profitable bot 1
This commit is contained in:
Dobromir Popov
parent
dc5df52292
commit
fc2f834b32
@ -26,12 +26,12 @@ load_dotenv()
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def convert_timestamp(ts):
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"""
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Safely converts a timestamp to a datetime object.
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If the timestamp is abnormally high (i.e. in milliseconds),
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If the timestamp is abnormally high (e.g. in milliseconds),
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it is divided by 1000.
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"""
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ts = float(ts)
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if ts > 1e10: # Likely in milliseconds
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ts = ts / 1000.0
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ts /= 1000.0
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return datetime.fromtimestamp(ts)
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# --- Directories ---
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@ -42,10 +42,10 @@ os.makedirs(BEST_DIR, exist_ok=True)
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CACHE_FILE = "candles_cache.json"
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# --- Constants ---
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NUM_TIMEFRAMES = 5 # e.g., ["1m", "5m", "15m", "1h", "1d"]
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NUM_TIMEFRAMES = 6 # e.g., ["1s", "1m", "5m", "15m", "1h", "1d"]
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NUM_INDICATORS = 20 # e.g., 20 technical indicators
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FEATURES_PER_CHANNEL = 7 # Each channel input will have 7 features.
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ORDER_CHANNELS = 1 # One extra channel for order info.
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FEATURES_PER_CHANNEL = 7 # Each channel has 7 features.
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ORDER_CHANNELS = 1 # One extra channel for order information.
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# --- Positional Encoding Module ---
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class PositionalEncoding(nn.Module):
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@ -66,6 +66,7 @@ class PositionalEncoding(nn.Module):
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class TradingModel(nn.Module):
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def __init__(self, num_channels, num_timeframes, hidden_dim=128):
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super().__init__()
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# One branch per channel.
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self.channel_branches = nn.ModuleList([
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nn.Sequential(
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nn.Linear(FEATURES_PER_CHANNEL, hidden_dim),
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@ -78,7 +79,7 @@ class TradingModel(nn.Module):
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self.pos_encoder = PositionalEncoding(hidden_dim)
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encoder_layers = TransformerEncoderLayer(
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d_model=hidden_dim, nhead=4, dim_feedforward=512,
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dropout=0.1, activation='gelu', batch_first=True # Use batch_first to avoid nested tensor warning.
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dropout=0.1, activation='gelu', batch_first=True # avoid nested tensor warning
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)
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self.transformer = TransformerEncoder(encoder_layers, num_layers=2)
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self.attn_pool = nn.Linear(hidden_dim, 1)
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@ -100,8 +101,8 @@ class TradingModel(nn.Module):
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channel_out = self.channel_branches[i](x[:, i, :])
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channel_outs.append(channel_out)
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stacked = torch.stack(channel_outs, dim=1) # [batch, channels, hidden]
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tf_embeds = self.timeframe_embed(timeframe_ids) # shape: [num_channels, hidden]
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stacked = stacked + tf_embeds.unsqueeze(0) # broadcast along batch dimension.
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tf_embeds = self.timeframe_embed(timeframe_ids) # [num_channels, hidden]
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stacked = stacked + tf_embeds.unsqueeze(0) # add embeddings (broadcast along batch)
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transformer_out = self.transformer(stacked)
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attn_weights = torch.softmax(self.attn_pool(transformer_out), dim=1)
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aggregated = (transformer_out * attn_weights).sum(dim=1)
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@ -135,7 +136,7 @@ def get_features_for_tf(candles_list, index, period=10):
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f_close = candle["close"]
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f_volume = candle["volume"]
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sma_close = compute_sma(candles_list, index, period)
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sma_volume = compute_sma_volume(candles_list, index, period)
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sma_volume= compute_sma_volume(candles_list, index, period)
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return [f_open, f_high, f_low, f_close, f_volume, sma_close, sma_volume]
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# --- Caching & Checkpoint Functions ---
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@ -230,10 +231,10 @@ def load_best_checkpoint(model, best_dir=BEST_DIR):
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# --- Function for Manual Trade Override ---
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def manual_trade(env):
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"""
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When no sufficient action is taken by the model, manually decide the trade.
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Find the maximum high and minimum low in the remaining window.
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If maximum occurs before minimum, we short; otherwise we long.
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The trade is closed at the candle where the chosen extreme occurs.
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When no sufficient action is taken by the model, use a fallback:
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Scan the remaining window for the global maximum and minimum.
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If the maximum occurs before the minimum, simulate a short trade;
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otherwise simulate a long trade. Closes the trade at the candle where the chosen extreme occurs.
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"""
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current_index = env.current_index
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if current_index >= len(env.candle_window) - 1:
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@ -252,7 +253,6 @@ def manual_trade(env):
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if low_j < min_val:
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min_val = low_j
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i_min = j
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# If maximum occurs before minimum, we interpret that as short (price will drop).
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if i_max < i_min:
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entry_price = env.candle_window[current_index]["open"]
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exit_price = env.candle_window[i_min]["open"]
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@ -278,16 +278,97 @@ def manual_trade(env):
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env.trade_history.append(trade)
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env.current_index = trade["exit_index"]
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# --- Live HTML Chart Update ---
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# --- Simulation for 1s Data Using Local Extrema ---
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def simulate_trades_1s(env):
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"""
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When the main timeframe is 1s, scan the entire remaining window to detect local extrema.
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If at least two extrema are found, pair consecutive extrema as trades.
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If none (or too few) are found, fallback to manual_trade.
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"""
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n = len(env.candle_window)
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extrema = []
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for i in range(env.current_index, n):
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# Add first and last points.
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if i == env.current_index or i == n-1:
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extrema.append(i)
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else:
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prev = env.candle_window[i-1]["close"]
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curr = env.candle_window[i]["close"]
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nex = env.candle_window[i+1]["close"]
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# A valley or a peak.
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if curr < prev and curr < nex:
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extrema.append(i)
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elif curr > prev and curr > nex:
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extrema.append(i)
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if len(extrema) < 2:
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manual_trade(env)
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return
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# Process consecutive extrema into trades.
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for j in range(len(extrema)-1):
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entry_idx = extrema[j]
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exit_idx = extrema[j+1]
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entry_price = env.candle_window[entry_idx]["open"]
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exit_price = env.candle_window[exit_idx]["open"]
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# If the entry candle’s close is lower than exit candle’s close, this is a long trade.
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if env.candle_window[entry_idx]["close"] < env.candle_window[exit_idx]["close"]:
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reward = exit_price - entry_price
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else:
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reward = entry_price - exit_price
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trade = {
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"entry_index": entry_idx,
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"entry_price": entry_price,
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"exit_index": exit_idx,
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"exit_price": exit_price,
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"pnl": reward
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}
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env.trade_history.append(trade)
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env.current_index = n - 1
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# --- General Simulation of Trades ---
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def simulate_trades(model, env, device, args):
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"""
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Simulate trades over the current sliding window.
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If the main timeframe is 1s, use local extrema detection.
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Otherwise, check if the model's predicted potentials exceed the threshold.
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- If so, execute the model decision.
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- Otherwise, call the manual_trade override.
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"""
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if args.main_tf == "1s":
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simulate_trades_1s(env)
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return
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env.reset()
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while True:
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i = env.current_index
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if i >= len(env.candle_window) - 1:
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break
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state = env.get_state(i)
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current_open = env.candle_window[i]["open"]
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state_tensor = torch.FloatTensor(state).unsqueeze(0).to(device)
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timeframe_ids = torch.arange(state.shape[0]).to(device)
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pred_high, pred_low = model(state_tensor, timeframe_ids)
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pred_high = pred_high.item()
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pred_low = pred_low.item()
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if (pred_high - current_open) > args.threshold or (current_open - pred_low) > args.threshold:
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if (pred_high - current_open) >= (current_open - pred_low):
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action = 2 # BUY
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else:
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action = 0 # SELL
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_, _, _, done, _, _ = env.step(action)
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else:
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manual_trade(env)
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if env.current_index >= len(env.candle_window) - 1:
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break
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# --- Live HTML Chart Update (with Volume) ---
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def update_live_html(candles, trade_history, epoch):
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"""
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Generate a chart image with actual timestamps on the x-axis and cumulative epoch PnL.
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The chart now also plots volume as a bar chart on a secondary y-axis.
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The HTML page auto-refreshes every 10 seconds.
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Generate an HTML page with a live chart.
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The chart displays price (line) and volume (bar chart on a secondary y-axis),
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and includes buy/sell markers with dotted lines connecting entries and exits.
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The page auto-refreshes every 10 seconds.
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"""
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from io import BytesIO
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import base64
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fig, ax = plt.subplots(figsize=(12, 6))
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update_live_chart(ax, candles, trade_history)
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epoch_pnl = sum(trade["pnl"] for trade in trade_history)
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@ -334,12 +415,11 @@ def update_live_html(candles, trade_history, epoch):
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f.write(html_content)
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print("Updated live_chart.html.")
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# --- Chart Drawing Helpers ---
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# --- Chart Drawing Helpers (with Volume) ---
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def update_live_chart(ax, candles, trade_history):
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"""
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Plot the price chart with proper timestamp conversion.
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Mark BUY (green) and SELL (red) actions (with dotted lines between),
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and plot volume as a bar chart on a secondary y-axis.
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Plot the price chart with actual timestamps and volume on a secondary y-axis.
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Mark BUY (green) and SELL (red) points and connect them with dotted lines.
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"""
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ax.clear()
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times = [convert_timestamp(candle["timestamp"]) for candle in candles]
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@ -348,11 +428,9 @@ def update_live_chart(ax, candles, trade_history):
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ax.set_xlabel("Time")
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ax.set_ylabel("Price")
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ax.xaxis.set_major_formatter(mdates.DateFormatter('%H:%M:%S'))
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# Plot volume on secondary axis.
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# Plot volume on secondary y-axis.
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ax2 = ax.twinx()
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volumes = [candle["volume"] for candle in candles]
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# Compute bar width in days.
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if len(times) > 1:
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times_num = mdates.date2num(times)
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bar_width = (times_num[-1] - times_num[0]) / len(times) * 0.8
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@ -360,7 +438,15 @@ def update_live_chart(ax, candles, trade_history):
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bar_width = 0.01
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ax2.bar(times, volumes, width=bar_width, alpha=0.3, color="grey", label="Volume")
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ax2.set_ylabel("Volume")
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# Plot trade markers.
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for trade in trade_history:
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entry_time = convert_timestamp(candles[trade["entry_index"]]["timestamp"])
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exit_time = convert_timestamp(candles[trade["exit_index"]]["timestamp"])
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in_price = trade["entry_price"]
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out_price = trade["exit_price"]
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ax.plot(entry_time, in_price, marker="^", color="green", markersize=10, label="BUY")
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ax.plot(exit_time, out_price, marker="v", color="red", markersize=10, label="SELL")
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ax.plot([entry_time, exit_time], [in_price, out_price], linestyle="dotted", color="blue")
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# Combine legends.
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lines, labels = ax.get_legend_handles_labels()
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lines2, labels2 = ax2.get_legend_handles_labels()
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@ -369,42 +455,11 @@ def update_live_chart(ax, candles, trade_history):
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fig = ax.get_figure()
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fig.autofmt_xdate()
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# --- Simulation of Trades for Visualization ---
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def simulate_trades(model, env, device, args):
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"""
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Run a simulation on the current sliding window.
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If the model produces a sufficiently strong signal (based on threshold), use its action.
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Otherwise, manually compute the trade by scanning for max/min prices.
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"""
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env.reset()
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while True:
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i = env.current_index
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if i >= len(env.candle_window) - 1:
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break
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state = env.get_state(i)
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current_open = env.candle_window[i]["open"]
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state_tensor = torch.FloatTensor(state).unsqueeze(0).to(device)
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timeframe_ids = torch.arange(state.shape[0]).to(device)
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pred_high, pred_low = model(state_tensor, timeframe_ids)
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pred_high = pred_high.item()
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pred_low = pred_low.item()
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# If either upward potential or downward potential exceeds the threshold, use model decision.
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if (pred_high - current_open) > args.threshold or (current_open - pred_low) > args.threshold:
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if (pred_high - current_open) >= (current_open - pred_low):
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action = 2 # BUY
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else:
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action = 0 # SELL
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_, _, _, done, _, _ = env.step(action)
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else:
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# No significant signal; use manual trade computation.
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manual_trade(env)
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if env.current_index >= len(env.candle_window) - 1:
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break
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# --- Backtest Environment with Sliding Window and Order Info ---
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class BacktestEnvironment:
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def __init__(self, candles_dict, base_tf, timeframes, window_size=None):
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self.candles_dict = candles_dict
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self.candles_dict = candles_dict # full candles dict across timeframes
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self.base_tf = base_tf
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self.timeframes = timeframes
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self.full_candles = candles_dict[base_tf]
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@ -459,7 +514,7 @@ class BacktestEnvironment:
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if action == 2: # BUY (open long)
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self.position = {"entry_price": next_candle["open"], "entry_index": self.current_index}
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else:
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if action == 0: # SELL (close long / exit trade)
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if action == 0: # SELL (close trade)
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exit_price = next_candle["open"]
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reward = exit_price - self.position["entry_price"]
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trade = {
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@ -513,7 +568,7 @@ def train_on_historical_data(env, model, device, args, start_epoch, optimizer, s
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simulate_trades(model, env, device, args)
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update_live_html(env.candle_window, env.trade_history, epoch+1)
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# --- Live Plotting Functions (For Live Mode) ---
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# --- Live Plotting (for Live Mode) ---
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def live_preview_loop(candles, env):
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plt.ion()
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fig, ax = plt.subplots(figsize=(12, 6))
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@ -529,12 +584,14 @@ def parse_args():
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parser.add_argument('--epochs', type=int, default=1000)
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parser.add_argument('--lr', type=float, default=3e-4)
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parser.add_argument('--threshold', type=float, default=0.005,
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help="Minimum predicted move to trigger trade (used in loss; model may override with manual trade).")
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help="Minimum predicted move to trigger trade (used in loss; model may override manual trades).")
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parser.add_argument('--lambda_trade', type=float, default=1.0,
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help="Weight for trade surrogate loss.")
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help="Weight for the trade surrogate loss.")
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parser.add_argument('--penalty_noaction', type=float, default=10.0,
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help="Penalty if no action is taken (used in loss).")
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parser.add_argument('--start_fresh', action='store_true', help="Start training from scratch.")
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parser.add_argument('--main_tf', type=str, default='1m',
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help="Desired main timeframe to focus on (e.g., '1s' or '1m').")
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return parser.parse_args()
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def random_action():
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@ -545,17 +602,24 @@ async def main():
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args = parse_args()
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device = torch.device("cuda" if torch.cuda.is_available() else "cpu")
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print("Using device:", device)
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timeframes = ["1m", "5m", "15m", "1h", "1d"]
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hidden_dim = 128
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total_channels = NUM_TIMEFRAMES + 1 + NUM_INDICATORS
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model = TradingModel(total_channels, NUM_TIMEFRAMES).to(device)
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if args.mode == 'train':
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# Load cached candles.
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candles_dict = load_candles_cache(CACHE_FILE)
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if not candles_dict:
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print("No historical candle data available for backtesting.")
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return
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base_tf = "1m"
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# Define desired timeframes list; if available, include "1s".
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default_timeframes = ["1s", "1m", "5m", "15m", "1h", "1d"]
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timeframes = [tf for tf in default_timeframes if tf in candles_dict]
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if args.main_tf not in timeframes:
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print(f"Desired main timeframe {args.main_tf} is not available. Available: {timeframes}")
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return
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base_tf = args.main_tf # Set the main timeframe as the base for the environment.
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hidden_dim = 128
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# Total channels: number of timeframes + 1 order channel + NUM_INDICATORS.
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total_channels = len(timeframes) + ORDER_CHANNELS + NUM_INDICATORS
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model = TradingModel(total_channels, len(timeframes)).to(device)
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if args.mode == 'train':
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env = BacktestEnvironment(candles_dict, base_tf, timeframes, window_size=100)
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start_epoch = 0
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checkpoint = None
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@ -583,20 +647,19 @@ async def main():
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for f in os.listdir(chk_dir):
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os.remove(os.path.join(chk_dir, f))
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else:
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print("No valid optimizer state found in checkpoint; using fresh optimizer state.")
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print("No valid optimizer state found; using fresh optimizer state.")
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train_on_historical_data(env, model, device, args, start_epoch, optimizer, scheduler)
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elif args.mode == 'live':
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load_best_checkpoint(model)
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candles_dict = load_candles_cache(CACHE_FILE)
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if not candles_dict:
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print("No cached candles available for live preview.")
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return
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env = BacktestEnvironment(candles_dict, base_tf="1m", timeframes=timeframes, window_size=100)
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env = BacktestEnvironment(candles_dict, base_tf, timeframes, window_size=100)
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preview_thread = threading.Thread(target=live_preview_loop, args=(env.candle_window, env), daemon=True)
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preview_thread.start()
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print("Starting live trading loop. (Using model, with manual override for HOLD actions.)")
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print("Starting live trading loop. (For main_tf={} using manual override if model signal is weak.)".format(args.main_tf))
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while True:
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if args.main_tf == "1s":
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simulate_trades_1s(env)
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else:
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state = env.get_state(env.current_index)
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current_open = env.candle_window[env.current_index]["open"]
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state_tensor = torch.FloatTensor(state).unsqueeze(0).to(device)
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@ -606,9 +669,9 @@ async def main():
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pred_low = pred_low.item()
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if (pred_high - current_open) > args.threshold or (current_open - pred_low) > args.threshold:
|
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if (pred_high - current_open) >= (current_open - pred_low):
|
||||
action = 2 # BUY
|
||||
action = 2
|
||||
else:
|
||||
action = 0 # SELL
|
||||
action = 0
|
||||
_, _, _, done, _, _ = env.step(action)
|
||||
else:
|
||||
manual_trade(env)
|
||||
|
||||
File diff suppressed because one or more lines are too long
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Reference in New Issue
Block a user