popov/gogo2
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

implementations

Browse Source
This commit is contained in:
Dobromir Popov
2025-02-12 01:27:38 +02:00
parent 1a15ee934b
commit 33a5588539
6 changed files with 595 additions and 22 deletions
Download Patch File Download Diff File Expand all files Collapse all files

50
crypto/gogo/data/data_utils.py
View File

@ -121,6 +121,44 @@ def create_padding_mask(seq, pad_token=0):
"""
return (seq == pad_token).all(dim=-1).unsqueeze(0)
def get_aligned_candle_with_index(candles_list, base_ts):
"""
Find the candle from candles_list that is closest to (and <=) base_ts.
Returns: (index, candle)
"""
aligned_index = None
aligned_candle = None
for i in range(len(candles_list)):
if candles_list[i]["timestamp"] <= base_ts:
aligned_index = i
aligned_candle = candles_list[i]
else:
break
return aligned_index, aligned_candle
def get_features_for_tf(candles_list, aligned_index, period=10):
"""
Extract features from the candle at aligned_index.
If aligned_index is None, return a zeroed feature vector.
"""
if aligned_index is None:
return [0.0] * 7 # return zeroed feature vector
candle = candles_list[aligned_index]
# Simple features: open, high, low, close, volume, and two EMAs.
close_prices = [c["close"] for c in candles_list[:aligned_index+1]]
ema_short = calculate_ema(candles_list[:aligned_index+1], period=period)[-1]
ema_long = calculate_ema(candles_list[:aligned_index+1], period=period*2)[-1]
features = [
candle["open"],
candle["high"],
candle["low"],
candle["close"],
candle["volume"],
ema_short,
ema_long
]
return features
# Example usage (within a larger training loop):
if __name__ == '__main__':
# Dummy data for demonstration
@ -155,4 +193,14 @@ if __name__ == '__main__':
mask = create_mask(seq_len)
print("\nMask:\n", mask)
padding_mask = create_padding_mask(torch.tensor(candle_features))
print(f"\nPadding mask: {padding_mask}")
print(f"\nPadding mask: {padding_mask}")
# Example usage of the new functions
index, candle = get_aligned_candle_with_index(candles_data, 1678886570000)
if candle:
print(f"\nAligned candle: {candle}")
else:
print("\nNo aligned candle found.")
features = get_features_for_tf(candles_data, index)
print(f"\nFeatures for timeframe: {features}")

56
crypto/gogo/data/live_data.py
View File

@ -7,7 +7,7 @@ from collections import deque
import ccxt.async_support as ccxt
from dotenv import load_dotenv
import platform
class LiveDataManager:
def __init__(self, symbol, exchange_name='mexc', window_size=120):
@ -20,6 +20,7 @@ class LiveDataManager:
self.last_candle_time = None
self.exchange = self._initialize_exchange()
self.lock = asyncio.Lock() # Lock to prevent race conditions
self.is_windows = platform.system() == 'Windows'
def _initialize_exchange(self):
exchange_class = getattr(ccxt, self.exchange_name)
@ -41,15 +42,23 @@ class LiveDataManager:
print(f"Fetching initial candles for {self.symbol}...")
now = int(time.time() * 1000)
since = now - self.window_size * 60 * 1000
try:
candles = await self.exchange.fetch_ohlcv(self.symbol, '1m', since=since, limit=self.window_size)
for candle in candles:
self.candles.append(self._format_candle(candle))
if candles:
self.last_candle_time = candles[-1][0]
print(f"Fetched {len(candles)} initial candles.")
except Exception as e:
print(f"Error fetching initial candles: {e}")
retries = 3
for attempt in range(retries):
try:
candles = await self.exchange.fetch_ohlcv(self.symbol, '1m', since=since, limit=self.window_size)
for candle in candles:
self.candles.append(self._format_candle(candle))
if candles:
self.last_candle_time = candles[-1][0]
print(f"Fetched {len(candles)} initial candles.")
return # Exit the function if successful
except Exception as e:
print(f"Attempt {attempt + 1} failed: {e}")
if self.is_windows and "aiodns needs a SelectorEventLoop" in str(e):
print("aiodns issue detected on Windows. This is a known problem with aiodns and ccxt on Windows.")
if attempt < retries - 1:
await asyncio.sleep(5) # Wait before retrying
print("Failed to fetch initial candles after multiple retries.")
def _format_candle(self, candle_data):
return {
@ -112,16 +121,23 @@ class LiveDataManager:
async def fetch_and_process_ticks(self):
async with self.lock:
since = None if not self.ticks else self.ticks[-1]['timestamp']
try:
# Use fetch_trades (or appropriate method for your exchange) for live ticks.
ticks = await self.exchange.fetch_trades(self.symbol, since=since)
for tick in ticks:
formatted_tick = self._format_tick(tick)
if formatted_tick: # Add the check here
self.ticks.append(formatted_tick)
await self._update_candle(formatted_tick)
except Exception as e:
print(f"Error fetching ticks: {e}")
retries = 3
for attempt in range(retries):
try:
# Use fetch_trades (or appropriate method for your exchange) for live ticks.
ticks = await self.exchange.fetch_trades(self.symbol, since=since)
for tick in ticks:
formatted_tick = self._format_tick(tick)
if formatted_tick: # Add the check here
self.ticks.append(formatted_tick)
await self._update_candle(formatted_tick)
break # Exit the retry loop if successful
except Exception as e:
print(f"Error fetching ticks (attempt {attempt + 1}): {e}")
if self.is_windows and "aiodns needs a SelectorEventLoop" in str(e):
print("aiodns issue detected on Windows. This is a known problem with aiodns and ccxt on Windows.")
if attempt < retries - 1:
await asyncio.sleep(5) # Wait before retrying
async def get_data(self):
async with self.lock: