def estimate_bounces(price, plist):
'''
Function to estimate the bounces at 'price'
Parameters
----------
price: float
Price used to identify bounces
plist: PivotList
object
Returns
-------
list List with bounces
'''
hr = HArea(price=price,
pips=hr_extension,
instrument=args.instrument,
granularity=args.granularity)
print("upper: {0} - lower: {1}".format(hr.upper, hr.lower))
inarea_bounces = hr.inarea_bounces(plist=plist)
if len(inarea_bounces) > 1:
inarea_cl = CandleList(inarea_bounces,
instrument=args.instrument,
granularity=args.granularity)
inarea_bounces = inarea_cl.improve_resolution(part='openAsk',
price=price,
min_dist=5)
return inarea_bounces
def test_get_bounces(oanda_object):
'''
Test function to set basic candle features based on price
i.e. self.colour, upper_wick, etc...
'''
candle_list = oanda_object.fetch_candleset()
close_prices = []
datetimes = []
for c in oanda_object.fetch_candleset():
close_prices.append(c.closeAsk)
datetimes.append(c.time)
resist=HArea(price=1.15212,pips=100, instrument='EUR_AUD', granularity='D')
(bounces,outfile)=resist.get_bounces(datetimes=datetimes,
prices=close_prices,
type='long')
def init_feats(self):
'''
Function to initialise all object features
Returns
-------
It will initialise all object's features
'''
warnings.warn("[INFO] Run init_feats")
self.get_first_bounce(part= config.CTDBT['part'])
self.get_second_bounce(part= config.CTDBT['part'])
self.get_restofbounces(part= config.CTDBT['part'])
self.set_rsi_1st(n=2)
self.set_rsi_2nd(n=2)
# if trend_i is not defined then calculate it
if hasattr(self, 'trend_i'):
self.trend_i = datetime.datetime.strptime(self.trend_i, '%Y-%m-%d %H:%M:%S')
else:
start = self.__get_time4candles(n=self.period_trend,
anchor_point=self.bounce_2nd.time,
roll=False)
possible_clist_trend = self.clist_period.slice(start=start, end=self.bounce_2nd.time)
startrend=possible_clist_trend.calc_itrend(th_up=0.02,th_down=-0.02)
self.trend_i = startrend
trend_i=None
if isinstance(self.trend_i, datetime.date) is not True:
trend_i = datetime.datetime.strptime(self.trend_i, "%Y-%m-%d %H:%M:%S")
else:
trend_i=self.trend_i
assert self.bounce_2nd.time > trend_i, "Datetime for second bounce occurs earlier than self.trend_i. " \
"This is not valid!"
outfile = "{0}/{1}.final_bounces.png".format(config.PNGFILES['bounces'],
self.id.replace(' ', '_'))
outfile_rsi = "{0}/{1}.final_rsi.png".format(config.PNGFILES['rsi'],
self.id.replace(' ', '_'))
self.plot_features(outfile_prices=outfile, outfile_rsi=outfile_rsi, part= config.CTDBT['part'])
self.init_trend_feats()
# instantiate an HArea object representing the self.SR in order to calculate the lasttime
# price has been above/below SR
resist = HArea(price=self.SR, pips=100, instrument=self.pair, granularity=self.timeframe)
self.lasttime=self.clist_period.get_lasttime(resist)
self.set_entry_onrsi(n=3)
self.bounces_fromlasttime()
self.set_diff(part= config.CTDBT['part'])
self.set_diff_rsi()
self.set_valley()
warnings.warn("[INFO] Done init_feats")
def init_feats(self):
'''
Function to initialise all object features
Returns
-------
It will initialise all object's features
'''
warnings.warn("[INFO] Run init_feats")
self.get_first_bounce(part='openAsk')
self.get_second_bounce(part='openAsk')
self.get_restofbounces(part='openAsk')
self.set_rsi_1st()
self.set_rsi_2nd()
# if trend_i is not defined then calculate it
if hasattr(self, 'trend_i'):
self.trend_i = datetime.datetime.strptime(self.trend_i,
'%Y-%m-%d %H:%M:%S')
else:
start = self.__get_time4candles(n=self.period_trend,
anchor_point=self.bounce_2nd.time,
roll=False)
possible_clist_trend = self.clist_period.slice(
start=start, end=self.bounce_2nd.time)
startrend = possible_clist_trend.calc_itrend(th_up=0.05,
th_down=-0.05)
self.trend_i = startrend
outfile = "{0}/{1}.final_bounces.png".format(
config.PNGFILES['bounces'], self.id.replace(' ', '_'))
self.plot_features(outfile=outfile, part='openAsk')
self.init_trend_feats()
resist = HArea(price=self.SR,
pips=config.CTDBT['HR_pips'],
instrument=self.pair,
granularity=self.timeframe)
self.lasttime = self.clist_period.get_lasttime(resist)
self.set_entry_onrsi()
self.bounces_fromlasttime()
self.set_diff()
self.set_diff_rsi()
self.set_valley()
self.set_rsibounces_feats()
warnings.warn("[INFO] Done init_feats")
def get_lasttime(trade):
'''
Function to calculate the last time price has been above/below
a certain HArea
Parameters
----------
trade : Trade object
Used for the calculation
Returns
-------
Datetime
'''
t_logger.debug("Running get_lasttime")
# instantiate an HArea object representing the self.SR in order to calculate the lasttime
# price has been above/below SR
resist = HArea(price=trade.SR,
pips=CONFIG.getint('harea', 'hr_pips'),
instrument=trade.pair,
granularity=trade.timeframe)
return trade.period.get_lasttime(resist)
def run_trade(self):
'''
Run the trade until conclusion from a start date
'''
print("[INFO] Run run_trade with id: {0}".format(self.id))
entry = HArea(price=self.entry,
pips=1,
instrument=self.pair,
granularity=self.timeframe)
SL = HArea(price=self.SL,
pips=1,
instrument=self.pair,
granularity=self.timeframe)
TP = HArea(price=self.TP,
pips=1,
instrument=self.pair,
granularity=self.timeframe)
period = None
if self.timeframe == "D":
period = 24
else:
period = int(self.timeframe.replace('H', ''))
# generate a range of dates starting at self.start and ending numperiods later in order to assess the outcome
# of trade and also the entry time
self.start = datetime.datetime.strptime(str(self.start),
'%Y-%m-%d %H:%M:%S')
numperiods = 300
date_list = [
datetime.datetime.strptime(str(self.start.isoformat()),
'%Y-%m-%dT%H:%M:%S') +
datetime.timedelta(hours=x * period) for x in range(0, numperiods)
]
entered = False
for d in date_list:
oanda = OandaAPI(
url=config.OANDA_API['url'],
instrument=self.pair,
granularity=self.timeframe,
dailyAlignment=config.OANDA_API['dailyAlignment'],
alignmentTimezone=config.OANDA_API['alignmentTimezone'])
oanda.run(start=d.isoformat(), count=1, roll=True)
cl = oanda.fetch_candleset()[0]
if entered is False:
entry_time = entry.get_cross_time(candle=cl)
warnings.warn("\t[INFO] Trade entered")
if entry_time != 'n.a.':
self.entry_time = entry_time.isoformat()
else:
warnings.warn(
"No entry time was identified for this trade")
entry_time = self.start
self.entry_time = entry_time
if entry_time is not None and entry_time != 'n.a.':
entered = True
if entered is True:
failure_time = SL.get_cross_time(candle=cl)
if failure_time is not None and failure_time != 'n.a.':
self.outcome = 'failure'
self.end = failure_time
self.pips = float(
calculate_pips(self.pair,
abs(self.SL - self.entry))) * -1
warnings.warn("\t[INFO] S/L was hit")
break
if entered is True:
success_time = TP.get_cross_time(candle=cl)
if success_time is not None and success_time != 'n.a.':
self.outcome = 'success'
warnings.warn("\t[INFO] T/P was hit")
self.end = success_time
self.pips = float(
calculate_pips(self.pair, abs(self.TP - self.entry)))
break
assert getattr(self, 'outcome')
warnings.warn("[INFO] Done run_trade")