inside_bar_timings_spread.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import utils\n",
    "import datetime as dt\n",
    "from dateutil.parser import *"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_trades = pd.read_pickle(\"USD_JPY_H4_trades.pkl\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "\n",
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>time</th>\n",
       "      <th>mid_o</th>\n",
       "      <th>mid_h</th>\n",
       "      <th>mid_l</th>\n",
       "      <th>mid_c</th>\n",
       "      <th>bid_c</th>\n",
       "      <th>ask_c</th>\n",
       "      <th>RANGE</th>\n",
       "      <th>mid_h_prev</th>\n",
       "      <th>mid_l_prev</th>\n",
       "      <th>RANGE_prev</th>\n",
       "      <th>DIRECTION</th>\n",
       "      <th>DIRECTION_prev</th>\n",
       "      <th>SIGNAL</th>\n",
       "      <th>ENTRY</th>\n",
       "      <th>STOPLOSS</th>\n",
       "      <th>TAKEPROFIT</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2020-01-02T02:00:00.000000000Z</td>\n",
       "      <td>108.671</td>\n",
       "      <td>108.758</td>\n",
       "      <td>108.658</td>\n",
       "      <td>108.742</td>\n",
       "      <td>108.736</td>\n",
       "      <td>108.747</td>\n",
       "      <td>0.100</td>\n",
       "      <td>108.761</td>\n",
       "      <td>108.607</td>\n",
       "      <td>0.154</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>108.7764</td>\n",
       "      <td>108.7148</td>\n",
       "      <td>108.8996</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2020-01-02T18:00:00.000000000Z</td>\n",
       "      <td>108.526</td>\n",
       "      <td>108.572</td>\n",
       "      <td>108.494</td>\n",
       "      <td>108.561</td>\n",
       "      <td>108.511</td>\n",
       "      <td>108.611</td>\n",
       "      <td>0.078</td>\n",
       "      <td>108.748</td>\n",
       "      <td>108.212</td>\n",
       "      <td>0.536</td>\n",
       "      <td>1</td>\n",
       "      <td>-1</td>\n",
       "      <td>-1</td>\n",
       "      <td>108.1584</td>\n",
       "      <td>108.3728</td>\n",
       "      <td>107.7296</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2020-01-06T02:00:00.000000000Z</td>\n",
       "      <td>107.950</td>\n",
       "      <td>108.104</td>\n",
       "      <td>107.932</td>\n",
       "      <td>108.058</td>\n",
       "      <td>108.052</td>\n",
       "      <td>108.064</td>\n",
       "      <td>0.172</td>\n",
       "      <td>108.122</td>\n",
       "      <td>107.772</td>\n",
       "      <td>0.350</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>108.1570</td>\n",
       "      <td>108.0170</td>\n",
       "      <td>108.4370</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2020-01-06T10:00:00.000000000Z</td>\n",
       "      <td>107.988</td>\n",
       "      <td>108.164</td>\n",
       "      <td>107.982</td>\n",
       "      <td>108.120</td>\n",
       "      <td>108.114</td>\n",
       "      <td>108.126</td>\n",
       "      <td>0.182</td>\n",
       "      <td>108.179</td>\n",
       "      <td>107.926</td>\n",
       "      <td>0.253</td>\n",
       "      <td>1</td>\n",
       "      <td>-1</td>\n",
       "      <td>-1</td>\n",
       "      <td>107.9007</td>\n",
       "      <td>108.0019</td>\n",
       "      <td>107.6983</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2020-01-07T10:00:00.000000000Z</td>\n",
       "      <td>108.466</td>\n",
       "      <td>108.483</td>\n",
       "      <td>108.368</td>\n",
       "      <td>108.438</td>\n",
       "      <td>108.432</td>\n",
       "      <td>108.444</td>\n",
       "      <td>0.115</td>\n",
       "      <td>108.500</td>\n",
       "      <td>108.262</td>\n",
       "      <td>0.238</td>\n",
       "      <td>-1</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>108.5238</td>\n",
       "      <td>108.4286</td>\n",
       "      <td>108.7142</td>\n",
       "    </tr>\n",
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      ],
      "text/plain": [
       "                              time    mid_o    mid_h    mid_l    mid_c  \\\n",
       "0   2020-01-02T02:00:00.000000000Z  108.671  108.758  108.658  108.742   \n",
       "4   2020-01-02T18:00:00.000000000Z  108.526  108.572  108.494  108.561   \n",
       "12  2020-01-06T02:00:00.000000000Z  107.950  108.104  107.932  108.058   \n",
       "14  2020-01-06T10:00:00.000000000Z  107.988  108.164  107.982  108.120   \n",
       "20  2020-01-07T10:00:00.000000000Z  108.466  108.483  108.368  108.438   \n",
       "\n",
       "      bid_c    ask_c  RANGE  mid_h_prev  mid_l_prev  RANGE_prev  DIRECTION  \\\n",
       "0   108.736  108.747  0.100     108.761     108.607       0.154          1   \n",
       "4   108.511  108.611  0.078     108.748     108.212       0.536          1   \n",
       "12  108.052  108.064  0.172     108.122     107.772       0.350          1   \n",
       "14  108.114  108.126  0.182     108.179     107.926       0.253          1   \n",
       "20  108.432  108.444  0.115     108.500     108.262       0.238         -1   \n",
       "\n",
       "    DIRECTION_prev  SIGNAL     ENTRY  STOPLOSS  TAKEPROFIT  \n",
       "0                1       1  108.7764  108.7148    108.8996  \n",
       "4               -1      -1  108.1584  108.3728    107.7296  \n",
       "12               1       1  108.1570  108.0170    108.4370  \n",
       "14              -1      -1  107.9007  108.0019    107.6983  \n",
       "20               1       1  108.5238  108.4286    108.7142  "
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df_trades.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "metadata": {},
   "outputs": [],
   "source": [
    "pair = \"USD_JPY\""
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_raw = pd.read_pickle(utils.get_his_data_filename(pair, \"M5\"))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [],
   "source": [
    "non_cols = ['time', 'volume']\n",
    "mod_cols = [x for x in df_raw.columns if x not in non_cols]\n",
    "df_raw[mod_cols] = df_raw[mod_cols].apply(pd.to_numeric)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_trades[\"time\"] = [parse(x) for x in df_trades.time]\n",
    "df_raw[\"time\"] = [parse(x) for x in df_raw.time]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_trades[\"next\"] = df_trades[\"time\"].shift(-1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_trades[\"trade_end\"] = df_trades.next + dt.timedelta(hours=3, minutes=55)\n",
    "df_trades['trade_start'] = df_trades.time + dt.timedelta(hours=4)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>time</th>\n",
       "      <th>next</th>\n",
       "      <th>trade_end</th>\n",
       "      <th>trade_start</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2020-01-02 02:00:00+00:00</td>\n",
       "      <td>2020-01-02 18:00:00+00:00</td>\n",
       "      <td>2020-01-02 21:55:00+00:00</td>\n",
       "      <td>2020-01-02 06:00:00+00:00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2020-01-02 18:00:00+00:00</td>\n",
       "      <td>2020-01-06 02:00:00+00:00</td>\n",
       "      <td>2020-01-06 05:55:00+00:00</td>\n",
       "      <td>2020-01-02 22:00:00+00:00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12</th>\n",
       "      <td>2020-01-06 02:00:00+00:00</td>\n",
       "      <td>2020-01-06 10:00:00+00:00</td>\n",
       "      <td>2020-01-06 13:55:00+00:00</td>\n",
       "      <td>2020-01-06 06:00:00+00:00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14</th>\n",
       "      <td>2020-01-06 10:00:00+00:00</td>\n",
       "      <td>2020-01-07 10:00:00+00:00</td>\n",
       "      <td>2020-01-07 13:55:00+00:00</td>\n",
       "      <td>2020-01-06 14:00:00+00:00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20</th>\n",
       "      <td>2020-01-07 10:00:00+00:00</td>\n",
       "      <td>2020-01-07 18:00:00+00:00</td>\n",
       "      <td>2020-01-07 21:55:00+00:00</td>\n",
       "      <td>2020-01-07 14:00:00+00:00</td>\n",
       "    </tr>\n",
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      ],
      "text/plain": [
       "                        time                      next  \\\n",
       "0  2020-01-02 02:00:00+00:00 2020-01-02 18:00:00+00:00   \n",
       "4  2020-01-02 18:00:00+00:00 2020-01-06 02:00:00+00:00   \n",
       "12 2020-01-06 02:00:00+00:00 2020-01-06 10:00:00+00:00   \n",
       "14 2020-01-06 10:00:00+00:00 2020-01-07 10:00:00+00:00   \n",
       "20 2020-01-07 10:00:00+00:00 2020-01-07 18:00:00+00:00   \n",
       "\n",
       "                   trade_end               trade_start  \n",
       "0  2020-01-02 21:55:00+00:00 2020-01-02 06:00:00+00:00  \n",
       "4  2020-01-06 05:55:00+00:00 2020-01-02 22:00:00+00:00  \n",
       "12 2020-01-06 13:55:00+00:00 2020-01-06 06:00:00+00:00  \n",
       "14 2020-01-07 13:55:00+00:00 2020-01-06 14:00:00+00:00  \n",
       "20 2020-01-07 21:55:00+00:00 2020-01-07 14:00:00+00:00  "
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "df_trades[['time', 'next', 'trade_end', 'trade_start']].head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 25,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_trades.dropna(inplace=True)\n",
    "df_trades.reset_index(drop=True, inplace=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 26,
   "metadata": {},
   "outputs": [],
   "source": [
    "def signal_text(signal):\n",
    "    if signal == 1:\n",
    "        return 'BUY'\n",
    "    elif signal == -1:\n",
    "        return 'SELL'\n",
    "    return 'NONE'\n",
    "\n",
    "def triggered(direction, current_price, signal_price):\n",
    "    if direction == 1 and current_price > signal_price:\n",
    "        return True\n",
    "    elif direction == -1 and current_price < signal_price:\n",
    "        return True\n",
    "    return False\n",
    "\n",
    "def end_hit_calc(direction, SL, price, start_price):\n",
    "    delta = price - start_price\n",
    "    full_delta = start_price - SL\n",
    "    fraction = abs(delta / full_delta)\n",
    "    \n",
    "    if direction == 1 and price >= start_price:\n",
    "        return fraction\n",
    "    elif direction == 1 and price < start_price:\n",
    "        return -fraction\n",
    "    elif direction == -1 and price <= start_price:\n",
    "        return fraction\n",
    "    elif direction == -1 and price > start_price:\n",
    "        return -fraction\n",
    "    \n",
    "    print(\"ERROR\")\n",
    "    \n",
    "def process_buy(TP, SL, ask_prices, bid_prices, entry_price):\n",
    "    for index, price in enumerate(ask_prices):\n",
    "        if triggered(1, price, entry_price) == True:\n",
    "            for live_price in bid_prices[index:]:\n",
    "                if live_price >= TP:\n",
    "                    return 2.0\n",
    "                elif live_price <= SL:\n",
    "                    return -1.0\n",
    "            return end_hit_calc(1, SL, live_price, entry_price)\n",
    "    return 0.0\n",
    "\n",
    "def process_sell(TP, SL, ask_prices, bid_prices, entry_price):\n",
    "    for index, price in enumerate(bid_prices):\n",
    "        if triggered(-1, price, entry_price) == True:\n",
    "            for live_price in ask_prices[index:]:\n",
    "                if live_price <= TP:\n",
    "                    return 2.0\n",
    "                elif live_price >= SL:\n",
    "                    return -1.0\n",
    "            return end_hit_calc(-1, SL, live_price, entry_price)\n",
    "    return 0.0\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 27,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "79.178411162003\n"
     ]
    }
   ],
   "source": [
    "total = 0\n",
    "for index, row in df_trades.iterrows():\n",
    "    m5_data = df_raw[(df_raw.time >= row.trade_start) & (df_raw.time <= row.trade_end)]\n",
    "    if row.SIGNAL == 1:\n",
    "        r = process_buy(row.TAKEPROFIT, row.STOPLOSS, m5_data.ask_c.values, m5_data.bid_c.values, row.ENTRY)\n",
    "        total += r\n",
    "    else:\n",
    "        r = process_sell(row.TAKEPROFIT, row.STOPLOSS, m5_data.ask_c.values, m5_data.bid_c.values, row.ENTRY)\n",
    "        total += r\n",
    "print(total)"
   ]
  }
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