class margin_atr_based_risk_management:
def __init__(self, account_currency, account_id, symbol, timeframe, atr_period, stop_loss_atr_multiply, limit_atr_multiply, risk_percent):
self.account_currency=account_currency
self.account_id=account_id
self.symbol=symbol
self.timeframe=timeframe
self.atr_period=int(atr_period)
self.stop_loss_atr_multiply=stop_loss_atr_multiply
self.limit_atr_multiply=limit_atr_multiply
self.risk_percent=risk_percent
self.db=Db_Controller()
def get_account_info(self):
fxcm_info=self.db.query_table('Fxcm_Info', ('*',), fields=("accountId",), values=(self.account_id,))
return fxcm_info
def stop_loss_limit(self, price, last_atr, position_type):
try:
'''
stop loss is placed stop_loss_atr_multiply time of atr
'''
if position_type=='buy':
stop_loss_pip=last_atr*self.stop_loss_atr_multiply
stop_loss=price-stop_loss_pip
limit_pip=last_atr*self.limit_atr_multiply
limit=price+limit_pip
else:
stop_loss_pip=last_atr*self.stop_loss_atr_multiply
stop_loss=price+stop_loss_pip
limit_pip=last_atr*self.limit_atr_multiply
limit=price-limit_pip
if self.symbol[3:]=='JPY':
stop_loss_pip=stop_loss_pip*100
limit_pip=limit_pip*100
else:
stop_loss_pip=stop_loss_pip*10000
limit_pip=limit_pip*10000
return stop_loss, limit, stop_loss_pip, limit_pip
except Exception as e:
print(e, 'stop_loss_limit')
def position_size_stop_loss(self, position_type):
try:
''' Lot Number of unit
Standard 100,000
Mini 10,000
Micro 1,000
Nano 100
Position size = ((account value x risk per trade) / pips risked)/ pip value per standard lot
Margin Requirement = Current Price × Units Traded × Margin
'''
data=self.db.query_price_data(self.symbol, self.timeframe, self.atr_period*2)
data['atr']=atr(list(data.bidclose), self.atr_period)
last_atr=data.atr.iloc[-1]
price=data.bidclose.iloc[-1]
fxcm_info=self.get_account_info()[0]
margin=fxcm_info[11]
stop_loss, limit, stop_loss_pip, limit_pip=self.stop_loss_limit(price, last_atr, position_type)
leverage=leverage_cal(self.symbol, margin)
standard_lot_pip_value=pip_value_cal(self.symbol, self.account_currency, price, 100000)
position_size=int(((((margin*self.risk_percent/100)/stop_loss_pip)/standard_lot_pip_value)*100)*1000)
required_margin=int(price*position_size/leverage)
c = CurrencyConverter()
required_margin=int(c.convert(required_margin, self.symbol[:3], self.account_currency))
if self.symbol[3:]=='JPY':
required_margin=required_margin/100
return position_size/1000, required_margin, stop_loss, limit, stop_loss_pip, limit_pip
except Exception as e:
print(e, 'position_size_stop_loss')
def backtest(self, position_type, data, margin):
try:
''' Lot Number of unit
Standard 100,000
Mini 10,000
Micro 1,000
Nano 100
Position size = ((account value x risk per trade) / pips risked)/ pip value per standard lot
Margin Requirement = Current Price × Units Traded × Margin
'''
data['atr']=atr(list(data.bidclose), self.atr_period)
last_atr=data.atr.iloc[-1]
price=data.bidclose.iloc[-1]
stop_loss, limit, stop_loss_pip, limit_pip=self.stop_loss_limit(price, last_atr, position_type)
leverage=leverage_cal(self.symbol, margin)
standard_lot_pip_value=pip_value_cal(self.symbol, self.account_currency, price, 100000)
position_size=int(((((margin*self.risk_percent/100)/stop_loss_pip)/standard_lot_pip_value)*100)*1000)
required_margin=int(price*position_size/leverage)
c = CurrencyConverter()
required_margin=int(c.convert(required_margin, self.symbol[:3], self.account_currency))
pip_value=pip_value_cal(self.symbol, self.account_currency, price, position_size)
if self.symbol[3:]=='JPY':
required_margin=required_margin/100
return position_size, required_margin, stop_loss, limit, stop_loss_pip, limit_pip, pip_value
except Exception as e:
print(e, 'backtest')
class Fxcm():
"""
FXCM controller.
This class contains methods acting as wrapers for FXCM API class with additional functionality.
All the methods are direct implementation of FXCM API
Full documentation can be retrived from: https://fxcm.github.io/rest-api-docs/#section/Overview
"""
def __init__(self):
with open('./data/account_info.cfg', 'rb'
) as f: # Reading user's fxcm information from a stored file
account_info_dict = pickle.load(f)
self.token = account_info_dict[
'token'] # FXCM token or API key " a46718dbcf04edf1b8135816d96d38a7703f2d65 " use this in gui
self.account_type = account_info_dict[
'account_type'] #Can be demo or real
self.connection = None
self.connection_status = 'Disconnected'
self.db = Db_Controller()
self.account_id = account_info_dict['account_id']
self.account_name = account_info_dict['account_name']
self.fxcm_account_currency_list = ['AUD', 'USD', 'EUR', 'GBP']
self.account_currency = account_info_dict['account_currency']
self.available_symbols_list = [
'AUDUSD', 'EURUSD', 'USDJPY', 'GBPUSD', 'USDCHF', 'NZDUSD'
]
self.available_timeframe_list = [
'm1', 'm5', 'm15', 'm30', 'H1', 'H2', 'H3', 'H4', 'H6', 'H8', 'D1',
'W1', 'M1'
]
def timestamp_to_datetime(self, given_time):
"""
This function converts timestamp to datetime
"""
given_time = str(given_time)
if len(given_time) == 13:
given_time = str(0) + given_time
new_time = datetime.datetime.strptime(given_time, '%m%d%Y%H%M%S')
new_time = new_time.strftime("%Y-%m-%d %H:%M")
return new_time
elif len(given_time) == 14:
new_time = datetime.datetime.strptime(given_time, '%m%d%Y%H%M%S')
new_time = new_time.strftime("%Y-%m-%d %H:%M")
return new_time
elif len(given_time) == 16:
given_time = str(0) + given_time
new_time = datetime.datetime.strptime(given_time, '%m%d%Y%H%M%S%f')
new_time = new_time.strftime("%Y-%m-%d %H:%M")
return new_time
elif len(given_time) == 17:
new_time = datetime.datetime.strptime(given_time, '%m%d%Y%H%M%S%f')
new_time = new_time.strftime("%Y-%m-%d %H:%M")
return new_time
def connect(self, startegy_name):
"""
This function makes an instance of fxcmpy.fxcmpy to connect to server, and is used by auto trading system for creating connection
Once the fxcmpy instance is created, two new threads will be created as fxcmpy does that automatically.
the name of its thread can be gotten from 'socket_thread._name' on the connection object. when closing the connection
this name is used to stop its thread
"""
if self.connection == None or self.connection.is_connected() != True:
try:
self.disconnect()
self.connection = fxcmpy(access_token=self.token,
log_level='error',
server=self.account_type)
if self.connection.is_connected():
self.connection_status = 'Connected'
else:
self.disconnect()
self.connection_status = 'Disconnected'
except:
self.connection_status = 'Disconnected'
self.disconnect()
def connect_gui(self):
"""
This function makes an instance of fxcmpy.fxcmpy to connect to server, and is used by gui for creating connection and starting required threads
Once the fxcmpy instance is created, two new threads will be created as fxcmpy does that automatically.
the name of its thread can be gotten from 'socket_thread._name' on the connection object. when closing the connection
this name is used to stop its thread
"""
try:
if self.connection == None or self.connection.is_connected(
) != True:
self.disconnect_gui()
self.connection = fxcmpy(access_token=self.token,
log_level='error',
server=self.account_type)
connection_status = self.connection.is_connected()
if connection_status != True:
self.connection_status = 'Disconnected'
self.disconnect_gui()
return 'Problem in connection'
else:
self.connection_status = 'Connected'
account_info = self.connection.get_accounts(
) #Getting account info data
# Inserting account info data if not exits into db
if len(
self.db.query_table(
'Fxcm_Info', ('accountId', ),
fields=('accountId', ),
values=(self.account_id, ))) == 0:
self.db.insert_into_account_info_table(account_info)
return True
else:
'Connection is already established'
except Exception as e:
self.disconnect_gui()
return str(e)
def start_connection_thread_gui(self):
"""
This function is called from login page when connect button is clicked.
It calls connect_gui ethod to establish connection and then calls gui_threads
to create and start threads for updating fxcm data
"""
result = self.connect_gui()
if result == True:
self.gui_threads()
return True
else:
return result
def gui_threads(self):
"""
This method initializes threads for updating fxcm data
"""
class update_all_info_thread(threading.Thread):
"""
This class inherits from threading.Thread class. Created to handle updating account data, open positions, closed positions
and price data for chart
"""
def __init__(self, fxcm_instance, symbol, timeframe):
threading.Thread.__init__(self)
self.event = threading.Event()
self.fxcm_instance = fxcm_instance
self.symbol = symbol
self.timeframe = timeframe
self.name = 'Update_info_thread'
self.change_symbol_timeframe_signal = False
self.change_symbol_timeframe(self.symbol, self.timeframe)
def change_symbol_timeframe(self, symbol, timeframe):
"""
This method changes symbol and timeframe for getting price data
"""
self.fxcm_instance.db.create_price_data_table(
symbol, timeframe
) #Creating price data table for new symbol and timeframe
self.symbol = symbol
self.timeframe = timeframe
self.change_symbol_timeframe_signal = True
def stop(self):
self.event.set()
def run(self):
while True:
try:
if self.event.is_set() == True:
break
else:
connection_status = self.fxcm_instance.connection.is_connected(
)
if connection_status == True:
self.fxcm_instance.connection_status = 'Connected'
self.fxcm_instance.get_acc_info()
time.sleep(1)
self.fxcm_instance.get_open_positions()
time.sleep(1)
self.fxcm_instance.get_closed_positions()
time.sleep(1)
if self.change_symbol_timeframe_signal == True:
candle_result = self.fxcm_instance.get_price_data(
self.symbol, self.timeframe)
if candle_result == True:
self.change_symbol_timeframe_signal = False
else:
self.fxcm_instance.disconnect_gui()
time.sleep(30)
self.fxcm_instance.connect_gui()
else:
candle_result = self.fxcm_instance.get_price_data(
self.symbol, self.timeframe, 100)
if candle_result == False:
self.fxcm_instance.disconnect_gui()
time.sleep(30)
self.fxcm_instance.connect_gui()
else:
self.fxcm_instance.connection_status = 'Disconnected'
self.fxcm_instance.disconnect_gui()
time.sleep(30)
self.fxcm_instance.connect_gui()
self.event.clear()
time.sleep(10)
except:
self.fxcm_instance.connection_status = 'Disconnected'
self.fxcm_instance.disconnect_gui()
time.sleep(30)
self.fxcm_instance.connect_gui()
self.event.clear()
#Creating an instance of update_all_info_thread and starting it to start updating required data
self.all_info_thread = update_all_info_thread(
self, self.available_symbols_list[0],
self.available_timeframe_list[0])
self.all_info_thread.start()
def disconnect(self):
"""
This method disconnect autotrading fxcm connection objects
"""
try:
self.connection.socket._heartbeat_thread._halt.set()
self.connection = None
self.connection_status = 'Disconnected'
except:
self.connection = None
self.connection_status = 'Disconnected'
def disconnect_gui(self):
"""
This method disconnect gui fxcm connection objects and stop update related threads
"""
try:
try:
self.all_info_thread.stop(
) #Stoping the thread of updating information
except:
pass
try:
self.connection.socket._heartbeat_thread._halt.set()
self.connection = None
self.connection_status = 'Disconnected'
except:
self.connection = None
self.connection_status = 'Disconnected'
except:
pass
def change_symbol_timeframe_chart(self, symbol, timeframe):
"""
This method is called from gui to change symbol and timeframe used in update_all_info_thread to get new data
"""
try:
self.all_info_thread.change_symbol_timeframe(symbol, timeframe)
except:
pass
def get_price_data(self, trading_symbol, timeframe, quantity=10000):
"""
This method gets price data for given symbol and timeframe from fxcm and sends it to be stored in db
"""
try:
symbol = list(trading_symbol)
symbol.insert(3, '/')
symbol = ''.join(symbol)
data = pd.DataFrame()
data = self.connection.get_candles(symbol,
period=timeframe,
number=quantity)
if data.empty != True:
self.db.insert_into_price_data_table(data, trading_symbol,
timeframe)
return True
else:
return False
except:
return False
def get_acc_info(self):
"""
This method gets account info from fxcm and sends it to be stored in db
"""
acc_info = self.connection.get_accounts()
self.db.update_account_info_table(self.account_id, acc_info)
def update_token(self, new_token, account_currency, account_type):
"""
This method updates token and account currency.
It does not only changes the token value, it validates it by connecting to server using given token and account type
and if the connection is established, the it get account info from fxcm to store accountId and accountName and
finally it disconnects and store update token, accountId and accountName, account type and account currency in a
file named account_info.cfg.
"""
try:
self.token = new_token
self.account_type = account_type
self.account_currency = account_currency
self.connection = fxcmpy(access_token=self.token,
log_level='error',
server=self.account_type)
account_info = self.connection.get_accounts()
self.disconnect()
self.account_id = account_info.accountId.iloc[0]
self.account_name = account_info.accountName.iloc[0]
if len(
self.db.query_table('Fxcm_Info', ('accountId', ),
fields=('accountId', ),
values=(self.account_id, ))) == 0:
self.db.insert_into_account_info_table(account_info)
with open('./data/account_info.cfg', 'rb') as f:
account_info_dict = pickle.load(f)
account_info_dict['token'] = self.token
account_info_dict['account_type'] = self.account_type
account_info_dict['account_id'] = self.account_id
account_info_dict['account_name'] = self.account_name
account_info_dict['account_currency'] = self.account_currency
with open('./data/account_info.cfg', 'wb') as f:
pickle.dump(account_info_dict, f)
self.connection = None
return True
except Exception as e:
try:
self.disconnect()
except:
pass
self.connection = None
self.account_id = None
self.account_name = None
self.account_type = ''
self.token = ''
self.account_currency = None
return str(e)
def get_open_positions(self):
"""
This method gets open positions from fxcm and sends it to be stored in db
"""
open_positions = self.connection.get_open_positions()
self.db.update_open_positions_table(open_positions, self.account_id)
def get_open_trade_ids(self):
return self.connection.get_open_trade_ids()
def get_closed_positions(self):
"""
This method gets closed positions from fxcm and sends it to be stored in db
"""
closed_positions = self.connection.get_closed_positions()
self.db.update_closed_positions_table(closed_positions)
def open_position(self, **position_parameters):
try:
print('open_position...............')
"""
Function to add a position to FXCM server
Inputs: **position_parameters->dictionary List of different variables to open a position
Output: Opened position and created db row and tradeId
"""
position_maker = position_parameters['maker']
symbol = position_parameters['symbol']
symbol = list(symbol)
symbol.insert(3, '/')
symbol = ''.join(symbol)
del position_parameters['maker']
position_parameters['symbol'] = symbol
order = self.connection.open_trade(**position_parameters)
trade_id = int(order.get_tradeId())
while True:
open_positions = self.connection.get_open_positions()
data = open_positions.loc[open_positions['tradeId'] == str(
trade_id)]
if data.empty == False:
break
time.sleep(10)
data['positionMaker'] = [
position_maker,
]
self.db.insert_into_open_positions(data)
return trade_id
except:
return None
def close_position(self, **position_parameters):
try:
print('close_position...............')
"""
Function to close a position from FXCM server
Inputs: **position_parameters->dictionary List of different variables to close a position
Output: Closed FXCM position, deleted OpenPosition row and created ClosedPosition row in db
"""
position_maker = position_parameters['maker']
del position_parameters['maker']
self.connection.close_trade(**position_parameters)
self.db.delete_from_table('OpenPosition',
position_parameters['trade_id'])
closed_positions = self.connection.get_closed_positions()
closed_position = closed_positions.loc[
closed_positions['tradeId'] == str(
position_parameters['trade_id'])]
closed_position['positionMaker'] = [
position_maker,
]
self.db.insert_into_closed_positions(closed_position)
return True
except Exception as e:
print(e)
return False
def edit_position_stop_limit(self, **position_parameters):
"""
This method edits an open position
"""
try:
self.connection.change_trade_stop_limit(**position_parameters)
except:
pass
def close_all_positions(self):
"""
This method closess all open positions
"""
try:
data = self.connection.get_open_positions()
for i, j in enumerate(data.tradeId):
self.db.delete_from_table('OpenPosition', j)
self.connection.close_all()
data = self.connection.get_closed_positions()
makers_list = []
for i in range(len(data.tadeId)):
makers_list.append('Manual')
data['positionMaker'] = makers_list
self.db.insert_into_closed_positions(data)
except:
pass
def get_open_positions_ids(self):
try:
return self.connection.get_open_trade_ids()
except:
return []
def get_default_acc_id(self):
try:
return self.connection.get_default_account()
except:
return []