def __init__(self,
accountID,
access_token,
database,
collection,
host=None,
port=None,
print_log=True):
super().__init__(database, collection, host, port)
self.api = OandaAPI(accountID, access_token)
self.print_log = print_log
def __init__(self, ticker: str, log: bool = True, no_console: bool = True):
super().__init__(ticker)
self.ticker = ticker
if not (accountID and access_token):
raise Exception("oandakey should hasn't been settled!")
self.oanda = OandaAPI(accountID, access_token)
if log:
LoggerFactory('oandapyV20', info_log=False)
if no_console:
logging.getLogger('oandapyV20').propagate = False
class OandaReader(ReaderBase):
host = 'localhost'
port = 27017
def __init__(self, ticker: str, log: bool = True, no_console: bool = True):
super().__init__(ticker)
self.ticker = ticker
if not (accountID and access_token):
raise Exception("oandakey should hasn't been settled!")
self.oanda = OandaAPI(accountID, access_token)
if log:
LoggerFactory('oandapyV20', info_log=False)
if no_console:
logging.getLogger('oandapyV20').propagate = False
def load(self, fromdate=None, todate=None, frequency=None, count=2):
return self.get_candles(count)
def get_candles(self, count: int, frequency: str = None) -> list:
if not frequency:
frequency = self.env.sys_frequency
data = self.oanda.get_candlestick_list(ticker=self.ticker,
granularity=frequency,
count=count)
return self._format_candle(data)
def load_by_cleaner(self, fromdate: str, todate: str,
frequency: str) -> Generator:
return (i for i in self.get_candles(5000, frequency))
@staticmethod
def _format_candle(candle_data: list):
ohlc_list = []
for candle in candle_data['candles']:
ohlc = candle['mid']
ohlc['open'] = float(ohlc.pop("o"))
ohlc['high'] = float(ohlc.pop("h"))
ohlc['low'] = float(ohlc.pop("l"))
ohlc['close'] = float(ohlc.pop("c"))
ohlc['date'] = arrow.get(
candle['time']).format("YYYY-MM-DD HH:mm:ss")
ohlc['volume'] = float(candle['volume'])
ohlc['complete'] = candle['complete']
ohlc_list.append(ohlc)
return ohlc_list
@property
def bar_class(self):
raise OandaBar
def __init__(self):
super().__init__()
self.oanda = OandaAPI(accountID, access_token)
class OandaRecorder(ForexRecorder):
def __init__(self):
super().__init__()
self.oanda = OandaAPI(accountID, access_token)
def initialize(self):
self.settle_match_engine_and_series()
self.holding_pnl = self.series.HoldingPnlSeries(250)
self.realized_pnl = self.series.RealizedPnlSeries(250)
self.commission = self.series.CommissionSeries(250)
self.market_value = self.series.MarketValueSeries(250)
self.margin = self.series.MarginSeries(250) # 无法更新，没有分别提供long，short信息
self.position = PositionSeries(250)
self.avg_price = AvgPriceSeries(250)
self.cash = MoneySeries("cash", self.initial_cash, 250)
self.frozen_cash = MoneySeries("frozen_cash", 0, 250)
self.balance = MoneySeries("balance", self.initial_cash, 250)
account_details = self.oanda.get_AccountDetails()
account = account_details["account"]
positions = account["positions"]
for position in positions:
ticker = position["instrument"]
if ticker in self.env.tickers:
for long_or_short in ["long", "short"]:
info = position[long_or_short]
self.position.change_initial_value(
ticker, abs(float(info["units"])), long_or_short
)
self.holding_pnl.change_initial_value(
ticker, float(info["unrealizedPL"]), long_or_short
)
self.commission.change_initial_value(
ticker, float(position["commission"]), long_or_short
)
if info.get("averagePrice"):
self.avg_price.change_initial_value(
ticker, float(info["averagePrice"]), long_or_short
)
else:
self.avg_price.change_initial_value(ticker, 0, long_or_short)
self.cash.change_initial_value(float(account["marginAvailable"]))
self.balance.change_initial_value(float(account["NAV"]))
self.frozen_cash.change_initial_value(float(account["marginUsed"]))
def set_setting(self, slippage: dict, margin_rate=0.02) -> None:
self.slippage = slippage
self.margin_rate = margin_rate
def run(self):
# self._record_order()
pass
def update(self, order_executed=False):
"""取消了margin,market_value,"""
trading_date = arrow.now().format("YYYY-MM-DD HH:mm:ss")
account_details = self.oanda.get_AccountDetails()
account = account_details["account"]
positions = account["positions"]
for position in positions:
ticker = position["instrument"]
if ticker in self.env.tickers:
for long_or_short in ["long", "short"]:
info = position[long_or_short]
self.position._append_value(
ticker, abs(float(info["units"])), long_or_short
)
self.holding_pnl._append_value(
ticker, float(info["unrealizedPL"]), long_or_short
)
self.commission._append_value(
ticker, float(position["commission"]), long_or_short
)
if info.get("averagePrice"):
self.avg_price.change_initial_value(
ticker, float(info["averagePrice"]), long_or_short
)
else:
self.avg_price.change_initial_value(ticker, 0, long_or_short)
self.cash.append(
{"date": trading_date, "value": float(account["marginAvailable"])}
)
self.balance.append({"date": trading_date, "value": float(account["NAV"])})
self.frozen_cash.append(
{"date": trading_date, "value": float(account["marginUsed"])}
)
self.market_value.update_barly(False)
self.margin.update_barly()
def none(self):
if not order_executed:
positions = self.oanda.get_AccountDetails()["account"]["positions"][0]
true_holing_pnl = (
self.holding_pnl.total_value() - self.commission.total_value()
)
print("=" * 30)
print("balance", self.balance.latest())
print("size", self.position.total_value(), positions["long"]["units"])
print("margin", self.margin.total_value(), positions["marginUsed"])
print("cash", self.cash.latest())
print(
"holding_pnl",
self.holding_pnl.total_value(),
positions["long"]["unrealizedPL"],
)
print("true holding_pnl", true_holing_pnl)
print("commission", self.commission.total_value(), positions["commission"])
print("market_value", self.market_value.total_value())
try:
print(
"avgPrice",
self.avg_price.latest("EUR_USD", "long"),
positions["long"]["averagePrice"],
)
except:
print("no position")
@property
def bar_class(self):
return OandaBar
class Oanda_to_mongodb(MongodbConfig):
def __init__(self,
accountID,
access_token,
database,
collection,
host=None,
port=None,
print_log=True):
super().__init__(database, collection, host, port)
self.api = OandaAPI(accountID, access_token)
self.print_log = print_log
def _normalize(self, candle):
date = candle['time'].replace('T', ' ')[:19]
ohlc = dict(date=date,
timestamp=date[-8:],
open=float(candle['mid']['o']),
high=float(candle['mid']['h']),
low=float(candle['mid']['l']),
close=float(candle['mid']['c']),
volume=float(candle['volume']),
complete=float(candle['complete']))
return ohlc
def _combine_and_insert(self, data):
data = data['candles']
candle_list = fy.walk(self._normalize, data)
lenth = len(candle_list) # 总长度
coll = self._set_collection()
# 插入数据
i = 0
for bar in candle_list:
i += 1
coll.insert_one(bar)
if self.print_log:
date = bar['date']
# print(f'Inserting {i}, Total: {lenth}, date: {date}')
def candle_to_db(self,
instrument,
granularity,
count=50,
fromdate=None,
todate=None,
price='M',
smooth=False,
includeFirst=None):
"""
granularity: S5, S10, S30, M1, M2, M4, M5, M10, M15, M30
H1, H2, H3, H4, H6, H8, H12,
D, W, M
"""
data = self.api.get_candlestick_list(instrument, granularity, count,
fromdate, todate, price, smooth,
includeFirst)
self._combine_and_insert(data)
class OandaBroker(ForexBroker):
"""自动生成挂单，所以要把系统的挂单序列清空"""
def __init__(self):
super().__init__()
self.oanda = OandaAPI(accountID, access_token)
def _submit_order(self):
for mkt_order in self.env.orders_mkt_submitted_cur:
self.send_mkt_order_with_pending(mkt_order)
# 提交挂单 可以异步提交
for pending in self.env.orders_pending:
self.send_pending_order_with_pending(pending)
self.clear_pending() # 清除挂单
def get_order_info(self, pending_list):
order_info = {}
for order in pending_list:
if 'takeprofit' in order.trigger_key:
order_info['takeprofit'] = order.target_price
elif 'stoploss' in order.trigger_key:
order_info['stoploss'] = order.target_price
elif 'trailingstop' in order.trigger_key:
cur_price = self.env.feeds[order.ticker].cur_price
order_info['trailingstop'] = order.difference
return order_info
def is_mkt_only(self, order):
if order.mkt_id in self.env.orders_child_of_mkt_dict:
return False
return True
def send_to_broker(self, mkt, order_info=None):
if order_info:
self.oanda.OrderCreate_mkt(**order_info)
return
self.oanda.OrderCreate_mkt(mkt.ticker, mkt.size * self.direction(mkt))
def send_mkt_order_with_pending(self, mkt_order):
if self.is_mkt_only(mkt_order):
self.send_to_broker(mkt_order)
else:
pending_list = self.env.orders_child_of_mkt_dict[mkt_order.mkt_id]
order_info = self.get_order_info(pending_list)
order_info['ticker'] = mkt_order.ticker
order_info['size'] = mkt_order.size * self.direction(mkt_order)
self.send_to_broker(mkt_order, order_info)
def send_pending_order_with_pending(self, order):
params = self.target_price_for_live(order)
params.update(
dict(ticker=order.ticker,
size=order.size * self.direction(order),
price=order.target_price))
if order.order_type == OrderType.Limit:
params.update(dict(requesttype='LimitOrder'))
elif order.order_type == OrderType.Stop:
params.update(dict(requesttype='StopOrder'))
self.oanda.OrderCreate_pending(**params)
def direction(self, order):
if order.action_type in [ActionType.Short, ActionType.Sell]:
return -1
return 1
def clear_pending(self):
self.env.orders_pending = []
self.env.orders_child_of_mkt_dict = {}
def run(self):
self._clear_submited_order()
self._generate_order()
self._check_order()
self._submit_order()
def target_price_for_live(self, order):
def below_price(diff):
return order.signal.price - diff
def above_price(diff):
return order.signal.price + diff
def target_price():
return order.signal.price
params = {}
division = dollar_per_pips(order.ticker, order.first_cur_price)
if order.signal.action_type == ActionType.Buy:
if order.signal.get('stoploss'):
money = order.signal.get('stoploss')
diff = money / order.signal.size / division
result = below_price(diff)
params.update(dict(stoploss=result))
if order.signal.get('takeprofit'):
money = order.signal.get('takeprofit')
diff = money / order.signal.size / division
result = above_price(diff)
params.update(dict(takeprofit=result))
if order.signal.get('trailingstop'):
money = order.signal.get('trailingstop')
diff = money / order.signal.size / division
params.update(dict(trailingstop=diff))
if order.signal.get('stoploss_pct'):
pct = order.signal.get('stoploss_pct')
diff = pct * target_price() / division
result = below_price(diff)
params.update(dict(stoploss=result))
if order.signal.get('takeprofit_pct'):
pct = order.signal.get('takeprofit_pct')
diff = pct * target_price() / division
result = above_price(diff)
params.update(dict(takeprofit=result))
if order.signal.get('trailingstop_pct'):
pct = order.signal.get('trailingstop_pct')
diff = pct * target_price() / division
params.update(dict(trailingstop=diff))
elif order.signal.action_type == ActionType.Short:
if order.signal.get('stoploss'):
money = order.signal.get('stoploss')
diff = money / order.signal.size / division
result = above_price(diff)
params.update(dict(stoploss=result))
if order.signal.get('takeprofit'):
money = order.signal.get('takeprofit')
diff = money / order.signal.size / division
result = below_price(diff)
params.update(dict(takeprofit=result))
if order.signal.get('trailingstop'):
money = order.signal.get('trailingstop')
diff = money / order.signal.size / division
params.update(dict(trailingstop=diff))
if order.signal.get('stoploss_pct'):
pct = order.signal.get('stoploss_pct')
diff = pct * target_price() / division
result = above_price(diff)
params.update(dict(stoploss=result))
if order.signal.get('takeprofit_pct'):
pct = order.signal.get('takeprofit_pct')
diff = pct * target_price() / division
result = below_price(diff)
params.update(dict(takeprofit=result))
if order.signal.get('trailingstop_pct'):
pct = order.signal.get('trailingstop_pct')
diff = pct * target_price() / division
params.update(dict(trailingstop=diff))
return params