notebook move in from quanta-demo

lib/algo/deps.edn

@@ -1,4 +1,4 @@
-{:paths ["src"]
+{:paths ["src" "resources"]
  :deps
  {org.clojure/clojure    {:mvn/version "1.11.1"}
   ta/db {:local/root "../db" :deps/manifest :deps} ; bar-db

lib/algo/resources/quanta/notebook/algo_aligned.clj

@@ -0,0 +1,40 @@
+(ns quanta.notebook.algo-aligned
+  (:require
+   [tick.core :as t]
+   [modular.system]
+   [taoensso.timbre :refer [trace debug info warn error]]
+   [tablecloth.api :as tc]
+   [ta.algo.env.core :refer [get-bars-aligned-filled]]
+   [ta.calendar.core :as cal]
+   [ta.env.backtest :refer [run-backtest]]
+   [ta.engine.javelin :refer [create-env]]
+   [ta.engine.javelin.algo :as dsl]))
+
+(defn get-aligned [env {:keys [calendar trailing-n] :as opts} time]
+  (let [cal-seq (cal/trailing-window calendar trailing-n time)
+        bars (get-bars-aligned-filled env opts cal-seq)]
+    {:time time
+     :cal-seq cal-seq
+     :bars bars}))
+
+(def window (-> (cal/trailing-range [:us :d] 1)
+                   ;(window-as-date-time)
+                ))
+
+window
+
+(def spec {:asset "MSFT"
+           :calendar [:us :d]
+           :import :kibot
+           :trailing-n 100})
+
+(def env (create-env :bardb-dynamic))
+(def strategy (dsl/add-time-strategy env spec get-aligned))
+(run-backtest env window)
+@strategy
+
+(t/inst)
+
+(-> (t/inst)
+    (t/date)
+    (t/at (t/time "00:04:00")))

lib/algo/resources/quanta/notebook/algo_dummy.clj

@@ -0,0 +1,82 @@
+(ns quanta.notebook.algo-dummy
+  (:require
+   [ta.calendar.core :as cal]
+   [ta.engine.protocol :as eng]
+   [ta.algo.env :as algo-env]
+   [ta.algo.backtest :refer [backtest-algo run-backtest]]))
+
+;; 1. time-based algo spec
+
+(defn secret [env spec time]
+  (str "the spec is: " spec " (calculated: " time ")"))
+
+(def spec {:type :time
+           :calendar [:us :d]
+           :data 42
+           :algo 'quanta.notebook.algo-dummy/secret})
+
+(def e (algo-env/create-env-javelin nil))
+
+(def algo (algo-env/add-algo e spec))
+
+algo
+
+;; 2. test algo calculation
+
+(def engine (algo-env/get-engine e))
+
+engine
+
+(eng/set-calendar! engine {:calendar [:us :d] :time :evening})
+
+algo
+@algo
+;; => "the spec is: {:type :time, :calendar [:us :d], :data 42, :algo notebook.playground.algo.dummy/secret} (calculated: :evening)"
+
+;; 3. backtest with complex syntax
+
+(def window (cal/trailing-range [:us :d] 1))
+
+e
+(run-backtest e window)
+
+@algo
+;; => "the spec is: {:type :time, :calendar [:us :d], :data 42, :algo notebook.playground.algo.dummy/secret} (calculated: 2024-02-26T17:00-05:00[America/New_York])"
+
+;; 4. backtest with simple syntax
+
+(def result
+  (backtest-algo :duckdb spec))
+
+@result
+;; => "the spec is: {:type :time, :calendar [:us :d], :data 42, :algo notebook.playground.algo.dummy/secret} (calculated: 2024-02-26T17:00-05:00[America/New_York])"
+
+;; 5. backtest with formulas.
+
+(defn combine [env spec & args]
+  {:args args})
+
+(defn sum [env spec & args]
+  (apply + args))
+
+(def combined-spec
+  [:a {:calendar [:us :d] :algo 'quanta.notebook.algo-dummy/secret :type :time}
+   :b {:type :time :calendar [:us :d] :data 42 :algo 'quanta.notebook.algo-dummy/secret}
+   :c {:value 4444}
+   :d {:formula [:a :b] :algo 'quanta.notebook.algo-dummy/combine :type :time}
+   :e {:value 2222}
+   :f {:formula [:c :e] :algo 'quanta.notebook.algo-dummy/sum :type :time}])
+
+(require '[ta.algo.spec.ops :refer [spec->ops]])
+(spec->ops e spec)
+(spec->ops e combined-spec)
+
+(def combined-result
+  (backtest-algo :duckdb combined-spec))
+
+@(:a combined-result)
+@(:b combined-result)
+@(:c combined-result)
+@(:d combined-result)
+@(:f combined-result)
+combined-result

lib/algo/resources/quanta/notebook/algo_tickerplant.clj

@@ -0,0 +1,85 @@
+(ns quanta.notebook.algo-tickerplant
+  (:require
+   [modular.system]
+   [ta.live.tickerplant :refer [start-tickerplant current-bars]]
+   [ta.algo.env.protocol :as algo]))
+
+;; 1. get algo-env form clip
+
+(def algo-env (modular.system/system :live))
+
+;; 2. possibly start tickerplant (it is already started via clip)
+
+(def quote-manager (modular.system/system :quote-manager))
+
+(def t (start-tickerplant {:algo-env algo-env
+                           :quote-manager quote-manager}))
+
+(def t (modular.system/system :tickerplant))
+
+t
+
+;; define algo
+
+(defn nil-algo [_env _opts bar-ds]
+  bar-ds)
+
+(def algo-spec
+  [:eurusd-d {:type :trailing-bar
+              :trailing-n 80
+              :calendar [:forex :h]
+              :asset "EUR/USD"
+              :feed :fx
+              :algo 'quanta.notebook.algo-tickerplant/nil-algo}
+   :usdjpy-m {:type :trailing-bar
+              :trailing-n 80
+              :calendar [:forex :m]
+              :asset "USD/JPY"
+              :feed :fx
+              :algo 'quanta.notebook.algo-tickerplant/nil-algo}
+   :btc-m {:type :trailing-bar
+           :trailing-n 100
+           :calendar [:crypto :m]
+           :asset "BTCUSDT"
+           :feed :crypto
+           :algo 'quanta.notebook.algo-tickerplant/nil-algo}
+   :eth-m {:type :trailing-bar
+           :trailing-n 100
+           :calendar [:crypto :m]
+           :asset "ETHUSDT"
+           :feed :crypto
+           :algo 'quanta.notebook.algo-tickerplant/nil-algo}
+
+   :dummy {:type :trailing-bar
+           :trailing-n 100
+           :calendar [:us :m]
+           :asset "WILLY-WONKER"
+           ; note that no feed is defined, so no quotes will be subscribed,
+           ; and no bars will be generated.
+           :algo 'quanta.notebook.algo-tickerplant/nil-algo}])
+
+(algo/add-algo algo-env algo-spec)
+
+(current-bars t [:forex :m])
+(current-bars t [:crypto :m])
+
+;; => ({:asset "BTCUSD", :epoch 1}
+;;     {:asset "ETHUSDT",
+;;      :epoch 1,
+;;      :open 3404.72,
+;;      :high 3408.91,
+;;      :low 3402.64,
+;;      :close 3407.56,
+;;      :volume 961.2800100000002,
+;;      :ticks 1473})
+
+;; => ({:asset "BTCUSD", :epoch 1}
+;;     {:asset "ETHUSDT",
+;;      :epoch 1,
+;;      :open 3404.72,
+;;      :high 3408.91,
+;;      :low 3402.64,
+;;      :close 3407.82,
+;;      :volume 944.0061100000004,
+;;      :ticks 1454})
+

lib/calendar/deps.edn

@@ -1,6 +1,4 @@
-{:paths ["src"
-         ;"classes"
-         ]
+{:paths ["src" "resources"]
  :deps {org.clojure/clojure  {:mvn/version "1.11.1"}
         com.taoensso/timbre {:mvn/version "6.2.2"} ; clj/cljs logging
         jarohen/chime {:mvn/version "0.3.3"} ; scheduler

lib/calendar/resources/quanta/notebook/calendar_combined.clj

@@ -0,0 +1,30 @@
+(ns quanta.notebook.calendar-combined
+  (:require
+   [tick.core :as t]
+   [ta.calendar.combined :refer [window]]
+   [clojure.pprint :refer [print-table]]))
+
+(def start-dt (t/now))
+start-dt
+
+(def windows [[:crypto :h]
+              [:crypto :m]])
+
+(defn print-n [windows days]
+  (let [end-dt (t/>> start-dt (t/new-duration days :days))
+        c (window start-dt end-dt windows)]
+    (->> c
+         (print-table))))
+
+(print-n [[:crypto :h]
+          [:crypto :m]]
+         3)
+
+(print-n [[:eu :d]
+          [:us :d]]
+         10)
+
+(print-n [[:test-short :d]
+          [:test-short :h]
+          [:test-short :m30]]
+         30)

lib/calendar/resources/quanta/notebook/calendar_live_time.clj

@@ -0,0 +1,21 @@
+(ns quanta.notebook.calendar-live-time
+  (:require
+   [taoensso.timbre :as timbre :refer [info warn error]]
+   [manifold.stream :as s]
+   [ta.live.calendar-time :as ct]))
+
+(def s (ct/create-live-calendar-time-generator))
+
+(ct/add-calendar s [:us :m])
+(ct/add-calendar s [:crypto :m])
+(ct/add-calendar s [:forex :m])
+(ct/add-calendar s [:eu :m])
+
+(s/consume
+ (fn [msg]
+   (info "time event: " msg))
+ (ct/get-time-stream s))
+
+(ct/remove-calendar s [:eu :m])
+
+(ct/show-calendars s)

lib/calendar/resources/quanta/notebook/calendar_simple.clj

@@ -0,0 +1,16 @@
+(ns quanta.notebook.calendar-simple
+  (:require
+   [ta.calendar.core :refer [calendar-seq]]
+   [clojure.pprint :refer [print-table]]))
+
+(def c (calendar-seq :crypto :d))
+
+(take 1 c)
+
+(take 10 c)
+
+(->> (take 1000 c)
+     (map println))
+
+
+

lib/db/resources/quanta/notebook/asset_bybit.clj

@@ -0,0 +1,17 @@
+(ns quanta.notebook.asset-bybit
+  (:require
+   [ta.import.provider.bybit.raw :refer [get-assets-spot]]))
+
+(defn save-list [assets]
+  (->>  (map (fn [s]
+               {:name s
+                :symbol s
+                :category :crypto}) assets)
+        (pr-str)
+        (spit "resources/symbollist/bybit.edn")))
+
+(-> (get-assets-spot)
+    (save-list))
+
+
+

lib/db/resources/quanta/notebook/asset_db.clj

@@ -0,0 +1,45 @@
+(ns quanta.notebook.asset-db
+  (:require
+   [ta.db.asset.db :as db]
+   [clojure.pprint :refer [print-table]]))
+
+(db/search "P")
+(db/search "Bitc")
+(db/search "BT")
+(db/search "Aura")
+
+(db/search "BT" :crypto)
+(db/search "B" :equity)
+(db/search "B" :equity "SG")
+(db/search "B" nil nil)
+(db/search "B" "" "")
+
+(db/instrument-details "BTCUSD")
+(db/instrument-details "EUR/USD")
+(db/instrument-name "BTCUSD")
+
+(-> (db/get-instruments)
+    print-table)
+
+(db/get-instruments)
+
+(db/symbols-available :crypto)
+(db/symbols-available :etf)
+(db/symbols-available :equity)
+(db/symbols-available :fx)
+(db/symbols-available :future)
+
+(db/instrument-details "NG0")
+;; => {:symbol "NG0", :kibot "NG", :name "CONTINUOUS NATURAL GAS CONTRACT", :category :future, :exchange "SG"}
+
+(db/instrument-details "NG1223")
+ ;; => {:symbol "NG1223", :kibot "NGZ23", :name "CONTINUOUS NATURAL GAS CONTRACT", :category :future, :exchange "SG"}
+
+(vals @db/db)
+
+(db/get-instrument-by-provider :kibot "NG")
+(db/get-instrument-by-provider :kibot "XXXXXX")
+
+(db/modify {:symbol "MSFT" :super 3})
+
+(db/instrument-details "MSFT")