split stockstats candles retrieve and indicator computing

strategies/cryptofeed_strategy/cryptofeed_strategy.py

@@ -190,7 +190,8 @@ def open_position(self, pair: str, side: SideEnum) -> None:
  if opened_position_number >= MAX_SIMULTANEOUSLY_OPENED_POSITIONS:
  return
 
- atr_14 = StockUtils.get_atr_14(self.ftx_rest_api, pair)
+ stockstats_candles = StockUtils.get_last_x_stockstats_candles(self.ftx_rest_api, pair, 20)
+ atr_14 = StockUtils.get_atr_14(stockstats_candles)
  logging.info(f"{pair} - atr_14: {atr_14.iloc[-1]}")
 
  # Getting current price of pair

strategies/cryptofeed_strategy/stock_utils.py

@@ -1,5 +1,6 @@
 import math
 import time
+from typing import List, Tuple
 
 import pandas as pd
 import stockstats
@@ -26,26 +27,27 @@ def get_market_price(ftx_rest_api: FtxRestApi, pair: str) -> float:
  return market_data.get("price")
 
  @staticmethod
- def get_atr_14(ftx_rest_api: FtxRestApi, pair: str) -> pd.DataFrame:
+ def get_last_x_stockstats_candles(ftx_rest_api: FtxRestApi, pair: str, x: int) -> List:
  """
- Get the atr 14 stockstat indicator
+ Get the last x stockstats candles indicator
 
  :param ftx_rest_api: a FTX rest api instance
- :param pair: The pair to get the atr 14 stockstat indicator for
- :return: The atr 14 stockstat indicator
+ :param pair: The pair to get the candles for
+ :param x: The number of candles to get
+ :return: The last x stockstats candles
  """
- # Retrieve 20 last candles
+ # Retrieve x last candles
  candles = ftx_rest_api.get(f"markets/{pair}-PERP/candles", {
  "resolution": 60,
- "limit": 20,
- "start_time": math.floor(time.time() - 60 * 20)
+ "limit": x,
+ "start_time": math.floor(time.time() - 60 * x)
  })
 
  candles = [format_ohlcv_raw_data(candle, 60) for candle in candles]
  candles = [Candle(candle["id"], candle["time"], candle["open_price"], candle["high_price"], candle["low_price"],
  candle["close_price"], candle["volume"]) for candle in candles]
 
- stock_stat_candles = [{
+ return [{
  "date": candle.time,
  "open": candle.open_price,
  "high": candle.high_price,
@@ -54,9 +56,30 @@ def get_atr_14(ftx_rest_api: FtxRestApi, pair: str) -> pd.DataFrame:
  "volume": candle.volume
  } for candle in candles]
 
+ @staticmethod
+ def get_atr_14(stock_stat_candles: List) -> pd.DataFrame:
+ """
+ Get the atr 14 stockstats indicator
+
+ :param stock_stat_candles: The candles to compute atr for
+ :return: The atr 14 stockstats indicator
+ """
+
  stock_indicators = stockstats.StockDataFrame.retype(pd.DataFrame(stock_stat_candles))
  return stock_indicators["atr_14"]
 
+ @staticmethod
+ def get_bollinger_bands(stock_stat_candles: List) -> Tuple[pd.DataFrame, pd.DataFrame]:
+ """
+ Get the Bollinger bands (up, down) stockstats indicator
+
+ :param stock_stat_candles: The candles to compute atr for
+ :return: The Bollinger bands (up, down) stockstats indicators
+ """
+
+ stock_indicators = stockstats.StockDataFrame.retype(pd.DataFrame(stock_stat_candles))
+ return stock_indicators["boll_ub"], stock_indicators["boll_lb"]
+
  @staticmethod
  def get_available_balance_without_borrow(ftx_rest_api: FtxRestApi) -> float:
  """