Source code for qtpylib.reports

#!/usr/bin/env python
# -*- coding: utf-8 -*-
#
# QTPyLib: Quantitative Trading Python Library
# https://github.com/ranaroussi/qtpylib
#
# Copyright 2016-2018 Ran Aroussi
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
#

import argparse
import datetime
import hashlib
import logging
import sys
from time import time as timetime

from flask import Flask, jsonify, request, make_response, send_from_directory
from flask import render_template
from flask.json import JSONEncoder

from dateutil.parser import parse as parse_date

import numpy as np
import pandas as pd
import pymysql

from qtpylib import path, tools
from qtpylib.blotter import (
    Blotter, load_blotter_args
)

# =============================================
# check min, python version
if sys.version_info < (3, 4):
    raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================


class datetimeJSONEncoder(JSONEncoder):
    def default(self, obj):
        if isinstance(obj, datetime.datetime) | \
                isinstance(obj, datetime.date) | \
                isinstance(obj, datetime.time):
            return int(timetime())
        return JSONEncoder.default(self, obj)


app = Flask(__name__, template_folder=path['library'] + "/_webapp")
app.json_encoder = datetimeJSONEncoder


@app.template_filter('strftime')
def _jinja2_strftime(date, fmt='%Y-%m-%d %H:%M:%S%z'):
    try:
        date = parse_date(date)
    except Exception as e:
        pass
    native = date.replace(tzinfo=None)
    return native.strftime(fmt)


# =============================================
tools.createLogger(__name__)
# =============================================


[docs]class Reports(): """Reports class initilizer :Optional: blotter : str Log trades to MySQL server used by this Blotter (default is "auto detect") port : int HTTP port to use (default: 5000) host : string Host to bind the http process to (defaults 0.0.0.0) password : string Password for logging in to the web app (auto-generated by default). Use "" for no password. """ # --------------------------------------- def __init__(self, blotter=None, port=5000, host="0.0.0.0", password=None, **kwargs): # return self._password = password if password is not None else hashlib.sha1( str(datetime.datetime.now()).encode()).hexdigest()[:6] # initilize class logger self.log = logging.getLogger(__name__) # override args with any (non-default) command-line args self.args = {arg: val for arg, val in locals().items( ) if arg not in ('__class__', 'self', 'kwargs')} self.args.update(kwargs) self.args.update(self.load_cli_args()) self.dbconn = None self.dbcurr = None self.host = self.args['host'] if self.args['host'] is not None else host self.port = self.args['port'] if self.args['port'] is not None else port # blotter / db connection self.blotter_name = self.args['blotter'] if self.args['blotter'] is not None else blotter self.blotter_args = load_blotter_args(self.blotter_name) self.blotter = Blotter(**self.blotter_args) # connect to mysql using blotter's settings self.dbconn = pymysql.connect( host=str(self.blotter_args['dbhost']), port=int(self.blotter_args['dbport']), user=str(self.blotter_args['dbuser']), passwd=str(self.blotter_args['dbpass']), db=str(self.blotter_args['dbname']), autocommit=True ) self.dbcurr = self.dbconn.cursor() # --------------------------------------- def load_cli_args(self): """ Parse command line arguments and return only the non-default ones :Retruns: dict a dict of any non-default args passed on the command-line. """ parser = argparse.ArgumentParser(description='QTPyLib Reporting', formatter_class=argparse.ArgumentDefaultsHelpFormatter) parser.add_argument('--port', default=self.args["port"], help='HTTP port to use', type=int) parser.add_argument('--host', default=self.args["host"], help='Host to bind the http process to') parser.add_argument('--blotter', help='Use this Blotter\'s MySQL server settings') parser.add_argument('--nopass', help='Skip password for web app (flag)', action='store_true') # only return non-default cmd line args # (meaning only those actually given) cmd_args, _ = parser.parse_known_args() args = {arg: val for arg, val in vars( cmd_args).items() if val != parser.get_default(arg)} return args # --------------------------------------- def send_static(self, url_path): return send_from_directory('_webapp/', url_path) # --------------------------------------- def login(self, password): if self._password == password: resp = make_response('yes') resp.set_cookie('password', password) return resp return make_response("no") # --------------------------------------- def algos(self, json=True): algos = pd.read_sql("SELECT DISTINCT algo FROM trades", self.dbconn).to_dict(orient="records") if json: return jsonify(algos) return algos # --------------------------------------- def symbols(self, json=True): symbols = pd.read_sql("SELECT * FROM symbols", self.dbconn).to_dict(orient="records") if json: return jsonify(symbols) return symbols # --------------------------------------- def trades(self, start=None, end=None, algo_id=None, json=True): if algo_id is not None: algo_id = algo_id.replace('/', '') if start is not None: start = start.replace('/', '') if end is not None: end = end.replace('/', '') if start is None: start = tools.backdate("7D", date=None, as_datetime=False) trades_query = "SELECT * FROM trades WHERE exit_time IS NOT NULL" trades_where = [] if isinstance(start, str): trades_where.append("entry_time>='" + start + "'") if isinstance(end, str): trades_where.append("exit_time<='" + end + "'") if algo_id is not None: trades_where.append("algo='" + algo_id + "'") if not trades_where: trades_query += " AND " + " AND ".join(trades_where) trades = pd.read_sql(trades_query, self.dbconn) trades['exit_time'].fillna(0, inplace=True) trades['slippage'] = abs( trades['entry_price'] - trades['market_price']) trades['slippage'] = np.where( ((trades['direction'] == "LONG") & (trades['entry_price'] > trades['market_price'])) | ((trades['direction'] == "SHORT") & (trades['entry_price'] < trades['market_price'])), -trades['slippage'], trades['slippage']) trades = trades.sort_values( ['exit_time', 'entry_time'], ascending=[False, False]) trades = trades.to_dict(orient="records") if json: return jsonify(trades) return trades # --------------------------------------- def positions(self, algo_id=None, json=True): if algo_id is not None: algo_id = algo_id.replace('/', '') trades_query = "SELECT * FROM trades WHERE exit_time IS NULL" if algo_id is not None: trades_query += " AND algo='" + algo_id + "'" trades = pd.read_sql(trades_query, self.dbconn) last_query = """SELECT s.id, s.symbol, max(t.last) as last_price FROM ticks t LEFT JOIN symbols s ON (s.id=t.symbol_id) GROUP BY s.id """ last_prices = pd.read_sql(last_query, self.dbconn) trades = trades.merge(last_prices, on=['symbol']) trades['unrealized_pnl'] = np.where( trades['direction'] == "SHORT", trades['entry_price'] - trades['last_price'], trades['last_price'] - trades['entry_price']) trades['slippage'] = abs( trades['entry_price'] - trades['market_price']) trades['slippage'] = np.where( ((trades['direction'] == "LONG") & (trades['entry_price'] > trades['market_price'])) | ((trades['direction'] == "SHORT") & (trades['entry_price'] < trades['market_price'])), -trades['slippage'], trades['slippage']) trades = trades.sort_values(['entry_time'], ascending=[False]) trades = trades.to_dict(orient="records") if json: return jsonify(trades) return trades # --------------------------------------- def trades_by_algo(self, algo_id=None, start=None, end=None): trades = self.trades(start, end, algo_id=algo_id, json=False) return jsonify(trades) # --------------------------------------- def bars(self, resolution, symbol, start=None, end=None, json=True): if start is not None: start = start.replace('/', '') if end is not None: end = end.replace('/', '') if start is None: start = tools.backdate("7D", date=None, as_datetime=False) bars = self.blotter.history( symbols=symbol, start=start, end=end, resolution=resolution ) bars['datetime'] = bars.index bars = bars.to_dict(orient="records") if json: return jsonify(bars) return bars # --------------------------------------- def index(self, start=None, end=None): if not self.args['nopass']: if self._password != "" and self._password != request.cookies.get('password'): return render_template('login.html') return render_template('dashboard.html') # ---------------------------------------
[docs] def run(self): """Starts the reporting module Makes the dashboard web app available via localhost:port, and exposes a REST API for trade information, open positions and market data. """ # ----------------------------------- # assign view app.add_url_rule('/', 'index', view_func=self.index) app.add_url_rule('/<path:start>', 'index', view_func=self.index) app.add_url_rule('/<start>/<path:end>', 'index', view_func=self.index) app.add_url_rule('/algos', 'algos', view_func=self.algos) app.add_url_rule('/symbols', 'symbols', view_func=self.symbols) app.add_url_rule('/positions', 'positions', view_func=self.positions) app.add_url_rule('/positions/<path:algo_id>', 'positions', view_func=self.positions) app.add_url_rule('/algo/<path:algo_id>', 'trades_by_algo', view_func=self.trades_by_algo) app.add_url_rule('/algo/<algo_id>/<path:start>', 'trades_by_algo', view_func=self.trades_by_algo) app.add_url_rule('/algo/<algo_id>/<start>/<path:end>', 'trades_by_algo', view_func=self.trades_by_algo) app.add_url_rule('/bars/<resolution>/<symbol>', 'bars', view_func=self.bars) app.add_url_rule( '/bars/<resolution>/<symbol>/<path:start>', 'bars', view_func=self.bars) app.add_url_rule('/bars/<resolution>/<symbol>/<start>/<path:end>', 'bars', view_func=self.bars) app.add_url_rule('/trades', 'trades', view_func=self.trades) app.add_url_rule('/trades/<path:start>', 'trades', view_func=self.trades) app.add_url_rule('/trades/<start>/<path:end>', 'trades', view_func=self.trades) app.add_url_rule('/login/<password>', 'login', view_func=self.login) app.add_url_rule('/static/<path>', 'send_static', view_func=self.send_static) # let user know what the temp password is if not self.args['nopass'] and self._password != "": print(" * Web app password is:", self._password) # notice # print(" * Running on http://"+ str(self.host) +":"+str(self.port)+"/ (CTRL+C to quit)") # ----------------------------------- # run flask app app.run( debug=True, host=str(self.host), port=int(self.port) )