(feat) fix inputs

This commit is contained in:
cardosofede
2024-05-22 19:43:29 -05:00
parent b084a133ee
commit fd3fbe1ba3
3 changed files with 56 additions and 7 deletions

View File

@@ -17,11 +17,12 @@ def create_dca_graph(dca_inputs, dca_amount):
tech_colors = theme.get_color_scheme() tech_colors = theme.get_color_scheme()
dca_order_amounts = [amount_dist * dca_amount for amount_dist in dca_inputs["dca_amounts"]] dca_order_amounts = [amount_dist * dca_amount for amount_dist in dca_inputs["dca_amounts"]]
n_levels = len(dca_inputs["dca_spreads"]) n_levels = len(dca_inputs["dca_spreads"])
dca_spreads = [spread * 100 for spread in dca_inputs["dca_spreads"]]
break_even_values = [] break_even_values = []
take_profit_values = [] take_profit_values = []
for level in range(n_levels): for level in range(n_levels):
dca_spreads_normalized = [spread + 0.01 for spread in dca_inputs["dca_spreads"][:level + 1]] dca_spreads_normalized = [spread + 0.01 for spread in dca_spreads[:level + 1]]
amounts = dca_order_amounts[:level + 1] amounts = dca_order_amounts[:level + 1]
break_even = (sum([spread * amount for spread, amount in zip(dca_spreads_normalized, amounts)]) / sum( break_even = (sum([spread * amount for spread, amount in zip(dca_spreads_normalized, amounts)]) / sum(
amounts)) - 0.01 amounts)) - 0.01
@@ -31,7 +32,7 @@ def create_dca_graph(dca_inputs, dca_amount):
accumulated_amount = [sum(dca_order_amounts[:i + 1]) for i in range(len(dca_order_amounts))] accumulated_amount = [sum(dca_order_amounts[:i + 1]) for i in range(len(dca_order_amounts))]
# Calculate unrealized PNL # Calculate unrealized PNL
cum_unrealized_pnl = calculate_unrealized_pnl(dca_inputs["dca_spreads"], break_even_values, accumulated_amount) cum_unrealized_pnl = calculate_unrealized_pnl(dca_spreads, break_even_values, accumulated_amount)
# Create Plotly figure with secondary y-axis and a dark theme # Create Plotly figure with secondary y-axis and a dark theme
fig = make_subplots(specs=[[{"secondary_y": True}]]) fig = make_subplots(specs=[[{"secondary_y": True}]])
@@ -39,7 +40,7 @@ def create_dca_graph(dca_inputs, dca_amount):
# Update the Scatter Plots and Horizontal Lines # Update the Scatter Plots and Horizontal Lines
fig.add_trace( fig.add_trace(
go.Scatter(x=list(range(len(dca_inputs["dca_spreads"]))), y=dca_inputs["dca_spreads"], name='Spread (%)', go.Scatter(x=list(range(len(dca_spreads))), y=dca_spreads, name='Spread (%)',
mode='lines+markers', mode='lines+markers',
line=dict(width=3, color=tech_colors['spread'])), secondary_y=False) line=dict(width=3, color=tech_colors['spread'])), secondary_y=False)
fig.add_trace( fig.add_trace(
@@ -99,7 +100,7 @@ def create_dca_graph(dca_inputs, dca_amount):
# Update Annotations for Spread and Break Even # Update Annotations for Spread and Break Even
for i, (spread, be_value, tp_value) in enumerate( for i, (spread, be_value, tp_value) in enumerate(
zip(dca_inputs["dca_spreads"], break_even_values, take_profit_values)): zip(dca_spreads, break_even_values, take_profit_values)):
fig.add_annotation(x=i, y=spread, text=f"{spread:.2f}%", showarrow=True, arrowhead=1, yshift=10, xshift=-2, fig.add_annotation(x=i, y=spread, text=f"{spread:.2f}%", showarrow=True, arrowhead=1, yshift=10, xshift=-2,
font=dict(color=tech_colors['spread'])) font=dict(color=tech_colors['spread']))
fig.add_annotation(x=i, y=be_value, text=f"{be_value:.2f}%", showarrow=True, arrowhead=1, yshift=5, xshift=-2, fig.add_annotation(x=i, y=be_value, text=f"{be_value:.2f}%", showarrow=True, arrowhead=1, yshift=5, xshift=-2,

View File

@@ -15,7 +15,7 @@ def add_executors_trace(fig, executors, row, col):
if executor.filled_amount_quote == 0: if executor.filled_amount_quote == 0:
fig.add_trace(go.Scatter(x=[entry_time, exit_time], y=[entry_price, entry_price], mode='lines', fig.add_trace(go.Scatter(x=[entry_time, exit_time], y=[entry_price, entry_price], mode='lines',
line=dict(color='blue', width=2, dash="dash"), name=name), row=row, col=col) line=dict(color='grey', width=2, dash="dash"), name=name), row=row, col=col)
else: else:
if executor.net_pnl_quote > Decimal(0): if executor.net_pnl_quote > Decimal(0):
fig.add_trace(go.Scatter(x=[entry_time, exit_time], y=[entry_price, exit_price], mode='lines', fig.add_trace(go.Scatter(x=[entry_time, exit_time], y=[entry_price, exit_price], mode='lines',

View File

@@ -1,3 +1,4 @@
import numpy as np
import plotly.graph_objects as go import plotly.graph_objects as go
import frontend.visualization.theme as theme import frontend.visualization.theme as theme
@@ -12,6 +13,10 @@ def create_executors_distribution_traces(buy_spreads, sell_spreads, buy_amounts_
buy_order_levels = len(buy_spread_distributions) buy_order_levels = len(buy_spread_distributions)
sell_order_levels = len(sell_spread_distributions) sell_order_levels = len(sell_spread_distributions)
# Calculate total volumes
total_buy_volume = sum(buy_order_amounts_quote)
total_sell_volume = sum(sell_order_amounts_quote)
# Create the figure with a dark theme and secondary y-axis # Create the figure with a dark theme and secondary y-axis
fig = go.Figure() fig = go.Figure()
@@ -37,7 +42,7 @@ def create_executors_distribution_traces(buy_spreads, sell_spreads, buy_amounts_
for i, value in enumerate(buy_order_amounts_quote): for i, value in enumerate(buy_order_amounts_quote):
fig.add_annotation( fig.add_annotation(
x=-buy_spread_distributions[i], x=-buy_spread_distributions[i],
y=value + 0.01 * max(buy_order_amounts_quote), # Offset the text slightly above the bar y=value + 0.03 * max(buy_order_amounts_quote), # Offset the text slightly above the bar
text=str(round(value, 2)), text=str(round(value, 2)),
showarrow=False, showarrow=False,
font=dict(color=colors['buy'], size=10) font=dict(color=colors['buy'], size=10)
@@ -47,12 +52,55 @@ def create_executors_distribution_traces(buy_spreads, sell_spreads, buy_amounts_
for i, value in enumerate(sell_order_amounts_quote): for i, value in enumerate(sell_order_amounts_quote):
fig.add_annotation( fig.add_annotation(
x=sell_spread_distributions[i], x=sell_spread_distributions[i],
y=value + 0.01 * max(sell_order_amounts_quote), # Offset the text slightly above the bar y=value + 0.03 * max(sell_order_amounts_quote), # Offset the text slightly above the bar
text=str(round(value, 2)), text=str(round(value, 2)),
showarrow=False, showarrow=False,
font=dict(color=colors['sell'], size=10) font=dict(color=colors['sell'], size=10)
) )
max_y = max(max(buy_order_amounts_quote), max(sell_order_amounts_quote))
# Add annotations for total volumes
fig.add_annotation(
x=-np.mean(buy_spread_distributions),
y=max_y,
text=f'Total Buy\n{round(total_buy_volume, 2)}',
showarrow=False,
font=dict(color=colors['buy'], size=12, family="Arial Black"),
align='center'
)
fig.add_annotation(
x=np.mean(sell_spread_distributions),
y=max_y,
text=f'Total Sell\n{round(total_sell_volume, 2)}',
showarrow=False,
font=dict(color=colors['sell'], size=12, family="Arial Black"),
align='center'
)
# Draw circles around the total volume annotations
fig.add_shape(
type='circle',
xref='x',
yref='y',
x0=-np.mean(buy_spread_distributions) - 0.4,
y0=max_y - 0.05 * max_y,
x1=-np.mean(buy_spread_distributions) + 0.4,
y1=max_y + 0.05 * max_y,
line=dict(color=colors['buy'])
)
fig.add_shape(
type='circle',
xref='x',
yref='y',
x0=np.mean(sell_spread_distributions) - 0.4,
y0=max_y - 0.05 * max_y,
x1=np.mean(sell_spread_distributions) + 0.4,
y1=max_y + 0.05 * max_y,
line=dict(color=colors['sell'])
)
# Apply the theme layout # Apply the theme layout
layout_settings = theme.get_default_layout("Market Maker Order Distribution") layout_settings = theme.get_default_layout("Market Maker Order Distribution")
fig.update_layout(**layout_settings) fig.update_layout(**layout_settings)