Add trading agent (#45)
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Jiaji
233
evotraders/backend/data/historical_price_manager.py
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233
evotraders/backend/data/historical_price_manager.py
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# -*- coding: utf-8 -*-
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"""
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Historical Price Manager for backtest mode
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"""
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import logging
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from datetime import datetime
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from pathlib import Path
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from typing import Callable, Dict, List, Optional
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import pandas as pd
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logger = logging.getLogger(__name__)
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# Path to local CSV data directory
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_DATA_DIR = Path(__file__).parent / "ret_data"
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class HistoricalPriceManager:
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"""Provides historical prices for backtest mode"""
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def __init__(self):
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self.subscribed_symbols = []
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self.price_callbacks = []
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self._price_cache = {}
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self._current_date = None
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self.latest_prices = {}
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self.open_prices = {}
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self.close_prices = {}
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self.running = False
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def subscribe(
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self,
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symbols: List[str],
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):
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"""Subscribe to symbols"""
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for symbol in symbols:
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if symbol not in self.subscribed_symbols:
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self.subscribed_symbols.append(symbol)
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def unsubscribe(self, symbols: List[str]):
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"""Unsubscribe from symbols"""
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for symbol in symbols:
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if symbol in self.subscribed_symbols:
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self.subscribed_symbols.remove(symbol)
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self._price_cache.pop(symbol, None)
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def add_price_callback(self, callback: Callable):
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"""Add price update callback"""
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self.price_callbacks.append(callback)
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def _load_from_csv(self, symbol: str) -> Optional[pd.DataFrame]:
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"""Load price data from local CSV file."""
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csv_path = _DATA_DIR / f"{symbol}.csv"
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if not csv_path.exists():
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return None
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try:
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df = pd.read_csv(csv_path)
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if df.empty or "time" not in df.columns:
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return None
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df["Date"] = pd.to_datetime(df["time"])
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df.set_index("Date", inplace=True)
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df.sort_index(inplace=True)
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return df
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except Exception as e:
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logger.warning(f"Failed to load CSV for {symbol}: {e}")
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return None
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def preload_data(self, start_date: str, end_date: str):
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"""Preload historical data from local CSV files."""
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logger.info(f"Preloading data: {start_date} to {end_date}")
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for symbol in self.subscribed_symbols:
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if symbol in self._price_cache:
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continue
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# Load from local CSV file directly
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df = self._load_from_csv(symbol)
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if df is not None and not df.empty:
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self._price_cache[symbol] = df
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logger.info(f"Loaded {symbol} from CSV: {len(df)} records")
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else:
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logger.warning(f"No CSV data for {symbol}")
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def set_date(self, date: str):
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"""Set current trading date and update prices"""
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self._current_date = date
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date_dt = pd.Timestamp(date)
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for symbol in self.subscribed_symbols:
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df = self._price_cache.get(symbol)
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if df is None or df.empty:
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# Keep previous prices if no data available
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logger.warning(f"No cached data for {symbol} on {date}")
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continue
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# Find exact date or closest earlier date
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if date_dt in df.index:
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row = df.loc[date_dt]
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else:
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valid_dates = df.index[df.index <= date_dt]
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if len(valid_dates) == 0:
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logger.warning(f"No data for {symbol} on or before {date}")
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continue
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row = df.loc[valid_dates[-1]]
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open_price = float(row["open"])
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close_price = float(row["close"])
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self.open_prices[symbol] = open_price
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self.close_prices[symbol] = close_price
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self.latest_prices[symbol] = open_price
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logger.debug(
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f"{symbol} @ {date}: open={open_price:.2f}, close={close_price:.2f}", # noqa: E501
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)
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def emit_open_prices(self):
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"""Emit open prices to callbacks"""
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if not self._current_date:
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return
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timestamp = int(
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datetime.strptime(self._current_date, "%Y-%m-%d").timestamp()
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* 1000,
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)
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for symbol in self.subscribed_symbols:
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price = self.open_prices.get(symbol)
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if price is None or price <= 0:
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logger.warning(f"Invalid open price for {symbol}: {price}")
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continue
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self.latest_prices[symbol] = price
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self._emit_price(symbol, price, timestamp)
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def emit_close_prices(self):
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"""Emit close prices to callbacks"""
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if not self._current_date:
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return
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timestamp = int(
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datetime.strptime(self._current_date, "%Y-%m-%d").timestamp()
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* 1000,
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)
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timestamp += 23400000 # Add 6.5 hours
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for symbol in self.subscribed_symbols:
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price = self.close_prices.get(symbol)
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if price is None or price <= 0:
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logger.warning(f"Invalid close price for {symbol}: {price}")
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continue
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self.latest_prices[symbol] = price
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self._emit_price(symbol, price, timestamp)
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def _emit_price(self, symbol: str, price: float, timestamp: int):
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"""Emit single price to callbacks"""
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open_price = self.open_prices.get(symbol, price)
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close_price = self.close_prices.get(symbol, price)
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ret = (
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((price - open_price) / open_price) * 100 if open_price > 0 else 0
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)
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price_data = {
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"symbol": symbol,
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"price": price,
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"timestamp": timestamp,
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"open": open_price,
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"close": close_price,
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"high": max(open_price, close_price),
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"low": min(open_price, close_price),
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"ret": ret,
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}
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for callback in self.price_callbacks:
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try:
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callback(price_data)
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except Exception as e:
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logger.error(f"Callback error for {symbol}: {e}")
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def get_price_for_date(
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self,
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symbol: str,
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date: str,
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price_type: str = "close",
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) -> Optional[float]:
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"""Get price for a specific date"""
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df = self._price_cache.get(symbol)
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if df is None or df.empty:
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return self.latest_prices.get(symbol)
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date_dt = pd.Timestamp(date)
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if date_dt in df.index:
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return float(df.loc[date_dt, price_type])
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valid_dates = df.index[df.index <= date_dt]
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if len(valid_dates) == 0:
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return self.latest_prices.get(symbol)
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return float(df.loc[valid_dates[-1], price_type])
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def start(self):
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"""Start manager"""
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self.running = True
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def stop(self):
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"""Stop manager"""
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self.running = False
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def get_latest_price(self, symbol: str) -> Optional[float]:
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return self.latest_prices.get(symbol)
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def get_all_latest_prices(self) -> Dict[str, float]:
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return self.latest_prices.copy()
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def get_open_price(self, symbol: str) -> Optional[float]:
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# Return open price, fallback to latest if not set
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price = self.open_prices.get(symbol)
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if price is None or price <= 0:
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return self.latest_prices.get(symbol)
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return price
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def get_close_price(self, symbol: str) -> Optional[float]:
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# Return close price, fallback to latest if not set
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price = self.close_prices.get(symbol)
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if price is None or price <= 0:
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return self.latest_prices.get(symbol)
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return price
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def reset_open_prices(self):
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# Don't clear prices - keep them for continuity
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pass
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