crypto_quant/trade_ma_strategy_main.py

import core.logger as logging
from datetime import datetime
from time import sleep
import pandas as pd
from core.biz.market_data import MarketData
from core.trade.ma_break_statistics import MaBreakStatistics
from core.db.db_market_data import DBMarketData
from core.biz.metrics_calculation import MetricsCalculation
from core.utils import (
    datetime_to_timestamp,
    timestamp_to_datetime,
    transform_date_time_to_timestamp,
)
from trade_data_main import TradeDataMain
from config import (
    API_KEY,
    SECRET_KEY,
    PASSPHRASE,
    SANDBOX,
    OKX_MONITOR_CONFIG,
    MYSQL_CONFIG,
    BAR_THRESHOLD,
)

logger = logging.logger


class TradeMaStrategyMain:
    def __init__(
        self,
        is_us_stock: bool = False,
        is_binance: bool = False,
        commission_per_share: float = 0,
    ):
        self.ma_break_statistics = MaBreakStatistics(
            is_us_stock=is_us_stock,
            is_binance=is_binance,
            commission_per_share=commission_per_share,
        )

    def batch_ma_break_statistics(self):
        """
        批量计算MA突破统计
        """
        logger.info("开始批量计算MA突破统计")
        strategy_dict = self.ma_break_statistics.main_strategy
        account_value_chg_df_list = []
        for strategy_name, strategy_info in strategy_dict.items():
            if "macd" in strategy_name:
                # 只计算macd策略
                account_value_chg_df = self.ma_break_statistics.batch_statistics(
                    strategy_name=strategy_name
                )
                account_value_chg_df_list.append(account_value_chg_df)

        total_account_value_chg_df = pd.concat(account_value_chg_df_list)
        return total_account_value_chg_df

    def statistics_account_value_chg(self, account_value_chg_df: pd.DataFrame):
        logger.info("开始统计account_value_chg")


if __name__ == "__main__":
    commission_per_share_list = [0, 0.0008]
    for commission_per_share in commission_per_share_list:
        trade_ma_strategy_main = TradeMaStrategyMain(
            is_us_stock=False,
            is_binance=True,
            commission_per_share=commission_per_share,
        )
        trade_ma_strategy_main.batch_ma_break_statistics()