live stock data
This commit is contained in:
Dobromir Popov
parent
23f84dd2f8
commit
a8954bbf99
389
main.py
389
main.py
@ -29,7 +29,15 @@ from PIL import Image
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import matplotlib.pyplot as mpf
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import matplotlib.gridspec as gridspec
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import datetime
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from realtime import BinanceWebSocket, BinanceHistoricalData
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from datetime import datetime as dt
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# Add Dash-related imports
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import dash
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from dash import html, dcc, callback_context
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from dash.dependencies import Input, Output, State
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import plotly.graph_objects as go
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from plotly.subplots import make_subplots
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from threading import Thread
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# Configure logging
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logging.basicConfig(
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@ -2644,9 +2652,173 @@ async def fetch_ohlcv_data(exchange, symbol, timeframe, limit):
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return data
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except Exception as e:
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logger.error(f"Error fetching OHLCV data: {e}")
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logger.error(f"Failed to fetch OHLCV data: {e}")
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return []
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async def initialize_websocket_data_stream(symbol="ETH/USDT", timeframe="1m"):
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"""Initialize a WebSocket connection for real-time trading data
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Args:
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symbol: Trading pair symbol (e.g., "ETH/USDT")
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timeframe: Timeframe for candle aggregation (e.g., "1m")
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Returns:
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Tuple of (websocket, candle_data) where websocket is the BinanceWebSocket instance
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and candle_data is a dict to track ongoing candle formation
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"""
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try:
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# Initialize historical data handler to get initial data
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historical_data = BinanceHistoricalData()
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# Convert timeframe to seconds for historical data
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if timeframe == "1m":
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interval_seconds = 60
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elif timeframe == "5m":
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interval_seconds = 300
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elif timeframe == "15m":
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interval_seconds = 900
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elif timeframe == "1h":
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interval_seconds = 3600
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else:
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interval_seconds = 60 # Default to 1m
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# Fetch initial historical data
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initial_data = historical_data.get_historical_candles(
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symbol=symbol,
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interval_seconds=interval_seconds,
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limit=1000 # Get 1000 candles for good history
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)
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# Convert pandas DataFrame to list of dictionaries for our environment
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initial_candles = []
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if not initial_data.empty:
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for _, row in initial_data.iterrows():
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candle = {
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'timestamp': int(row['timestamp'].timestamp() * 1000),
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'open': float(row['open']),
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'high': float(row['high']),
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'low': float(row['low']),
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'close': float(row['close']),
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'volume': float(row['volume'])
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}
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initial_candles.append(candle)
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logger.info(f"Loaded {len(initial_candles)} historical candles")
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else:
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logger.warning("No historical data fetched")
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# Initialize WebSocket for real-time data
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binance_ws = BinanceWebSocket(symbol.replace('/', ''))
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await binance_ws.connect()
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# Track the current candle data
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current_minute = None
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current_candle = None
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logger.info(f"WebSocket for {symbol} initialized successfully")
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return binance_ws, initial_candles
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except Exception as e:
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logger.error(f"Failed to initialize WebSocket data stream: {e}")
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logger.error(traceback.format_exc())
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return None, []
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async def process_websocket_ticks(websocket, env, agent=None, demo=True, timeframe="1m"):
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"""Process real-time ticks from WebSocket and aggregate them into candles
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Args:
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websocket: BinanceWebSocket instance
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env: TradingEnvironment instance
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agent: Agent instance (optional, for live trading)
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demo: Whether to run in demo mode
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timeframe: Timeframe for candle aggregation
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"""
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# Initialize variables for candle aggregation
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current_candle = None
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current_minute = None
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trades_count = 0
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step_counter = 0
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try:
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logger.info("Starting WebSocket tick processing...")
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while websocket.running:
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# Get the next tick from WebSocket
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tick = await websocket.receive()
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if tick is None:
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# No data received, wait and try again
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await asyncio.sleep(0.1)
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continue
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# Extract data from tick
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timestamp = tick.get('timestamp')
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price = tick.get('price')
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volume = tick.get('volume')
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if timestamp is None or price is None:
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logger.warning(f"Invalid tick data received: {tick}")
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continue
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# Convert timestamp to datetime
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tick_time = datetime.fromtimestamp(timestamp / 1000)
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# For 1-minute candles, track the minute
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if timeframe == "1m":
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tick_minute = tick_time.replace(second=0, microsecond=0)
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# If this is a new minute, close the current candle and start a new one
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if current_minute is None or tick_minute > current_minute:
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# If there was a previous candle, add it to the environment
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if current_candle is not None:
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# Add the candle to the environment
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env.add_data(current_candle)
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# Process trading decisions if agent is provided
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if agent is not None:
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state = env.get_state()
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action = agent.select_action(state, training=False)
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# Execute action in environment
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next_state, reward, done, info = env.step(action)
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# Log trading activity
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action_name = "HOLD" if action == 0 else "BUY" if action == 1 else "SELL" if action == 2 else "CLOSE"
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logger.info(f"Step {step_counter}: Action {action_name}, Price: ${price:.2f}, Balance: ${env.balance:.2f}")
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step_counter += 1
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# Start a new candle
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current_minute = tick_minute
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current_candle = {
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'timestamp': int(current_minute.timestamp() * 1000),
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'open': price,
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'high': price,
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'low': price,
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'close': price,
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'volume': volume
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}
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logger.debug(f"Started new candle at {current_minute}")
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else:
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# Update the current candle
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current_candle['high'] = max(current_candle['high'], price)
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current_candle['low'] = min(current_candle['low'], price)
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current_candle['close'] = price
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current_candle['volume'] += volume
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# For other timeframes, implement similar logic
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# ...
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except asyncio.CancelledError:
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logger.info("WebSocket processing canceled")
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except Exception as e:
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logger.error(f"Error in WebSocket tick processing: {e}")
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logger.error(traceback.format_exc())
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finally:
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# Make sure to close the WebSocket
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if websocket:
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await websocket.close()
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logger.info("WebSocket connection closed")
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# Add this near the top of the file, after imports
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def ensure_pytorch_compatibility():
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"""Ensure compatibility with PyTorch 2.6+ for model loading"""
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@ -2682,6 +2854,8 @@ async def main():
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help='Leverage for futures trading')
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parser.add_argument('--model', type=str, default=None,
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help='Path to model file for evaluation or live trading')
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parser.add_argument('--use-websocket', action='store_true',
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help='Use Binance WebSocket for real-time data instead of CCXT (for live mode)')
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args = parser.parse_args()
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@ -2760,15 +2934,27 @@ async def main():
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logger.info(f"Starting live trading for {args.symbol} on {args.timeframe} timeframe")
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logger.info(f"Demo mode: {demo_mode}, Leverage: {args.leverage}x")
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await live_trading(
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agent=agent,
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env=env,
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exchange=exchange,
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symbol=args.symbol,
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timeframe=args.timeframe,
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demo=demo_mode,
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leverage=args.leverage
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)
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if args.use_websocket:
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logger.info("Using Binance WebSocket for real-time data")
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await live_trading_with_websocket(
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agent=agent,
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env=env,
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symbol=args.symbol,
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timeframe=args.timeframe,
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demo=demo_mode,
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leverage=args.leverage
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)
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else:
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logger.info("Using CCXT for real-time data")
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await live_trading(
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agent=agent,
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env=env,
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exchange=exchange,
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symbol=args.symbol,
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timeframe=args.timeframe,
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demo=demo_mode,
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leverage=args.leverage
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)
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except Exception as e:
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logger.error(f"Error in main function: {e}")
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@ -2862,6 +3048,189 @@ def create_candlestick_figure(data, trade_signals, window_size=100, title=""):
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logger.error(f"Error creating chart: {str(e)}")
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return None
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async def live_trading_with_websocket(agent, env, symbol="ETH/USDT", timeframe="1m", demo=True, leverage=50):
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"""Run the trading bot in live mode using Binance WebSocket for real-time data
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Args:
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agent: The trading agent to use for decision making
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env: The trading environment
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symbol: The trading pair symbol (e.g., "ETH/USDT")
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timeframe: The candlestick timeframe (e.g., "1m")
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demo: Whether to run in demo mode (paper trading)
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leverage: The leverage to use for trading
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Returns:
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None
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"""
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logger.info(f"Starting live trading with WebSocket for {symbol} on {timeframe} timeframe")
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logger.info(f"Mode: {'DEMO (paper trading)' if demo else 'LIVE TRADING'}")
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# If not demo mode, confirm with user before starting live trading
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if not demo:
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confirmation = input(f"⚠️ WARNING: You are about to start LIVE TRADING with real funds on {symbol}. Type 'CONFIRM' to continue: ")
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if confirmation != "CONFIRM":
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logger.info("Live trading canceled by user")
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return
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# Initialize TensorBoard for monitoring
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if not hasattr(agent, 'writer') or agent.writer is None:
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from torch.utils.tensorboard import SummaryWriter
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current_time = datetime.now().strftime("%Y%m%d_%H%M%S")
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agent.writer = SummaryWriter(f'runs/live_ws_{symbol.replace("/", "_")}_{current_time}')
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# Track performance metrics
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trades_count = 0
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winning_trades = 0
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total_profit = 0
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max_drawdown = 0
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peak_balance = env.balance
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step_counter = 0
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# Create directory for trade logs
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os.makedirs('trade_logs', exist_ok=True)
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current_time = datetime.now().strftime("%Y%m%d_%H%M%S")
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trade_log_path = f'trade_logs/trades_ws_{current_time}.csv'
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with open(trade_log_path, 'w') as f:
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f.write("timestamp,action,price,position_size,balance,pnl\n")
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try:
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# Initialize WebSocket connection and get historical data
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websocket, initial_candles = await initialize_websocket_data_stream(symbol, timeframe)
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if websocket is None or not initial_candles:
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logger.error("Failed to initialize WebSocket data stream")
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return
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# Load initial historical data into the environment
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logger.info(f"Loading {len(initial_candles)} initial candles into environment")
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for candle in initial_candles:
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env.add_data(candle)
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# Reset environment with historical data
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env.reset()
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# Initialize futures trading if not in demo mode
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exchange = None
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if not demo:
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# Import ccxt for exchange initialization
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import ccxt.async_support as ccxt_async
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# Initialize exchange for order execution
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exchange = await initialize_exchange()
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if exchange:
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try:
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await env.initialize_futures(exchange)
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logger.info(f"Futures trading initialized with {leverage}x leverage")
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except Exception as e:
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logger.error(f"Failed to initialize futures trading: {str(e)}")
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logger.info("Falling back to demo mode for safety")
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demo = True
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# Start WebSocket processing in the background
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websocket_task = asyncio.create_task(
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process_websocket_ticks(websocket, env, agent, demo, timeframe)
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)
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# Main tracking loop
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prev_position = 'flat'
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while True:
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try:
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# Check if position has changed
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if env.position != prev_position:
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trades_count += 1
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if hasattr(env, 'last_trade_profit') and env.last_trade_profit > 0:
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winning_trades += 1
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if hasattr(env, 'last_trade_profit'):
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total_profit += env.last_trade_profit
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# Log trade details
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current_time = datetime.now().isoformat()
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action_name = "HOLD" if getattr(env, 'last_action', 0) == 0 else "BUY" if getattr(env, 'last_action', 0) == 1 else "SELL" if getattr(env, 'last_action', 0) == 2 else "CLOSE"
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with open(trade_log_path, 'a') as f:
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f.write(f"{current_time},{action_name},{env.current_price},{env.position_size},{env.balance},{getattr(env, 'last_trade_profit', 0)}\n")
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logger.info(f"Trade executed: {action_name} at ${env.current_price:.2f}, PnL: ${getattr(env, 'last_trade_profit', 0):.2f}")
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# Update performance metrics
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if env.balance > peak_balance:
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peak_balance = env.balance
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current_drawdown = (peak_balance - env.balance) / peak_balance if peak_balance > 0 else 0
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if current_drawdown > max_drawdown:
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max_drawdown = current_drawdown
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# Update TensorBoard metrics
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step_counter += 1
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if step_counter % 10 == 0: # Update every 10 steps
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agent.writer.add_scalar('Live/Balance', env.balance, step_counter)
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agent.writer.add_scalar('Live/PnL', env.total_pnl, step_counter)
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agent.writer.add_scalar('Live/Drawdown', current_drawdown * 100, step_counter)
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# Update chart visualization
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if step_counter % 30 == 0 or env.position != prev_position:
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agent.add_chart_to_tensorboard(env, step_counter)
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# Log performance summary
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if trades_count > 0:
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win_rate = (winning_trades / trades_count) * 100
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agent.writer.add_scalar('Live/WinRate', win_rate, step_counter)
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performance_text = f"""
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**Live Trading Performance**
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Balance: ${env.balance:.2f}
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Total PnL: ${env.total_pnl:.2f}
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Trades: {trades_count}
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Win Rate: {win_rate:.1f}%
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Max Drawdown: {max_drawdown*100:.1f}%
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"""
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agent.writer.add_text('Performance', performance_text, step_counter)
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prev_position = env.position
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# Sleep for a short time to prevent CPU hogging
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await asyncio.sleep(1)
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except Exception as e:
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logger.error(f"Error in live trading monitor loop: {str(e)}")
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logger.error(traceback.format_exc())
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await asyncio.sleep(10) # Wait longer after an error
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except KeyboardInterrupt:
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logger.info("Live trading stopped by user")
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# Cancel the WebSocket task
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if 'websocket_task' in locals() and not websocket_task.done():
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websocket_task.cancel()
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try:
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await websocket_task
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except asyncio.CancelledError:
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pass
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# Close the exchange connection if it exists
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if exchange:
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await exchange.close()
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# Final performance report
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if trades_count > 0:
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win_rate = (winning_trades / trades_count) * 100
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logger.info(f"Trading session summary:")
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logger.info(f"Total trades: {trades_count}")
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logger.info(f"Win rate: {win_rate:.1f}%")
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logger.info(f"Final balance: ${env.balance:.2f}")
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logger.info(f"Total profit: ${total_profit:.2f}")
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except Exception as e:
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logger.error(f"Critical error in live trading: {str(e)}")
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logger.error(traceback.format_exc())
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finally:
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# Make sure to close WebSocket
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if 'websocket' in locals() and websocket:
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await websocket.close()
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# Close the exchange connection if it exists
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if 'exchange' in locals() and exchange:
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await exchange.close()
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if __name__ == "__main__":
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try:
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asyncio.run(main())
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