Merge remote-tracking branch 'origin/dev' into main

Dockerfile

@@ -61,7 +61,7 @@ RUN pip install --quiet --no-cache-dir \
     'quantstats>=0.0.37' \
     'PyPortfolioOpt>=1.5.1' \
     'Riskfolio-Lib>=3.3.0' \
-    'python-telegram-bot>=13.4' \
+    'python-telegram-bot==13.5' \
     'dill' \
     'lz4' \
     'blosc'

docs/docker_readme.md

@@ -43,8 +43,11 @@ If you want to read the logs of the bot:
     kubectl logs <name of the worker pod>
 
 Optional: Go in the admin panel and delete the user admin and testdb, that are completely unnecessary.
+Note: The 
 
-#Troubleshooting 
+#Troubleshooting
+If kubectl command is not found replace in the script the "kubectl" by "minikube kubectl -- ".
+
 If for any reason the sequence_start_first_time.sh lead to an error, you need to clean properly Kubernetes before repeating the step. It means obviously removing the deployments with
 
     kubectl delete deployment <name of the deployment>
@@ -64,6 +67,7 @@ In addition, in kubernetes/postgres.yml, the hostPath under PersistentVolume
       path: /data/py-trading-bot-postgres-pv
       
 Needs to be changed, otherwise the same data will be loaded again when the permanent volumes are recreated.
+
 
 ## Error auth_user_username_key
 In the logs of py-trading-bot pod (kubectl logs <name of py-trading-bot>) you find:

docs/toubleshooting.md

@@ -9,4 +9,5 @@ We try to make the code as robust as possible, but some errors cannot be avoided
 |Nothing happens in Telegram when starting the bot | A chat id is added upon receiving the "/start" command. So try the command /start in Telegram, it should be displayed in the shell of the bot|
 |Telegram does not find the bot| Check that you inserted the token in a file trading_bot/etc/TELEGRAM_TOKEN ? |
 |Several chats are found and no message goes out | Go in reporting/telegram_sub.py and modify the function send_to_all. Replace the for loop by a chat_id=self.chat_ids[index_of_your_choice]. |
+|You don't understand why an order was not performed | Have a look in the trade log, it is there for this purpose |
 

py-trading-bot/core/constants.py

@@ -363,7 +363,8 @@
 Delisting date of the stocks if relevant
 '''
 NASDAQ_DELIST={
-    "ATVI":"2023-10-20"
+    "ATVI":"2023-10-20",
+    "SGEN":"2023-12-15"
     }
 
 '''

py-trading-bot/core/data_manager.py

@@ -60,7 +60,7 @@ def save_data(
     data=vbt.YFData.fetch(symbols,start=start_date,end=end_date,\
                                  timeframe='1d',missing_index="drop")   
     BASE_DIR = Path(__file__).resolve().parent.parent
-    data.to_hdf(file_path=os.path.join(BASE_DIR,'saved_cours/'+selector.upper()+'_period.h5'))
+    data.to_hdf(path_or_buf=os.path.join(BASE_DIR,'saved_cours/'+selector.upper()+'_period.h5'))
 
 def retrieve_data_offline(
              o, 
@@ -168,9 +168,9 @@ def retrieve_debug(
     '''
     import constants
 
-    selector="industry"
+    selector="NASDAQ"
     start_date='2007-01-01'
-    end_date='2023-08-01'
+    end_date='2024-01-03'
 
     if selector=="CAC40":
         all_symbols=constants.CAC40

py-trading-bot/core/presel.py

@@ -171,8 +171,6 @@ def symbols_simple_to_complex(self,symbol_simple,ent_or_ex):
         '''
         if "entries" not in self.ust.__dir__():
             self.ust.run()
-
-
 
         return self.ust.symbols_simple_to_complex(symbol_simple,ent_or_ex)
         #UnderlyingStrat
@@ -233,7 +231,7 @@ def calculate(
                 if ((not self.no_ust and not short and self.ust.exits.loc[i, symbol_complex]) or  #not short and 
                    (not self.no_ust and short and self.ust.exits_short.loc[i, symbol_complex]) or
                     (self.no_ust and symbol_simple not in self.candidates[short_to_str[short]][i])):
-
+                    
                     self.pf[short_to_str[short]].remove(symbol_simple)
                     self.capital+=self.order_size
 
@@ -347,6 +345,8 @@ def sub_sub(self,
         ((not self.blocked and not self.blocked_im) or 
         ((self.blocked or self.blocked_im) and not short))):
             self.candidates[short_to_str[short]][i].append(symbol_simple)
+            return True
+        return False        
 
     def sub(
             self, 
@@ -361,6 +361,7 @@ def sub(
             i: index
             short: order direction        
         '''
+
         self.sorting(i, short=short)
         if self.sorted is not None:
             for e in self.sorted:
@@ -374,7 +375,11 @@ def sub(
                     if len(t)>0:
                         symbol=t.index[0] 
                         v=self.sorting_criterium.loc[i,symbol]
-                        self.sub_sub(i, symbol,v, short)
+                        pursue=self.sub_sub(i, symbol,v, short)
+                        if not pursue:
+                            break
+                else:
+                    break
         else:
             raise ValueError("both sorted and sorted_df are None")
 
@@ -651,7 +656,7 @@ def __init__(self,period: str,**kwargs):
             self.dur=ic.VBTKAMATREND.run(self.close).duration
             #self.dur=ic.VBTSUPERTREND.run(self.high,self.low,self.close).duration
         self.no_ust=True
-        self.calc_all=True
+        self.calc_all=True #otherwise it is not possible to determine what is excluded
         self.last_short=False
 
     def sorting(
@@ -686,7 +691,8 @@ def perform(self, r, keep:bool=False, **kwargs):
 
         r.concat(self.st.name.capitalize()+", " + "direction " + direction + ", stockex: " + self.ust.exchange +\
                     ", action duration: " +str(self.out))
-
+        r.concat("Present "+ self.st.name + " candidates: "+str(candidates) + " hold since: "+ str(self.hold_dur) + " days")
+
         r.ss_m.clean_excluded(self.st.name, self.excluded)
         r.ss_m.order_nosubstrat(candidates_to_YF(self.ust.symbols_to_YF,candidates), self.ust.exchange, self.st.name, self.last_short,keep=keep)
 
@@ -811,11 +817,7 @@ def underlying(self):
     def sorting_g(self):
         self.sorted_rank=self.divergence.rank(axis=1, ascending=True) #small divergence better
         self.sorting_criterium=self.divergence
-
-class PreselDivergenceSecond(PreselDivergence):
-    def underlying(self):
-        self.underlying_creator("StratDiv")  
-
+
 class PreselDivergenceBlocked(PreselDivergence):
     '''
     Like preselect_divergence, but the mechanism is blocked when macro_trend is bear

py-trading-bot/core/presel_classic.py

@@ -120,20 +120,24 @@ def fill_allocations_underlying(self):
 
         #transform the entries and exits in 1 and 0
         t=SIGNALTOSIZE.run(
-            self.ust.entries,
-            self.ust.exits,
-            self.ust.entries_short,
-            self.ust.exits_short,
+            self.ust_classic.entries,
+            self.ust_classic.exits,
+            self.ust_classic.entries_short,
+            self.ust_classic.exits_short,
             idx_arr=[idx_arr]
             )
 
         self.expanded_allocations= self.expand_alloc(idx_arr, self.pf_opt._allocations) #add the weight
         self.used_allocations=remove_multi(t.bought-t.sold)*remove_multi(self.expanded_allocations)
         self.max_alloc()
-        self.size=self.new_alloc #remove_multi(self.new_alloc)* remove_multi(size_underlying)
+        self.size=self.new_alloc
 
     def apply_underlying_strat(self, strat_name):
-        self.ust=name_to_ust_or_presel(strat_name,self.period, symbol_index=self.symbol_index)
+        if "ust" in self.__dir__(): #for handle "live" strategy
+            self.ust_classic=name_to_ust_or_presel(strat_name,self.period, input_ust=self.ust)
+        else:
+            self.ust_classic=name_to_ust_or_presel(strat_name,self.period, symbol_index=self.symbol_index)
+
         self.fill_allocations_underlying()
 
         #as function from_optimizer

py-trading-bot/core/strat.py

@@ -498,19 +498,21 @@ def get_return(self):
         #benchmark_return makes sense only for bull
         delta=pf.total_return().values[0]
         return delta
-                
-    def perform_StratCandidates(self, r, st_name):
+
+    def perform(self, r): 
         '''
         Perform during the report an underlying strategy on the candidates belonging to StratCandidates
 
         Arguments
         ----------
             r: report
-            st_name: name of the strategy
         '''
-        from orders.models import Strategy, StratCandidates #needs to be loaded here, as it will work only if Django is loaded
-        st, _=Strategy.objects.get_or_create(name=st_name)
-        st_actions, _=StratCandidates.objects.get_or_create(strategy=st)  #.id
+        from orders.models import StratCandidates #needs to be loaded here, as it will work only if Django is loaded
+
+        if self.st is None:
+            raise ValueError("st should be defined to use perform on underlying strategy")
+
+        st_actions, _=StratCandidates.objects.get_or_create(strategy=self.st)  #.id
         st_symbols=st_actions.retrieve()
 
         for symbol in intersection(self.symbols,st_symbols):
@@ -520,17 +522,9 @@ def perform_StratCandidates(self, r, st_name):
                 symbol_complex_ent_normal=self.symbols_simple_to_complex(symbol,"ent")
                 symbol_complex_ex_normal=self.symbols_simple_to_complex(symbol,"ex")
                 target_order=self.get_last_decision(symbol_complex_ent_normal,symbol_complex_ex_normal)
-                r.display_last_decision(symbol,target_order, st_name)      
+                r.display_last_decision(symbol,target_order, self.st.name)      
 
-                r.ss_m.add_target_quantity(symbol, st_name, target_order)
-
-    def perform(self, r, st_name:str=None): #default
-        '''
-        See perform_StratCandidates
-        '''
-        if st_name is None:
-            raise ValueError("perform for underlying strategy should have an argument st_name")
-        self.perform_StratCandidates(r, st_name) 
+                r.ss_m.add_target_quantity(symbol, self.st.name, target_order)
 
 ###production functions        
     def get_last_decision(self, symbol_complex_ent: str, symbol_complex_ex: str) -> int:
@@ -640,8 +634,8 @@ def __init__(self,
           }
 
         super().__init__(period,strat_arr=a,**kwargs )
-        
-class StratDiv(UnderlyingStrat):    
+
+class StratDiv2(UnderlyingStrat):    
     '''
     Underlying strategy for divergence preselection
     '''
@@ -654,6 +648,29 @@ def __init__(self,
                   "CDL3BLACKCROWS"]
           }}
 
+        super().__init__(period,strat_arr=a,**kwargs ) 
+
+class StratDiv(UnderlyingStrat):    
+    '''
+    Underlying strategy for divergence preselection
+    '''
+    def __init__(self,
+                 period: numbers.Number,
+                 **kwargs):
+        a={'bull': {
+            'ent': ['BBANDS', 'CDL3BLACKCROWS'],
+            'ex': ['ULTOSC20', 'CDLHIKKAKE','CDLABANDONEDBABY', 'CDL3BLACKCROWS','CDLHIKKAKEMOD']
+            },
+            'bear': {
+            'ent': ['CDLHANGINGMAN', 'CDLSTICKSANDWICH', 'CDL3LINESTRIKE'],
+            'ex': ['STOCH', 'BBANDS', 'CDLBELTHOLD', 'CDLXSIDEGAP3METHODS']
+            },
+            'uncertain': {
+            'ent': ['KAMA'],
+            'ex': ['WILLR','ULTOSC20','ULTOSC25','CDL3LINESTRIKE','CDLDARKCLOUDCOVER', 'CDL3INSIDE']
+            }
+          }
+
         super().__init__(period,strat_arr=a,**kwargs )
 
 class StratTestSimple(UnderlyingStrat):