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add cblast
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@AdoNunes
AdoNunes committed Oct 13, 2024
1 parent 4d224b3 commit 37ef6fd
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Showing 4 changed files with 85 additions and 53 deletions.
37 changes: 20 additions & 17 deletions DiscordAlertsTrader/calc_strat.py
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Original file line number Diff line number Diff line change
Expand Up @@ -37,7 +37,7 @@ def calc_returns(fname_port= cfg['portfolio_names']['tracker_portfolio_name'],
pts_ratio = [1],
TS=0,
SL=45,
TS_buy= 10,
TS_buy= 0,
TS_buy_type= 'inverse',
avg_down=None,
sl_update = None,
Expand Down Expand Up @@ -83,7 +83,7 @@ def calc_returns(fname_port= cfg['portfolio_names']['tracker_portfolio_name'],
invert_contracts : bool, optional
Truns a put in to a call and viceversa, by default False
initial_price : str, optional
'ask', 'bid', "price_actual", "ask_+10" == ask +10, by default 'ask'
'ask', 'bid', "price_actual", "mid", "ask_+10" == ask +10, by default 'ask'
PT : list of int, optional
Profit target percent, by default [80]
pts_ratio : list of int, optional
Expand Down Expand Up @@ -243,7 +243,7 @@ def calc_returns(fname_port= cfg['portfolio_names']['tracker_portfolio_name'],
margin = 0
# Iterate over the trades
for idx, row in port.iterrows():
# idx = 1032
# idx = 225
# row = port.loc[idx]
if pd.isna(row['Price-actual']) and not with_theta and not with_poly:
if verbose:
Expand Down Expand Up @@ -323,6 +323,8 @@ def calc_returns(fname_port= cfg['portfolio_names']['tracker_portfolio_name'],
price_curr = quotes['bid'].iloc[0]
elif 'price_actual' in initial_price:
price_curr = row['Price-actual']
elif 'mid' in initial_price:
price_curr = (quotes['ask'].iloc[0] + quotes['bid'].iloc[0])/2

offset = None
if "_" in initial_price:
Expand Down Expand Up @@ -690,41 +692,42 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
params = {
# 'fname_port': '../algoalerter/data\HHscanner_port_delta0.4_179feats_ssnorm_ML_65conf.csv',
'fname_port': 'data/algoAi_port.csv',
# 'fname_port': 'data/vader_port.csv',
# 'fname_port':'../algoalerter\data\HHscanner_port_delta0.4_179feats_buy_ML_preds_0.6conf.csv',
# 'fname_port':'../algoalerter\data\HH2k_port2_delta0.3_179feats_lastyear_ML_preds_0.6conf.csv',
# 'fname_port':'../algoalerter\data/HH2k_port2_delta0.4_179feats_lastyear_nofeb_ML_preds.csv_0.6conf.csv',
# 'fname_port': 'data/EM_port.csv',
# 'fname_port':'../algoalerter/data/HH2k_port2_delta0.4_179feats_lastyear_ask_preds.csv',
'trade_type': 'STO',
'last_days': None,
'last_days':100,
'filt_date_frm': "",
'filt_date_to': "",
'stc_date':'eod', #'stc alert', #,'exp',# , # # 'eod' or
'max_underlying_price': "",
# 'min_price': 60,
'max_dte': 10,
'max_dte': 4,
'min_dte': 0,
'filt_hour_frm': "",
'filt_hour_to': "",
'include_authors': "",
'filt_hour_to':"" ,
'include_authors':"",
# 'exclude_symbols': ["SPY", "QQQ"],
'initial_price' : 'bid', #'bid_+5', #'ask', # 'ask_+10',
'PT': [50], #[20,25,35,45,55,65,95,],# [90],#
'initial_price' : 'mid', #'bid_+5', #'ask', # 'ask_+10',
'PT': [125], #[20,25,35,45,55,65,95,],# [90],#
'pts_ratio' :[1],#[0.2,0.2,0.2,0.1,0.1,0.1,0.1,],# [0.4, 0.3, 0.3], #
# 'sl_update' : [ [1.8, 1.3], [2, 1.5]], # [[1.20, 1.05], [1.5, 1.3]], #
# "pt_update" : [ [.3,0.7], [.3,0.7]], # None, #
# 'avg_down':[[1.5, 1]], # [[1.1, .1],[1.2, .1],[1.3, .1],[1.4, .2],[1.5, .2],[1.6, .2]], #
'SL': 50,
'SL': 70,
'TS': 0,
'TS_buy': 0,
'TS_buy_type':'inverse',
'max_margin': 600000,
'short_under_amnt' : None,
'max_margin': 57000,
'short_under_amnt' : 1000,
'min_trade_val': 500,
'verbose': True,
'trade_amount': 1,
# "sell_bto": True,
"max_short_val": 4000,
'trade_amount': 1000,
"sell_bto": False,
"max_short_val": 1800,
"invert_contracts": False,
"do_plot": False
}
Expand All @@ -737,7 +740,7 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):

sport = port[['Date','Symbol','Trader', 'Price', 'strategy-PnL',
'strategy-PnL$','strategy-entry','strategy-exit', 'strategy-close_date','reason_skip']] #

sport[['Symbol', 'strategy-entry', 'strategy-PnL', 'strategy-PnL$']]
result_td = generate_report(port, param, None, verbose=True)

if 1:
Expand Down Expand Up @@ -800,7 +803,7 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
res = np.stack(res)
sorted_indices = np.argsort(res[:, 4])
sorted_array = res[sorted_indices].astype(int)
print(sorted_array[-20:])
print(sorted_array[:20])
hdr = ['PT', 'SL', 'TS_buy', 'TS', 'pnl', 'pnl$', 'trade count', 'win rate']

df = pd.DataFrame(sorted_array, columns=hdr)
Expand Down
67 changes: 34 additions & 33 deletions DiscordAlertsTrader/marketdata/load_chn_hist.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -29,6 +29,40 @@
author = "algoAi"


chan_ids = {
"mbag1": 1187162844362448896,
"mbag2": 1189180874265210961,
"theta_warrior_elite": 897625103020490773,
"demon": 1167160585511776357,
"eclipse": 1213995695237763145,
"moneymotive": 1012144319282556928,
"moneymotiveA+": 1214378575554150440,
"bishop": 1195073059770605568,
"makeplays": 1164747583638491156,
"kingmaker": 1152082112032292896,
"oculus": 1222679083155193867,
'diesel': 1107395495460081754,
'ddking': 1225020986953437305,
"crimson": 1102753361566122064,
"HH": 1197849899627184149,
"HH2k": 867390497115209728,
"vader": 1235324287703973998,
"gianni": 1209992523083415603,
"og-alerts": 1207717868716826645,
"EM": 1126325195301462117,
"vader-swings":1235324289222443008,
"rough": 989674163331534929,
'opccpro': 1125655265312776274,
"bear": 1221951478621540384,
'prophi': 1216951944933933137,
"stb": 959672267929956413,
"sti": 1175048558639058985,
"gandalf": 910228981536653342,
"psa": 1199936454797824010,
"algoAi": 1237566888062750791,
"jpm": 1221952610987147284,
}

def get_timestamp(row):
date_time = row[DataType.DATE] + timedelta(milliseconds=row[DataType.MS_OF_DAY])
return date_time.timestamp()
Expand Down Expand Up @@ -69,39 +103,6 @@ def save_or_append_quote(quotes, symbol, path_quotes, overwrite=False):
df.to_csv(fname, index=False)


chan_ids = {
"mbag1": 1187162844362448896,
"mbag2": 1189180874265210961,
"theta_warrior_elite": 897625103020490773,
"demon": 1167160585511776357,
"eclipse": 1213995695237763145,
"moneymotive": 1012144319282556928,
"moneymotiveA+": 1214378575554150440,
"bishop": 1195073059770605568,
"makeplays": 1164747583638491156,
"kingmaker": 1152082112032292896,
"oculus": 1222679083155193867,
'diesel': 1107395495460081754,
'ddking': 1225020986953437305,
"crimson": 1102753361566122064,
"HH": 1197849899627184149,
"HH2k": 867390497115209728,
"vader": 1235324287703973998,
"gianni": 1209992523083415603,
"og-alerts": 1207717868716826645,
"EM": 1126325195301462117,
"vader-swings":1235324289222443008,
"rough": 989674163331534929,
'opccpro': 1125655265312776274,
"bear": 1221951478621540384,
'prophi': 1216951944933933137,
"stb": 959672267929956413,
"sti": 1175048558639058985,
"gandalf": 910228981536653342,
"psa": 1199936454797824010,
"algoAi": 1237566888062750791,
"jpm": 1221952610987147284,
}
chan_id = chan_ids[author]
if not use_theta_rest_api:
client = ThetaClient(username=cfg["thetadata"]["username"],
Expand Down
13 changes: 10 additions & 3 deletions DiscordAlertsTrader/marketdata/thetadata_api.py
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Original file line number Diff line number Diff line change
Expand Up @@ -156,12 +156,18 @@ def get_geeks(self, symbol: str, date_range: List[date], interval_size: int=1000

return data

def get_exps(self, symbol: str):
url = 'http://127.0.0.1:25510/v2/list/expirations?root=' + symbol
header ={'Accept': 'application/json'}
response = requests.get(url, headers=header, timeout=10)
return response.json()['response']

def get_currentgeeks(self, symbol: str, date_range: List[date]):

expdate, root, right, strike, date_s, date_e = self.info_option(symbol, date_range)
url = f'http://127.0.0.1:25510/v2/bulk_snapshot/option/greeks?exp={expdate}&right={right}&strike={strike}&start_date={date_s}&end_date={date_e}&use_csv=true&root={root}&rth=true'
header ={'Accept': 'application/json'}
response_quotes = requests.get(url, headers=header)
response_quotes = requests.get(url, headers=header, timeout=10)
df_q = pd.read_csv(io.StringIO(response_quotes.content.decode('utf-8')))
df_q['timestamp'] = df_q.apply(get_timestamp_, axis=1)
if not len(df_q):
Expand Down Expand Up @@ -301,6 +307,7 @@ def get_delta_strike(self, ticker: str, exp_date: str, delta:float, right:str, t
ms_of_day = (dt.hour*3600 + dt.minute*60 + dt.second)* 1000
ix_g = np.argmin(abs(df_q['ms_of_day'] - ms_of_day))
this_delta = df_q.iloc[ix_g]['delta']
this_df = df_q.iloc[ix_g]

print("delta", this_delta, strike)
if abs(this_delta) - abs(delta) < 0.1:
Expand All @@ -323,7 +330,7 @@ def get_delta_strike(self, ticker: str, exp_date: str, delta:float, right:str, t
st_info.append((strike, this_delta))

exp_date_f = datetime.strptime(exp_date, "%Y%m%d").strftime("%m%d%y")
return f"{ticker}_{exp_date_f}{right}{strike/1000}".replace(".0", ""), this_delta
return f"{ticker}_{exp_date_f}{right}{strike/1000}".replace(".0", ""), this_delta, this_df

def get_open_interest(self, symbol: str, date_range: List[date]):

Expand All @@ -332,7 +339,7 @@ def get_open_interest(self, symbol: str, date_range: List[date]):
# date to ny time
url = f'http://127.0.0.1:25510/v2/hist/option/open_interest?exp={expdate}&right={right}&strike={strike}&start_date={date_s}&end_date={date_e}&use_csv=true&root={root}'
header ={'Accept': 'application/json'}
response = requests.get(url, headers=header)
response = requests.get(url, headers=header, timeout=10)
if response.content.startswith(b'No data for'):
return None
# get quotes and trades to merge the with second level quotes
Expand Down
21 changes: 21 additions & 0 deletions DiscordAlertsTrader/server_alert_formatting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -65,6 +65,8 @@ def server_formatting(message):
message = wolfwebull_formatting(message)
elif message.channel.id in [1187162844362448896, 1189180874265210961]:
message = nvstly_alerts(message)
elif message.channel.id in [1244040902582865937]:
message = cblast_alerts(message)
elif message.guild.id in [826258453391081524, 1093339706260979822,1072553858053701793, 898981804478980166, 682259216861626378]:
message = aurora_trading_formatting(message)
else:
Expand Down Expand Up @@ -741,6 +743,25 @@ def oculus_alerts(message_):
message.content = alert
return message


def cblast_alerts(message_):
"""
Reformat Discord message from cblast to content message
"""
message = MessageCopy(message_)
alert = message.content
if not alert:
return message

# format: $AI 29c 10/18 at 0.16
pattern = r'\$([A-Z]+)\s+(\d+)([c|p|C|P])\s+(\d{1,2}\/\d{1,2})\s+at\s+([\d.]+)'
match = re.search(pattern, alert, re.IGNORECASE)
if match:
ticker, strike, otype, expDate, price = match.groups()
alert = f"BTO {ticker} {strike.upper()}{otype[0]} {expDate} @{price}"
message.content = alert
return message

def eclipse_alerts(message_):
"""
Reformat Discord message from eclipse to content message
Expand Down

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