import React, {useEffect, useRef, useState} from 'react'; import {tsvParse} from "d3-dsv"; import {Checkbox, Group, SegmentedControl} from '@mantine/core'; // https://github.com/tradingview/lightweight-charts/issues/543 // const createChart = dynamic(() => import('lightweight-charts')); import {createChart, CrosshairMode, MouseEventParams, TimeRange} from 'lightweight-charts'; import {Order, ReportSummary} from "../types"; import moment from "moment"; import {format} from 'date-fns'; import OrderListTable from './OrderListTable'; // See https://codesandbox.io/s/ve7w2?file=/src/App.js import TimeRangeSlider from './TimeRangeSlider'; const parseKline = () => { return (d: any) => { d.startTime = new Date(Number(d.startTime) * 1000); d.endTime = new Date(Number(d.endTime) * 1000); d.time = d.startTime.getTime() / 1000; for (const key in d) { // convert number fields if (Object.prototype.hasOwnProperty.call(d, key)) { switch (key) { case "open": case "high": case "low": case "close": case "volume": d[key] = +d[key]; break } } } return d; }; }; const selectKLines = (klines: KLine[], startTime: Date, endTime: Date): KLine[] => { const selected = []; for (let i = 0; i < klines.length; i++) { const k = klines[i] if (k.startTime < startTime) { continue } if (k.startTime > endTime) { break } selected.push(k) } return selected } const parseOrder = () => { return (d: any) => { for (const key in d) { // convert number fields if (Object.prototype.hasOwnProperty.call(d, key)) { switch (key) { case "order_id": case "price": case "quantity": d[key] = +d[key]; break; case "update_time": case "creation_time": case "time": d[key] = new Date(d[key]); break; } } } return d; }; } const parsePosition = () => { return (d: any) => { for (const key in d) { // convert number fields if (Object.prototype.hasOwnProperty.call(d, key)) { switch (key) { case "accumulated_profit": case "average_cost": case "quote": case "base": d[key] = +d[key]; break case "time": d[key] = new Date(d[key]); break } } } return d; }; } const fetchPositionHistory = (basePath: string, runID: string, filename: string) => { return fetch( `${basePath}/${runID}/${filename}`, ) .then((response) => response.text()) .then((data) => tsvParse(data, parsePosition()) as Array) .catch((e) => { console.error("failed to fetch orders", e) }); }; const selectPositionHistory = (data: PositionHistoryEntry[], since: Date, until: Date): PositionHistoryEntry[] => { const entries: PositionHistoryEntry[] = []; for (let i = 0; i < data.length; i++) { const d = data[i]; if (d.time < since || d.time > until) { continue } entries.push(d) } return entries } const fetchOrders = (basePath: string, runID: string) => { return fetch( `${basePath}/${runID}/orders.tsv`, ) .then((response) => response.text()) .then((data: string) => tsvParse(data, parseOrder()) as Array) .catch((e) => { console.error("failed to fetch orders", e) }); } const selectOrders = (data: Order[], since: Date, until: Date): Order[] => { const entries: Order[] = []; for (let i = 0; i < data.length; i++) { const d = data[i]; if (d.time && (d.time < since || d.time > until)) { continue } entries.push(d); } return entries } const parseInterval = (s: string) => { switch (s) { case "1m": return 60; case "5m": return 60 * 5; case "15m": return 60 * 15; case "30m": return 60 * 30; case "1h": return 60 * 60; case "4h": return 60 * 60 * 4; case "6h": return 60 * 60 * 6; case "12h": return 60 * 60 * 12; case "1d": return 60 * 60 * 24; } return 60; }; interface Marker { time: number; position: string; color: string; shape: string; text: string; } const ordersToMarkers = (interval: string, orders: Array | void): Array => { const markers: Array = []; const intervalSecs = parseInterval(interval); if (!orders) { return markers; } // var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }]; for (let i = 0; i < orders.length; i++) { let order = orders[i]; let t = (order.update_time || order.time).getTime() / 1000.0; let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null; if (lastMarker) { let remainder = lastMarker.time % intervalSecs; let startTime = lastMarker.time - remainder; let endTime = (startTime + intervalSecs); // skip the marker in the same interval of the last marker if (t < endTime) { // continue } } let text = '' + order.price if (order.tag) { text += " #" + order.tag; } switch (order.side) { case "BUY": markers.push({ time: t, position: 'belowBar', color: '#239D10', shape: 'arrowUp', text: text, }); break; case "SELL": markers.push({ time: t, position: 'aboveBar', color: '#e91e63', shape: 'arrowDown', text: text, }); break; } } return markers; }; const removeDuplicatedKLines = (klines: Array): Array => { const newK = []; for (let i = 0; i < klines.length; i++) { const k = klines[i]; if (i > 0 && k.time === klines[i - 1].time) { console.warn(`duplicated kline at index ${i}`, k) continue } newK.push(k); } return newK; } function fetchKLines(basePath: string, runID: string, symbol: string, interval: string, startTime: Date, endTime: Date) { var duration = [moment(startTime).format('YYYYMMDD'), moment(endTime).format('YYYYMMDD')]; return fetch( `${basePath}/shared/klines_${duration.join('-')}/${symbol}-${interval}.tsv`, ) .then((response) => response.text()) .then((data) => tsvParse(data, parseKline())) .catch((e) => { console.error("failed to fetch klines", e) }); } interface KLine { time: Date; startTime: Date; endTime: Date; interval: string; open: number; high: number; low: number; close: number; volume: number; } const klinesToVolumeData = (klines: Array) => { const volumes = []; for (let i = 0; i < klines.length; i++) { const kline = klines[i]; volumes.push({ time: (kline.startTime.getTime() / 1000), value: kline.volume, }) } return volumes; } interface PositionHistoryEntry { time: Date; base: number; quote: number; average_cost: number; } const positionBaseHistoryToLineData = (interval: string, hs: Array) => { const bases = []; const intervalSeconds = parseInterval(interval); for (let i = 0; i < hs.length; i++) { const pos = hs[i]; if (!pos.time) { console.warn('position history record missing time field', pos) continue } // ignore duplicated entry if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) { continue } let t = pos.time.getTime() / 1000; t = (t - t % intervalSeconds) if (i > 0 && (pos.base === hs[i - 1].base)) { continue; } bases.push({ time: t, value: pos.base, }); } return bases; } const positionAverageCostHistoryToLineData = (interval: string, hs: Array) => { const avgCosts = []; const intervalSeconds = parseInterval(interval); for (let i = 0; i < hs.length; i++) { const pos = hs[i]; if (!pos.time) { console.warn('position history record missing time field', pos) continue } // ignore duplicated entry if (i > 0 && hs[i].time.getTime() === hs[i - 1].time.getTime()) { continue } let t = pos.time.getTime() / 1000; t = (t - t % intervalSeconds) if (i > 0 && (pos.average_cost === hs[i - 1].average_cost)) { continue; } if (pos.base === 0) { avgCosts.push({ time: t, value: 0, }); } else { avgCosts.push({ time: t, value: pos.average_cost, }); } } return avgCosts; } const createBaseChart = (chartContainerRef: React.RefObject) => { return createChart(chartContainerRef.current, { width: chartContainerRef.current.clientWidth, height: chartContainerRef.current.clientHeight, timeScale: { timeVisible: true, borderColor: '#D1D4DC', }, rightPriceScale: { borderColor: '#D1D4DC', }, leftPriceScale: { visible: true, borderColor: 'rgba(197, 203, 206, 1)', }, layout: { backgroundColor: '#ffffff', textColor: '#000', }, crosshair: { mode: CrosshairMode.Normal, }, grid: { horzLines: { color: '#F0F3FA', }, vertLines: { color: '#F0F3FA', }, }, }); }; interface TradingViewChartProps { basePath: string; runID: string; reportSummary: ReportSummary; symbol: string; } const TradingViewChart = (props: TradingViewChartProps) => { const chartContainerRef = useRef(); const chart = useRef(); const resizeObserver = useRef(); const intervals = props.reportSummary.intervals || []; intervals.sort((a, b) => { const as = parseInterval(a) const bs = parseInterval(b) if (as < bs) { return -1; } else if (as > bs) { return 1; } return 0; }) const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[intervals.length - 1] : '1m'); const [showPositionBase, setShowPositionBase] = useState(false); const [showPositionAverageCost, setShowPositionAverageCost] = useState(false); const [orders, setOrders] = useState([]); const reportTimeRange = [ new Date(props.reportSummary.startTime), new Date(props.reportSummary.endTime), ] const [selectedTimeRange, setSelectedTimeRange] = useState(reportTimeRange) useEffect(() => { if (!chartContainerRef.current || chartContainerRef.current.children.length > 0) { return; } const chartData: any = {}; const fetchers = []; const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders: Order[] | void) => { if (orders) { const markers = ordersToMarkers(currentInterval, selectOrders(orders, selectedTimeRange[0], selectedTimeRange[1])); chartData.orders = orders; chartData.markers = markers; setOrders(orders); } return orders; }); fetchers.push(ordersFetcher); if (props.reportSummary && props.reportSummary.manifests && props.reportSummary.manifests.length === 1) { const manifest = props.reportSummary?.manifests[0]; if (manifest && manifest.type === "strategyProperty" && manifest.strategyProperty === "position") { const positionHistoryFetcher = fetchPositionHistory(props.basePath, props.runID, manifest.filename).then((data) => { chartData.positionHistory = selectPositionHistory(data as PositionHistoryEntry[], selectedTimeRange[0], selectedTimeRange[1]); // chartData.positionHistory = data; }); fetchers.push(positionHistoryFetcher); } } const kLinesFetcher = fetchKLines(props.basePath, props.runID, props.symbol, currentInterval, new Date(props.reportSummary.startTime), new Date(props.reportSummary.endTime)).then((klines) => { if (klines) { chartData.allKLines = removeDuplicatedKLines(klines) chartData.klines = selectKLines(chartData.allKLines, selectedTimeRange[0], selectedTimeRange[1]) } }); fetchers.push(kLinesFetcher); Promise.all(fetchers).then(() => { console.log("createChart") chart.current = createBaseChart(chartContainerRef); const series = chart.current.addCandlestickSeries({ upColor: 'rgb(38,166,154)', downColor: 'rgb(255,82,82)', wickUpColor: 'rgb(38,166,154)', wickDownColor: 'rgb(255,82,82)', borderVisible: false, }); series.setData(chartData.klines); series.setMarkers(chartData.markers); const ohlcLegend = createLegend(0, 'rgba(0, 0, 0, 1)'); chartContainerRef.current.appendChild(ohlcLegend); const updateOHLCLegend = createOHLCLegendUpdater(ohlcLegend, "") chart.current.subscribeCrosshairMove((param: MouseEventParams) => { updateOHLCLegend(param.seriesPrices.get(series), param.time); }); [9, 27, 99].forEach((w, i) => { const emaValues = calculateEMA(chartData.klines, w) const emaColor = 'rgba(' + w + ', ' + (111 - w) + ', 232, 0.9)' const emaLine = chart.current.addLineSeries({ color: emaColor, lineWidth: 1, lastValueVisible: false, }); emaLine.setData(emaValues); const legend = createLegend(i + 1, emaColor) chartContainerRef.current.appendChild(legend); const updateLegendText = createLegendUpdater(legend, 'EMA ' + w) updateLegendText(emaValues[emaValues.length - 1].value); chart.current.subscribeCrosshairMove((param: MouseEventParams) => { updateLegendText(param.seriesPrices.get(emaLine)); }); }) const volumeData = klinesToVolumeData(chartData.klines); const volumeSeries = chart.current.addHistogramSeries({ color: '#182233', lineWidth: 2, priceFormat: { type: 'volume', }, overlay: true, scaleMargins: { top: 0.8, bottom: 0, }, }); volumeSeries.setData(volumeData); if (chartData.positionHistory) { if (showPositionAverageCost) { const costLineSeries = chart.current.addLineSeries(); const costLine = positionAverageCostHistoryToLineData(currentInterval, chartData.positionHistory); costLineSeries.setData(costLine); } if (showPositionBase) { const baseLineSeries = chart.current.addLineSeries({ priceScaleId: 'left', color: '#98338C', }); const baseLine = positionBaseHistoryToLineData(currentInterval, chartData.positionHistory) baseLineSeries.setData(baseLine); } } chart.current.timeScale().fitContent(); /* chart.current.timeScale().setVisibleRange({ from: (new Date(Date.UTC(2018, 0, 1, 0, 0, 0, 0))).getTime() / 1000, to: (new Date(Date.UTC(2018, 1, 1, 0, 0, 0, 0))).getTime() / 1000, }); */ // see: // https://codesandbox.io/s/9inkb?file=/src/styles.css resizeObserver.current = new ResizeObserver(entries => { if (!chart.current) { return; } const {width, height} = entries[0].contentRect; chart.current.applyOptions({width, height}); setTimeout(() => { if (chart.current) { chart.current.timeScale().fitContent(); } }, 0); }); resizeObserver.current.observe(chartContainerRef.current); }); return () => { console.log("removeChart") if (resizeObserver.current) { resizeObserver.current.disconnect(); } if (chart.current) { chart.current.remove(); } if (chartContainerRef.current) { // remove all the children because we created the legend elements chartContainerRef.current.replaceChildren(); } }; }, [props.runID, props.reportSummary, currentInterval, showPositionBase, showPositionAverageCost, selectedTimeRange]) return (
{ return {label: interval, value: interval} })} onChange={setCurrentInterval} /> setShowPositionBase(event.currentTarget.checked)}/> setShowPositionAverageCost(event.currentTarget.checked)}/>
format(new Date(ms), 'M d HH')} step={1000 * parseInterval(currentInterval)} onChange={(tr: any) => { console.log("selectedTimeRange", tr) setSelectedTimeRange(tr) }} /> { console.log("selected order", order); const visibleRange = chart.current.timeScale().getVisibleRange() const seconds = parseInterval(currentInterval) const bars = 12 const orderTime = order.creation_time.getTime() / 1000 const from = orderTime - bars * seconds const to = orderTime + bars * seconds console.log("orderTime", orderTime) console.log("visibleRange", visibleRange) console.log("setVisibleRange", from, to, to - from) chart.current.timeScale().setVisibleRange({from, to} as TimeRange); // chart.current.timeScale().scrollToPosition(20, true); }}/>
); }; const calculateEMA = (a: KLine[], r: number) => { return a.map((k) => { return {time: k.time, value: k.close} }).reduce((p: any[], n: any, i: number) => { if (i) { const last = p[p.length - 1] const v = 2 * n.value / (r + 1) + last.value * (r - 1) / (r + 1) return p.concat({value: v, time: n.time}) } return p }, [{ value: a[0].close, time: a[0].time }]) } const createLegend = (i: number, color: string) => { const legend = document.createElement('div'); legend.className = 'ema-legend'; legend.style.display = 'block'; legend.style.position = 'absolute'; legend.style.left = 3 + 'px'; legend.style.color = color; legend.style.zIndex = '99'; legend.style.top = 3 + (i * 22) + 'px'; return legend; } const createLegendUpdater = (legend: HTMLDivElement, prefix: string) => { return (priceValue: any) => { let val = '-'; if (priceValue !== undefined) { val = (Math.round(priceValue * 100) / 100).toFixed(2); } legend.innerHTML = prefix + ' ' + val + ''; } } const formatDate = (d: Date): string => { return moment(d).format("MMM Do YY hh:mm:ss A Z"); } const createOHLCLegendUpdater = (legend: HTMLDivElement, prefix: string) => { return (param: any, time: any) => { if (param) { const change = Math.round((param.close - param.open) * 100.0) / 100.0 const changePercentage = Math.round((param.close - param.open) / param.close * 10000.0) / 100.0; const ampl = Math.round((param.high - param.low) / param.low * 10000.0) / 100.0; const t = new Date(time * 1000); const dateStr = formatDate(t); legend.innerHTML = prefix + ` O: ${param.open} H: ${param.high} L: ${param.low} C: ${param.close} CHG: ${change} (${changePercentage}%) AMP: ${ampl}% T: ${dateStr}`; } else { legend.innerHTML = prefix + ' O: - H: - L: - C: - T: -'; } } } export default TradingViewChart;