refactoring

Author: Emanuele Bolognesi

carry/correlations.py

@@ -0,0 +1,32 @@
+from common import util
+import config as cfg
+import pandas as pd
+import matplotlib.pyplot as plt
+from datetime import datetime
+
+
+# all_expirations = util.get_historical_expirations()
+path = f'{cfg.CACHE_FOLDER}/0930'
+files = util.get_files_in_folder(path, '.csv')
+
+print(files)
+
+dfs = {}
+for f in files:
+    if "BTC" in f.stem or "ETH" in f.stem or "CEL" in f.stem:
+        continue
+    df = pd.read_csv(f)
+    df['AbsBasis'] = abs((df['FutPrice'] - df['PerpPrice']) / df['PerpPrice'] * 100)
+    df['AbsBasis'] = df['AbsBasis'].ewm(span=24).mean()
+    df['AbsBasisNorm'] = df['AbsBasis'] / df['AbsBasis'].max()
+    df['Date'] = [datetime.fromtimestamp(ts) for ts in df['Timestamp']]
+    dfs[f.stem] = df
+
+plt.figure()
+for df in dfs.values():
+    plt.plot(df['Date'], df['AbsBasis'])
+    # print(df['AbsBasisNorm'].iat[-1])
+# plt.legend(dfs.keys())
+plt.xticks(rotation=45)
+plt.tight_layout()
+plt.show()

carry/backtesting_dashboard.py renamed to carry/dashboard.py

@@ -28,10 +28,8 @@ def carry_backtesting():
 with st.sidebar:
     mode = st.radio(
         "Choose Mode",
-        ("Carry Backtesting", "Options Analysis")
+        ("Carry Backtesting", "")
     )
 
 if mode == 'Carry Backtesting':
     carry_backtesting()
-elif mode == 'Options Analysis':
-    st.title('TODO')

carry/historical_data_downloader.py

@@ -3,30 +3,34 @@
 from common import util
 
 
-def download(coin: str, expiry: str, resolution: int):
-    market_data = CarryMarketData(coin, expiry, resolution)
-    market_data.download()
-    print(f'{coin}-{expiry} done')
+def download_historical_data():
+    def download(coin: str, expiry: str, resolution: int):
+        market_data = CarryMarketData(coin, expiry, resolution)
+        market_data.download()
+        print(f'{coin}-{expiry} done')
 
+    coins = util.get_all_futures_coins()
+    all_expired_futures = util.get_expired_future_symbols()
+    expiries = util.get_historical_expirations()
+    threads = []
 
-coins = util.get_all_futures_coins()
-all_expired_futures = util.get_expired_future_symbols()
-expiries = util.get_historical_expirations()
-threads = []
+    for expiry in expiries:
+        for coin in coins:
+            fut = util.get_future_symbol(coin, expiry)
 
-for expiry in expiries:
-    for coin in coins:
-        fut = util.get_future_symbol(coin, expiry)
+            future_exists = util.future_exists(fut, all_expired_futures)
+            if not future_exists:
+                continue
 
-        future_exists = util.future_exists(fut, all_expired_futures)
-        if not future_exists:
-            continue
+            x = threading.Thread(target=download, args=(coin, expiry, 3600,))
+            threads.append(x)
+            x.start()
 
-        x = threading.Thread(target=download, args=(coin, expiry, 3600,))
-        threads.append(x)
-        x.start()
+    for t in threads:
+        t.join()
 
-for t in threads:
-    t.join()
+    print('done')
 
-print('done')
+
+def get_figures():
+    pass

carry_live/bot.py

@@ -3,7 +3,7 @@
 import numpy as np
 from ftx_connector import FtxConnectorRest, FtxConnectorWs
 from typing import List, Optional
-from types_ import *
+from classes import *
 import config as cfg
 import logging
 from common.logger import logger

carry_live/types_.py renamed to carry_live/classes.py

@@ -33,17 +33,17 @@ def _get_basis(self) -> float:
 
     def _get_adj_basis_open(self) -> float:
         if self.is_contango:
-            adj_basis_open = self.fut_ticker.bid - self.perp_ticker.ask
+            adj_basis_open = (self.fut_ticker.bid - self.perp_ticker.ask) / self.perp_ticker.ask * 100
         else:
-            adj_basis_open = self.fut_ticker.ask - self.perp_ticker.bid
-        return adj_basis_open / self.perp_ticker.mark * 100
+            adj_basis_open = (self.fut_ticker.ask - self.perp_ticker.bid) / self.perp_ticker.bid * 100
+        return adj_basis_open
 
     def _get_adj_basis_close(self) -> float:
         if self.is_contango:
-            adj_basis_close = self.fut_ticker.ask - self.perp_ticker.bid
+            adj_basis_close = (self.fut_ticker.ask - self.perp_ticker.bid) / self.perp_ticker.bid * 100
         else:
-            adj_basis_close = self.fut_ticker.bid - self.perp_ticker.ask
-        return adj_basis_close / self.perp_ticker.mark * 100
+            adj_basis_close = (self.fut_ticker.bid - self.perp_ticker.ask) / self.perp_ticker.ask * 100
+        return adj_basis_close
 
 
 class Position:

carry_live/dashboard.py

@@ -1,15 +1,13 @@
 import importer
 import streamlit as st
-from quantools.common import util
+from common import util
 import config
 from ftx_connector import FtxConnectorRest
-from quantools.common.FtxClientWs import FtxWebsocketClient
-from types_ import Cache, WsTicker
+from common.FtxClientWs import FtxWebsocketClient
+from classes import Cache, WsTicker
 import time
 import pandas as pd
-import numpy as np
 import asyncio
-import json
 
 ws_client = FtxWebsocketClient()
 connector_rest = FtxConnectorRest(config.API_KEY, config.API_SECRET, config.SUB_ACCOUNT)
@@ -52,7 +50,7 @@ def show_market_overview():
     st.title(MODES[0])
     loop = asyncio.new_event_loop()
     # loop.create_task(_get_funding())
-    loop.create_task(_market_overview())
+    # loop.create_task(_market_overview())
     # loop.run_forever()
 
 

carry_live/ftx_connector.py

@@ -1,6 +1,6 @@
 from common.FtxClientRest import FtxClient
 from common.FtxClientWs import FtxWebsocketClient
-from types_ import *
+from classes import *
 from common import util
 from typing import List, Dict, Optional
 import time

carry_live/telegram_bot.py

@@ -36,7 +36,7 @@ def send(self, tg_msg: TgMsg, level) -> None:
     def _enough_time_passed(self, msg: TgMsg) -> bool:
         """Avoid sending the same message to frequently"""
         time_now = time.time()
-        keys_to_delete = [key for key, sent_time in self._msg_cache.items() if (time_now - sent_time) > 60]
+        keys_to_delete = [key for key, sent_time in self._msg_cache.items() if (time_now - sent_time) > 1800]
         for key in keys_to_delete:
             del self._msg_cache[key]