import React, {useEffect, useRef, useState} from 'react'; import {tsvParse} from "d3-dsv"; import {SegmentedControl} from '@mantine/core'; // https://github.com/tradingview/lightweight-charts/issues/543 // const createChart = dynamic(() => import('lightweight-charts')); import {createChart, CrosshairMode} from 'lightweight-charts'; import {ReportSummary} from "../types"; import moment from "moment"; 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 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}/${filename}`, ) .then((response) => response.text()) .then((data) => tsvParse(data, parsePosition()) as Array) .catch((e) => { console.error("failed to fetch orders", e) }); }; const fetchOrders = (basePath: string, runID: string) => { return fetch( `${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 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 Order { order_type: string; side: string; price: number; quantity: number; executed_quantity: number; status: string; update_time: Date; creation_time: Date; time?: Date; } interface Marker { time: number; position: string; color: string; shape: string; text: string; } const ordersToMarkets = (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 } } switch (order.side) { case "BUY": markers.push({ time: t, position: 'belowBar', color: '#239D10', shape: 'arrowUp', text: '' + order.price //text: 'B', }); break; case "SELL": markers.push({ time: t, position: 'aboveBar', color: '#e91e63', shape: 'arrowDown', text: '' + order.price //text: 'S', }); 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 || []; const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[0] : '1m'); useEffect(() => { if (!chartContainerRef.current || chartContainerRef.current.children.length > 0) { return; } const chartData: any = {}; const fetchers = []; const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders) => { const markers = ordersToMarkets(currentInterval, orders); chartData.orders = orders; chartData.markers = markers; 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 = 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) => { chartData.klines = removeDuplicatedKLines(klines as Array) }); fetchers.push(kLinesFetcher); Promise.all(fetchers).then(() => { console.log("createChart") if (chart.current) { chart.current.remove(); } 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 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) { const lineSeries = chart.current.addLineSeries(); const costLine = positionAverageCostHistoryToLineData(currentInterval, chartData.positionHistory); lineSeries.setData(costLine); const baseLineSeries = chart.current.addLineSeries({ priceScaleId: 'left', color: '#98338C', }); const baseLine = positionBaseHistoryToLineData(currentInterval, chartData.positionHistory) baseLineSeries.setData(baseLine); } chart.current.timeScale().fitContent(); }); return () => { if (chart.current) { chart.current.remove(); } }; }, [props.runID, props.reportSummary, currentInterval]) // see: // https://codesandbox.io/s/9inkb?file=/src/styles.css useEffect(() => { resizeObserver.current = new ResizeObserver(entries => { if (!chart.current) { return; } const {width, height} = entries[0].contentRect; chart.current.applyOptions({width, height}); setTimeout(() => { chart.current.timeScale().fitContent(); }, 0); }); resizeObserver.current.observe(chartContainerRef.current); return () => resizeObserver.current.disconnect(); }, []); return (
{ return {label: interval, value: interval} })} onChange={setCurrentInterval} />
); }; export default TradingViewChart;