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501 lines
12 KiB
TypeScript
501 lines
12 KiB
TypeScript
import React, {useEffect, useRef, useState} from 'react';
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import {tsvParse} from "d3-dsv";
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import {Button} from '@mantine/core';
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// https://github.com/tradingview/lightweight-charts/issues/543
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// const createChart = dynamic(() => import('lightweight-charts'));
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import {createChart, CrosshairMode} from 'lightweight-charts';
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import {ReportSummary} from "../types";
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const parseKline = () => {
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return (d : any) => {
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d.startTime = new Date(Number(d.startTime) * 1000);
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d.endTime = new Date(Number(d.endTime) * 1000);
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d.time = d.startTime.getTime() / 1000;
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for (const key in d) {
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// convert number fields
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if (Object.prototype.hasOwnProperty.call(d, key)) {
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switch (key) {
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case "open":
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case "high":
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case "low":
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case "close":
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case "volume":
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d[key] = +d[key];
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break
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}
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}
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}
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return d;
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};
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};
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const parseOrder = () => {
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return (d: any) => {
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for (const key in d) {
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// convert number fields
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if (Object.prototype.hasOwnProperty.call(d, key)) {
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switch (key) {
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case "order_id":
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case "price":
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case "quantity":
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d[key] = +d[key];
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break;
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case "update_time":
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case "creation_time":
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case "time":
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d[key] = new Date(d[key]);
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break;
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}
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}
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}
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return d;
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};
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}
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const parsePosition = () => {
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return (d: any) => {
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for (const key in d) {
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// convert number fields
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if (Object.prototype.hasOwnProperty.call(d, key)) {
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switch (key) {
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case "accumulated_profit":
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case "average_cost":
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case "quote":
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case "base":
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d[key] = +d[key];
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break
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case "time":
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d[key] = new Date(d[key]);
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break
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}
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}
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}
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return d;
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};
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}
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const fetchPositionHistory = (basePath: string, runID: string, filename: string) => {
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return fetch(
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`${basePath}/${runID}/${filename}`,
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)
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.then((response) => response.text())
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.then((data) => tsvParse(data, parsePosition()) as Array<PositionHistoryEntry>)
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.catch((e) => {
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console.error("failed to fetch orders", e)
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});
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};
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const fetchOrders = (basePath: string, runID: string) => {
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return fetch(
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`${basePath}/${runID}/orders.tsv`,
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)
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.then((response) => response.text())
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.then((data: string) => tsvParse(data, parseOrder()) as Array<Order>)
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.catch((e) => {
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console.error("failed to fetch orders", e)
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});
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}
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const parseInterval = (s: string) => {
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switch (s) {
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case "1m":
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return 60;
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case "5m":
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return 60 * 5;
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case "15m":
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return 60 * 15;
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case "30m":
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return 60 * 30;
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case "1h":
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return 60 * 60;
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case "4h":
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return 60 * 60 * 4;
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case "6h":
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return 60 * 60 * 6;
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case "12h":
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return 60 * 60 * 12;
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case "1d":
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return 60 * 60 * 24;
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}
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return 60;
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};
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interface Order {
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order_type: string;
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side: string;
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price: number;
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quantity: number;
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executed_quantity: number;
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status: string;
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update_time: Date;
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creation_time: Date;
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}
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interface Marker {
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time: number;
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position: string;
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color: string;
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shape: string;
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text: string;
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}
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const ordersToMarkets = (interval: string, orders: Array<Order> | void): Array<Marker> => {
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const markers: Array<Marker> = [];
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const intervalSecs = parseInterval(interval);
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if (!orders) {
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return markers;
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}
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// var markers = [{ time: data[data.length - 48].time, position: 'aboveBar', color: '#f68410', shape: 'circle', text: 'D' }];
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for (let i = 0; i < orders.length; i++) {
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let order = orders[i];
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let t = order.update_time.getTime() / 1000.0;
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let lastMarker = markers.length > 0 ? markers[markers.length - 1] : null;
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if (lastMarker) {
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let remainder = lastMarker.time % intervalSecs;
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let startTime = lastMarker.time - remainder;
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let endTime = (startTime + intervalSecs);
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// skip the marker in the same interval of the last marker
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if (t < endTime) {
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// continue
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}
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}
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switch (order.side) {
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case "BUY":
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markers.push({
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time: t,
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position: 'belowBar',
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color: '#239D10',
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shape: 'arrowDown',
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// text: 'Buy @ ' + order.price
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text: 'B',
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});
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break;
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case "SELL":
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markers.push({
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time: t,
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position: 'aboveBar',
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color: '#e91e63',
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shape: 'arrowDown',
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// text: 'Sell @ ' + order.price
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text: 'S',
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});
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break;
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}
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}
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return markers;
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};
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const removeDuplicatedKLines = (klines: Array<KLine>): Array<KLine> => {
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const newK = [];
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for (let i = 0; i < klines.length; i++) {
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const k = klines[i];
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if (i > 0 && k.time === klines[i - 1].time) {
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console.warn(`duplicated kline at index ${i}`, k)
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continue
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}
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newK.push(k);
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}
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return newK;
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}
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function fetchKLines(basePath: string, runID: string, symbol: string, interval: string) {
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return fetch(
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`${basePath}/${runID}/klines/${symbol}-${interval}.tsv`,
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)
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.then((response) => response.text())
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.then((data) => tsvParse(data, parseKline()))
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.catch((e) => {
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console.error("failed to fetch klines", e)
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});
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}
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interface KLine {
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time: Date;
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startTime: Date;
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endTime: Date;
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interval: string;
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open: number;
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high: number;
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low: number;
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close: number;
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volume: number;
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}
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const klinesToVolumeData = (klines: Array<KLine>) => {
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const volumes = [];
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for (let i = 0; i < klines.length; i++) {
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const kline = klines[i];
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volumes.push({
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time: (kline.startTime.getTime() / 1000),
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value: kline.volume,
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})
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}
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return volumes;
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}
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interface PositionHistoryEntry {
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time: Date;
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base: number;
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quote: number;
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average_cost: number;
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}
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const positionBaseHistoryToLineData = (interval: string, hs: Array<PositionHistoryEntry>) => {
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const bases = [];
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const intervalSeconds = parseInterval(interval);
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for (let i = 0; i < hs.length; i++) {
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const pos = hs[i];
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if (!pos.time) {
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console.warn('position history record missing time field', pos)
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continue
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}
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// ignore duplicated entry
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if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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continue
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}
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let t = pos.time.getTime() / 1000;
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t = (t - t % intervalSeconds)
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if (i > 0 && (pos.base === hs[i - 1].base)) {
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continue;
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}
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bases.push({
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time: t,
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value: pos.base,
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});
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}
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return bases;
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}
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const positionAverageCostHistoryToLineData = (interval: string, hs: Array<PositionHistoryEntry>) => {
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const avgCosts = [];
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const intervalSeconds = parseInterval(interval);
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for (let i = 0; i < hs.length; i++) {
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const pos = hs[i];
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if (!pos.time) {
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console.warn('position history record missing time field', pos)
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continue
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}
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// ignore duplicated entry
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if (hs[i].time.getTime() === hs[i - 1].time.getTime()) {
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continue
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}
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let t = pos.time.getTime() / 1000;
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t = (t - t % intervalSeconds)
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if (i > 0 && (pos.average_cost === hs[i - 1].average_cost)) {
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continue;
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}
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if (pos.base === 0) {
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avgCosts.push({
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time: t,
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value: 0,
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});
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} else {
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avgCosts.push({
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time: t,
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value: pos.average_cost,
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});
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}
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}
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return avgCosts;
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}
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const createBaseChart = (chartContainerRef: React.RefObject<any>) => {
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return createChart(chartContainerRef.current, {
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width: chartContainerRef.current.clientWidth,
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height: chartContainerRef.current.clientHeight,
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timeScale: {
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timeVisible: true,
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borderColor: '#D1D4DC',
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},
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rightPriceScale: {
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borderColor: '#D1D4DC',
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},
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leftPriceScale: {
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visible: true,
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borderColor: 'rgba(197, 203, 206, 1)',
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},
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layout: {
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backgroundColor: '#ffffff',
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textColor: '#000',
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},
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crosshair: {
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mode: CrosshairMode.Normal,
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},
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grid: {
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horzLines: {
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color: '#F0F3FA',
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},
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vertLines: {
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color: '#F0F3FA',
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},
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},
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});
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};
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interface TradingViewChartProps {
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basePath: string;
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runID: string;
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reportSummary: ReportSummary;
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symbol: string;
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}
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const TradingViewChart = (props: TradingViewChartProps) => {
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const chartContainerRef = useRef<any>();
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const chart = useRef<any>();
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const resizeObserver = useRef<any>();
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const intervals = props.reportSummary.intervals || [];
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const [currentInterval, setCurrentInterval] = useState(intervals.length > 0 ? intervals[0] : '1m');
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useEffect(() => {
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if (!chartContainerRef.current || chartContainerRef.current.children.length > 0) {
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return;
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}
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const chartData: any = {};
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const fetchers = [];
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const ordersFetcher = fetchOrders(props.basePath, props.runID).then((orders) => {
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const markers = ordersToMarkets(currentInterval, orders);
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chartData.orders = orders;
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chartData.markers = markers;
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return orders;
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});
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fetchers.push(ordersFetcher);
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if (props.reportSummary && props.reportSummary.manifests && props.reportSummary.manifests.length === 1) {
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const manifest = props.reportSummary?.manifests[0];
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if (manifest && manifest.type === "strategyProperty" && manifest.strategyProperty === "position") {
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const positionHistoryFetcher = fetchPositionHistory(props.basePath, props.runID, manifest.filename).then((data) => {
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chartData.positionHistory = data;
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});
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fetchers.push(positionHistoryFetcher);
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}
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}
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const kLinesFetcher = fetchKLines(props.basePath, props.runID, props.symbol, currentInterval).then((klines) => {
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chartData.klines = removeDuplicatedKLines(klines as Array<KLine>)
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});
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fetchers.push(kLinesFetcher);
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Promise.all(fetchers).then(() => {
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console.log("createChart")
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if (chart.current) {
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chart.current.remove();
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}
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chart.current = createBaseChart(chartContainerRef);
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const series = chart.current.addCandlestickSeries({
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upColor: 'rgb(38,166,154)',
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downColor: 'rgb(255,82,82)',
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wickUpColor: 'rgb(38,166,154)',
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wickDownColor: 'rgb(255,82,82)',
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borderVisible: false,
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});
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series.setData(chartData.klines);
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series.setMarkers(chartData.markers);
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const volumeData = klinesToVolumeData(chartData.klines);
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const volumeSeries = chart.current.addHistogramSeries({
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color: '#182233',
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lineWidth: 2,
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priceFormat: {
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type: 'volume',
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},
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overlay: true,
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scaleMargins: {
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top: 0.8,
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bottom: 0,
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},
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});
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volumeSeries.setData(volumeData);
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if (chartData.positionHistory) {
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const lineSeries = chart.current.addLineSeries();
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const costLine = positionAverageCostHistoryToLineData(currentInterval, chartData.positionHistory);
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lineSeries.setData(costLine);
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const baseLineSeries = chart.current.addLineSeries({
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priceScaleId: 'left',
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color: '#98338C',
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});
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const baseLine = positionBaseHistoryToLineData(currentInterval, chartData.positionHistory)
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baseLineSeries.setData(baseLine);
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}
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chart.current.timeScale().fitContent();
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});
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return () => {
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if (chart.current) {
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chart.current.remove();
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}
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};
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}, [props.runID, props.reportSummary, currentInterval])
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// see:
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// https://codesandbox.io/s/9inkb?file=/src/styles.css
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useEffect(() => {
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resizeObserver.current = new ResizeObserver(entries => {
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if (!chart.current) {
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return;
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}
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const {width, height} = entries[0].contentRect;
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chart.current.applyOptions({width, height});
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setTimeout(() => {
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chart.current.timeScale().fitContent();
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}, 0);
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});
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resizeObserver.current.observe(chartContainerRef.current);
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return () => resizeObserver.current.disconnect();
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}, []);
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return (
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<div>
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<span>
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{intervals.map((interval) => {
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return <Button key={interval} compact onClick={() => {
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setCurrentInterval(interval)
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}}>
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{interval}
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</Button>
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})}
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</span>
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<div ref={chartContainerRef} style={{'flex': 1, 'minHeight': 300}}>
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</div>
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</div>
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);
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};
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export default TradingViewChart;
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