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(feat) refactor graph methods to plot the new candles

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This commit is contained in:
cardosofede
2023-06-22 19:31:38 +01:00
parent b2e4916923
commit 0e6f2993cf
1 changed files with 19 additions and 20 deletions
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39
utils/graphs.py
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@@ -35,7 +35,7 @@ class CandlesGraph:
def add_candles_graph(self):
self.base_figure.add_trace(
go.Candlestick(
x=self.candles_df['datetime'],
x=self.candles_df.index,
open=self.candles_df['open'],
high=self.candles_df['high'],
low=self.candles_df['low'],
@@ -85,7 +85,7 @@ class CandlesGraph:
df.ta.bbands(length=length, std=std, append=True)
self.base_figure.add_trace(
go.Scatter(
x=df['datetime'],
x=df.index,
y=df[f'BBU_{length}_{std}'],
name='Bollinger Bands',
mode='lines',
@@ -94,7 +94,7 @@ class CandlesGraph:
)
self.base_figure.add_trace(
go.Scatter(
x=df['datetime'],
x=df.index,
y=df[f'BBM_{length}_{std}'],
name='Bollinger Bands',
mode='lines',
@@ -103,7 +103,7 @@ class CandlesGraph:
)
self.base_figure.add_trace(
go.Scatter(
x=df['datetime'],
x=df.index,
y=df[f'BBL_{length}_{std}'],
name='Bollinger Bands',
mode='lines',
@@ -114,7 +114,7 @@ class CandlesGraph:
def add_volume(self):
self.base_figure.add_trace(
go.Bar(
x=self.candles_df['datetime'],
x=self.candles_df.index,
y=self.candles_df['volume'],
name="Volume",
opacity=0.5,
@@ -132,7 +132,7 @@ class CandlesGraph:
df.ta.ema(length=length, append=True)
self.base_figure.add_trace(
go.Scatter(
x=df['datetime'],
x=df.index,
y=df[f'EMA_{length}'],
name='EMA',
mode='lines',
@@ -157,15 +157,15 @@ class CandlesGraph:
merged_df = self.get_merged_df(strategy_data)
self.base_figure.add_trace(
go.Scatter(
x=merged_df.datetime,
x=merged_df.index,
y=merged_df["cum_net_amount"],
name="Cumulative Base Inventory Change",
mode="lines+markers+text",
mode="lines+markers",
marker=dict(color="black", size=6),
line=dict(color="royalblue", width=2),
text=merged_df["cum_net_amount"],
textposition="top center",
texttemplate="%{text:.2f}"
# text=merged_df["cum_net_amount"],
# textposition="top center",
# texttemplate="%{text:.2f}"
),
row=row, col=1
)
@@ -173,10 +173,9 @@ class CandlesGraph:
def add_pnl(self, strategy_data: SingleMarketStrategyData, row=4):
merged_df = self.get_merged_df(strategy_data)
self.base_figure.add_trace(
go.Scatter(
x=merged_df["datetime"],
x=merged_df.index,
y=merged_df["cum_fees_in_quote"].apply(lambda x: round(-x, 2)),
name="Cum Fees",
mode='lines',
@@ -189,7 +188,7 @@ class CandlesGraph:
self.base_figure.add_trace(
go.Scatter(
x=merged_df["datetime"],
x=merged_df.index,
y=merged_df["trade_pnl_continuos"].apply(lambda x: round(x, 2)),
name="Cum Trade PnL",
mode='lines',
@@ -201,15 +200,15 @@ class CandlesGraph:
)
self.base_figure.add_trace(
go.Scatter(
x=merged_df["datetime"],
x=merged_df.index,
y=merged_df["net_pnl_continuos"].apply(lambda x: round(x, 2)),
name="Cum Net PnL",
mode="lines+markers+text",
mode="lines+markers",
marker=dict(color="black", size=6),
line=dict(color="black", width=2),
textposition="top center",
text=merged_df["net_pnl_continuos"],
texttemplate="%{text:.1f}"
# textposition="top center",
# text=merged_df["net_pnl_continuos"],
# texttemplate="%{text:.1f}"
),
row=row, col=1
)
@@ -241,7 +240,7 @@ class CandlesGraph:
self.base_figure.update_xaxes(title_text="Time", row=self.rows, col=1)
def get_merged_df(self, strategy_data: StrategyData):
merged_df = pd.merge_asof(self.candles_df, strategy_data.trade_fill, left_on="datetime", right_on="timestamp", direction="backward")
merged_df = pd.merge_asof(self.candles_df, strategy_data.trade_fill, left_index=True, right_on="timestamp", direction="backward")
merged_df["trade_pnl_continuos"] = merged_df["unrealized_trade_pnl"] + merged_df["cum_net_amount"] * merged_df["close"]
merged_df["net_pnl_continuos"] = merged_df["trade_pnl_continuos"] - merged_df["cum_fees_in_quote"]
return merged_df