fix ndx webull

DiscordAlertsTrader/brokerages/weBull_api.py

@@ -180,9 +180,9 @@ def get_option_id(self, symb:str):
     def fix_symbol(self, symbol:str, direction:str):
         "Fix symbol for options, direction in or out of webull format"
         if direction == 'in':
-            return symbol.replace("SPXW", "SPX")
+            return symbol.replace("SPXW", "SPX").replace("NDXP", "NDX")
         elif direction == 'out':
-            return symbol.replace("SPX", "SPXW")
+            return symbol.replace("SPX", "SPXW").replace("NDX", "NDXP")
 
     def get_quotes(self, symbol:list) -> dict:
         resp = {}

DiscordAlertsTrader/calc_strat.py

@@ -682,9 +682,9 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
         dir_quotes = cfg['general']['data_dir'] + '/live_quotes'
 
     params = {
-        'fname_port': 'data/oculus_port.csv',
+        'fname_port': 'data/rough_port.csv',
         'order_type': 'any',
-        'last_days': 30,
+        'last_days': 400,
         'filt_date_frm': "",
         'filt_date_to': "",
         'stc_date':'eod',#'exp', #,'stc alert', #'exp',# ,  #  # 'eod' or
@@ -693,26 +693,26 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
         'max_dte': 10,
         'min_dte': 0,
         'filt_hour_frm': "",
-        'filt_hour_to': "",
+        'filt_hour_to': 12,
         'include_authors': "",
         'exclude_symbols': [],
-        'initial_price' : 'ask', # 'ask_+10',
-        'PT': [90], #[20,25,35,45,55,65,95,],# [90],#
+        'initial_price' : 'ask_+30', # 'ask_+10',
+        'PT': [50], #[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' :  None, #   [[1.20, 1.05], [1.5, 1.3]], #
-        "pt_update" : [ [.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': 90,
+        # "pt_update" : [ [.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': 40,
         'TS': 0,
         'TS_buy': 0,
         'TS_buy_type':'inverse',
         # 'max_margin': 100000,
         'short_under_amnt' : 2000,
-        'min_trade_val': .01,
+        'min_trade_val': 10,
         'verbose': True,
         'trade_amount': 1000,
-        # "sell_bto": True,
-        # "max_short_val": 4000,
+        "sell_bto": True,
+        "max_short_val": 4000,
         "invert_contracts": False,
         "do_plot": False
     }
@@ -728,7 +728,7 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
 
     result_td =  generate_report(port, param, None, verbose=True)
 
-    if 0:
+    if 1:
         import matplotlib.pyplot as plt
 
         stat_type =  'strategy-PnL' # 'PnL' #  'PnL-actual'#
@@ -769,7 +769,7 @@ def grid_search(params_dict, PT=[60], TS=[0], SL=[45], TS_buy=[5,10,15,20,25]):
         port[stat_type].plot(ax=axs[1,1], title=stat_type, grid=True, marker='o', linestyle='dotted')
         axs[1,1].set_xlabel("Trade number")
         axs[1,1].set_ylabel("%")
-        plt.show(block=True)
+        plt.show(block=False)
 
     if 0:
         params['theta_client'] = client

DiscordAlertsTrader/marketdata/load_chn_hist.py

@@ -22,7 +22,7 @@
 get_date_after_from_port = True
 re_download = False
 delete_port = False
-author = "vader"
+author = "rough"
 
 
 def get_timestamp(row):
@@ -84,6 +84,7 @@ def save_or_append_quote(quotes, symbol, path_quotes, overwrite=False):
     "og-alerts": 1207717868716826645,
     "EM": 1126325195301462117,
     "vader-swings":1223379548675117088,
+    "rough": 989674163331534929,
     }
 chan_id = chan_ids[author]
 if not use_theta_rest_api:
@@ -169,7 +170,7 @@ def save_or_append_quote(quotes, symbol, path_quotes, overwrite=False):
 )
 
 dt = None
-for ix, row in msg_hist.iterrows():  # .loc[ix:].iterrows(): #
+for ix, row in msg_hist.loc[ix:].iterrows():  # .loc[ix:].iterrows(): #
     print(ix)
     alert = row["Content"]
     if pd.isnull(alert) or not len(alert) or alert in ["@everyone", "@Elite Options"]:
@@ -201,6 +202,12 @@ def save_or_append_quote(quotes, symbol, path_quotes, overwrite=False):
         if len(full_date.split("/")) == 2
         else "%m/%d/%Y" if len(full_date.split("/")[2]) == 4 else "%m/%d/%y"
     )
+    try:
+        datetime.strptime(full_date, dt_fm).date()
+    except ValueError:
+        print("Incorrect date format", full_date, dt_fm)
+        continue
+
     if datetime.strptime(full_date, dt_fm).date() < dt.date():
         print("Order date in the past, skipping", order["expDate"], order["Date"])
         resp = tracker.trade_alert(order, live_alert=False, channel=author)

DiscordAlertsTrader/marketdata/thetadata_api.py

@@ -281,6 +281,7 @@ def get_hist_quotes(self, symbol: str, date_range: List[date], interval_size: in
             # data = data[(data['ask']!=0)] # remove zero ask & (data['bid']!=0)
 
             save_or_append_quote(data, symbol, self.dir_quotes)
+        return data
 
 
     def get_hist_quotes_stock(self, symbol: str, date_range: List[date], interval_size: int=1000):

DiscordAlertsTrader/port_sim.py

@@ -461,7 +461,7 @@ def calc_roi(quotes:pd.Series, PT:float, TS:float, SL:float, do_plot:bool=False,
         list of tuples with target and new profit target, eg [(1.1, 1.2)] at 10% change PT 
         to 20%, by default None
     ask : pd.Series
-        ask quote, used to calculate SL
+        ask quote, used to calculate SL (use bid if STO)
     last : pd.Series
         last quote, used to calculate SL
     action : str, optional
@@ -487,7 +487,7 @@ def calc_roi(quotes:pd.Series, PT:float, TS:float, SL:float, do_plot:bool=False,
         ask = ask[msk]
 
     if initial_prices is None:
-        initial_price = quotes.iloc[0]
+        initial_price = ask.iloc[0]
     else:
         initial_price = initial_prices
     sl = initial_price * SL
@@ -552,7 +552,7 @@ def calc_roi(quotes:pd.Series, PT:float, TS:float, SL:float, do_plot:bool=False,
             new_update.append([initial_price *upt, initial_price * usl])
         # print(f"initial {initial_price}, PT {pt} Sl {sl} update{new_update}")
     if act == "S":
-        sl_index, sl_val = calc_SL(quotes, sl, new_update)
+        sl_index, sl_val = calc_SL(ask, sl, new_update)
     else:
         sl_index, sl_val = calc_SL(last, sl, new_update)
         if sl_index is not None:
@@ -564,11 +564,11 @@ def calc_roi(quotes:pd.Series, PT:float, TS:float, SL:float, do_plot:bool=False,
 
     # no TP no SL, then use the last value
     if trigger_index is None and sl_index is None:
-        sell_price = quotes.iloc[-1]
+        sell_price = last.iloc[-1]
         no_ts_sell = sell_price
-        sell_index = quotes.index[-1]
+        sell_index = last.index[-1]
         if do_plot:
-            plt.plot(quotes.index[len(quotes)-1], (quotes.iloc[-1]-quotes.iloc[0])/quotes.iloc[0], marker='o', alpha=.5)
+            plt.plot(last.index[len(last)-1], (last.iloc[-1]-last.iloc[0])/last.iloc[0], marker='o', alpha=.5)
     # no TP, use SL
     elif trigger_index is None:
         sell_price = sl_val

DiscordAlertsTrader/read_hist_msg.py

@@ -41,6 +41,23 @@ def kent_formatting(message):
             alert += mb['description']
     return alert
 
+
+def rough_formatting(message):
+    """
+    Reformat Discord message from rough to content message
+    """
+    alert = message['content']
+    if message['content'] is None:
+        return ""
+
+    pattern = r'\b(BTO)?\b(\d{1,2}\/\d{1,2})?\s*([A-Z]+)\s*(\d+[.\d+]*[c|p|C|P])\s*@\s*(\d+(?:[.]\d+)?|\.\d+)'
+    match = re.search(pattern, alert, re.IGNORECASE)
+    if match:
+        action, expDate, ticker, strike, price = match.groups()
+        alert = f"BTO {ticker} {strike.upper()} {expDate} @{price}"
+    return alert
+
+
 def pbt_formatting(message):
     """
     Reformat Discord message from PBT
@@ -468,6 +485,9 @@ def parse_hist_msg(fname, author):
         elif author == "pbt":
             content = pbt_formatting(msg)
             msg["author"]["name"] = "pbt"
+        elif author == "rough":
+            content = rough_formatting(msg)
+            msg["author"]["name"] = "rough"
 
 
         pars, order = parse_trade_alert(content)