189 lines
7.8 KiB
Python
189 lines
7.8 KiB
Python
import argparse
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import logging
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import sys
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import time
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import pandas as pd
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import sqlite3
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import json
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import os
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from datetime import datetime, timezone, timedelta
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from logging_utils import setup_logging
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class SmaCrossStrategy:
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"""
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A strategy that generates BUY/SELL signals based on the price crossing
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a Simple Moving Average (SMA). It runs its logic precisely once per candle.
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"""
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def __init__(self, strategy_name: str, params: dict, log_level: str):
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self.strategy_name = strategy_name
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self.params = params
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self.coin = params.get("coin", "N/A")
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self.timeframe = params.get("timeframe", "N/A")
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self.sma_period = params.get("sma_period", 20) # Default to 20 if not specified
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self.db_path = os.path.join("_data", "market_data.db")
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self.status_file_path = os.path.join("_data", f"strategy_status_{self.strategy_name}.json")
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# Strategy state variables
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self.current_signal = "INIT"
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self.last_signal_change_utc = None
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self.signal_price = None
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self.indicator_value = None
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setup_logging(log_level, f"Strategy-{self.strategy_name}")
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logging.info(f"Initializing SMA Cross strategy with parameters:")
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for key, value in self.params.items():
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logging.info(f" - {key}: {value}")
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def load_data(self) -> pd.DataFrame:
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"""Loads historical data, ensuring enough for SMA calculation."""
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table_name = f"{self.coin}_{self.timeframe}"
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# We need at least sma_period + 1 rows to check the previous state
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limit = self.sma_period + 50
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try:
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with sqlite3.connect(f"file:{self.db_path}?mode=ro", uri=True) as conn:
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query = f'SELECT * FROM "{table_name}" ORDER BY datetime_utc DESC LIMIT {limit}'
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df = pd.read_sql(query, conn)
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if df.empty: return pd.DataFrame()
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df['datetime_utc'] = pd.to_datetime(df['datetime_utc'])
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df.set_index('datetime_utc', inplace=True)
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df.sort_index(inplace=True)
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return df
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except Exception as e:
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logging.error(f"Failed to load data from table '{table_name}': {e}")
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return pd.DataFrame()
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def _calculate_signals(self, data: pd.DataFrame):
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"""
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Analyzes historical data to find the last SMA crossover event.
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"""
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if len(data) < self.sma_period + 1:
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self.current_signal = "INSUFFICIENT DATA"
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return
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# Calculate SMA
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data['sma'] = data['close'].rolling(window=self.sma_period).mean()
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self.indicator_value = data['sma'].iloc[-1]
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# Determine position relative to SMA: 1 for above (long), -1 for below (short)
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data['position'] = 0
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data.loc[data['close'] > data['sma'], 'position'] = 1
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data.loc[data['close'] < data['sma'], 'position'] = -1
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# A crossover is when the position on this candle is different from the last
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data['crossover'] = data['position'].diff()
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# Get the latest signal based on the last position
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last_position = data['position'].iloc[-1]
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if last_position == 1: self.current_signal = "BUY"
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elif last_position == -1: self.current_signal = "SELL"
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else: self.current_signal = "HOLD"
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# Find the most recent crossover event in the historical data
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last_cross_series = data[data['crossover'] != 0]
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if not last_cross_series.empty:
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last_cross_row = last_cross_series.iloc[-1]
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self.last_signal_change_utc = last_cross_row.name.tz_localize('UTC').isoformat()
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self.signal_price = last_cross_row['close']
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# Refine the signal to be the one *at the time of the cross*
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if last_cross_row['position'] == 1: self.current_signal = "BUY"
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elif last_cross_row['position'] == -1: self.current_signal = "SELL"
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else:
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# If no crosses in history, the signal has been consistent
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self.last_signal_change_utc = data.index[0].tz_localize('UTC').isoformat()
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self.signal_price = data['close'].iloc[0]
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def _save_status(self):
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"""Saves the current strategy state to its JSON file."""
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status = {
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"strategy_name": self.strategy_name,
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"current_signal": self.current_signal,
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"last_signal_change_utc": self.last_signal_change_utc,
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"signal_price": self.signal_price,
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"last_checked_utc": datetime.now(timezone.utc).isoformat()
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}
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try:
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with open(self.status_file_path, 'w', encoding='utf-8') as f:
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json.dump(status, f, indent=4)
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except IOError as e:
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logging.error(f"Failed to write status file: {e}")
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def get_sleep_duration(self) -> int:
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"""Calculates seconds to sleep until the next full candle closes."""
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tf_value = int(''.join(filter(str.isdigit, self.timeframe)))
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tf_unit = ''.join(filter(str.isalpha, self.timeframe))
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if tf_unit == 'm': interval_seconds = tf_value * 60
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elif tf_unit == 'h': interval_seconds = tf_value * 3600
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elif tf_unit == 'd': interval_seconds = tf_value * 86400
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else: return 60 # Default to 1 minute if unknown
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now = datetime.now(timezone.utc)
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timestamp = now.timestamp()
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# Calculate the timestamp of the *next* candle close
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next_candle_ts = ((timestamp // interval_seconds) + 1) * interval_seconds
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# Add a small buffer (e.g., 5 seconds) to ensure the candle data is available
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sleep_seconds = (next_candle_ts - timestamp) + 5
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logging.info(f"Next candle closes at {datetime.fromtimestamp(next_candle_ts, tz=timezone.utc)}. "
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f"Sleeping for {sleep_seconds:.2f} seconds.")
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return sleep_seconds
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def run_logic(self):
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"""Main loop: loads data, calculates signals, saves status, and sleeps."""
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logging.info(f"Starting SMA Cross logic loop for {self.coin} on {self.timeframe} timeframe.")
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while True:
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data = self.load_data()
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if data.empty:
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logging.warning("No data loaded. Waiting 1 minute before retrying...")
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self.current_signal = "NO DATA"
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self._save_status()
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time.sleep(60)
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continue
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self._calculate_signals(data)
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self._save_status()
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# --- ADDED: More detailed logging for the current cycle ---
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last_close = data['close'].iloc[-1]
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indicator_val_str = f"{self.indicator_value:.4f}" if self.indicator_value is not None else "N/A"
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logging.info(
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f"Signal: {self.current_signal} | "
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f"Price: {last_close:.4f} | "
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f"SMA({self.sma_period}): {indicator_val_str}"
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)
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sleep_time = self.get_sleep_duration()
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time.sleep(sleep_time)
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if __name__ == "__main__":
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parser = argparse.ArgumentParser(description="Run an SMA Crossover trading strategy.")
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parser.add_argument("--name", required=True, help="The name of the strategy instance from the config.")
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parser.add_argument("--params", required=True, help="A JSON string of the strategy's parameters.")
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parser.add_argument("--log-level", default="normal", choices=['off', 'normal', 'debug'])
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args = parser.parse_args()
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try:
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strategy_params = json.loads(args.params)
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strategy = SmaCrossStrategy(
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strategy_name=args.name,
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params=strategy_params,
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log_level=args.log_level
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)
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strategy.run_logic()
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except KeyboardInterrupt:
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logging.info("Strategy process stopped.")
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except Exception as e:
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logging.error(f"A critical error occurred: {e}")
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sys.exit(1)
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