Created
May 23, 2024 17:44
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| MARKET_DATA_DIR='/media/nnesterov/data_files/milton/output/indidump_v2_20sec_al/' | |
| mlid = cppmft.MlidReader(MARKET_DATA_DIR) | |
| mlid.send(json.dumps(dict(action='seek_to_first_ts_gte', seek_ts=misc.date_to_epoch_micros(misc.ensure_date(20230101))))) | |
| v4_pf_dict=dict(patch_from="binance", patch_to="binancefut", limited_median_default_ct=32) | |
| time_grid = cppmft.FixedTimeGrid2( 10.*60.*1000.*1000., #react every 10 minutes | |
| 24.*60.*60.*1000.*1000., | |
| 0.) | |
| pf = cppmft.PfReader(mlid, time_grid, json.dumps(v4_pf_dict)) | |
| fsr = fut_spot_strat.FutSpotStratReader('{}', pf) | |
| pr = cppmft.PnlReader("{}", cppmft.MergeReader([fsr, cppmft.PyReader(rate_log.FundingRateReader('binancefut_funding_rate_ALL_2023-01-01_2024-04-25.txt', ['USDT-ADA', | |
| 'USDT-BTC', | |
| 'USDT-ETH', | |
| 'USDT-XLM', | |
| 'USDT-MATIC', | |
| 'USDT-ONT', | |
| 'USDT-LTC'] ))])) | |
| pr = plot_reader.StreamPlot(pr, | |
| 'ts', | |
| dict(goalpos='pos', pos='pos', abspos='pos', net_pnl='pnl', fees='pnl', spread_cost='pnl', dpx2_cost='pnl', funding_cost='pnl', interest_cost='pnl', gross_pnl='pnl')) | |
| pr = cppmft.PyReader(pr) | |
| cppmft.tail(pr, 1) |
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