def update_ohlc(self, market_id, tf, ts, bid, ofr, volume):
base_time = Instrument.basetime(ts, time.time())
ended_ohlc = None
ohlc = None
# last ohlc per market id
last_ohlc_by_timeframe = self._last_ohlc.get(market_id)
if last_ohlc_by_timeframe is None:
# not found for this market insert it
self._last_ohlc[market_id] = {tf: None}
last_ohlc_by_timeframe = self._last_ohlc[market_id]
if tf not in last_ohlc_by_timeframe:
last_ohlc_by_timeframe[tf] = None
else:
ohlc = last_ohlc_by_timeframe[tf]
if ohlc and (ohlc.timestamp + tf <= base_time):
# later tick data (laggy ?)
if ts < base_time:
# but after that next in laggy data will be ignored...
# its not perfect in laggy cases for storage, but in live we can't deals we later data
self.__update_ohlc(ohlc, bid, ofr, volume)
# need to close the ohlc and to open a new one
ohlc.set_consolidated(True)
ended_ohlc = ohlc
last_ohlc_by_timeframe[tf] = None
ohlc = None
if ohlc is None:
# open a new one
ohlc = Candle(base_time, tf)
ohlc.set_consolidated(False)
if bid:
ohlc.set_bid_ohlc(bid, bid, bid, bid)
if ofr:
ohlc.set_ofr_ohlc(ofr, ofr, ofr, ofr)
last_ohlc_by_timeframe[tf] = ohlc
if ts >= ohlc.timestamp:
self.__update_ohlc(ohlc, bid, ofr, volume)
# stored timeframes only
if ended_ohlc and (tf in self.STORED_TIMEFRAMES):
Database.inst().store_market_ohlc(
(self.name, market_id, int(ended_ohlc.timestamp * 1000), tf,
ended_ohlc.bid_open, ended_ohlc.bid_high, ended_ohlc.bid_low,
ended_ohlc.bid_close, ended_ohlc.ofr_open,
ended_ohlc.ofr_high, ended_ohlc.ofr_low, ended_ohlc.ofr_close,
ended_ohlc.volume))
return ohlc
def update_from_tick(self):
"""
During update processing, close OHLCs if not tick data arrive before.
Then notify a signal if a ohlc is generated (and closed).
"""
now = time.time()
for tf in self.GENERATED_TF:
# only if current base time is greater than the previous
base_time = Instrument.basetime(tf, now)
if base_time > self._last_update_times[tf]:
self._last_update_times[tf] = base_time
for market_id, last_ohlc_by_timeframe in self._last_ohlc.items(
):
if last_ohlc_by_timeframe:
ohlc = self.close_ohlc(market_id,
last_ohlc_by_timeframe, tf, now)
if ohlc:
self.service.notify(Signal.SIGNAL_CANDLE_DATA,
self.name, (market_id, ohlc))
def write(self, msg):
Instrument.write(self, '+eoi:0') # Disable EOI
Instrument.write(self, '+eos:13') # Set EOS char to CR (ASCII 13)
Instrument.write(self, msg)
Instrument.write(self, '+eoi:1') # Enable EOI
def process_ohlc(self):
#
# select market ohlcs
#
with self._mutex:
mks = self._pending_ohlc_select
self._pending_ohlc_select = []
if mks:
try:
cursor = self._db.cursor()
for mk in mks:
if mk[6]:
# last n
cursor.execute("""SELECT COUNT(*) FROM ohlc WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s""" % (mk[1], mk[2], mk[3]))
count = int(cursor.fetchone()[0])
offset = max(0, count - mk[6])
# LIMIT should not be necessary then
cursor.execute("""SELECT timestamp, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume FROM ohlc
WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s ORDER BY timestamp ASC LIMIT %i OFFSET %i""" % (
mk[1], mk[2], mk[3], mk[6], offset))
elif mk[4] and mk[5]:
# from to
cursor.execute("""SELECT timestamp, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume FROM ohlc
WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s AND timestamp >= %i AND timestamp <= %i ORDER BY timestamp ASC""" % (
mk[1], mk[2], mk[3], mk[4], mk[5]))
elif mk[4]:
# from to now
cursor.execute("""SELECT timestamp, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume FROM ohlc
WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s AND timestamp >= %i ORDER BY timestamp ASC""" % (
mk[1], mk[2], mk[3], mk[4]))
elif mk[5]:
# to now
cursor.execute("""SELECT timestamp, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume FROM ohlc
WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s AND timestamp <= %i ORDER BY timestamp ASC""" % (
mk[1], mk[2], mk[3], mk[5]))
else:
# all
cursor.execute("""SELECT timestamp, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume FROM ohlc
WHERE broker_id = '%s' AND market_id = '%s' AND timeframe = %s ORDER BY timestamp ASC""" % (
mk[1], mk[2], mk[3]))
rows = cursor.fetchall()
ohlcs = []
for row in rows:
timestamp = float(row[0]) * 0.001 # to float second timestamp
ohlc = Candle(timestamp, mk[3])
ohlc.set_bid_ohlc(float(row[1]), float(row[2]), float(row[3]), float(row[4]))
ohlc.set_ofr_ohlc(float(row[5]), float(row[6]), float(row[7]), float(row[8]))
# if float(row[9]) <= 0:
# # prefer to ignore empty volume ohlc because it can broke volume signal and it is a no way but it could be
# # a lack of this information like on SPX500 of ig.com. So how to manage that cases...
# continue
ohlc.set_volume(float(row[9]))
if ohlc.timestamp >= Instrument.basetime(mk[3], time.time()):
ohlc.set_consolidated(False) # current
ohlcs.append(ohlc)
# notify
mk[0].notify(Signal.SIGNAL_CANDLE_DATA_BULK, mk[1], (mk[2], mk[3], ohlcs))
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_ohlc_select = mks + self._pending_ohlc_select
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_ohlc_select = mks + self._pending_ohlc_select
#
# insert market ohlcs
#
if time.time() - self._last_ohlc_flush >= 60 or len(self._pending_ohlc_insert) > 500:
with self._mutex:
mkd = self._pending_ohlc_insert
self._pending_ohlc_insert = []
if mkd:
try:
cursor = self._db.cursor()
elts = []
data = set()
for mk in mkd:
if (mk[0], mk[1], mk[2], mk[3]) not in data:
elts.append("('%s', '%s', %i, %i, '%s', '%s', '%s', '%s', '%s', '%s', '%s', '%s', '%s')" % (mk[0], mk[1], mk[2], mk[3], mk[4], mk[5], mk[6], mk[7], mk[8], mk[9], mk[10], mk[11], mk[12]))
data.add((mk[0], mk[1], mk[2], mk[3]))
query = ' '.join(("INSERT INTO ohlc(broker_id, market_id, timestamp, timeframe, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume) VALUES",
','.join(elts),
"ON CONFLICT (broker_id, market_id, timestamp, timeframe) DO UPDATE SET bid_open = EXCLUDED.bid_open, bid_high = EXCLUDED.bid_high, bid_low = EXCLUDED.bid_low, bid_close = EXCLUDED.bid_close, ask_open = EXCLUDED.ask_open, ask_high = EXCLUDED.ask_high, ask_low = EXCLUDED.ask_low, ask_close = EXCLUDED.ask_close, volume = EXCLUDED.volume"))
# query = ' '.join((
# "INSERT INTO ohlc(broker_id, market_id, timestamp, timeframe, bid_open, bid_high, bid_low, bid_close, ask_open, ask_high, ask_low, ask_close, volume) VALUES",
# ','.join(["('%s', '%s', %i, %i, '%s', '%s', '%s', '%s', '%s', '%s', '%s', '%s', '%s')" % (mk[0], mk[1], mk[2], mk[3], mk[4], mk[5], mk[6], mk[7], mk[8], mk[9], mk[10], mk[11], mk[12]) for mk in mkd]),
# "ON CONFLICT (broker_id, market_id, timestamp, timeframe) DO UPDATE SET bid_open = EXCLUDED.bid_open, bid_high = EXCLUDED.bid_high, bid_low = EXCLUDED.bid_low, bid_close = EXCLUDED.bid_close, ask_open = EXCLUDED.ask_open, ask_high = EXCLUDED.ask_high, ask_low = EXCLUDED.ask_low, ask_close = EXCLUDED.ask_close, volume = EXCLUDED.volume"
# ))
cursor.execute(query)
self._db.commit()
except self.psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_ohlc_insert = mkd + self._pending_ohlc_insert
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_ohlc_insert = mkd + self._pending_ohlc_insert
self._last_ohlc_flush = time.time()
#
# insert market liquidation
#
with self._mutex:
mkd = self._pending_liquidation_insert
self._pending_liquidation_insert = []
if mkd:
try:
cursor = self._db.cursor()
elts = []
for mk in mkd:
elts.append("('%s', '%s', %i, %i, '%s', '%s')" % (mk[0], mk[1], mk[2], mk[3], mk[4], mk[5]))
# query = ' '.join(("INSERT INTO liquidation(broker_id, market_id, timestamp, direction, price, quantity) VALUES",
# ','.join(elts),
# "ON CONFLICT (broker_id, market_id, timestamp) DO NOTHING"))
query = ' '.join(("INSERT INTO liquidation(broker_id, market_id, timestamp, direction, price, quantity) VALUES", ','.join(elts)))
cursor.execute(query)
self._db.commit()
except psycopg2.OperationalError as e:
self.try_reconnect(e)
# retry the next time
with self._mutex:
self._pending_liquidation_insert = mkd + self._pending_liquidation_insert
except Exception as e:
self.on_error(e)
# retry the next time
with self._mutex:
self._pending_liquidation_insert = mkd + self._pending_liquidation_insert
#
# clean older ohlcs
#
if self._autocleanup:
if time.time() - self._last_ohlc_clean >= OhlcStorage.CLEANUP_DELAY:
try:
now = time.time()
cursor = self._db.cursor()
for timeframe, timestamp in OhlcStorage.CLEANERS:
ts = int(now - timestamp) * 1000
# @todo make a count before
cursor.execute("DELETE FROM ohlc WHERE timeframe <= %i AND timestamp < %i" % (timeframe, ts))
self._db.commit()
except psycopg2.OperationalError as e:
self.try_reconnect(e)
except Exception as e:
self.on_error(e)
self._last_ohlc_clean = time.time()
def write(self, msg):
Instrument.write(self, '+eoi:0') # Disable EOI
Instrument.write(self, '+eos:13') # Set EOS char to CR (ASCII 13)
Instrument.write(self, msg)
Instrument.write(self, '+eoi:1') # Enable EOI
def fetch_and_generate(self,
market_id,
timeframe,
n_last=1,
cascaded=None):
"""
For initial fetching of the current OHLC.
"""
if timeframe > 0 and timeframe not in self.GENERATED_TF:
logger.error("Timeframe %i is not allowed !" % (timeframe, ))
return
generators = []
from_tf = timeframe
if not market_id in self._last_ohlc:
self._last_ohlc[market_id] = {}
# compute a from date
today = datetime.now().astimezone(UTC())
from_date = today - timedelta(seconds=timeframe * n_last)
to_date = today
last_ohlcs = {}
# cascaded generation of candles
if cascaded:
for tf in Watcher.GENERATED_TF:
if tf > timeframe:
# from timeframe greater than initial
if tf <= cascaded:
# until max cascaded timeframe
generators.append(CandleGenerator(from_tf, tf))
from_tf = tf
# store for generation
last_ohlcs[tf] = []
else:
from_tf = tf
if timeframe > 0:
last_ohlcs[timeframe] = []
n = 0
for data in self.fetch_candles(market_id, timeframe, from_date,
to_date, None):
# store (int timestamp in ms, str bid, str ofr, str volume)
if not self._read_only:
Database.inst().store_market_trade(
(self.name, market_id, data[0], data[1], data[2], data[3]))
candle = Candle(float(data[0]) * 0.001, timeframe)
candle.set_bid_ohlc(float(data[1]), float(data[2]), float(data[3]),
float(data[4]))
candle.set_ofr_ohlc(float(data[5]), float(data[6]), float(data[7]),
float(data[8]))
candle.set_volume(float(data[9]))
if candle.timestamp >= Instrument.basetime(timeframe, time.time()):
candle.set_consolidated(False) # current
last_ohlcs[timeframe].append(candle)
# only the last
self._last_ohlc[market_id][timeframe] = candle
# generate higher candles
for generator in generators:
candles = generator.generate_from_candles(
last_ohlcs[generator.from_tf], False)
if candles:
if not self._read_only:
for c in candles:
self.store_candle(market_id, generator.to_tf, c)
last_ohlcs[generator.to_tf].extend(candles)
# only the last as current
self._last_ohlc[market_id][generator.to_tf] = candles[-1]
elif generator.current:
self._last_ohlc[market_id][
generator.to_tf] = generator.current
# remove consumed candles
last_ohlcs[generator.from_tf] = []
n += 1
for k, ohlc in self._last_ohlc[market_id].items():
if ohlc:
ohlc.set_consolidated(False)
def update_ohlc(self, market_id, tf, ts, bid, ofr, volume):
"""
Update the current OHLC or create a new one, and save them.
@param market_id str Unique market identifier
@param tf float Timeframe (normalized timeframe at second)
@param ts float Timestamp of the update or of the tick/trade
@param bid float Bid price.
@param ofr float Offer/ask price.
@param volume float Volume transacted or 0 if unspecified.
"""
ended_ohlc = None
ohlc = None
# last ohlc per market id
last_ohlc_by_timeframe = self._last_ohlc.get(market_id)
if last_ohlc_by_timeframe is None:
# not found for this market insert it
self._last_ohlc[market_id] = {tf: None}
last_ohlc_by_timeframe = self._last_ohlc[market_id]
if tf not in last_ohlc_by_timeframe:
last_ohlc_by_timeframe[tf] = None
else:
ohlc = last_ohlc_by_timeframe[tf]
if ohlc and ts >= ohlc.timestamp + tf:
# need to close the current ohlc
ohlc.set_consolidated(True)
ended_ohlc = ohlc
last_ohlc_by_timeframe[tf] = None
ohlc = None
if ohlc is None:
# open a new one if necessary
base_time = Instrument.basetime(tf, ts)
ohlc = Candle(base_time, tf)
ohlc.set_consolidated(False)
if bid:
ohlc.set_bid(bid)
if ofr:
ohlc.set_ofr(ofr)
last_ohlc_by_timeframe[tf] = ohlc
if ts >= ohlc.timestamp:
# update the current OHLC
if volume:
ohlc._volume += volume
if bid:
if not ohlc._bid_open:
ohlc.set_bid(bid)
# update bid prices
ohlc._bid_high = max(ohlc._bid_high, bid)
ohlc._bid_low = min(ohlc._bid_low, bid)
# potential close
ohlc._bid_close = bid
if ofr:
if not ohlc.ofr_open:
ohlc.set_ofr(ofr)
# update ofr prices
ohlc._ofr_high = max(ohlc._ofr_high, ofr)
ohlc._ofr_low = min(ohlc._ofr_low, ofr)
# potential close
ohlc._ofr_close = ofr
# stored timeframes only
if ended_ohlc and (tf in self.STORED_TIMEFRAMES):
Database.inst().store_market_ohlc(
(self.name, market_id, int(ended_ohlc.timestamp * 1000), tf,
ended_ohlc.bid_open, ended_ohlc.bid_high, ended_ohlc.bid_low,
ended_ohlc.bid_close, ended_ohlc.ofr_open,
ended_ohlc.ofr_high, ended_ohlc.ofr_low, ended_ohlc.ofr_close,
ended_ohlc.volume))
return ohlc
def basetime(self):
"""
Related candle base time of the timestamp of the signal.
"""
return Instrument.basetime(self.timeframe, self.ts)
def compute(self, timestamp, timestamps, high, low, close):
size = len(close)
basis = ta_SMA(close, self._length)
atrs = ta_ATR(high, low, close, timeperiod=self._length)
dev = atrs * self._coeff
upper = basis + dev
lower = basis - dev
with np.errstate(divide='ignore', invalid='ignore'):
# replace by 0 when divisor is 0
bbr = (close - lower) / (upper - lower)
bbr[bbr == np.inf] = 0.0
bbe = ta_EMA(bbr, self._length_MA)
if len(self._tup) != size:
self._tup = np.zeros(size)
self._tdn = np.zeros(size)
self._tup[0] = self._tup[1] = np.NaN
self._tdn[0] = self._tdn[1] = np.NaN
for i in range(2, size):
if bbe[i - 1] > bbe[i] and bbe[i - 2] < bbe[i - 1]:
self._tup[i] = bbe[i]
else:
self._tup[i] = np.NaN
for i in range(2, size):
if bbe[i - 1] < bbe[i] and bbe[i - 2] > bbe[i - 1]:
self._tdn[i] = bbe[i]
else:
self._tdn[i] = np.NaN
highest = ta_MAX(high, 3)
lowest = ta_MIN(low, 3)
last_up = 0.0
last_dn = 0.0
for i in range(2, size):
if not np.isnan(self._tup[i]):
last_up = self._tup[i] = highest[i]
elif last_up > 0.0:
self._tup[i] = last_up
if not np.isnan(self._tdn[i]):
last_dn = self._tdn[i] = lowest[i]
elif last_dn > 0.0:
self._tdn[i] = last_dn
# logger.debug("%s %s %s" % (self._tdn[-3], self._tdn[-2], self._tdn[-1]))
# logger.debug("%s - %s %s / %s %s %s / %s %s %s / %s %s %s / %s %s %s" % (
# datetime.utcfromtimestamp(timestamp).strftime('%Y-%m-%d %H:%M:%S'),
# datetime.utcfromtimestamp(timestamps[-2]).strftime('%Y-%m-%d %H:%M:%S'),
# datetime.utcfromtimestamp(timestamps[-1]).strftime('%Y-%m-%d %H:%M:%S'),
# self._tdn[-3], self._tdn[-2], self._tdn[-1], close[-3], close[-2], close[-1], low[-3], low[-2], low[-1], lowest[-3], lowest[-2], lowest[-1]))
# compact timeserie
from_timestamp = Instrument.basetime(self.timeframe,
self._last_timestamp) # inclusive
to_timestamp = Instrument.basetime(self.timeframe,
timestamp) # exclusive
delta = min(
int((to_timestamp - from_timestamp) / self._timeframe) + 1,
len(timestamps))
# base index
num = len(timestamps)
last_up = self._up[-1] if len(self._up) else np.NaN
last_dn = self._down[-1] if len(self._down) else np.NaN
# if len(self._tdn) and not np.isnan(self._tdn[-1]) and self._tdn[-1] != last_dn:
# self._down.append(self._tdn[-1])
# last_dn = self._tdn[-1]
# logger.info("> %s %s" % (datetime.utcfromtimestamp(timestamp).strftime('%Y-%m-%d %H:%M:%S'), last_dn))
# if len(self._tup) and not np.isnan(self._tup[-1]) and self._tup[-1] != last_up:
# self._up.append(self._tup[-1])
for b in range(num - delta, num):
# only most recent and complete
if from_timestamp <= timestamps[b] < to_timestamp:
if not np.isnan(
self._tup[b]
) and self._tup[b] != last_up and self._tup[b] > 0.0:
last_up = self._tup[b]
self._up.append(last_up)
self._both.append(last_up)
if len(self._up) > self._max_history:
self._up.pop(0)
if len(self._both) > 2 * self._max_history:
self._both.pop(0)
if not np.isnan(
self._tdn[b]
) and self._tdn[b] != last_dn and self._tdn[b] > 0.0:
last_dn = self._tdn[b]
# logger.info("%s %s" % (datetime.utcfromtimestamp(timestamp).strftime('%Y-%m-%d %H:%M:%S'), last_dn))
self._down.append(last_dn)
self._both.append(last_dn)
if len(self._down) > self._max_history:
self._down.pop(0)
if len(self._both) > 2 * self._max_history:
self._both.pop(0)
# if self.timeframe == 60:
# logger.info("%s %s" % (self._tup, self._tdn))
# logger.info("%s %s" % (self._up, self._down))
# if self.timeframe == 60*60*24:
# logger.info("%s" % (self._both))
if len(atrs):
# retains last ATR value
self._last_atr = atrs[-1]
self._last_timestamp = timestamp
return self._up, self._down
