def run(cls, stdcsr):
"""Returns: void
This is the main program loop.
"""
# initialize user interface
cls._curses_init(stdcsr)
# Read in existing trades
while not cls.stopped and cls.recover_trades() == None:
Log.write('"daemon.py" run(): Recovering trades...')
cls._curses_refresh(stdcsr)
# logging
if Config.live_trading:
Log.write('"daemon.py" start(): Using live account.')
else:
Log.write('"daemon.py" start(): Using practice mode.')
"""
Main loop:
1. Gather opportunities from each strategy.
2. Decide which opportunities to execute.
3. Clear the opportunity list.
"""
while not cls.stopped:
# refresh user interface
cls._curses_refresh(stdcsr)
# Let each strategy suggest an order
for s in cls.strategies:
new_opp = s.refresh()
if new_opp == None:
Log.write('daemon.py run(): {} has nothing to offer now.'
.format(s.get_name()))
pass
else:
cls.opportunities.push(new_opp)
# Decide which opportunity (or opportunities) to execute
Log.write('"daemon.py" run(): Picking best opportunity...')
best_opp = cls.opportunities.pick()
if best_opp == None:
# Nothing is being suggested.
pass
else:
# An order was suggested by a strategy, so place the order.
# Don't use all the money available.
SLIPPAGE_WIGGLE = 0.95
###available_money = Broker.get_margin_available(Config.account_id) * SLIPPAGE_WIGGLE
available_money = 100 # USD - testing
# Get the current price of one unit.
instrument_price = 0
Log.write('best opp: {}'.format(best_opp))
go_long = best_opp.order.units > 0
if go_long:
instrument_price = Broker.get_ask(best_opp.order.instrument)
else:
instrument_price = Broker.get_bid(best_opp.order.instrument)
# How much leverage available:
margin_rate = Broker.get_margin_rate(best_opp.order.instrument)
# TODO: A bit awkward, but overwrite the existing value that was used to
# determine long/short.
units = available_money
units /= cls.num_strategies_with_no_positions() # save money for other strategies
units /= margin_rate
units = int(units) # floor
if units <= 0: # verify
Log.write('daemon.py run(): units <= 0')
raise Exception # abort
if not go_long: # negative means short
units = -units
best_opp.order.units = units
Log.write('daemon.py run(): Executing opportunity:\n{}'.format(best_opp))
order_result = Broker.place_order(best_opp.order)
# Notify the strategies.
if 'orderFillTransaction' in order_result:
try:
opened_trade_id = order_result['orderFillTransaction']['tradeOpened']['tradeID']
best_opp.strategy.trade_opened(trade_id=opened_trade_id)
except:
Log.write(
'daemon.py run(): Failed to extract opened trade from order result:\n{}'
.format(order_result) )
raise Exception
elif 'tradesClosed' in order_result:
try:
for trade in order_result['orderFillTransaction']['tradesClosed']:
best_opp.strategy.trade_closed(trade_id=trade['tradeID'])
except:
Log.write(
'daemon.py run(): Failed to extract closed trades from order result:\n{}'
.format(order_result) )
raise Exception
elif 'tradeReduced' in order_result:
try:
closed_trade_id = order_result['orderFillTransaction']['tradeReduced']['tradeID']
best_opp.strategy.trade_reduced(
closed_trade_id,
instrument_id=Instrument.get_id_from_name(order_result['instrument'])
)
except:
Log.write(
'daemon.py run(): Failed to extract reduced trades from order result:\n{}'
.format(order_result) )
raise Exception
else:
Log.write(
'"daemon.py" run(): Unrecognized order result:\n{}'
.format(order_result) )
raise Exception
"""
Clear opportunity list.
Opportunities should be considered to exist only in the moment,
so there is no need to save them for later.
"""
cls.opportunities.clear()
"""
Shutdown stuff. This runs after shutdown() is called, and is the
last code that runs before returning to algo.py.
"""
DB.shutdown() # atexit() used in db.py, but call to be safe.
def _babysit(self):
""" (See strategy.py for documentation) """
Log.write('fifty.py babysit(): _open_tade_ids: {}'.format(self.open_trade_ids))
for open_trade_id in self.open_trade_ids:
is_closed = Broker.is_trade_closed(open_trade_id)
if is_closed[0]:
Log.write('"fifty.py" _babysit(): Trade ({}) has closed with reason: {}'
.format( open_trade_id, str(is_closed[1]) )
)
# If SL hit, reverse direction.
if is_closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
if self.go_long:
self.go_long = False
else:
self.go_long = True
self.open_trade_ids.remove(open_trade_id)
else:
trade = Broker.get_trade(open_trade_id)
instrument = trade.instrument
sl = round( float(trade.stop_loss), 2 )
go_long = int(trade.units) > 0
if go_long: # currently long
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
if cur_bid - sl > self.sl_price_diff:
new_sl = cur_bid - self.sl_price_diff
resp = Broker.modify_trade(
trade_id=open_trade_id,
stop_loss_price=str(round(new_sl, 2))
)
if resp == None:
Log.write('"fifty.py" _babysit(): Modify failed. Checking if trade is closed.')
closed = Broker.is_trade_closed(open_trade_id)
Log.write('fifty.py babysit(): is_trade_closed returned:\n{}'.format(closed))
if closed[0]:
Log.write('"fifty.py" _babysit(): BUY trade has closed. (BUY)')
self.open_trade_ids.remove(open_trade_id)
# If SL hit, reverse direction.
if closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
self.go_long = False
else:
Log.write('"fifty.py" _babysit(): Failed to modify BUY trade.')
raise Exception
else:
Log.write('"fifty.py" _babysit(): Modified BUY trade with ID (',\
open_trade_id, ').')
else:
Log.write('"fifty.py" _babysit(): Failed to get bid while babysitting.')
raise Exception
else: # currently short
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
if sl - cur_bid > self.sl_price_diff:
new_sl = cur_bid + self.sl_price_diff
resp = Broker.modify_trade(
trade_id=open_trade_id,
stop_loss_price=str(round(new_sl, 2))
)
if resp == None:
closed = Broker.is_trade_closed(open_trade_id)
Log.write('fifty.py babysit(): is_trade_closed returned:\n{}'.format(closed))
if closed[0]:
Log.write('"fifty.py" _babysit(): SELL trade has closed. (BUY)')
self.open_trade_ids.remove(open_trade_id)
# If SL hit, reverse direction.
if closed[1] == TradeClosedReason.STOP_LOSS_ORDER:
self.go_long = True
else:
Log.write('"fifty.py" in _babysit(): Failed to modify SELL trade.')
raise Exception
else:
Log.write('"fifty.py" _babysit(): Modified SELL trade with ID (',\
open_trade_id, ').')
else:
Log.write('"fifty.py" _babysit(): Failed to get ask while babysitting.')
raise Exception
def run(cls, stdcsr):
"""Returns: void
This is the main program loop.
"""
# initialize user interface
cls._curses_init(stdcsr)
# Read in existing trades
while not cls.stopped and cls.recover_trades() == None:
Log.write('"daemon.py" run(): Recovering trades...')
cls._curses_refresh(stdcsr)
# logging
if Config.live_trading:
Log.write('"daemon.py" start(): Using live account.')
else:
Log.write('"daemon.py" start(): Using practice mode.')
"""
Main loop:
1. Gather opportunities from each strategy.
2. Decide which opportunities to execute.
3. Clear the opportunity list.
"""
while not cls.stopped:
# refresh user interface
cls._curses_refresh(stdcsr)
# Let each strategy suggest an order
for s in cls.strategies:
new_opp = s.refresh()
if new_opp == None:
Log.write(
'daemon.py run(): {} has nothing to offer now.'.format(
s.get_name()))
pass
else:
cls.opportunities.push(new_opp)
# Decide which opportunity (or opportunities) to execute
Log.write('"daemon.py" run(): Picking best opportunity...')
best_opp = cls.opportunities.pick()
if best_opp == None:
# Nothing is being suggested.
pass
else:
# An order was suggested by a strategy, so place the order.
# Don't use all the money available.
SLIPPAGE_WIGGLE = 0.95
###available_money = Broker.get_margin_available(Config.account_id) * SLIPPAGE_WIGGLE
available_money = 100 # USD - testing
# Get the current price of one unit.
instrument_price = 0
Log.write('best opp: {}'.format(best_opp))
go_long = best_opp.order.units > 0
if go_long:
instrument_price = Broker.get_ask(
best_opp.order.instrument)
else:
instrument_price = Broker.get_bid(
best_opp.order.instrument)
# How much leverage available:
margin_rate = Broker.get_margin_rate(best_opp.order.instrument)
# TODO: A bit awkward, but overwrite the existing value that was used to
# determine long/short.
units = available_money
units /= cls.num_strategies_with_no_positions(
) # save money for other strategies
units /= margin_rate
units = int(units) # floor
if units <= 0: # verify
Log.write('daemon.py run(): units <= 0')
raise Exception # abort
if not go_long: # negative means short
units = -units
best_opp.order.units = units
Log.write('daemon.py run(): Executing opportunity:\n{}'.format(
best_opp))
order_result = Broker.place_order(best_opp.order)
# Notify the strategies.
if 'orderFillTransaction' in order_result:
try:
opened_trade_id = order_result['orderFillTransaction'][
'tradeOpened']['tradeID']
best_opp.strategy.trade_opened(
trade_id=opened_trade_id)
except:
Log.write(
'daemon.py run(): Failed to extract opened trade from order result:\n{}'
.format(order_result))
raise Exception
elif 'tradesClosed' in order_result:
try:
for trade in order_result['orderFillTransaction'][
'tradesClosed']:
best_opp.strategy.trade_closed(
trade_id=trade['tradeID'])
except:
Log.write(
'daemon.py run(): Failed to extract closed trades from order result:\n{}'
.format(order_result))
raise Exception
elif 'tradeReduced' in order_result:
try:
closed_trade_id = order_result['orderFillTransaction'][
'tradeReduced']['tradeID']
best_opp.strategy.trade_reduced(
closed_trade_id,
instrument_id=Instrument.get_id_from_name(
order_result['instrument']))
except:
Log.write(
'daemon.py run(): Failed to extract reduced trades from order result:\n{}'
.format(order_result))
raise Exception
else:
Log.write(
'"daemon.py" run(): Unrecognized order result:\n{}'.
format(order_result))
raise Exception
"""
Clear opportunity list.
Opportunities should be considered to exist only in the moment,
so there is no need to save them for later.
"""
cls.opportunities.clear()
"""
Shutdown stuff. This runs after shutdown() is called, and is the
last code that runs before returning to algo.py.
"""
DB.shutdown() # atexit() used in db.py, but call to be safe.
def _scan(self):
Log.write('fifty.py scan()')
""" (see strategy.py for documentation) """
# If we're babysitting a trade, don't open a new one.
if len(self.open_trade_ids) > 0:
Log.write('fifty.py _scan(): Trades open; no suggestions.')
return None
instrument = Instrument(Instrument.get_id_from_name('USD_JPY'))
spreads = Broker.get_spreads([instrument])
if spreads == None:
Log.write('"fifty.py" in _scan(): Failed to get spread of {}.'
.format(instrument.get_name()))
raise Exception
elif len(spreads) < 1:
Log.write('"fifty.py" in _scan(): len(spreads) == {}.'
.format(len(spreads)))
raise Exception
# This only checks for one instrument.
elif not spreads[0]['tradeable']:
Log.write('"fifty.py" in _scan(): Instrument {} not tradeable.'
.format(instrument.get_name()))
return None
else:
spread = spreads[0]['spread']
if spread < 3:
Log.write('fifty.py _scan(): spread = {}'.format(spread))
if self.go_long: # buy
Log.write('"fifty.py" _scan(): Going long.')
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
# Rounding the raw bid didn't prevent float inaccuracy
# cur_bid = round(cur_bid_raw, 2)
tp = round(cur_bid + self.tp_price_diff, 2)
sl = round(cur_bid - self.sl_price_diff, 2)
else:
Log.write('"fifty.py" in _scan(): Failed to get bid.')
raise Exception
else: # sell
Log.write('"fifty.py" _scan(): Shorting.')
self.go_long = False
cur_bid = Broker.get_bid(instrument)
if cur_bid != None:
tp = round(cur_bid - self.tp_price_diff, 2)
sl = round(cur_bid + self.sl_price_diff, 2)
else:
Log.write('"fifty.py" in _scan(): Failed to get ask.')
raise Exception
# Prepare the order and sent it back to daemon.
units = 1 if self.go_long else -1
confidence = 50
order = Order(
instrument=instrument,
order_type="MARKET", # matches Oanda's OrderType definition
stop_loss={ "price" : str(sl) },
take_profit={ "price" : str(tp) },
units=units
)
reason = 'happy day'
opp = Opportunity(order, confidence, self, reason)
Log.write('"fifty.py" _scan(): Returning opportunity with \
order:\n{}'.format(opp))
return opp
else:
Log.write('fifty.py _scan(): Spread is high; no suggestions.')
return None
