jesse-trading/jesse/models/utils.py

import threading
import numpy as np

import jesse.helpers as jh
from jesse.services import logger


def store_candle_into_db(exchange: str, symbol: str, candle: np.ndarray, on_conflict='ignore') -> None:
    from jesse.models.Candle import Candle

    d = {
        'id': jh.generate_unique_id(),
        'symbol': symbol,
        'exchange': exchange,
        'timestamp': candle[0],
        'open': candle[1],
        'high': candle[3],
        'low': candle[4],
        'close': candle[2],
        'volume': candle[5]
    }

    if on_conflict == 'ignore':
        Candle.insert(**d).on_conflict_ignore().execute()
    elif on_conflict == 'replace':
        Candle.insert(**d).on_conflict(
            conflict_target=['timestamp', 'symbol', 'exchange'],
            preserve=(Candle.open, Candle.high, Candle.low, Candle.close, Candle.volume),
        ).execute()
    elif on_conflict == 'error':
        Candle.insert(**d).execute()
    else:
        raise Exception(f'Unknown on_conflict value: {on_conflict}')


def store_log_into_db(log: dict, log_type: str) -> None:
    from jesse.store import store
    from jesse.models.Log import Log

    if log_type == 'info':
        log_type = 1
    elif log_type == 'error':
        log_type = 2
    else:
        raise ValueError(f"Unsupported log_type value: {log_type}")

    d = {
        'id': log['id'],
        'timestamp': log['timestamp'],
        'message': log['message'],
        'session_id': store.app.session_id,
        'type': log_type
    }

    Log.insert(**d).execute()


def store_ticker_into_db(exchange: str, symbol: str, ticker: np.ndarray) -> None:
    return
    from jesse.models.Ticker import Ticker

    d = {
        'id': jh.generate_unique_id(),
        'timestamp': ticker[0],
        'last_price': ticker[1],
        'high_price': ticker[2],
        'low_price': ticker[3],
        'volume': ticker[4],
        'symbol': symbol,
        'exchange': exchange,
    }

    def async_save() -> None:
        Ticker.insert(**d).on_conflict_ignore().execute()
        print(
            jh.color(f'ticker: {jh.timestamp_to_time(d["timestamp"])}-{exchange}-{symbol}: {ticker}', 'yellow')
        )

    # async call
    threading.Thread(target=async_save).start()


def store_completed_trade_into_db(completed_trade) -> None:
    return
    from jesse.models.CompletedTrade import CompletedTrade

    d = {
        'id': completed_trade.id,
        'strategy_name': completed_trade.strategy_name,
        'symbol': completed_trade.symbol,
        'exchange': completed_trade.exchange,
        'type': completed_trade.type,
        'timeframe': completed_trade.timeframe,
        'entry_price': completed_trade.entry_price,
        'exit_price': completed_trade.exit_price,
        'qty': completed_trade.qty,
        'opened_at': completed_trade.opened_at,
        'closed_at': completed_trade.closed_at,
        'leverage': completed_trade.leverage,
    }

    def async_save() -> None:
        CompletedTrade.insert(**d).execute()
        if jh.is_debugging():
            logger.info(
                f'Stored the completed trade record for {completed_trade.exchange}-{completed_trade.symbol}-{completed_trade.strategy_name} into database.')

    # async call
    threading.Thread(target=async_save).start()


def store_order_into_db(order) -> None:
    return
    from jesse.models.Order import Order

    d = {
        'id': order.id,
        'trade_id': order.trade_id,
        'exchange_id': order.exchange_id,
        'vars': order.vars,
        'symbol': order.symbol,
        'exchange': order.exchange,
        'side': order.side,
        'type': order.type,
        'reduce_only': order.reduce_only,
        'qty': order.qty,
        'filled_qty': order.filled_qty,
        'price': order.price,
        'status': order.status,
        'created_at': order.created_at,
        'executed_at': order.executed_at,
        'canceled_at': order.canceled_at,
    }

    def async_save() -> None:
        Order.insert(**d).execute()
        if jh.is_debugging():
            logger.info(f'Stored the executed order record for {order.exchange}-{order.symbol} into database.')

    # async call
    threading.Thread(target=async_save).start()


def store_daily_balance_into_db(daily_balance: dict) -> None:
    return
    from jesse.models.DailyBalance import DailyBalance

    def async_save():
        DailyBalance.insert(**daily_balance).execute()
        if jh.is_debugging():
            logger.info(
                f'Stored daily portfolio balance record into the database: {daily_balance["asset"]} => {jh.format_currency(round(daily_balance["balance"], 2))}'
                )

    # async call
    threading.Thread(target=async_save).start()


def store_trade_into_db(exchange: str, symbol: str, trade: np.ndarray) -> None:
    return
    from jesse.models.Trade import Trade

    d = {
        'id': jh.generate_unique_id(),
        'timestamp': trade[0],
        'price': trade[1],
        'buy_qty': trade[2],
        'sell_qty': trade[3],
        'buy_count': trade[4],
        'sell_count': trade[5],
        'symbol': symbol,
        'exchange': exchange,
    }

    def async_save() -> None:
        Trade.insert(**d).on_conflict_ignore().execute()
        print(
            jh.color(
                f'trade: {jh.timestamp_to_time(d["timestamp"])}-{exchange}-{symbol}: {trade}',
                'green'
            )
        )

    # async call
    threading.Thread(target=async_save).start()


def store_orderbook_into_db(exchange: str, symbol: str, orderbook: np.ndarray) -> None:
    return
    from jesse.models.Orderbook import Orderbook

    d = {
        'id': jh.generate_unique_id(),
        'timestamp': jh.now_to_timestamp(),
        'data': orderbook.dumps(),
        'symbol': symbol,
        'exchange': exchange,
    }

    def async_save() -> None:
        Orderbook.insert(**d).on_conflict_ignore().execute()
        print(
            jh.color(
                f'orderbook: {jh.timestamp_to_time(d["timestamp"])}-{exchange}-{symbol}: [{orderbook[0][0][0]}, {orderbook[0][0][1]}], [{orderbook[1][0][0]}, {orderbook[1][0][1]}]',
                'magenta'
            )
        )

    # async call
    threading.Thread(target=async_save).start()


def fetch_candles_from_db(exchange: str, symbol: str, start_date: int, finish_date: int) -> tuple:
    from jesse.models.Candle import Candle

    return tuple(
        Candle.select(
            Candle.timestamp, Candle.open, Candle.close, Candle.high, Candle.low,
            Candle.volume
        ).where(
            Candle.timestamp.between(start_date, finish_date),
            Candle.exchange == exchange,
            Candle.symbol == symbol
        ).order_by(Candle.timestamp.asc()).tuples()
    )