(feat) clean up Strategy data class and add SingleMarketStrategyData

utils/data_manipulation.py

@@ -8,34 +8,79 @@ class StrategyData:
     orders: pd.DataFrame
     order_status: pd.DataFrame
     trade_fill: pd.DataFrame
-    config_file_name: str
 
-    def __post_init__(self):
-        self.trade_fill.loc[:, "net_amount"] = self.trade_fill['amount'] * self.trade_fill['trade_type'].apply(lambda x: 1 if x == 'BUY' else -1)
-        self.trade_fill.loc[:, "net_amount_quote"] = self.trade_fill['net_amount'] * self.trade_fill['price']
-        self.trade_fill.loc[:, "cum_net_amount"] = self.trade_fill["net_amount"].cumsum()
-        self.trade_fill.loc[:, "unrealized_trade_pnl"] = -1 * self.trade_fill["net_amount_quote"].cumsum()
-        self.trade_fill.loc[:, "inventory_cost"] = self.trade_fill["cum_net_amount"] * self.trade_fill["price"]
-        self.trade_fill.loc[:, "realized_trade_pnl"] = self.trade_fill["unrealized_trade_pnl"] + self.trade_fill["inventory_cost"]
-
-    def get_filtered_strategy_data(self, start_time: datetime.datetime, end_time: datetime.datetime):
-        orders = self.orders[(self.orders["creation_timestamp"] >= start_time) & (self.orders["creation_timestamp"] <= end_time)].copy()
+    def get_single_market_strategy_data(self, exchange: str, trading_pair: str):
+        orders = self.orders[(self.orders["market"] == exchange) & (self.orders["symbol"] == trading_pair)].copy()
         trade_fill = self.trade_fill[self.trade_fill["order_id"].isin(orders["id"])].copy()
         order_status = self.order_status[self.order_status["order_id"].isin(orders["id"])].copy()
-        return StrategyData(
+        return SingleMarketStrategyData(
+            exchange=exchange,
+            trading_pair=trading_pair,
             orders=orders,
             order_status=order_status,
             trade_fill=trade_fill,
-            config_file_name=self.config_file_name
         )
 
     @property
-    def market(self):
-        return self.trade_fill["market"].unique()[0].split("_")[0]
+    def exchanges(self):
+        return self.trade_fill["market"].unique()
 
     @property
-    def symbol(self):
-        return self.trade_fill["symbol"].unique()[0]
+    def trading_pairs(self):
+        return self.trade_fill["symbol"].unique()
+
+    @property
+    def start_time(self):
+        return self.orders["creation_timestamp"].min()
+
+    @property
+    def end_time(self):
+        return self.orders["last_update_timestamp"].max()
+
+    @property
+    def duration_seconds(self):
+        return (self.end_time - self.start_time).total_seconds()
+
+    @property
+    def buys(self):
+        return self.trade_fill[self.trade_fill["trade_type"] == "BUY"]
+
+    @property
+    def sells(self):
+        return self.trade_fill[self.trade_fill["trade_type"] == "SELL"]
+
+    @property
+    def total_buy_trades(self):
+        return self.buys["amount"].count()
+
+    @property
+    def total_sell_trades(self):
+        return self.sells["amount"].count()
+
+    @property
+    def total_orders(self):
+        return self.total_buy_trades + self.total_sell_trades
+
+
+@dataclass
+class SingleMarketStrategyData:
+    exchange: str
+    trading_pair: str
+    orders: pd.DataFrame
+    order_status: pd.DataFrame
+    trade_fill: pd.DataFrame
+
+    def get_filtered_strategy_data(self, start_date: datetime.datetime, end_date: datetime.datetime):
+        orders = self.orders[(self.orders["creation_timestamp"] >= start_date) & (self.orders["creation_timestamp"] <= end_date)].copy()
+        trade_fill = self.trade_fill[self.trade_fill["order_id"].isin(orders["id"])].copy()
+        order_status = self.order_status[self.order_status["order_id"].isin(orders["id"])].copy()
+        return SingleMarketStrategyData(
+            exchange=self.exchange,
+            trading_pair=self.trading_pair,
+            orders=orders,
+            order_status=order_status,
+            trade_fill=trade_fill,
+        )
 
     @property
     def start_time(self):
@@ -81,19 +126,6 @@ class StrategyData:
     def total_sell_trades(self):
         return self.sells["amount"].count()
 
-
-    @property
-    def trade_pnl_usd(self):
-        # TODO: Review logic
-        buy_volume = self.buys["amount"].sum() * self.average_buy_price
-        sell_volume = self.sells["amount"].sum() * self.average_sell_price
-        inventory_change_volume = self.inventory_change_base_asset * self.end_price
-        return sell_volume - buy_volume + inventory_change_volume
-
-    @property
-    def inventory_change_base_asset(self):
-        return self.total_buy_amount - self.total_sell_amount
-
     @property
     def total_orders(self):
         return self.total_buy_trades + self.total_sell_trades
@@ -112,28 +144,13 @@ class StrategyData:
     def price_change(self):
         return (self.end_price - self.start_price) / self.start_price
 
-
-@dataclass
-class BotData:
-    orders: pd.DataFrame
-    order_status: pd.DataFrame
-    trade_fill: pd.DataFrame
-
-    def get_strategy_data(self, config_file_name: str):
-        orders_filtered = self.orders[self.orders["config_file_path"] == config_file_name].copy()
-        order_status_filtered = self.order_status[
-            self.order_status["order_id"].isin(orders_filtered["id"])].copy()
-        trade_fill_filtered = self.trade_fill[self.trade_fill["config_file_path"] == config_file_name].copy()
-        return StrategyData(orders_filtered, order_status_filtered, trade_fill_filtered, config_file_name)
+    @property
+    def trade_pnl_usd(self):
+        buy_volume = self.buys["amount"].sum() * self.average_buy_price
+        sell_volume = self.sells["amount"].sum() * self.average_sell_price
+        inventory_change_volume = self.inventory_change_base_asset * self.end_price
+        return sell_volume - buy_volume + inventory_change_volume
 
     @property
-    def start_time(self):
-        return self.orders["creation_timestamp"].min()
-
-    @property
-    def end_time(self):
-        return self.orders["last_update_timestamp"].max()
-
-    @property
-    def duration_minutes(self):
-        return (self.end_time - self.start_time).seconds / 60
+    def inventory_change_base_asset(self):
+        return self.total_buy_amount - self.total_sell_amount