Add daily model training scripts and terminal UI for live trading
- Introduced `train_daily.sh` for automating daily model retraining, including data download and model training steps. - Added `install_cron.sh` for setting up a cron job to run the daily training script. - Created `setup_schedule.sh` for configuring Systemd timers for daily training tasks. - Implemented a terminal UI using Rich for real-time monitoring of trading performance, including metrics display and log handling. - Updated `pyproject.toml` to include the `rich` dependency for UI functionality. - Enhanced `.gitignore` to exclude model and log files. - Added database support for trade persistence and metrics calculation. - Updated README with installation and usage instructions for the new features.
This commit is contained in:
235
live_trading/db/metrics.py
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235
live_trading/db/metrics.py
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"""Metrics calculation from trade database."""
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import logging
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from dataclasses import dataclass
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from datetime import datetime, timezone, timedelta
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from typing import Optional
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from .database import TradingDatabase
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logger = logging.getLogger(__name__)
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@dataclass
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class PeriodMetrics:
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"""Trading metrics for a time period."""
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period_name: str
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start_time: Optional[str]
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end_time: Optional[str]
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total_pnl: float = 0.0
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total_trades: int = 0
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winning_trades: int = 0
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losing_trades: int = 0
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win_rate: float = 0.0
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avg_trade_duration_hours: float = 0.0
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max_drawdown: float = 0.0
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max_drawdown_pct: float = 0.0
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best_trade: float = 0.0
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worst_trade: float = 0.0
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avg_win: float = 0.0
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avg_loss: float = 0.0
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class MetricsCalculator:
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"""Calculate trading metrics from database."""
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def __init__(self, db: TradingDatabase):
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self.db = db
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def get_all_time_metrics(self) -> PeriodMetrics:
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"""Get metrics for all trades ever."""
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return self._calculate_metrics("All Time", None, None)
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def get_monthly_metrics(self) -> PeriodMetrics:
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"""Get metrics for current month."""
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now = datetime.now(timezone.utc)
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start = now.replace(day=1, hour=0, minute=0, second=0, microsecond=0)
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return self._calculate_metrics(
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"Monthly",
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start.isoformat(),
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now.isoformat(),
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)
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def get_weekly_metrics(self) -> PeriodMetrics:
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"""Get metrics for current week (Monday to now)."""
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now = datetime.now(timezone.utc)
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days_since_monday = now.weekday()
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start = now - timedelta(days=days_since_monday)
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start = start.replace(hour=0, minute=0, second=0, microsecond=0)
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return self._calculate_metrics(
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"Weekly",
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start.isoformat(),
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now.isoformat(),
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)
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def get_daily_metrics(self) -> PeriodMetrics:
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"""Get metrics for today (UTC)."""
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now = datetime.now(timezone.utc)
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start = now.replace(hour=0, minute=0, second=0, microsecond=0)
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return self._calculate_metrics(
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"Daily",
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start.isoformat(),
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now.isoformat(),
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)
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def _calculate_metrics(
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self,
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period_name: str,
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start_time: Optional[str],
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end_time: Optional[str],
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) -> PeriodMetrics:
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"""
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Calculate metrics for a time period.
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Args:
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period_name: Name of the period
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start_time: ISO format start time (None for all time)
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end_time: ISO format end time (None for all time)
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Returns:
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PeriodMetrics object
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"""
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metrics = PeriodMetrics(
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period_name=period_name,
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start_time=start_time,
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end_time=end_time,
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)
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# Build query conditions
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conditions = ["exit_time IS NOT NULL"]
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params = []
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if start_time:
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conditions.append("exit_time >= ?")
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params.append(start_time)
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if end_time:
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conditions.append("exit_time <= ?")
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params.append(end_time)
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where_clause = " AND ".join(conditions)
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# Get aggregate metrics
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sql = f"""
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SELECT
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COUNT(*) as total_trades,
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SUM(CASE WHEN pnl_usd > 0 THEN 1 ELSE 0 END) as winning_trades,
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SUM(CASE WHEN pnl_usd < 0 THEN 1 ELSE 0 END) as losing_trades,
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COALESCE(SUM(pnl_usd), 0) as total_pnl,
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COALESCE(AVG(hold_duration_hours), 0) as avg_duration,
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COALESCE(MAX(pnl_usd), 0) as best_trade,
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COALESCE(MIN(pnl_usd), 0) as worst_trade,
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COALESCE(AVG(CASE WHEN pnl_usd > 0 THEN pnl_usd END), 0) as avg_win,
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COALESCE(AVG(CASE WHEN pnl_usd < 0 THEN pnl_usd END), 0) as avg_loss
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FROM trades
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WHERE {where_clause}
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"""
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row = self.db.connection.execute(sql, params).fetchone()
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if row and row["total_trades"] > 0:
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metrics.total_trades = row["total_trades"]
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metrics.winning_trades = row["winning_trades"] or 0
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metrics.losing_trades = row["losing_trades"] or 0
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metrics.total_pnl = row["total_pnl"]
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metrics.avg_trade_duration_hours = row["avg_duration"]
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metrics.best_trade = row["best_trade"]
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metrics.worst_trade = row["worst_trade"]
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metrics.avg_win = row["avg_win"]
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metrics.avg_loss = row["avg_loss"]
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if metrics.total_trades > 0:
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metrics.win_rate = (
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metrics.winning_trades / metrics.total_trades * 100
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)
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# Calculate max drawdown
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metrics.max_drawdown = self._calculate_max_drawdown(
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start_time, end_time
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)
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return metrics
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def _calculate_max_drawdown(
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self,
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start_time: Optional[str],
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end_time: Optional[str],
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) -> float:
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"""Calculate maximum drawdown for a period."""
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conditions = ["exit_time IS NOT NULL"]
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params = []
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if start_time:
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conditions.append("exit_time >= ?")
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params.append(start_time)
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if end_time:
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conditions.append("exit_time <= ?")
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params.append(end_time)
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where_clause = " AND ".join(conditions)
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sql = f"""
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SELECT pnl_usd
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FROM trades
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WHERE {where_clause}
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ORDER BY exit_time
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"""
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rows = self.db.connection.execute(sql, params).fetchall()
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if not rows:
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return 0.0
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cumulative = 0.0
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peak = 0.0
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max_drawdown = 0.0
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for row in rows:
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pnl = row["pnl_usd"] or 0.0
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cumulative += pnl
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peak = max(peak, cumulative)
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drawdown = peak - cumulative
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max_drawdown = max(max_drawdown, drawdown)
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return max_drawdown
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def has_monthly_data(self) -> bool:
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"""Check if we have data spanning more than current month."""
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sql = """
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SELECT MIN(exit_time) as first_trade
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FROM trades
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WHERE exit_time IS NOT NULL
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"""
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row = self.db.connection.execute(sql).fetchone()
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if not row or not row["first_trade"]:
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return False
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first_trade = datetime.fromisoformat(row["first_trade"])
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now = datetime.now(timezone.utc)
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month_start = now.replace(day=1, hour=0, minute=0, second=0)
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return first_trade < month_start
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def has_weekly_data(self) -> bool:
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"""Check if we have data spanning more than current week."""
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sql = """
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SELECT MIN(exit_time) as first_trade
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FROM trades
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WHERE exit_time IS NOT NULL
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"""
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row = self.db.connection.execute(sql).fetchone()
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if not row or not row["first_trade"]:
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return False
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first_trade = datetime.fromisoformat(row["first_trade"])
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now = datetime.now(timezone.utc)
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days_since_monday = now.weekday()
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week_start = now - timedelta(days=days_since_monday)
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week_start = week_start.replace(hour=0, minute=0, second=0)
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return first_trade < week_start
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def get_session_start_balance(self) -> Optional[float]:
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"""Get starting balance from latest session."""
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sql = "SELECT starting_balance FROM sessions ORDER BY id DESC LIMIT 1"
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row = self.db.connection.execute(sql).fetchone()
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return row["starting_balance"] if row else None
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