2.0.3r

DogsTailFarmer · Dec 1, 2023 · cb9aaf6 · cb9aaf6
1 parent ec95336
commit cb9aaf6
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Showing 9 changed files with 106 additions and 84 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -1,4 +1,7 @@
-## 2.0.3 - 2023-11-xx
+## 2.0.3 - 2023-12-01
+### Fix
+* Backtesting, Simulation mode
+
 ### Update
 * solve(): The limit of attempts has been increased
 * calc_over_price(): The range of changes in the number of orders has been expanded

diff --git a/martin_binance/backtest/OoTSP.py b/martin_binance/backtest/OoTSP.py
@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "1.3.4"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -23,7 +23,7 @@
 vis = optuna.visualization
 ii_params = []
 
-PARAMS_FLOAT = ['PRICE_SHIFT', 'KBB']
+PARAMS_FLOAT = ['KBB']
 
 
 def try_trade(mbs, **kwargs):
@@ -70,7 +70,7 @@ def objective(_trial):
             message="Enter number of cycles, from 50 to 500",
             ignore=lambda x: x["mode"] == "Analise saved study session",
             default='150',
-            validate=lambda _, c: 10 <= int(c) <= 500,
+            validate=lambda _, c: 50 <= int(c) <= 500,
         ),
     ]
 
@@ -85,6 +85,9 @@ def objective(_trial):
             strategy = next(Path(BACKTEST_PATH, answers.get('path')).glob("cli_*.py"))
         except StopIteration:
             raise UserWarning(f"Can't find cli_*.py in {Path(BACKTEST_PATH, answers.get('path'))}")
+
+        print(f"Importing strategy from {strategy}")
+
         spec = importlib.util.spec_from_file_location("strategy", strategy)
         mbs = importlib.util.module_from_spec(spec)
         spec.loader.exec_module(mbs)
@@ -138,10 +141,15 @@ def objective(_trial):
 
 def print_study_result(study):
     print(f"Optimal parameters: {study.best_params} for get {study.best_value}")
-    importance_params = optuna.importance.get_param_importances(study)
-    print("Evaluate parameter importance based on completed trials in the given study:")
-    for p in importance_params.items():
-        print(p)
+    try:
+        importance_params = optuna.importance.get_param_importances(study)
+    except RuntimeError as e:
+        importance_params = {}
+        print(e)
+    else:
+        print("Evaluate parameter importance based on completed trials in the given study:")
+        for p in importance_params.items():
+            print(p)
     return importance_params
 
 

diff --git a/martin_binance/backtest/VCoSEL.py b/martin_binance/backtest/VCoSEL.py
@@ -6,7 +6,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "1.3.0"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 
@@ -22,7 +22,8 @@
 clrs = {'background': '#696969',
         'text': '#7FDBFF'}
 
-source_path = askdirectory(title='Pick a folder for base strategy', initialdir=str(BACKTEST_PATH))
+source_path = askdirectory(title='Pick a folder for base strategy: "back_test/exchange_AAABBB/snapshot/"',
+                           initialdir=str(BACKTEST_PATH))
 s_ds = pd.read_pickle(Path(BACKTEST_PATH, source_path, "ticker.pkl"))
 s_sell_df: pd.DataFrame = pd.read_pickle(Path(BACKTEST_PATH, source_path, "sell.pkl"))
 s_buy_df = pd.read_pickle(Path(BACKTEST_PATH, source_path, "buy.pkl"))
@@ -65,7 +66,7 @@
     fig.add_traces(go.Scatter(x=df_grid_buy.index, y=df_grid_buy[col], mode='lines', line_color='green',
                               showlegend=False))
 
-fig.update_layout(xaxis_tickformat="%H:%M:%S", height=700, autosize=True)
+fig.update_layout(xaxis_tickformat="%H:%M:%S.%L", height=700, autosize=True)
 
 app.layout = html.Div(
     [

diff --git a/martin_binance/cli_0_BTCUSDT.py.template b/martin_binance/cli_0_BTCUSDT.py.template
@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "2.0.0"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -28,7 +28,7 @@ from pathlib import Path
 import toml
 import martin_binance.executor as ex
 from martin_binance import CONFIG_FILE, LOG_PATH, LAST_STATE_PATH
-from martin_binance.margin_wrapper import main, ask_exit, LogLevel  # noqa
+from martin_binance.margin_wrapper import main, ask_exit, LogLevel, session_result  # noqa
 ################################################################
 # Exchange setup and parameter settings
 ################################################################

diff --git a/martin_binance/cli_1_BTCUSDT.py.template b/martin_binance/cli_1_BTCUSDT.py.template
@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "2.0.0"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -28,7 +28,7 @@ from pathlib import Path
 import toml
 import martin_binance.executor as ex
 from martin_binance import CONFIG_FILE, LOG_PATH, LAST_STATE_PATH
-from martin_binance.margin_wrapper import main, ask_exit, LogLevel  # noqa
+from martin_binance.margin_wrapper import main, ask_exit, LogLevel, session_result  # noqa
 ################################################################
 # Exchange setup and parameter settings
 ################################################################

diff --git a/martin_binance/cli_2_TESTBTCTESTUSDT.py.template b/martin_binance/cli_2_TESTBTCTESTUSDT.py.template
@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "2.0.0"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -28,7 +28,7 @@ from pathlib import Path
 import toml
 import martin_binance.executor as ex
 from martin_binance import CONFIG_FILE, LOG_PATH, LAST_STATE_PATH
-from martin_binance.margin_wrapper import main, ask_exit, LogLevel  # noqa
+from martin_binance.margin_wrapper import main, ask_exit, LogLevel, session_result  # noqa
 ################################################################
 # Exchange setup and parameter settings
 ################################################################

diff --git a/martin_binance/cli_3_BTCUSDT.py.template b/martin_binance/cli_3_BTCUSDT.py.template
@@ -7,7 +7,7 @@
 __author__ = "Jerry Fedorenko"
 __copyright__ = "Copyright © 2021 Jerry Fedorenko aka VM"
 __license__ = "MIT"
-__version__ = "2.0.0"
+__version__ = "2.0.3"
 __maintainer__ = "Jerry Fedorenko"
 __contact__ = "https://github.com/DogsTailFarmer"
 """
@@ -28,7 +28,7 @@ from pathlib import Path
 import toml
 import martin_binance.executor as ex
 from martin_binance import CONFIG_FILE, LOG_PATH, LAST_STATE_PATH
-from martin_binance.margin_wrapper import main, ask_exit, LogLevel  # noqa
+from martin_binance.margin_wrapper import main, ask_exit, LogLevel, session_result  # noqa
 ################################################################
 # Exchange setup and parameter settings
 ################################################################