def price_alert(self, event):
symbol = get_mt4_symbol(event.instrument)
for resistance_level in self.resistance_suffix:
key = '%s_%s' % (symbol, resistance_level)
resistance = self.prices.get(key)
if not resistance:
continue
price = Decimal(str(resistance))
if event.bid > price:
msg = '%s up corss %s = %s' % (symbol, resistance_level, price)
logger.info('[PRICE_ALERT] %s' % msg)
send_to_admin(msg)
tg.send_me(msg)
self.remove(key)
for support_level in self.support_suffix:
key = '%s_%s' % (symbol, support_level)
support = self.prices.get(key)
if not support:
continue
price = Decimal(str(support))
if event.ask < price:
msg = '%s down corss %s = %s' % (symbol, support_level, price)
logger.info('[PRICE_ALERT] %s' % msg)
send_to_admin(msg)
tg.send_me(msg)
self.remove(key)
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 _draw(data, symbol, price, filename=None, to_plotly=False):
symbol = get_mt4_symbol(symbol)
pip_unit = pip(symbol)
fig = plt.figure()
ax = plt.axes()
items = data.items()
y = [
float(v) for k, v in items if pip(symbol,
float(k) - price, True) < 100
]
x = [
float(k) for k, v in items if pip(symbol,
float(k) - price, True) < 100
]
ax.plot(x, y)
plt.axvline(x=price, color='r')
plt.xticks(np.arange(min(x), max(x), float(pip_unit * 10)), rotation=90)
fig.show()
if filename:
fig.savefig('/tmp/%s.png' % filename)
if to_plotly:
trace = go.Bar(x=x, y=y)
result = py.iplot([trace], filename=filename)
print(result.embed_code)
def read(self, instrument, prices):
instrument = get_mt4_symbol(instrument)
if isinstance(prices, DataFrame):
for i in range(len(prices)):
tick = prices.iloc[i]
price = Decimal(str(tick['Bid'])) + Decimal(str(tick['Ask']))
price /= 2
self.process_price(instrument, price)
def draw_history(symbol, price):
price = float(price)
symbol = get_mt4_symbol(symbol)
data = price_redis.get('%s_H1' % symbol)
if not data:
print('No data for %s' % symbol)
return
data = json.loads(data)
filename = '%s_%s_history' % (symbol,
datetime.utcnow().strftime('%Y-%m-%d %H:%M'))
_draw(data, symbol, price, filename)
def get_price(self, instrument, type='mid'):
instrument = get_mt4_symbol(instrument)
pip_u = pip(instrument)
price = get_tick_price(instrument)
if not price:
raise Exception('get_price, %s price is None' % instrument)
if type == 'ask':
return Decimal(str(price.get('ask'))).quantize(pip_u)
elif type == 'bid':
return Decimal(str(price.get('bid'))).quantize(pip_u)
elif type == 'mid':
price = (price.get('bid') + price.get('ask')) / 2
return Decimal(str(price)).quantize(pip_u)
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 tick_to_kinesis(tick, dataframe):
instrument = get_mt4_symbol(tick['Symbol'])
bid = str(Decimal(str(tick['Rates'][0])).quantize(pip(instrument)/10))
ask = str(Decimal(str(tick['Rates'][1])).quantize(pip(instrument)/10))
data = {
'timestamp': int(tick['Updated']) / 1000.0,
'bid': bid,
'ask': ask
}
data = json.dumps(data)
records.append({'Data': bytes(data, 'utf-8'), 'PartitionKey': instrument})
if len(records) == 10:
print(records)
kinesis.put_records(StreamName=inputStream, Records=records)
records.clear()
def tick_data(self, data, dataframe):
try:
instrument = get_mt4_symbol(data['Symbol'])
time = datetime.utcfromtimestamp(int(data['Updated']) / 1000.0)
bid = Decimal(str(data['Rates'][0])).quantize(pip(instrument))
ask = Decimal(str(data['Rates'][1])).quantize(pip(instrument))
tick = TickPriceEvent(self.broker, instrument, time, bid, ask)
self.put(tick)
data = json.dumps(
{'ask': float(ask), 'bid': float(bid), 'time': time.strftime('%Y-%m-%d %H:%M:%S:%f')})
set_tick_price(instrument, data)
set_last_tick(time.strftime('%Y-%m-%d %H:%M:%S:%f'))
self.last_tick_time = datetime.utcnow()
except Exception as ex:
logger.error('tick_data error = %s' % ex)
def _load_trade(self, trade_id, trade):
self.trades[str(trade_id)] = {
'broker': self.account.broker,
'account_id': self.account.account_id,
'trade_id': trade.get_tradeId(),
'instrument': get_mt4_symbol(trade.get_currency()),
'side': OrderSide.BUY if trade.get_isBuy() else OrderSide.SELL,
'open_time': trade.get_time(),
'open_price': Decimal(str(trade.get_open())),
'take_profit': Decimal(str(trade.get_limit())),
'stop_loss': Decimal(str(trade.get_stop())),
'current': 0,
'max': 0,
'min': 0,
'profitable_seconds': 0,
'last_profitable_start': None,
'last_tick_time': None,
}
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 __init__(self,
broker,
account_id,
trade_id,
instrument,
side,
lots,
open_time,
open_price,
stop_loss=None,
take_profit=None,
magic_number=None):
self.broker = broker
self.account_id = account_id
self.trade_id = trade_id
self.instrument = get_mt4_symbol(instrument)
self.side = side
self.lots = lots
self.open_time = open_time
self.open_price = Decimal(str(open_price))
self.stop_loss = Decimal(str(stop_loss)) if stop_loss else None
self.take_profit = Decimal(str(take_profit)) if take_profit else None
self.magic_number = magic_number
super(TradeOpenEvent, self).__init__()
def __init__(self,
broker,
account_id,
trade_id,
instrument,
side,
lots,
profit,
close_time,
close_price,
pips=None,
open_time=None):
self.broker = broker
self.account_id = account_id
self.trade_id = trade_id
self.instrument = get_mt4_symbol(instrument)
self.side = side
self.lots = lots
self.profit = Decimal(str(profit))
self.close_price = Decimal(str(close_price))
self.close_time = close_time
self.open_time = open_time
self.pips = Decimal(str(pips)) if pips else None
super(TradeCloseEvent, self).__init__()
def __init__(self, queue, account=None, instruments=None, *args, **kwargs):
super(PriceAlertHandler, self).__init__(queue)
if instruments:
self.instruments = [get_mt4_symbol(ins) for ins in instruments]
self.update_price()
