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(feat) add method to retrieve market data from the new table

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cardosofede
2023-06-22 19:31:26 +01:00
parent 8a22dd6e61
commit b2e4916923
1 changed files with 32 additions and 4 deletions
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36
utils/database_manager.py
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@@ -1,4 +1,5 @@
import os
import streamlit as st
import pandas as pd
from sqlalchemy import create_engine
@@ -73,6 +74,18 @@ class DatabaseManager:
query += f" WHERE {' AND '.join(conditions)}"
return query
@staticmethod
def _get_market_data_query(start_date=None, end_date=None):
query = "SELECT * FROM MarketData"
conditions = []
if start_date:
conditions.append(f"timestamp >= '{start_date * 1e6}'")
if end_date:
conditions.append(f"timestamp <= '{end_date * 1e6}'")
if conditions:
query += f" WHERE {' AND '.join(conditions)}"
return query
def get_orders(self, config_file_path=None, start_date=None, end_date=None):
with self.session_maker() as session:
query = self._get_orders_query(config_file_path, start_date, end_date)
@@ -80,6 +93,8 @@ class DatabaseManager:
orders["market"] = orders["market"].apply(lambda x: x.lower().replace("_papertrade", ""))
orders["amount"] = orders["amount"] / 1e6
orders["price"] = orders["price"] / 1e6
orders['creation_timestamp'] = pd.to_datetime(orders['creation_timestamp'], unit="ms")
orders['last_update_timestamp'] = pd.to_datetime(orders['last_update_timestamp'], unit="ms")
return orders
def get_trade_fills(self, config_file_path=None, start_date=None, end_date=None):
@@ -98,6 +113,7 @@ class DatabaseManager:
trade_fills.loc[:, "inventory_cost"] = trade_fills["cum_net_amount"] * trade_fills["price"]
trade_fills.loc[:, "realized_trade_pnl"] = trade_fills["unrealized_trade_pnl"] + trade_fills["inventory_cost"]
trade_fills.loc[:, "net_realized_pnl"] = trade_fills["realized_trade_pnl"] - trade_fills["cum_fees_in_quote"]
trade_fills["timestamp"] = pd.to_datetime(trade_fills["timestamp"], unit="ms")
trade_fills["market"] = trade_fills["market"].apply(lambda x: x.lower().replace("_papertrade", ""))
return trade_fills
@@ -108,12 +124,24 @@ class DatabaseManager:
order_status = pd.read_sql_query(query, session.connection())
return order_status
def get_market_data(self, start_date=None, end_date=None):
with self.session_maker() as session:
query = self._get_market_data_query(start_date, end_date)
market_data = pd.read_sql_query(query, session.connection())
market_data["timestamp"] = pd.to_datetime(market_data["timestamp"] / 1e6, unit="ms")
market_data.set_index("timestamp", inplace=True)
market_data["mid_price"] = market_data["mid_price"] / 1e6
market_data["best_bid"] = market_data["best_bid"] / 1e6
market_data["best_ask"] = market_data["best_ask"] / 1e6
return market_data
def get_strategy_data(self, config_file_path=None, start_date=None, end_date=None):
orders = self.get_orders(config_file_path, start_date, end_date)
trade_fills = self.get_trade_fills(config_file_path, start_date, end_date)
order_status = self.get_order_status(orders['id'].tolist(), start_date, end_date)
orders['creation_timestamp'] = pd.to_datetime(orders['creation_timestamp'], unit="ms")
orders['last_update_timestamp'] = pd.to_datetime(orders['last_update_timestamp'], unit="ms")
trade_fills["timestamp"] = pd.to_datetime(trade_fills["timestamp"], unit="ms")
strategy_data = StrategyData(orders, order_status, trade_fills)
try:
market_data = self.get_market_data(start_date, end_date)
except Exception as e:
market_data = None
strategy_data = StrategyData(orders, order_status, trade_fills, market_data)
return strategy_data