72 lines
2.2 KiB
Python
72 lines
2.2 KiB
Python
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()
|