Ménage
This commit is contained in:
Jérôme Delacotte
@@ -228,11 +228,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str,
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current_time: datetime, entry_tag: Optional[str], **kwargs) -> bool:
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# count_buys = 0
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# trade = self.getTrade(pair)
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# if trade:
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# filled_buys = trade.select_filled_orders('buy')
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# count_buys = len(filled_buys)
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minutes = 0
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if self.pairs[pair]['last_date'] != 0:
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@@ -346,24 +341,10 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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self.pairs[pair]['count_of_buys'] = count_of_buys
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self.pairs[pair]['current_profit'] = current_profit
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self.pairs[pair]['max_profit'] = max(self.pairs[pair]['max_profit'], current_profit)
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pct_first = round((last_candle['close'] - self.pairs[pair]['first_buy']) / self.pairs[pair]['first_buy'], 3)
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# if (last_candle['close'] > last_candle['max3_1d']) and \
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# (current_profit >= expected_profit or (last_candle['rsi'] >= 80 and current_profit > 0)) & (last_candle['percent'] < 0.0) \
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# and ((last_candle['rsi'] >= 75) or before_last_candle['rsi'] >= 75)\
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# and (count_of_buys <= 2):
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# self.trades = list()
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# # self.pairs[pair]['stop'] = True
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# return 'rsi_' + str(count_of_buys)
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if (last_candle['tendency'] in ('H++', 'H+')) and (last_candle['rsi'] < 80):
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# and (last_candle['tendency_1h'] in ('H++', 'H+')):
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# and (last_candle['tendency_1d'] in ('H++', 'H+')) :
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return None
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# if (count_of_buys >= 4 and last_candle['sma5_diff_1h'] > 0):
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# return None
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# if (last_candle['rsi_1d'] > 50) & (last_candle['percent12'] < 0.0):
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baisse = self.pairs[pair]['max_profit'] - current_profit
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mx = self.pairs[pair]['max_profit'] / 5
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if (baisse > mx) & (current_profit > expected_profit): #last_candle['min_max200'] / 3):
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@@ -373,13 +354,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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self.trades = list()
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return 'pft_' + str(count_of_buys)
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# if (last_candle['percent3'] < -0.002) & (last_candle['percent12'] < 0) & (
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# current_profit > last_candle['min_max200'] / 3):
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# self.trades = list()
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# return 'mnmx_' + str(count_of_buys)
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# if (last_candle['percent12'] <= -0.01) & (current_profit >= expected_profit):
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# self.trades = list()
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# return 'profit_' + str(count_of_buys)
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self.pairs[pair]['max_touch'] = max(last_candle['haclose'], self.pairs[pair]['max_touch'])
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def informative_pairs(self):
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@@ -582,20 +556,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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dataframe['average_line_288'] = talib.MIDPOINT(dataframe['close'], timeperiod=288)
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dataframe['average_line_288_098'] = dataframe['average_line_288'] * 0.98
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dataframe['average_line_288_099'] = dataframe['average_line_288'] * 0.99
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# # Sort the close prices to find the 4 lowest values
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# sorted_close_prices = dataframe['close'].rolling(576).sort_values()
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# lowest_4 = sorted_close_prices.head(20)
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#
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# dataframe['lowest_4_average'] = lowest_4.mean()
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# # Propagate this mean value across the entire dataframe
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# # dataframe['lowest_4_average'] = dataframe['lowest_4_average'].iloc[0]
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#
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# # # Sort the close prices to find the 4 highest values
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# sorted_close_prices = dataframe['close'].rolling(288).sort_values(ascending=False)
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# highest_4 = sorted_close_prices.head(20)
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#
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# # # Calculate the mean of the 4 highest values
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# dataframe['highest_4_average'] = highest_4.mean()
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# Compter les baisses consécutives
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self.calculateDownAndUp(dataframe, limit=0.0001)
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@@ -631,18 +591,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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self.calculateDownAndUp(informative, limit=0.0012)
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# if self.dp.runmode.value in ('backtest'):
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# self.test_signal_success(informative, percent=0.01, window_size=24)
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# if self.dp.runmode.value in ('backtest'):
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# condition = (informative['sma5'].shift(2) > informative['sma5'].shift(1)) \
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# & (informative['sma5'].shift(1) < informative['sma5']) \
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# & (informative['down_pct'].shift(3) < -0.015)
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#
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# self.test_signal_success(informative, condition, percent=0.01, window_size=3)
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# self.test_signal_success(informative, condition, percent=0.01, window_size=5)
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# self.test_signal_success(informative, condition, percent=0.01, window_size=10)
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dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1h", ffill=True)
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################### INFORMATIVE 1d
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@@ -703,80 +651,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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# dataframe['amount'] = amount
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print(f"amount= {amount}")
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# # trades = Trade.get_trades([Trade.is_open is False]).all()
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# trades = Trade.get_trades_proxy(is_open=False, pair=metadata['pair'])
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# if trades:
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# trade = trades[-1]
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# print('closed trade pair is : ')
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# print(trade)
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# dataframe['expected_profit'] = (1 + self.expectedProfit(pair, dataframe.iloc[-1])) * dataframe[
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# 'last_price']
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# dataframe['lbp'] = dataframe['last_price']
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# dataframe['lbp_3'] = dataframe['lbp'] * 0.97 # 3
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# dataframe['lbp_6'] = dataframe['lbp'] * 0.94 # 6
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# dataframe['lbp_9'] = dataframe['lbp'] * 0.90 # 10
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# dataframe['lbp_12'] = dataframe['lbp'] * 0.85 # 15
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# dataframe['lbp_20'] = dataframe['lbp'] * 0.8 # 20
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# dataframe['fbp'] = trade.open_rate
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# # else:
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# # last_trade = self.get_trades(pair=pair).order_by('-close_date').first()
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# # filled_buys = last_trade.select_filled_orders('buy')
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# # print(last_trade)
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# # for buy in filled_buys:
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# # print(filled_buys)
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# dataframe['buy_level'] = dataframe['lowest_4_average'] * (1 - self.levels[count_buys] / 100)
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# ----------------------------------------------------------
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# Calcul de la variation entre deux bougies successives
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# dataframe['price_change'] = dataframe['close'].diff()
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# # Marquer les bougies en baisse
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# dataframe['is_down'] = dataframe['price_change'] < 0
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#
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# # Identifier les blocs consécutifs de baisses
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# # dataframe['drop_id'] = (dataframe['is_down'] != dataframe['is_down'].shift(1)).cumsum()
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# dataframe['drop_id'] = np.where(dataframe['is_down'],
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# (dataframe['is_down'] != dataframe['is_down'].shift(12)).cumsum(), np.nan)
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#
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# # Identifier uniquement les blocs de baisse
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# dataframe['drop_id'] = dataframe['drop_id'].where(dataframe['is_down'])
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# # Grouper par les chutes détectées
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# drop_info = dataframe.groupby('drop_id').agg(
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# start=('close', 'first'), # Prix au début de la chute
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# end=('close', 'last'), # Prix à la fin de la chute
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# start_index=('close', 'idxmin'), # Début de la chute (index)
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# end_index=('close', 'idxmax'), # Fin de la chute (index)
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# )
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#
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# # Calcul de l'ampleur de la chute en %
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# drop_info['drop_amplitude_pct'] = ((drop_info['end'] - drop_info['start']) / drop_info['start']) * 100
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# # Filtrer les chutes avec une amplitude supérieure à 3%
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# drop_info = drop_info[drop_info['drop_amplitude_pct'] < -3]
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# **************
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# Identifier le prix de début et de fin de chaque chute
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# drop_stats = dataframe.groupby('drop_id').agg(
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# start_price=('close', 'first'), # Prix au début de la chute
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# end_price=('close', 'last'), # Prix à la fin de la chute
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# )
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# Calculer l'amplitude en %
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# drop_stats['amplitude_pct'] = ((drop_stats['end_price'] - drop_stats['start_price']) / drop_stats[
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# 'start_price']) * 100
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# # drop_stats = drop_stats[drop_stats['amplitude_pct'] < -1]
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# # Associer les amplitudes calculées à chaque drop_id dans dataframe
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# dataframe = dataframe.merge(drop_stats[['amplitude_pct']], on='drop_id', how='left')
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# # Remplir les lignes sans drop_id par 0
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# dataframe['amplitude_pct'] = dataframe['amplitude_pct'].fillna(0)
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# dataframe['amplitude_pct_60'] = dataframe['amplitude_pct'].rolling(60).sum()
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# ----------------------------------------------------------
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# self.getBinanceOrderBook(pair, dataframe)
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# if self.dp.runmode.value in ('backtest'):
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# self.test_signal_success(dataframe, 0.005)
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dataframe['futur_price_1h'] = dataframe['close'].shift(-12)
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dataframe['futur_price_2h'] = dataframe['close'].shift(-24)
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dataframe['futur_price_3h'] = dataframe['close'].shift(-36)
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@@ -812,15 +686,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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self.trades = Trade.get_open_trades()
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return self.trades
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# def getTrade(self, pair):
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# trades = self.getOpenTrades()
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# trade_for_pair = None
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# for trade in trades:
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# if trade.pair == pair:
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# trade_for_pair = trade
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# break
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# return trade_for_pair
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def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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pair = metadata['pair']
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@@ -849,48 +714,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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& (dataframe["bb_width"] > 0.01)
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), ['enter_long', 'enter_tag']] = (1, 'mx200')
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dataframe.loc[
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(
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(
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(dataframe['percent12'] < -0.015) |
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(dataframe['percent24'] < -0.022) |
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(dataframe['percent48'] < -0.030)
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)
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& (dataframe['close'] <= dataframe['min50'] * 1.002)
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& (dataframe['open'] < dataframe['average_line_50'])
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& (
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(dataframe['close'] < dataframe['min12'] * 1.002)
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| (dataframe['percent12'] < -0.022)
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| (dataframe['percent24'] < -0.022)
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)
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& (
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(dataframe['min50'].shift(2) == dataframe['min50'])
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| (dataframe['percent12'] < -0.022)
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| (dataframe['percent24'] < -0.022)
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)
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& (dataframe['up_count'] > 0)
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& (dataframe["bb_width"] > 0.01)
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), ['enter_long', 'enter_tag']] = (1, 'pct12')
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dataframe.loc[
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(
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(dataframe['close'] <= dataframe['min200'] * 1.002)
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& (dataframe["bb_width"] > 0.01)
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& (dataframe['min_max200'] > 0.015)
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# & (dataframe['pct_change'] < 0)
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& (dataframe['haopen'] < buy_level)
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& (dataframe['open'] < dataframe['average_line_288'])
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& (dataframe['up_count'] > 0)
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), ['enter_long', 'enter_tag']] = (1, 'mnmx200')
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# dataframe.loc[
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# (
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# (dataframe['close'].shift(2) <= dataframe['min200'])
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# & (dataframe['pct_change'] < 0)
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# & (dataframe['min200'].shift(2) == dataframe['min200'])
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# & (dataframe['close'] < dataframe['lowest_4_average'])
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# & (dataframe['up_count'] > 0)
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# ), ['enter_long', 'enter_tag']] = (1, 'min200')
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dataframe.loc[
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(
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# (dataframe['rsi_1h'] < 70)
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@@ -911,7 +734,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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& (dataframe['tendency'] != "B-")
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), ['enter_long', 'enter_tag']] = (1, 'low')
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dataframe['test'] = np.where(dataframe['enter_long'] == 1, dataframe['close'] * 1.01, np.nan)
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if self.dp.runmode.value in ('backtest'):
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@@ -1028,14 +850,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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first_price = last_candle['close']
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last_max = last_candle['max12_1d']
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# if self.pairs[pair]['last_max'] == 0:
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# self.pairs[pair]['last_max'] = last_candle['max12_1d']
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# print(f"last_max set to {last_max}")
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#
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# if self.pairs[pair]['last_max'] > 0:
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# last_max = self.pairs[pair]['last_max']
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# print(f"last_max is {last_max}")
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pct = 5
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if last_max > 0:
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pct = 100 * (last_max - first_price) / last_max
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@@ -1048,323 +862,14 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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return adjusted_stake_amount
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# def adjust_exit_price(self, dataframe: DataFrame):
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# # Calculer le max des 14 derniers jours
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# min_14_days = dataframe['lowest_1d']
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# max_14_days = dataframe['highest_1d']
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# entry_price = dataframe['fbp']
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# current_price = dataframe['close']
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# percent = 0.5 * (max_14_days - min_14_days) / min_14_days
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# exit_price = (1 + percent) * entry_price
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#
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# print(f"Exit price ajusté price={current_price:.4f} max_14={max_14_days:.4f} exit_price={exit_price:.4f}")
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#
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# return exit_price
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# def adjust_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
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# current_rate: float, current_profit: float, **kwargs) -> float:
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# dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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# # print(dataframe)
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# last_candle = dataframe.iloc[-1].squeeze()
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#
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# # Utiliser l'ATR pour ajuster le stoploss
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# atr_stoploss = current_rate - (last_candle['atr'] * 1.5) # Stoploss à 1.5x l'ATR
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#
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# # Retourner le stoploss dynamique en pourcentage du prix actuel
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# return (atr_stoploss / current_rate) - 1
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def expectedProfit(self, pair: str, last_candle: DataFrame):
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# first_price = last_candle['first_price']
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# first_max = 0.01
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# if first_price < last_candle['max200']:
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# first_max = (last_candle['max200'] - first_price) / first_price
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expected_profit = 0.004 #min(0.01, first_max)
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# print(
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# f"Expected profit price={current_price:.4f} min_max={min_max:.4f} min_14={min_14_days:.4f} max_14={max_14_days:.4f} percent={percent:.4f} expected_profit={expected_profit:.4f}")
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# self.analyze_conditions(pair, dataframe)
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return expected_profit
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# def adjust_exit_price(self, dataframe: DataFrame):
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# # Calculer le max des 14 derniers jours
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# min_14_days = dataframe['lowest_1d']
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# max_14_days = dataframe['highest_1d']
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# entry_price = dataframe['fbp']
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# current_price = dataframe['close']
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# percent = 0.5 * (max_14_days - min_14_days) / min_14_days
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# exit_price = (1 + percent) * entry_price
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#
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# print(f"Exit price ajusté price={current_price} max_14={max_14_days} exit_price={exit_price}")
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#
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# return exit_price
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# def adjust_entry_price(self, dataframe: DataFrame):
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# # Calculer le max des 14 derniers jours
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# min_14_days = dataframe['lowest_1d']
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# max_14_days = dataframe['highest_1d']
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# current_price = dataframe['close']
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# percent = 0.5 * (max_14_days - min_14_days) / min_14_days
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# entry_price = (1 + percent) * entry_price
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#
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# print(f"Entry price ajusté price={current_price} max_14={max_14_days} exit_price={entry_price}")
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#
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# return entry_price
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# def adjust_stake_amount(self, dataframe: DataFrame):
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# # Calculer le minimum des 14 derniers jours
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# middle = dataframe['middle_1d']
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#
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# # Récupérer la dernière cotation actuelle (peut être le dernier point de la série)
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# current_price = dataframe['close']
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#
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# # Calculer l'écart entre la cotation actuelle et le minimum des 14 derniers jours
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# difference = middle - current_price
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# # Ajuster la stake_amount en fonction de l'écart
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# # Par exemple, augmenter la stake_amount proportionnellement à l'écart
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# base_stake_amount = self.config.get('stake_amount', 100) # Montant de base configuré
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#
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# multiplier = 1 - (difference / current_price) # Exemple de logique d'ajustement
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#
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# adjusted_stake_amount = max(base_stake_amount / 2.5, base_stake_amount * multiplier)
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#
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# # difference = 346.07000000000016
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# # price = 2641.75
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# # min_14 = 2295.68
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# # amount = 56.5500141951358
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#
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# print(f"Stack amount ajusté difference={difference} price={current_price} middle={middle} multiplier={multiplier} amount={adjusted_stake_amount}")
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#
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# return adjusted_stake_amount
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def getBinanceOrderBook(self, pair, dataframe: DataFrame):
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"""Fetch the order book (depth) from Binance."""
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# print(dataframe)
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last_candle = dataframe.iloc[-1].squeeze()
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symbol = pair.replace('/', '')
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try:
|
||||
url = f"https://api.binance.com/api/v3/depth?symbol={symbol}&limit=5000"
|
||||
response = requests.get(url)
|
||||
data = response.json()
|
||||
|
||||
# Extract bids and asks from the order book
|
||||
asks, bids = self.calculateSMA(20, data['asks'], data['bids']) # Ventes List of [price, quantity]
|
||||
# bids = data['bids']
|
||||
# asks = data['asks'] # Achats List of [price, quantity]
|
||||
|
||||
# Process the depth data as you need it
|
||||
# bid_volume = sum([float(bid[1]) for bid in bids]) # Sum of all bid volumes
|
||||
# $ * nb / $ => nb
|
||||
bid_volume = sum([float(bid[0]) * float(bid[1]) / float(last_candle['close']) for bid in bids[:10]])
|
||||
# ask_volume = sum([float(ask[1]) for ask in asks]) # Sum of all ask volumes
|
||||
ask_volume = sum([float(ask[0]) * float(ask[1]) / float(last_candle['close']) for ask in asks[:10]])
|
||||
|
||||
# Example: add the difference in volumes as an indicator
|
||||
if bid_volume and ask_volume:
|
||||
self.updateLastValue(dataframe, 'depth_bid_ask_diff', round(bid_volume - ask_volume, 2))
|
||||
else:
|
||||
self.updateLastValue(dataframe, 'depth_bid_ask_diff', 0)
|
||||
|
||||
# probabilité baisse hausse sur les n premiers élements
|
||||
for start in [0, 50, 100, 150]:
|
||||
self.updateLastValue(dataframe, 'prob_hausse_' + str(start + 50),
|
||||
self.calculateProbaNb(asks, bids, start, start + 50))
|
||||
# dataframe['prob_hausse_' + str(nb)] = self.calculateProbaNb(asks, bids, nb)
|
||||
# Analyse des prix moyens pondérés par les volumes (VWAP) :
|
||||
#
|
||||
# Le VWAP (Volume Weighted Average Price) peut être utilisé pour comprendre la pression directionnelle.
|
||||
# Si le VWAP basé sur les ordres d'achat est plus élevé que celui des ordres de vente,
|
||||
# cela peut indiquer une probabilité de hausse.
|
||||
nb = 50
|
||||
|
||||
bid_vwap = sum([float(bid[0]) * float(bid[1]) for bid in bids[:nb]]) / sum(
|
||||
[float(bid[1]) for bid in bids[:nb]])
|
||||
ask_vwap = sum([float(ask[0]) * float(ask[1]) for ask in asks[:nb]]) / sum(
|
||||
[float(ask[1]) for ask in asks[:nb]])
|
||||
|
||||
if bid_vwap > ask_vwap:
|
||||
self.updateLastValue(dataframe, 'vwap_hausse',
|
||||
round(100 * (bid_vwap - ask_vwap) / (bid_vwap + ask_vwap), 2))
|
||||
else:
|
||||
self.updateLastValue(dataframe, 'vwap_hausse',
|
||||
- round(100 * (ask_vwap - bid_vwap) / (bid_vwap + ask_vwap), 2))
|
||||
|
||||
current_price = last_candle['close'] # le prix actuel du marché
|
||||
|
||||
# Calcul du seuil de variation de 1%
|
||||
lower_threshold = current_price * 0.99
|
||||
upper_threshold = current_price * 1.01
|
||||
|
||||
# Volumes d'achat (bids) sous 1% du prix actuel
|
||||
bid_volume_1percent = sum(
|
||||
[float(bid[1]) for bid in bids if current_price >= float(bid[0]) >= lower_threshold])
|
||||
|
||||
# Volumes de vente (asks) au-dessus de 1% du prix actuel
|
||||
ask_volume_1percent = sum(
|
||||
[float(ask[1]) for ask in asks if current_price <= float(ask[0]) <= upper_threshold])
|
||||
|
||||
# Estimation de la probabilité basée sur le déséquilibre des volumes
|
||||
total_volume = bid_volume_1percent + ask_volume_1percent
|
||||
if total_volume > 0:
|
||||
prob_hausse = bid_volume_1percent / total_volume
|
||||
prob_baisse = ask_volume_1percent / total_volume
|
||||
else:
|
||||
prob_hausse = prob_baisse = 0
|
||||
|
||||
self.updateLastValue(dataframe, 'proba_hausse_1%', round(prob_hausse * 100, 2))
|
||||
self.updateLastValue(dataframe, 'proba_baisse_1%', round(prob_baisse * 100, 2))
|
||||
print(f"Probabilité de hausse de 1%: {prob_hausse * 100:.2f}%")
|
||||
print(f"Probabilité de baisse de 1%: {prob_baisse * 100:.2f}%")
|
||||
|
||||
self.calculateResistance(pair, asks, dataframe)
|
||||
self.calculateSupport(pair, bids, dataframe)
|
||||
|
||||
dataframe['r_s'] = 100 * (dataframe['r_min'] - dataframe['s_min']) / dataframe['s_min']
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error fetching order book: {e}")
|
||||
return None, None
|
||||
|
||||
def calculateProbaNb(self, asks, bids, start, nb):
|
||||
top_bids = sum([float(bid[1]) for bid in bids[start:nb]])
|
||||
top_asks = sum([float(ask[1]) for ask in asks[start:nb]])
|
||||
if top_bids > top_asks:
|
||||
proba = round(100 * (top_bids - top_asks) / (top_bids + top_asks), 2)
|
||||
else:
|
||||
proba = - round(100 * (top_asks - top_bids) / (top_bids + top_asks), 2)
|
||||
return proba
|
||||
|
||||
def calculateResistance(self, pair, asks, dataframe: DataFrame):
|
||||
last_candle = dataframe.iloc[-1].squeeze()
|
||||
|
||||
# Filtrage +-5%
|
||||
current_price = float(last_candle['close'])
|
||||
lower_bound = current_price * 0.95
|
||||
upper_bound = current_price * 1.05
|
||||
ask_prices = [float(ask[0]) for ask in asks]
|
||||
ask_volumes = [float(ask[1]) for ask in asks]
|
||||
ask_df = pd.DataFrame({'price': ask_prices, 'volume': ask_volumes})
|
||||
filtered_ask_df = ask_df[(ask_df['price'] >= lower_bound) & (ask_df['price'] <= upper_bound)]
|
||||
# Trier le DataFrame sur la colonne 'volume' en ordre décroissant
|
||||
sorted_ask_df = filtered_ask_df.sort_values(by='volume', ascending=False)
|
||||
|
||||
# Ne garder que les 3 premières lignes (les 3 plus gros volumes)
|
||||
top_3_asks = sorted_ask_df.head(3)
|
||||
print(top_3_asks)
|
||||
|
||||
# Convertir les ordres de vente en numpy array pour faciliter le traitement
|
||||
asks_array = np.array(filtered_ask_df, dtype=float)
|
||||
|
||||
# Détecter les résistances : on peut définir qu'une résistance est un niveau de prix où la quantité est élevée
|
||||
# Ex: seuil de résistance à partir des 10% des plus grosses quantités
|
||||
resistance_threshold = np.percentile(asks_array[:, 1], 90)
|
||||
resistances = asks_array[asks_array[:, 1] >= resistance_threshold]
|
||||
|
||||
# Afficher les résistances trouvées
|
||||
# print(f"{pair} Niveaux de résistance détectés:")
|
||||
# for resistance in resistances:
|
||||
# print(f"{pair} Prix: {resistance[0]}, Quantité: {resistance[1]}")
|
||||
|
||||
# Exemple : somme des quantités sur des plages de prix
|
||||
# Intervalles de 10 USDT
|
||||
step = last_candle['close'] / 100
|
||||
price_intervals = np.arange(asks_array[:, 0].min(), asks_array[:, 0].max(), step=step)
|
||||
|
||||
for start_price in price_intervals:
|
||||
end_price = start_price + step
|
||||
mask = (asks_array[:, 0] >= start_price) & (asks_array[:, 0] < end_price)
|
||||
volume_in_range = asks_array[mask, 1].sum()
|
||||
amount = volume_in_range * end_price
|
||||
print(
|
||||
f"Prix entre {start_price:.6f} et {end_price:.6f}: Volume total = {volume_in_range:.2f} amount={amount:.2f}")
|
||||
|
||||
# Trier les asks par quantité en ordre décroissant
|
||||
asks_sorted = asks_array[asks_array[:, 1].argsort()][::-1]
|
||||
|
||||
# Sélectionner les trois plus gros resistances
|
||||
top_3_resistances = asks_sorted[:3]
|
||||
|
||||
# Afficher les trois plus gros resistances
|
||||
print("Les trois plus grosses resistances détectées : ")
|
||||
self.updateLastValue(dataframe, 'r3', top_3_resistances[0][0])
|
||||
self.updateLastValue(dataframe, 'r2', top_3_resistances[1][0])
|
||||
self.updateLastValue(dataframe, 'r1', top_3_resistances[2][0])
|
||||
self.updateLastValue(dataframe, 'r_min',
|
||||
min(top_3_resistances[0][0], top_3_resistances[1][0], top_3_resistances[2][0]))
|
||||
for resistance in top_3_resistances:
|
||||
print(f"{pair} Prix: {resistance[0]}, Quantité: {resistance[1]}")
|
||||
|
||||
def calculateSupport(self, pair, bids, dataframe: DataFrame):
|
||||
last_candle = dataframe.iloc[-1].squeeze()
|
||||
|
||||
# Convert to pandas DataFrame to apply moving average
|
||||
current_price = float(last_candle['close'])
|
||||
lower_bound = current_price * 0.95
|
||||
upper_bound = current_price * 1.05
|
||||
bid_prices = [float(bid[0]) for bid in bids]
|
||||
bid_volumes = [float(bid[1]) for bid in bids]
|
||||
bid_df = pd.DataFrame({'price': bid_prices, 'volume': bid_volumes})
|
||||
filtered_bid_df = bid_df[(bid_df['price'] >= lower_bound) & (bid_df['price'] <= upper_bound)]
|
||||
# Trier le DataFrame sur la colonne 'volume' en ordre décroissant
|
||||
sorted_bid_df = filtered_bid_df.sort_values(by='volume', ascending=False)
|
||||
|
||||
# Ne garder que les 3 premières lignes (les 3 plus gros volumes)
|
||||
top_3_bids = sorted_bid_df.head(3)
|
||||
print(top_3_bids)
|
||||
|
||||
# Convertir les ordres d'achat en numpy array pour faciliter le traitement
|
||||
bids_array = np.array(filtered_bid_df, dtype=float)
|
||||
|
||||
# Détecter les supports : on peut définir qu'un support est un niveau de prix où la quantité est élevée
|
||||
# Ex: seuil de support à partir des 10% des plus grosses quantités
|
||||
support_threshold = np.percentile(bids_array[:, 1], 90)
|
||||
supports = bids_array[bids_array[:, 1] >= support_threshold]
|
||||
|
||||
# Afficher les supports trouvés
|
||||
# print(f"{pair} Niveaux de support détectés:")
|
||||
# for support in supports:
|
||||
# print(f"{pair} Prix: {support[0]}, Quantité: {support[1]}")
|
||||
|
||||
step = last_candle['close'] / 100
|
||||
# Exemple : somme des quantités sur des plages de prix pour les bids
|
||||
price_intervals = np.arange(bids_array[:, 0].min(), bids_array[:, 0].max(), step=step) # Intervalles de 10 USDT
|
||||
|
||||
for start_price in price_intervals:
|
||||
end_price = start_price + step
|
||||
mask = (bids_array[:, 0] >= start_price) & (bids_array[:, 0] < end_price)
|
||||
volume_in_range = bids_array[mask, 1].sum()
|
||||
amount = volume_in_range * end_price
|
||||
print(
|
||||
f"Prix entre {start_price:.6f} et {end_price:.6f}: Volume total = {volume_in_range:.2f} amount={amount:.2f}")
|
||||
|
||||
# Trier les bids par quantité en ordre décroissant
|
||||
bids_sorted = bids_array[bids_array[:, 1].argsort()][::-1]
|
||||
|
||||
# Sélectionner les trois plus gros supports
|
||||
top_3_supports = bids_sorted[:3]
|
||||
|
||||
# Afficher les trois plus gros supports
|
||||
print("Les trois plus gros supports détectés:")
|
||||
|
||||
self.updateLastValue(dataframe, 's1', top_3_supports[0][0])
|
||||
self.updateLastValue(dataframe, 's2', top_3_supports[1][0])
|
||||
self.updateLastValue(dataframe, 's3', top_3_supports[2][0])
|
||||
self.updateLastValue(dataframe, 's_min', max(top_3_supports[0][0], top_3_supports[1][0], top_3_supports[2][0]))
|
||||
|
||||
for support in top_3_supports:
|
||||
print(f"{pair} Prix: {support[0]}, Quantité: {support[1]}")
|
||||
|
||||
def updateLastValue(self, df: DataFrame, col, value):
|
||||
if col in df.columns:
|
||||
print(f"update last col {col} {value}")
|
||||
df.iloc[-1, df.columns.get_loc(col)] = value
|
||||
else:
|
||||
print(f"update all col {col} {value}")
|
||||
df[col] = value
|
||||
|
||||
def smooth_series(self, series, alpha_low=0.1, alpha_high=0.5, threshold=0.2):
|
||||
"""
|
||||
Applique un lissage adaptatif sur une série Pandas.
|
||||
@@ -1384,43 +889,6 @@ class Zeus_8_3_2_B_4_2(IStrategy):
|
||||
|
||||
return pd.Series(smoothed, index=series.index)
|
||||
|
||||
# def update_last_record(self, dataframe: DataFrame, new_data):
|
||||
# # Vérifiez si de nouvelles données ont été reçues
|
||||
# if new_data is not None:
|
||||
# # Ne mettez à jour que la dernière ligne du dataframe
|
||||
# last_index = dataframe.index[-1] # Sélectionne le dernier enregistrement
|
||||
# dataframe.loc[last_index] = new_data # Met à jour le dernier enregistrement avec les nouvelles données
|
||||
# return dataframe
|
||||
|
||||
def calculateSMA(self, nb, asks, bids):
|
||||
# Prepare data for plotting
|
||||
bid_prices = [float(bid[0]) for bid in bids]
|
||||
bid_volumes = [float(bid[1]) for bid in bids]
|
||||
|
||||
ask_prices = [float(ask[0]) for ask in asks]
|
||||
ask_volumes = [float(ask[1]) for ask in asks]
|
||||
|
||||
# Convert to pandas DataFrame to apply moving average
|
||||
bid_df = pd.DataFrame({'price': bid_prices, 'volume': bid_volumes})
|
||||
ask_df = pd.DataFrame({'price': ask_prices, 'volume': ask_volumes})
|
||||
|
||||
# Apply a rolling window to calculate a 10-value simple moving average (SMA)
|
||||
bid_df['volume_sma'] = bid_df['volume'].rolling(window=nb).mean()
|
||||
ask_df['volume_sma'] = ask_df['volume'].rolling(window=nb).mean()
|
||||
|
||||
# Pour bid_df
|
||||
bid_df = bid_df.dropna(subset=['volume_sma'])
|
||||
bids_with_sma = list(zip(bid_df['price'], bid_df['volume_sma']))
|
||||
|
||||
# Pour ask_df
|
||||
ask_df = ask_df.dropna(subset=['volume_sma'])
|
||||
asks_with_sma = list(zip(ask_df['price'], ask_df['volume_sma']))
|
||||
|
||||
# print(bids_with_sma)
|
||||
# print(asks_with_sma)
|
||||
|
||||
return asks_with_sma, bids_with_sma
|
||||
|
||||
def calculateUpDownPct(self, dataframe, key):
|
||||
down_pct_values = np.full(len(dataframe), np.nan)
|
||||
# Remplir la colonne avec les bons calculs
|
||||
@@ -1506,33 +974,3 @@ class Zeus_8_3_2_B_4_2(IStrategy):
|
||||
|
||||
return df
|
||||
|
||||
def test_signal_success(self, df, condition, percent=0.03, window_size=36):
|
||||
"""
|
||||
df : DataFrame avec colonnes ['close', 'high', ...]
|
||||
percent : hausse recherchée (ex: 0.03 pour +3%)
|
||||
window_size : nombre de bougies (ex: 36 pour 3h en 5m)
|
||||
"""
|
||||
# Exemple condition : RSI < 30 et EMA20 > SMA50
|
||||
hits = 0
|
||||
total = 0
|
||||
|
||||
for idx in df[condition].index:
|
||||
price_now = df.loc[idx, 'close']
|
||||
idx_pos = df.index.get_loc(idx)
|
||||
|
||||
# Fenêtre de h heures
|
||||
future_idx = df.index[idx_pos + 1: idx_pos + 1 + window_size]
|
||||
if len(future_idx) < window_size:
|
||||
continue
|
||||
|
||||
future_highs = df.loc[future_idx, 'close']
|
||||
if (future_highs >= price_now * (1 + percent)).any():
|
||||
# print(f"{price_now} ==> {df.loc[future_idx]['close']}")
|
||||
hits += 1
|
||||
total += 1
|
||||
|
||||
prob = hits / total if total > 0 else 0
|
||||
print(f"✅ {hits}/{total} hausses >= {percent*100:.1f}% dans {window_size} bougies → probabilité : {prob:.2%}")
|
||||
return prob
|
||||
|
||||
|
||||
|
||||
Reference in New Issue
Block a user