def historicalData(self, reqId: int, bar: BarData):
"""Q: Does tEng[] want a bar class or a bar dict?
A: When he goes to the bar, he's looking for dict. Get it?!? HAHAHAHAHAHAHA"""
eTime = human2epoch(bar.date)
if eTime > self.latestEpoch[reqId]:
self.latestEpoch[reqId] = eTime
setattr(bar, 'epochTime', eTime)
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
print("Adding to mongo: ", self.tickers[reqId], " ", dateStr)
oneBar = {
"secType": "STK",
"open": bar.open,
"close": bar.close,
"high": bar.high,
"low": bar.low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"ticker": self.tickers[reqId],
"barLen": "15 min"
}
# Send to mongo:
self.posts.insert_one(oneBar)
def historicalData(self, reqId: int, bar: BarData):
"""Q: Does tEng[] want a bar class or a bar dict?
A: When he goes to the bar, he's looking for dict. Get it?!? HAHAHAHAHAHAHA"""
eTime = human2epoch(bar.date)
setattr(bar, 'epochTime', eTime)
self.dailyEpochs[reqId].append(eTime)
self.dailyDates[reqId].append(bar.date)
self.dailyBars[reqId].append(bar)
self.dailyHighs[reqId].append(bar.high)
self.dailyLows[reqId].append(bar.low)
self.dailyCloses[reqId].append(bar.close)
self.dailyOpens[reqId].append(bar.open)
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
oneBar = {
"secType": "STK",
"open": bar.open,
"close": bar.close,
"high": bar.high,
"low": bar.low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"ticker": self.tickers[reqId],
"barLen": "15 mins"
}
self.posts.insert_one(oneBar)
def historicalData(self, reqId: int, bar: BarData):
"""Q: Does tEng[] want a bar class or a bar dict?
A: When he goes to the bar, he's looking for dict. Get it?!? HAHAHAHAHAHAHA"""
ticker = self.tickers[reqId]
print("Historical Data: ", ticker, " ", bar.close)
eTime = human2epoch(bar.date)
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
oneBar = {
"secType": "OPT",
"open": bar.open,
"close": bar.close,
"high": bar.high,
"low": bar.low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"barLen": "15 mins",
"ticker": ticker,
"strike": self.optContracts[ticker]["strike"],
"expiration": self.optContracts[ticker]["expiration"],
"right": self.optContracts[ticker]["right"],
"exchange": self.optContracts[ticker]["exchange"]
}
self.posts.insert_one(oneBar)
def realtimeBar(self,
reqId: TickerId,
eTime: int,
open: float,
high: float,
low: float,
close: float,
volume: int,
wap: float,
count: int,
testMode=False):
super().realtimeBar(reqId, time, open, high, low, close, volume, wap,
count)
ticker = self.tickers[reqId]
print("RT Data: ", ticker, " ", close, " ", self.rights[reqId])
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
oneBar = {
"secType": "OPT",
"open": open,
"close": close,
"high": high,
"low": low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"barLen": "15 mins",
"ticker": ticker,
"strike": self.optContracts[ticker]["strike"],
"expiration": self.optContracts[ticker]["expiration"],
"right": self.rights[reqId],
"exchange": self.optContracts[ticker]["exchange"]
}
self.posts.insert_one(oneBar)
def historicalDataEnd(self, reqId: int, start: str, end: str):
if self.closes[reqId] is not None:
dateObj = epoch2human(self.epochs[reqId])
dateStr = str(dateObj)
oneBar = {
"close" : self.closes[reqId],
"epoch" : self.epochs[reqId],
"dateStr" : dateStr[:8],
"year" : dateObj.year,
"month" : dateObj.month,
"day" : dateObj.day,
"hour" : dateObj.hour,
"minute" : dateObj.minute,
"second" : dateObj.second,
"ticker" : self.tickers[reqId],
"barLen" : "close only"
}
self.posts.insert_one(oneBar)
self.historicalDone[reqId] = True
self.requestNextTicker()
if self.allDailyHistoricalDone():
self.done = True
def update(self, epoch, price):
if self.enableChase:
if self.priceChaser(price=price):
self.exitReason = "Price Chase Is Over"
self.exitTime = epoch
return True
if self.enablePoop:
if self.poopDetector(epoch=epoch, price=price):
self.exitReason = "Poop Detected"
self.exitTime = epoch
return True
if self.enableEndOfDayExit:
humanThing = epoch2human(epoch)
if self.endOfDayExit(hour=humanThing.hour, minute=humanThing.minute):
self.exitReason = "Time to go home"
self.exitTime = epoch
return True
if self.enableMaxPositionTime:
if self.timeLimiter(now=epoch):
self.exitReason = "Arrested for Loitering"
self.exitTime = epoch
return True
return False
def realtimeBar(self,
reqId: TickerId,
eTime: int,
open: float,
high: float,
low: float,
close: float,
volume: int,
wap: float,
count: int,
testMode=False):
super().realtimeBar(reqId, time, open, high, low, close, volume, wap,
count)
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
oneBar = {
"open": open,
"close": close,
"high": high,
"low": low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"trigNow": None,
"ticker": self.tickers[reqId],
"barLen": "5 sec",
"volume": volume,
"count": count
}
self.posts.insert_one(oneBar)
def historicalData(self, reqId: int, bar: BarData):
"""Q: Does tEng[] want a bar class or a bar dict?
A: When he goes to the bar, he's looking for dict. Get it?!? HAHAHAHAHAHAHA"""
eTime = human2epoch(bar.date)
setattr(bar, 'epochTime', eTime)
self.dailyEpochs[reqId].append(eTime)
self.dailyDates[reqId].append(bar.date)
self.dailyBars[reqId].append(bar)
self.dailyHighs[reqId].append(bar.high)
self.dailyLows[reqId].append(bar.low)
self.dailyCloses[reqId].append(bar.close)
self.dailyOpens[reqId].append(bar.open)
dateObj = epoch2human(eTime)
dateStr = str(dateObj)
oneBar = {
"thingType": "bar",
"secType": "STK",
"open": bar.open,
"close": bar.close,
"high": bar.high,
"low": bar.low,
"epoch": eTime,
"dateStr": dateStr[:8],
"year": dateObj.year,
"month": dateObj.month,
"day": dateObj.day,
"hour": dateObj.hour,
"minute": dateObj.minute,
"second": dateObj.second,
"trigNow": False,
"ticker": self.tickers[reqId],
"barLen": "1 day"
}
if len(self.dailyCloses[reqId]) > 10:
# Calculate 10 day MA
self.ma10[reqId].append(
makeTrend(self.dailyHighs[reqId][-9:],
self.dailyLows[reqId][-9:]))
self.ma10Times[reqId].append(eTime)
if len(self.dailyCloses[reqId]) > 21:
# Calculate 20 day MA
self.ma20[reqId].append(
makeTrend(self.dailyHighs[reqId][-21:],
self.dailyLows[reqId][-21:],
tol=0.02))
self.ma20Times[reqId].append(eTime)
if len(self.dailyCloses[reqId]) > 20:
# Calculate %K:
self.kVec[reqId].append(
kLite(self.dailyHighs[reqId][-20:],
self.dailyLows[reqId][-20:], bar.close))
self.kTimes[reqId].append(eTime)
if len(self.kVec[reqId]) > 3:
# Calculate %D:
self.dVec[reqId].append(dLite(self.kVec[reqId][-3:]))
self.dTimes[reqId].append(eTime)
self.entrySig(reqId, eTime)
if len(self.entryTimes[reqId]
) > 0 and self.entryTimes[reqId][-1] == eTime:
oneBar['trigNow'] = True
oneBar["trigDirection"] = self.entryVec[reqId][-1]
# Send to Mongo:
if ENABLE_REDUNDANCY_PREVENTION:
if len(REDUNDANCY_PREVENTION_TERMS) > 0:
redunPreventionDic = {}
if 'ticker' in REDUNDANCY_PREVENTION_TERMS:
redunPreventionDic["ticker"] = self.tickers[reqId]
if "epoch" in REDUNDANCY_PREVENTION_TERMS:
redunPreventionDic["epoch"] = eTime
# Insert other if statements here.
if self.posts.find(redunPreventionDic).count() == 0:
self.posts.insert_one(oneBar)
else:
# If results are returned, do not add this bar again.
pass
else:
self.posts.insert_one(oneBar)
else:
self.posts.insert_one(oneBar)
