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setup.py
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import math
from datetime import datetime
from alpaca.trading.client import TradingClient
from pymongo import MongoClient, errors
from config import API_KEY, API_SECRET, mongo_url
from helper_files.client_helper import get_latest_price, strategies
indicator_periods = {
"BBANDS_indicator": "1y",
"DEMA_indicator": "1mo",
"EMA_indicator": "1mo",
"HT_TRENDLINE_indicator": "6mo",
"KAMA_indicator": "1mo",
"MA_indicator": "3mo",
"MAMA_indicator": "6mo",
"MAVP_indicator": "3mo",
"MIDPOINT_indicator": "1mo",
"MIDPRICE_indicator": "1mo",
"SAR_indicator": "6mo",
"SAREXT_indicator": "6mo",
"SMA_indicator": "1mo",
"T3_indicator": "1mo",
"TEMA_indicator": "1mo",
"TRIMA_indicator": "1mo",
"WMA_indicator": "1mo",
"ADX_indicator": "3mo",
"ADXR_indicator": "3mo",
"APO_indicator": "1mo",
"AROON_indicator": "3mo",
"AROONOSC_indicator": "3mo",
"BOP_indicator": "1mo",
"CCI_indicator": "1mo",
"CMO_indicator": "1mo",
"DX_indicator": "1mo",
"MACD_indicator": "3mo",
"MACDEXT_indicator": "3mo",
"MACDFIX_indicator": "3mo",
"MFI_indicator": "1mo",
"MINUS_DI_indicator": "1mo",
"MINUS_DM_indicator": "1mo",
"MOM_indicator": "1mo",
"PLUS_DI_indicator": "1mo",
"PLUS_DM_indicator": "1mo",
"PPO_indicator": "1mo",
"ROC_indicator": "1mo",
"ROCP_indicator": "1mo",
"ROCR_indicator": "1mo",
"ROCR100_indicator": "1mo",
"RSI_indicator": "1mo",
"STOCH_indicator": "1mo",
"STOCHF_indicator": "1mo",
"STOCHRSI_indicator": "1mo",
"TRIX_indicator": "1mo",
"ULTOSC_indicator": "6mo",
"WILLR_indicator": "1mo",
"AD_indicator": "1mo",
"ADOSC_indicator": "1mo",
"OBV_indicator": "1mo",
"HT_DCPERIOD_indicator": "2y",
"HT_DCPHASE_indicator": "2y",
"HT_PHASOR_indicator": "2y",
"HT_SINE_indicator": "2y",
"HT_TRENDMODE_indicator": "2y",
"AVGPRICE_indicator": "1mo",
"MEDPRICE_indicator": "1mo",
"TYPPRICE_indicator": "1mo",
"WCLPRICE_indicator": "1mo",
"ATR_indicator": "3mo",
"NATR_indicator": "3mo",
"TRANGE_indicator": "3mo",
"CDL2CROWS_indicator": "1mo",
"CDL3BLACKCROWS_indicator": "1mo",
"CDL3INSIDE_indicator": "1mo",
"CDL3LINESTRIKE_indicator": "1mo",
"CDL3OUTSIDE_indicator": "1mo",
"CDL3STARSINSOUTH_indicator": "1mo",
"CDL3WHITESOLDIERS_indicator": "1mo",
"CDLABANDONEDBABY_indicator": "1mo",
"CDLADVANCEBLOCK_indicator": "1mo",
"CDLBELTHOLD_indicator": "1mo",
"CDLBREAKAWAY_indicator": "1mo",
"CDLCLOSINGMARUBOZU_indicator": "1mo",
"CDLCONCEALBABYSWALL_indicator": "1mo",
"CDLCOUNTERATTACK_indicator": "1mo",
"CDLDARKCLOUDCOVER_indicator": "1mo",
"CDLDOJI_indicator": "1mo",
"CDLDOJISTAR_indicator": "1mo",
"CDLDRAGONFLYDOJI_indicator": "1mo",
"CDLENGULFING_indicator": "1mo",
"CDLEVENINGDOJISTAR_indicator": "1mo",
"CDLEVENINGSTAR_indicator": "1mo",
"CDLGAPSIDESIDEWHITE_indicator": "1mo",
"CDLGRAVESTONEDOJI_indicator": "1mo",
"CDLHAMMER_indicator": "1mo",
"CDLHANGINGMAN_indicator": "1mo",
"CDLHARAMI_indicator": "1mo",
"CDLHARAMICROSS_indicator": "1mo",
"CDLHIGHWAVE_indicator": "1mo",
"CDLHIKKAKE_indicator": "1mo",
"CDLHIKKAKEMOD_indicator": "1mo",
"CDLHOMINGPIGEON_indicator": "1mo",
"CDLIDENTICAL3CROWS_indicator": "1mo",
"CDLINNECK_indicator": "1mo",
"CDLINVERTEDHAMMER_indicator": "1mo",
"CDLKICKING_indicator": "1mo",
"CDLKICKINGBYLENGTH_indicator": "1mo",
"CDLLADDERBOTTOM_indicator": "1mo",
"CDLLONGLEGGEDDOJI_indicator": "1mo",
"CDLLONGLINE_indicator": "1mo",
"CDLMARUBOZU_indicator": "1mo",
"CDLMATCHINGLOW_indicator": "1mo",
"CDLMATHOLD_indicator": "1mo",
"CDLMORNINGDOJISTAR_indicator": "1mo",
"CDLMORNINGSTAR_indicator": "1mo",
"CDLONNECK_indicator": "1mo",
"CDLPIERCING_indicator": "1mo",
"CDLRICKSHAWMAN_indicator": "1mo",
"CDLRISEFALL3METHODS_indicator": "1mo",
"CDLSEPARATINGLINES_indicator": "1mo",
"CDLSHOOTINGSTAR_indicator": "1mo",
"CDLSHORTLINE_indicator": "1mo",
"CDLSPINNINGTOP_indicator": "1mo",
"CDLSTALLEDPATTERN_indicator": "1mo",
"CDLSTICKSANDWICH_indicator": "1mo",
"CDLTAKURI_indicator": "1mo",
"CDLTASUKIGAP_indicator": "1mo",
"CDLTHRUSTING_indicator": "1mo",
"CDLTRISTAR_indicator": "1mo",
"CDLUNIQUE3RIVER_indicator": "1mo",
"CDLUPSIDEGAP2CROWS_indicator": "1mo",
"CDLXSIDEGAP3METHODS_indicator": "1mo",
"BETA_indicator": "1y",
"CORREL_indicator": "1y",
"LINEARREG_indicator": "2y",
"LINEARREG_ANGLE_indicator": "2y",
"LINEARREG_INTERCEPT_indicator": "2y",
"LINEARREG_SLOPE_indicator": "2y",
"STDDEV_indicator": "1mo",
"TSF_indicator": "2y",
"VAR_indicator": "2y",
}
def insert_rank_to_coefficient(i):
try:
client = MongoClient(mongo_url)
db = client.trading_simulator
collections = db.rank_to_coefficient
"""
clear all collections entry first and then insert from 1 to i
"""
collections.delete_many({})
for i in range(1, i + 1):
e = math.e
rate = (e**e) / (e**2) - 1
coefficient = rate ** (2 * i)
collections.insert_one({"rank": i, "coefficient": coefficient})
client.close()
print("Successfully inserted rank to coefficient")
except Exception as exception:
print(exception)
def initialize_rank():
try:
client = MongoClient(mongo_url)
db = client.trading_simulator
collections = db.algorithm_holdings
initialization_date = datetime.now()
for strategy in strategies:
strategy_name = strategy.__name__
collections = db.algorithm_holdings
if not collections.find_one({"strategy": strategy_name}):
collections.insert_one(
{
"strategy": strategy_name,
"holdings": {},
"amount_cash": 50000,
"initialized_date": initialization_date,
"total_trades": 0,
"successful_trades": 0,
"neutral_trades": 0,
"failed_trades": 0,
"last_updated": initialization_date,
"portfolio_value": 50000,
}
)
collections = db.points_tally
collections.insert_one(
{
"strategy": strategy_name,
"total_points": 0,
"initialized_date": initialization_date,
"last_updated": initialization_date,
}
)
client.close()
print("Successfully initialized rank")
except Exception as exception:
print(exception)
def initialize_time_delta():
try:
client = MongoClient(mongo_url)
db = client.trading_simulator
collection = db.time_delta
collection.insert_one({"time_delta": 0.01})
client.close()
print("Successfully initialized time delta")
except Exception as exception:
print(exception)
def initialize_market_setup():
try:
client = MongoClient(mongo_url)
db = client.market_data
collection = db.market_status
collection.insert_one({"market_status": "closed"})
client.close()
print("Successfully initialized market setup")
except Exception as exception:
print(exception)
def initialize_portfolio_percentages():
try:
client = MongoClient(mongo_url)
trading_client = TradingClient(API_KEY, API_SECRET)
account = trading_client.get_account()
db = client.trades
collection = db.portfolio_values
portfolio_value = float(account.portfolio_value)
collection.insert_one(
{
"name": "portfolio_percentage",
"portfolio_value": (portfolio_value - 50000) / 50000,
}
)
collection.insert_one(
{
"name": "ndaq_percentage",
"portfolio_value": (get_latest_price("QQQ") - 503.17) / 503.17,
}
)
collection.insert_one(
{
"name": "spy_percentage",
"portfolio_value": (get_latest_price("SPY") - 590.50) / 590.50,
}
)
client.close()
print("Successfully initialized portfolio percentages")
except Exception as exception:
print(exception)
def initialize_indicator_setup():
try:
client = MongoClient(mongo_url)
db = client["IndicatorsDatabase"]
collection = db["Indicators"]
# Insert indicators into the collection
for indicator, period in indicator_periods.items():
collection.insert_one({"indicator": indicator, "ideal_period": period})
print("Indicators and their ideal periods have been inserted into MongoDB.")
except Exception as e:
print(e)
return
def initialize_historical_database_cache():
try:
client = MongoClient(mongo_url)
db = client["HistoricalDatabase"]
collection = db["HistoricalDatabase"]
print("Historical DB collection : ", collection)
except errors.ConnectionError as e:
print(f"Error connecting to the MongoDB server: {e}")
return
if __name__ == "__main__":
insert_rank_to_coefficient(200)
initialize_rank()
initialize_time_delta()
initialize_market_setup()
initialize_portfolio_percentages()
initialize_indicator_setup()
initialize_historical_database_cache()