"""Strategy cycle definitions.
See :ref:`strategy cycle` for more information.
"""
import datetime
import enum
from typing import Optional
import pandas as pd
from tradingstrategy.timebucket import TimeBucket
[docs]class CycleDuration(enum.Enum):
"""Strategy cycle duration options.
This enum defines what strategy cycle durations backtesting and live
testing engine supports.
It is also the value you can enter as `trading_strategy_cycle`
option for your strategies.
All cycles are aligned to the wall clock time.
E.g. 24h cycle is always run at 00:00.
See :ref:`strategy cycle` for more information.
"""
#: Run `decide_trades()` one second
#:
#: Only used in unit testing.
#: See `strategies/test_only_/enzymy_end_to_end.py`.
#:
cycle_1s = "1s"
#: Run `decide_trades()` every minute
cycle_1m = "1m"
#: Run `decide_trades()` every 5 minutes
cycle_5m = "5m"
#: Run `decide_trades()` every 15 minutes
cycle_15m = "15m"
#: Run `decide_trades()` every 30 minutes
cycle_30m = "30m"
#: Run `decide_trades()` every hour
cycle_1h = "1h"
#: Run `decide_trades()` every 2 hours
cycle_2h = "2h"
#: Run `decide_trades()` every 4 hours
cycle_4h = "4h"
#: Run `decide_trades()` every 6 hours
cycle_6h = "6h"
#: Run `decide_trades()` for every 8 hours
cycle_8h = "8h"
#: Run `decide_trades()` for every 10 hours
cycle_10h = "10h"
#: Run `decide_trades()` for every 12 hours
cycle_12h = "12h"
#: Run `decide_trades()` for every 16 hours
cycle_16h = "16h"
#: Run `decide_trades()` for every 24h hours
cycle_1d = "1d"
#: Run `decide_trades()` for every 4 days
cycle_4d = "4d"
#: Run `decide_trades()` for every week
cycle_7d = "7d"
#: Run `decide_trades()` for every month
cycle_30d = "30d"
#: Don't really know or care about the trade cycle duration.
#:
#: Used when doing a simulated execution loop
#: with `set_up_simulated_execution_loop`
#: and where the time is ticked through manually by producing
#: new blocks with EthereumTester chain.
cycle_unknown = "unknown"
[docs] def to_timedelta(self) -> datetime.timedelta:
"""Get the duration of the strategy cycle as Python timedelta object."""
return _TICK_DURATIONS[self]
def to_pandas_timedelta(self) -> pd.Timedelta:
return pd.Timedelta(self.to_timedelta())
[docs] def to_timebucket(self) -> Optional[TimeBucket]:
"""Convert to trading-strategy client format.
TODO: Try to avoid tightly coupling and leaking trading-strategy client here.
Unlike TimeBucket, CycleDuration may have "unknown" value that is presented by None
"""
return TimeBucket(self.value) if self != CycleDuration.cycle_unknown else None
[docs] def get_yearly_periods(self) -> float:
"""How many decision cycle periods a year has.
This metric is used to calculate Sharpe, other metrics.
See :py:func:`tradeexecutor.analysis.advanced_metrics.calculate_advanced_metrics`
for more information.
"""
return pd.Timedelta(days=365.0) / self.to_timedelta()
[docs] @staticmethod
def from_timebucket(bucket: TimeBucket) -> Optional["CycleDuration"]:
"""Convert from OHLCV time frame."""
return CycleDuration(bucket.value)
[docs]def round_datetime_up(
ts: datetime.datetime,
delta: datetime.timedelta,
offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime:
"""Snap to next available timedelta.
Preserve any timezone info on `ts`.
If we are at the the given exact delta, then do not round, only add offset.
:param ts: Timestamp we want to round
:param delta: Our snap grid
:param offset: Add a fixed time offset at the top of rounding
:return: When to wake up from the sleep next time
"""
rounded = ts + (datetime.datetime.min.replace(tzinfo=ts.tzinfo) - ts) % delta
return rounded + offset
[docs]def round_datetime_down(
ts: datetime.datetime,
delta: datetime.timedelta,
offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime:
"""Snap to previous available timedelta.
Preserve any timezone info on `ts`.
If we are at the the given exact delta, then do not round, only add offset.
:param ts: Timestamp we want to round
:param delta: Our snap grid
:param offset: Add a fixed time offset at the top of rounding
:return: When to wake up from the sleep next time
"""
assert isinstance(ts, datetime.datetime)
mod = (datetime.datetime.min.replace(tzinfo=ts.tzinfo) - ts) % delta
if mod == datetime.timedelta(0):
return ts
rounded = ts - delta + mod
return rounded + offset
[docs]def snap_to_next_tick(
ts: datetime.datetime,
tick_size: CycleDuration,
offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime:
"""Calculate when the trading logic should wake up from the sleep next time.
If cycle duration is unknown do nothing.
:param ts: Current timestamp
:param tick_size: How big leaps we are taking
:param offset: How many minutes of offset we assume to ensure we have candle data generated after the timestamp
:return: When to wake up from the sleep next time
"""
if tick_size == CycleDuration.cycle_unknown:
return ts
delta = tick_size.to_timedelta()
return round_datetime_up(ts, delta, offset)
[docs]def snap_to_previous_tick(
ts: datetime.datetime,
tick_size: CycleDuration,
offset: datetime.timedelta = datetime.timedelta(minutes=0)) -> datetime.datetime:
"""Calculate what should the tick time for given real time.
If `ts` matches the tick, do nothing.
If cycle duration is unknown do nothing.
:param ts: Current timestamp
:param tick_size: How big leaps we are taking
:param offset: How many minutes of offset we assume to ensure we have candle data generated after the timestamp
:return: What tick are we living in
"""
if tick_size == CycleDuration.cycle_unknown:
return ts
delta = tick_size.to_timedelta()
return round_datetime_down(ts, delta, offset)
_TICK_DURATIONS = {
CycleDuration.cycle_1s: datetime.timedelta(seconds=1),
CycleDuration.cycle_1m: datetime.timedelta(minutes=1),
CycleDuration.cycle_5m: datetime.timedelta(minutes=5),
CycleDuration.cycle_15m: datetime.timedelta(minutes=15),
CycleDuration.cycle_30m: datetime.timedelta(minutes=30),
CycleDuration.cycle_1h: datetime.timedelta(hours=1),
CycleDuration.cycle_2h: datetime.timedelta(hours=2),
CycleDuration.cycle_4h: datetime.timedelta(hours=4),
CycleDuration.cycle_6h: datetime.timedelta(hours=6),
CycleDuration.cycle_8h: datetime.timedelta(hours=8),
CycleDuration.cycle_10h: datetime.timedelta(hours=10),
CycleDuration.cycle_12h: datetime.timedelta(hours=12),
CycleDuration.cycle_16h: datetime.timedelta(hours=16),
CycleDuration.cycle_1d: datetime.timedelta(hours=24),
CycleDuration.cycle_4d: datetime.timedelta(days=4),
CycleDuration.cycle_7d: datetime.timedelta(days=7),
CycleDuration.cycle_30d: datetime.timedelta(days=30),
CycleDuration.cycle_unknown: datetime.timedelta(days=0),
}
assert len(_TICK_DURATIONS) == len(CycleDuration) # sanity check