def update_density(symbol, account=None):
symbol = get_mt4_symbol(symbol)
last_time = price_redis.get(symbol + TIME_SUFFIX)
last_time = parse(last_time) if last_time else None
now = datetime.utcnow()
data = price_redis.get('%s_H1' % symbol)
data = json.loads(data) if data else {}
fxcm = account or SingletonFXCM(AccountType.DEMO, settings.FXCM_ACCOUNT_ID,
settings.FXCM_ACCESS_TOKEN)
if last_time:
df = fxcm.fxcmpy.get_candles(get_fxcm_symbol(symbol),
period='m1',
start=last_time,
end=now,
columns=['askhigh', 'bidlow', 'tickqty'])
else:
df = fxcm.fxcmpy.get_candles(get_fxcm_symbol(symbol),
period='m1',
number=FXCM.MAX_CANDLES,
end=now,
columns=['askhigh', 'bidlow', 'tickqty'])
_process_df(df, data, symbol)
print('Data length = %s' % len(df))
_save_redis(symbol, data)
now = df.iloc[-1].name.to_pydatetime() + relativedelta(seconds=30)
price_redis.set(symbol + TIME_SUFFIX, str(now))
return now
def check_trade_exist(self, instrument, side):
instrument = get_fxcm_symbol(instrument)
is_buy = side == OrderSide.BUY
trades = self.account.get_trades()
for id, trade in trades.items():
trade_instrument = get_fxcm_symbol(trade.get_currency())
if trade_instrument == instrument and is_buy == trade.get_isBuy():
return True
return False
def draw_recent(symbol, days=30, account=None, to_plotly=False):
symbol = get_mt4_symbol(symbol)
now = datetime.utcnow()
fxcm = account or SingletonFXCM(AccountType.DEMO, settings.FXCM_ACCOUNT_ID,
settings.FXCM_ACCESS_TOKEN)
df = fxcm.fxcmpy.get_candles(
get_fxcm_symbol(symbol),
period='m1',
number=FXCM.MAX_CANDLES,
end=now,
columns=['askclose', 'askhigh', 'bidlow', 'tickqty'])
price = df.iloc[-1].askclose
if days:
start = now - relativedelta(days=days)
end = df.iloc[0].name.to_pydatetime() - relativedelta(seconds=30)
print(end)
while end - start > timedelta(minutes=1):
if (end - start).days > 6:
df2 = fxcm.fxcmpy.get_candles(
get_fxcm_symbol(symbol),
period='m1',
number=FXCM.MAX_CANDLES,
end=end,
columns=['askclose', 'askhigh', 'bidlow', 'tickqty'])
else:
df2 = fxcm.fxcmpy.get_candles(
get_fxcm_symbol(symbol),
period='m1',
start=start,
end=end,
columns=['askclose', 'askhigh', 'bidlow', 'tickqty'])
df = df.append(df2, sort=True)
end = df2.iloc[0].name.to_pydatetime() - relativedelta(seconds=30)
print(end)
result = {}
_process_df(df, result, symbol)
keylist = result.keys()
keys = sorted(keylist)
output = ''
for k in keys:
output += ' %s: %s,\n' % (k, result[k])
output = '''{
%s
}''' % output
sorted_result = eval(output)
filename = '%s_%s days' % (symbol, days)
_draw(sorted_result, symbol, price, filename, to_plotly)
def get_dataframe(self, instrument, granularity, fromTime, toTime):
instrument = get_fxcm_symbol(instrument)
end = get_candle_time(toTime, granularity)
fromTime = get_candle_time(fromTime, granularity)
granularity = get_fxcm_timeframe(granularity)
result = None
while end > fromTime:
data = self.fxcmpy.get_candles(instrument,
period=granularity,
number=self.MAX_CANDLES,
end=end,
columns=[
'askhigh', 'askopen',
'bidclose', 'bidlow', 'tickqty'
])
if result is not None:
result = pd.concat([result, data], sort=True).sort_index()
else:
result = data
end = result.iloc[0].name.to_pydatetime() - relativedelta(
seconds=10)
result.columns = ['high', 'open', 'close', 'low', 'volume']
return result[result.index >= fromTime]
def get_lots(self,
instrument,
stop_loss_pips=None,
risk_ratio=Decimal('0.05')):
max_trade = 5
if len(self.get_trades()) >= max_trade:
return 0
equity = self.get_balance()
if not stop_loss_pips:
return equity / 1000 * Decimal('0.1')
instrument = get_fxcm_symbol(instrument)
pip_unit = pip(instrument)
risk = equity * risk_ratio
value = risk / stop_loss_pips / pip_unit
if instrument.upper().endswith('USD'):
price = self.get_price(instrument)
value = value * price
elif instrument.upper().startswith('USD'):
lots = equity / 1000 * Decimal('0.1')
return lots.quantize(Decimal("0.01"))
else:
# cross pair
raise NotImplementedError
units = int(value / 100) * 100
return units_to_lots(units).quantize(Decimal("0.01"))
def run(self):
logger.info('%s statup.' % self.__class__.__name__)
logger.info('Registered handler: %s' % ', '.join([x.__class__.__name__ for x in self.handlers]))
self.pairs = [get_fxcm_symbol(pair) for pair in self.pairs]
pair_list = ",".join(self.pairs)
logger.info('Pairs: %s' % pair_list)
if not self.is_market_open:
logger.info('Market is closed now.')
logger.info('####################################')
while self.running:
while self.is_market_open:
event = self.get(False)
if event:
if event.type == ConnectEvent.type:
self.process_connect_event(event)
else:
self.handle_event(event)
else:
break
time.sleep(settings.LOOP_SLEEP)
self.loop_counter += 1
self.check_market_status()
if self.is_market_open:
self.generate_heartbeat()
self.check_connection()
def market_order(self,
instrument,
side,
lots,
take_profit=None,
stop_loss=None,
trailing_pip=None,
**kwargs):
timeInForce = kwargs.get('timeInForce', TimeInForce.FOK)
symbol = get_fxcm_symbol(instrument)
is_buy = side == OrderSide.BUY
amount = lots_to_units(lots) / 1000
is_in_pips = kwargs.get('is_in_pips', True)
if is_in_pips and stop_loss and stop_loss > 0:
stop_loss = -1 * stop_loss # change to negtive if using pips
return self.fxcmpy.open_trade(symbol,
is_buy,
amount,
timeInForce,
order_type='AtMarket',
rate=0,
is_in_pips=is_in_pips,
limit=take_profit,
at_market=0,
stop=stop_loss,
trailing_step=trailing_pip,
account_id=self.account_id)
def get_candle(self,
instrument,
granularity,
count=120,
fromTime=None,
toTime=None,
price_type='M',
smooth=False):
instrument = get_fxcm_symbol(instrument)
granularity = get_fxcm_timeframe(granularity)
return self.fxcmpy.get_candles(instrument,
period=granularity,
number=count,
start=fromTime,
end=toTime)
def close_symbol(self, instrument, side, percent=None):
instrument = get_fxcm_symbol(instrument)
data = []
for trade_id, trade in self.fxcmpy.open_pos.items():
if instrument == trade.get_currency():
trade_side = OrderSide.BUY if trade.get_isBuy() else OrderSide.SELL
if trade_side == side:
units = trade.get_amount()
if percent and 1 >= percent > 0:
units = int(units * percent)
try:
trade.close(amount=units)
data.append({'trade_id': trade_id, 'side': side, 'instrument': instrument, 'units': units})
except Exception as ex:
logger.error('Cant close trade = %s, %s' % (trade_id, ex))
return data
def init_density(symbol, start=datetime(2019, 1, 18, 18, 1), account=None):
symbol = get_mt4_symbol(symbol)
fxcm = account or SingletonFXCM(AccountType.DEMO, settings.FXCM_ACCOUNT_ID,
settings.FXCM_ACCESS_TOKEN)
now = datetime.utcnow() - relativedelta(minutes=1) # shift 1 minute
end = datetime.utcnow()
result = {}
count = 0
while end > start:
df = fxcm.fxcmpy.get_candles(get_fxcm_symbol(symbol),
period='m1',
number=FXCM.MAX_CANDLES,
end=end,
columns=['askhigh', 'bidlow', 'tickqty'])
_process_df(df, result, symbol)
count += 1
print(count, end)
end = df.iloc[0].name.to_pydatetime() - relativedelta(seconds=30)
_save_redis(symbol, result)
price_redis.set(symbol + TIME_SUFFIX, str(now))
def _make_limit_or_stop_order(self,
instrument,
side,
price,
lots,
take_profit=None,
stop_loss=None,
trailing_pip=None,
**kwargs):
symbol = get_fxcm_symbol(instrument)
is_buy = side == OrderSide.BUY
amount = lots_to_units(lots) / 1000
is_in_pips = kwargs.get('is_in_pips', True)
order_id = kwargs.get('order_id', None)
if order_id:
order = self.get_order(order_id)
if trailing_pip:
order.set_trailing_step(trailing_pip)
kw = {}
if stop_loss:
kw['stop'] = stop_loss
kw['is_stop_in_pips'] = is_in_pips
if take_profit:
kw['limit'] = take_profit
kw['is_limit_in_pips'] = is_in_pips
if kw:
self.fxcmpy.change_order_stop_limit(order_id, **kw)
else:
return self.create_entry_order(symbol,
is_buy,
amount,
time_in_force=TimeInForce.GTC,
price=price,
take_profit=take_profit,
stop_loss=stop_loss,
trailing_pip=trailing_pip,
**kwargs)
def close_position(self, instrument, longUnits='ALL', shortUnits='ALL'):
instrument = get_fxcm_symbol(instrument)
self.fxcmpy.close_all_for_symbol(instrument)
