mirror of
https://github.com/c9s/bbgo.git
synced 2024-09-20 08:11:08 +00:00
692 lines
18 KiB
TypeScript
692 lines
18 KiB
TypeScript
import React, {useEffect, useRef, useState} from 'react';
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import {tsvParse} from "d3-dsv";
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import {Checkbox, Group, SegmentedControl, Table} 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, MouseEventParams, TimeRange} from 'lightweight-charts';
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import {ReportSummary} from "../types";
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import moment from "moment";
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import TimeRangeSlider from './TimeRangeSlider';
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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 selectKLines = (klines: KLine[], startTime: Date, endTime: Date): KLine[] => {
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const selected = [];
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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 (k.startTime < startTime) {
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continue
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}
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if (k.startTime > endTime) {
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break
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}
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selected.push(k)
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}
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return selected
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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_id: number;
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order_type: string;
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side: string;
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symbol: 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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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 ordersToMarkers = (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 || order.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: 'arrowUp',
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text: '' + 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: '' + 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 ${i}`, k)
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continue
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}
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newK.push(k);
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}
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return newK;
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}
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function fetchKLines(basePath: string, runID: string, symbol: string, interval: string, startTime: Date, endTime: Date) {
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var duration = [moment(startTime).format('YYYYMMDD'), moment(endTime).format('YYYYMMDD')];
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return fetch(
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`${basePath}/shared/klines_${duration.join('-')}/${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 (i > 0 && 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 (i > 0 && 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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const [showPositionBase, setShowPositionBase] = useState(false);
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const [showCanceledOrders, setShowCanceledOrders] = useState(false);
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const [showPositionAverageCost, setShowPositionAverageCost] = useState(false);
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const [orders, setOrders] = useState<Order[]>([]);
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const reportTimeRange = [
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new Date(props.reportSummary.startTime),
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new Date(props.reportSummary.endTime),
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]
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const [selectedTimeRange, setSelectedTimeRange] = useState(reportTimeRange)
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const [timeRange, setTimeRange] = useState(reportTimeRange);
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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: Order[] | void) => {
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if (orders) {
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const markers = ordersToMarkers(currentInterval, orders);
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chartData.orders = orders;
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chartData.markers = markers;
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setOrders(orders);
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}
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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, new Date(props.reportSummary.startTime), new Date(props.reportSummary.endTime)).then((klines) => {
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if (klines) {
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chartData.allKLines = removeDuplicatedKLines(klines)
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chartData.klines = selectKLines(chartData.allKLines, selectedTimeRange[0], selectedTimeRange[1])
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}
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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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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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[9, 27, 99].forEach((w, i) => {
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const emaValues = calculateEMA(chartData.klines, w)
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const emaColor = 'rgba(' + w + ', ' + (111 - w) + ', 232, 0.9)'
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const emaLine = chart.current.addLineSeries({
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color: emaColor,
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lineWidth: 1,
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});
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emaLine.setData(emaValues);
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const legend = document.createElement('div');
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legend.className = 'ema-legend';
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legend.style.display = 'block';
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legend.style.position = 'absolute';
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legend.style.left = 3 + 'px';
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legend.style.zIndex = '99';
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legend.style.top = 3 + (i * 22) + 'px';
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chartContainerRef.current.appendChild(legend);
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const setLegendText = (priceValue: any) => {
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let val = '∅';
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if (priceValue !== undefined) {
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val = (Math.round(priceValue * 100) / 100).toFixed(2);
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}
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legend.innerHTML = 'EMA' + w + ' <span style="color:' + emaColor + '">' + val + '</span>';
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}
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setLegendText(emaValues[emaValues.length - 1].value);
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chart.current.subscribeCrosshairMove((param: MouseEventParams) => {
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setLegendText(param.seriesPrices.get(emaLine));
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});
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})
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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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if (showPositionAverageCost) {
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const costLineSeries = chart.current.addLineSeries();
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const costLine = positionAverageCostHistoryToLineData(currentInterval, chartData.positionHistory);
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costLineSeries.setData(costLine);
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}
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if (showPositionBase) {
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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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}
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chart.current.timeScale().fitContent();
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/*
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chart.current.timeScale().setVisibleRange({
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from: (new Date(Date.UTC(2018, 0, 1, 0, 0, 0, 0))).getTime() / 1000,
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to: (new Date(Date.UTC(2018, 1, 1, 0, 0, 0, 0))).getTime() / 1000,
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});
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*/
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// see:
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// https://codesandbox.io/s/9inkb?file=/src/styles.css
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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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if (chart.current) {
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chart.current.timeScale().fitContent();
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}
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}, 0);
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});
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resizeObserver.current.observe(chartContainerRef.current);
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});
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return () => {
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console.log("removeChart")
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resizeObserver.current.disconnect();
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if (chart.current) {
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chart.current.remove();
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}
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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 (
|
|
<div>
|
|
<Group>
|
|
<SegmentedControl
|
|
data={intervals.map((interval) => {
|
|
return {label: interval, value: interval}
|
|
})}
|
|
onChange={setCurrentInterval}
|
|
/>
|
|
<Checkbox label="Position Base" checked={showPositionBase}
|
|
onChange={(event) => setShowPositionBase(event.currentTarget.checked)}/>
|
|
<Checkbox label="Position Average Cost" checked={showPositionAverageCost}
|
|
onChange={(event) => setShowPositionAverageCost(event.currentTarget.checked)}/>
|
|
</Group>
|
|
|
|
<div ref={chartContainerRef} style={{'flex': 1, 'minHeight': 500, position: 'relative'}}>
|
|
|
|
</div>
|
|
|
|
<TimeRangeSlider
|
|
selectedInterval={selectedTimeRange}
|
|
timelineInterval={timeRange}
|
|
onChange={(tr: any) => {
|
|
console.log("selectedTimeRange", tr)
|
|
setSelectedTimeRange(tr)
|
|
}}
|
|
/>
|
|
|
|
<Group>
|
|
<Checkbox label="Show Canceled" checked={showCanceledOrders}
|
|
onChange={(event) => setShowCanceledOrders(event.currentTarget.checked)}/>
|
|
|
|
</Group>
|
|
<OrderListTable orders={orders} showCanceled={showCanceledOrders} onClick={(order) => {
|
|
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);
|
|
}}/>
|
|
</div>
|
|
);
|
|
};
|
|
|
|
interface OrderListTableProps {
|
|
orders: Order[];
|
|
showCanceled: boolean;
|
|
onClick?: (order: Order) => void;
|
|
}
|
|
|
|
const OrderListTable = (props: OrderListTableProps) => {
|
|
let orders = props.orders;
|
|
|
|
if (!props.showCanceled) {
|
|
orders = orders.filter((order: Order) => {
|
|
return order.status != "CANCELED"
|
|
})
|
|
}
|
|
|
|
const rows = orders.map((order: Order) => (
|
|
<tr key={order.order_id} onClick={(e) => {
|
|
props.onClick ? props.onClick(order) : null;
|
|
const nodes = e.currentTarget?.parentNode?.querySelectorAll(".selected")
|
|
nodes?.forEach((node, i) => {
|
|
node.classList.remove("selected")
|
|
})
|
|
e.currentTarget.classList.add("selected")
|
|
}}>
|
|
<td>{order.order_id}</td>
|
|
<td>{order.symbol}</td>
|
|
<td>{order.side}</td>
|
|
<td>{order.order_type}</td>
|
|
<td>{order.price}</td>
|
|
<td>{order.quantity}</td>
|
|
<td>{order.status}</td>
|
|
<td>{order.creation_time.toString()}</td>
|
|
</tr>
|
|
));
|
|
return <Table highlightOnHover striped>
|
|
<thead>
|
|
<tr>
|
|
<th>Order ID</th>
|
|
<th>Symbol</th>
|
|
<th>Side</th>
|
|
<th>Order Type</th>
|
|
<th>Price</th>
|
|
<th>Quantity</th>
|
|
<th>Status</th>
|
|
<th>Creation Time</th>
|
|
</tr>
|
|
</thead>
|
|
<tbody>{rows}</tbody>
|
|
</Table>
|
|
}
|
|
|
|
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
|
|
}])
|
|
}
|
|
|
|
|
|
export default TradingViewChart;
|
|
|