rsplit('.')[0]
+                    self.message_log(
+                        f"Strategy parameters are optimal now. Optimization cycle duration {l_m}",
+                        color=Style.B_WHITE,
+                        tlg=True
+                    )
+                    restart = True
                 else:
                     break
 
@@ -442,7 +442,7 @@ def session_data_handler(self):
             df_grid_buy.index = pd.to_datetime(df_grid_buy.index, unit='ms')
             df_grid_buy.to_pickle(Path(session_data, "buy.pkl"))
 
-        shutil.make_archive(str(Path(self.session_root, "raw_bak")), 'zip', self.session_root, 'raw')
+        make_archive(str(Path(self.session_root, "raw_bak")), 'zip', self.session_root, 'raw')
         self.message_log(f"Stream data for backtesting saved to {self.session_root}")
 
     def parquet_declare(self, raw_path):
@@ -1704,7 +1704,7 @@ def get_sum_profit(self):
         raise NotImplementedError
 
     @abstractmethod
-    def get_free_assets(self, **kwargs):
+    def get_free_assets(self, *args, **kwargs):
         raise NotImplementedError
 
     @abstractmethod

diff --git a/pyproject.toml b/pyproject.toml
@@ -17,7 +17,7 @@ dynamic = ["version", "description"]
 requires-python = ">=3.9"
 
 dependencies = [
-    "exchanges-wrapper==2.1.6",
+    "exchanges-wrapper==2.1.7",
     "jsonpickle==3.0.2",
     "psutil==5.9.6",
     "requests==2.31.0",

diff --git a/requirements.txt b/requirements.txt
@@ -1,4 +1,4 @@
-exchanges-wrapper==2.1.6
+exchanges-wrapper==2.1.7
 jsonpickle==3.0.2
 psutil==5.9.6
 requests==2.31.0