Trading bot grain (#33)
* Trading bot Grain * Fix a bit more of the trading bot * Advance on the tradingbot grain * Fix build * Fix db script * Fix user login * Fix a bit backtest * Fix cooldown and backtest * start fixing bot start * Fix startup * Setup local db * Fix build and update candles and scenario * Add bot registry * Add reminder * Updateing the grains * fix bootstraping * Save stats on tick * Save bot data every tick * Fix serialization * fix save bot stats * Fix get candles * use dict instead of list for position * Switch hashset to dict * Fix a bit * Fix bot launch and bot view * add migrations * Remove the tolist * Add agent grain * Save agent summary * clean * Add save bot * Update get bots * Add get bots * Fix stop/restart * fix Update config * Update scanner table on new backtest saved * Fix backtestRowDetails.tsx * Fix agentIndex * Update agentIndex * Fix more things * Update user cache * Fix * Fix account load/start/restart/run
This commit is contained in:
Oda
@@ -0,0 +1,244 @@
|
||||
using Managing.Core;
|
||||
using Managing.Domain.Indicators;
|
||||
using Managing.Domain.Shared.Rules;
|
||||
using Managing.Domain.Strategies.Base;
|
||||
using Skender.Stock.Indicators;
|
||||
using static Managing.Common.Enums;
|
||||
using Candle = Managing.Domain.Candles.Candle;
|
||||
|
||||
namespace Managing.Domain.Strategies.Signals;
|
||||
|
||||
public class RsiDivergenceIndicatorBase : IndicatorBase
|
||||
{
|
||||
public List<LightSignal> Signals { get; set; }
|
||||
public TradeDirection Direction { get; set; }
|
||||
private const int UpperBand = 70;
|
||||
private const int LowerBand = 30;
|
||||
|
||||
public RsiDivergenceIndicatorBase(string name, int period) : base(name, IndicatorType.RsiDivergence)
|
||||
{
|
||||
Period = period;
|
||||
Signals = new List<LightSignal>();
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Get RSI signals
|
||||
/// </summary>
|
||||
/// <returns></returns>
|
||||
public override List<LightSignal> Run(HashSet<Candle> candles)
|
||||
{
|
||||
if (!Period.HasValue || candles.Count <= Period)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
|
||||
var ticker = candles.First().Ticker;
|
||||
|
||||
try
|
||||
{
|
||||
var rsiResult = candles.TakeLast(10 * Period.Value).GetRsi(Period.Value).ToList();
|
||||
var candlesRsi = MapRsiToCandle(rsiResult, candles.TakeLast(10 * Period.Value));
|
||||
|
||||
if (candlesRsi.Count(c => c.Rsi > 0) == 0)
|
||||
return null;
|
||||
|
||||
GetLongSignals(candlesRsi, candles);
|
||||
GetShortSignals(candlesRsi, candles);
|
||||
|
||||
return Signals;
|
||||
}
|
||||
catch (RuleException)
|
||||
{
|
||||
return null;
|
||||
}
|
||||
}
|
||||
|
||||
public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
|
||||
{
|
||||
return new IndicatorsResultBase()
|
||||
{
|
||||
Rsi = candles.GetRsi(Period.Value).ToList()
|
||||
};
|
||||
}
|
||||
|
||||
private void GetLongSignals(List<CandleRsi> candlesRsi, HashSet<Candle> candles)
|
||||
{
|
||||
// Set the low and high for first candle
|
||||
var firstCandleRsi = candlesRsi.First(c => c.Rsi > 0);
|
||||
var highPrices = new List<CandleRsi>();
|
||||
var lowPrices = new List<CandleRsi>();
|
||||
|
||||
var highRsi = new List<CandleRsi>();
|
||||
var lowRsi = new List<CandleRsi>();
|
||||
|
||||
highPrices.Add(firstCandleRsi);
|
||||
lowPrices.Add(firstCandleRsi);
|
||||
|
||||
highRsi.Add(firstCandleRsi);
|
||||
lowRsi.Add(firstCandleRsi);
|
||||
|
||||
var previousCandle = firstCandleRsi;
|
||||
|
||||
// For a long
|
||||
foreach (var currentCandle in candlesRsi.FindAll(r => r.Rsi > 0).Skip(1))
|
||||
{
|
||||
// If price go down
|
||||
if (previousCandle.Close > currentCandle.Close)
|
||||
{
|
||||
// because the last price is upper than the current
|
||||
highPrices.AddItem(previousCandle);
|
||||
|
||||
// Check if rsi is higher than the last lowest
|
||||
if (currentCandle.Rsi > lowRsi.TakeLast(Period.Value).Min(r => r.Rsi))
|
||||
{
|
||||
// If new higher high, we set it
|
||||
if (currentCandle.Rsi > highRsi.Last().Rsi)
|
||||
highRsi.AddItem(currentCandle);
|
||||
|
||||
if (currentCandle.Rsi > lowRsi.Last().Rsi)
|
||||
lowRsi.AddItem(currentCandle);
|
||||
|
||||
// Price go down but RSI go up
|
||||
if (currentCandle.Close < lowPrices.TakeLast(Period.Value).Min(p => p.Close))
|
||||
{
|
||||
AddSignal(currentCandle, TradeDirection.Long, candles);
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
// No divergence, price go down, rsi go down
|
||||
lowRsi.AddItem(currentCandle);
|
||||
}
|
||||
|
||||
lowPrices.AddItem(currentCandle);
|
||||
}
|
||||
else
|
||||
{
|
||||
// Price go up, so we have to update if price is a new higher high than previous candle
|
||||
// Normally always true
|
||||
if (previousCandle.Close < currentCandle.Close)
|
||||
highPrices.AddItem(currentCandle); //15-15-12-14-17
|
||||
|
||||
// If rsi is lower low or not set
|
||||
if (currentCandle.Rsi < lowRsi.Last().Rsi || lowRsi.Last().Rsi == 0)
|
||||
lowRsi.AddItem(currentCandle);
|
||||
|
||||
// Price going up, so if its a new high we set it
|
||||
if (currentCandle.Rsi > highRsi.Last().Rsi)
|
||||
highRsi.AddItem(currentCandle);
|
||||
}
|
||||
|
||||
previousCandle = currentCandle;
|
||||
}
|
||||
}
|
||||
|
||||
private void GetShortSignals(List<CandleRsi> candlesRsi, HashSet<Candle> candles)
|
||||
{
|
||||
// Set the low and high for first candle
|
||||
var firstCandleRsi = candlesRsi.First(c => c.Rsi > 0);
|
||||
|
||||
var signals = new List<Signal>();
|
||||
var highPrices = new List<CandleRsi>();
|
||||
var lowPrices = new List<CandleRsi>();
|
||||
|
||||
var highRsi = new List<CandleRsi>();
|
||||
var lowRsi = new List<CandleRsi>();
|
||||
|
||||
highPrices.Add(firstCandleRsi);
|
||||
lowPrices.Add(firstCandleRsi);
|
||||
|
||||
highRsi.Add(firstCandleRsi);
|
||||
lowRsi.Add(firstCandleRsi);
|
||||
|
||||
var previousCandle = firstCandleRsi;
|
||||
|
||||
// For a short
|
||||
foreach (var currentCandle in candlesRsi.FindAll(r => r.Rsi > 0).Skip(1))
|
||||
{
|
||||
// If price go up
|
||||
if (previousCandle.Close < currentCandle.Close)
|
||||
{
|
||||
// because the last price is lower than the current
|
||||
lowPrices.AddItem(previousCandle);
|
||||
|
||||
// Check if rsi is lower than the last high
|
||||
if (currentCandle.Rsi < highRsi.TakeLast(Period.Value).Max(r => r.Rsi))
|
||||
{
|
||||
// If new lower low, we set it
|
||||
if (currentCandle.Rsi < lowRsi.Last().Rsi)
|
||||
lowRsi.AddItem(currentCandle);
|
||||
|
||||
if (currentCandle.Rsi < highRsi.Last().Rsi)
|
||||
highRsi.AddItem(currentCandle);
|
||||
|
||||
// Price go up but RSI go down
|
||||
if (currentCandle.Close > highPrices.TakeLast(Period.Value).Max(p => p.Close))
|
||||
{
|
||||
AddSignal(currentCandle, TradeDirection.Short, candles);
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
// No divergence, price go up, rsi go up
|
||||
highRsi.AddItem(currentCandle);
|
||||
}
|
||||
|
||||
highPrices.AddItem(currentCandle);
|
||||
}
|
||||
else
|
||||
{
|
||||
// Price go down, so we have to update if price is a new lower low than previous candle
|
||||
if (previousCandle.Close > currentCandle.Close)
|
||||
lowPrices.AddItem(currentCandle);
|
||||
|
||||
// If rsi is higher high or not set
|
||||
if (currentCandle.Rsi > highRsi.Last().Rsi || highRsi.Last().Rsi == 0)
|
||||
highRsi.AddItem(currentCandle);
|
||||
|
||||
// Price going down, so if its a new low we set it
|
||||
if (currentCandle.Rsi < lowRsi.Last().Rsi)
|
||||
lowRsi.AddItem(currentCandle);
|
||||
}
|
||||
|
||||
previousCandle = currentCandle;
|
||||
}
|
||||
}
|
||||
|
||||
private void AddSignal(CandleRsi candleSignal, TradeDirection direction, HashSet<Candle> candles)
|
||||
{
|
||||
var signal = new LightSignal(MiscExtensions.ParseEnum<Ticker>(candleSignal.Ticker), direction, Confidence.Low,
|
||||
candleSignal, candleSignal.Date, candleSignal.Exchange, Type, SignalType, Name);
|
||||
|
||||
if (Signals.Count(s => s.Identifier == signal.Identifier) < 1)
|
||||
{
|
||||
var lastCandleOnPeriod = candles.TakeLast(Period.Value).ToList();
|
||||
var signalsOnPeriod = Signals.Where(s => s.Date >= lastCandleOnPeriod[0].Date).ToList();
|
||||
|
||||
if (signalsOnPeriod.Count == 1)
|
||||
signal.SetConfidence(Confidence.Medium);
|
||||
|
||||
if (signalsOnPeriod.Count >= 2)
|
||||
signal.SetConfidence(Confidence.High);
|
||||
|
||||
Signals.AddItem(signal);
|
||||
}
|
||||
}
|
||||
|
||||
private List<CandleRsi> MapRsiToCandle(IReadOnlyCollection<RsiResult> rsiResult,
|
||||
IEnumerable<Candle> candles)
|
||||
{
|
||||
return candles.Select(c => new CandleRsi()
|
||||
{
|
||||
Close = c.Close,
|
||||
Rsi = rsiResult.Find(c.Date).Rsi.GetValueOrDefault(),
|
||||
Date = c.Date,
|
||||
Ticker = c.Ticker,
|
||||
Exchange = c.Exchange
|
||||
}).ToList();
|
||||
}
|
||||
|
||||
private class CandleRsi : Candle
|
||||
{
|
||||
public double Rsi { get; set; }
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user