def get_live_candles(instrument, params):
"""
@param instrument:
@param params:
@return: dataframe of live candles data
"""
client = API(access_token=access_token)
r = instruments.InstrumentsCandles(instrument=instrument, params=params)
client.request(r)
candles = r.response.get("candles")
data = []
df1 = pd.DataFrame(candles)[['complete', 'volume', 'time']]
df2 = pd.DataFrame(list(pd.DataFrame(candles)['mid']))
df = pd.concat([df1, df2], axis=1)
df.rename(mapper={
'o': 'open',
'h': 'high',
'l': 'low',
'c': 'close'
},
inplace=True,
axis=1)
df['time'] = pd.to_datetime(df['time'])
df[['open', 'high', 'low', 'close']] = df[['open', 'high', 'low',
'close']].apply(pd.to_numeric,
errors='coerce')
return df
def get_data(count,
gran,
year,
month,
day,
hour,
minute,
second,
inst='USD_JPY'):
fmt = '%Y-%m-%dT%H:%M:00.000000Z'
_from = datetime.datetime(year=year,
month=month,
day=day,
hour=hour,
minute=minute,
second=second).strftime(fmt)
params = {
"count": count,
"granularity": gran,
'from': _from,
}
r = instruments.InstrumentsCandles(instrument=inst, params=params)
api.request(r)
df = to_dataframe(r)
return df
def calculate_qty(df, signal, pair):
position_size = nav / max_trades * 20
print(f'position size: {position_size}')
logging.error(f'position size: {position_size}')
print(df.tail())
price = df['close'].iloc[-1]
print(f'price: {price}')
logging.error(f'price: {price}')
if pair in pairs_usd:
print('pair is in pairs_usd')
logging.error('pair is in pairs_usd')
qty = math.floor(position_size / price)
print(f'qty: {qty}')
logging.error(f'qty: {qty}')
elif pair in usd_pairs:
print('pair is in usd_pairs')
logging.error('pair is in usd_pairs')
qty = math.floor(position_size)
print(f'qty: {qty}')
logging.error(f'qty: {qty}')
else:
print('pair doesn\'t have usd')
logging.error('pair doesn\'t have usd')
conversion_pair = conversion_pairs[pair]
print(f'conversion pair: {conversion_pair}')
logging.error(f'conversion pair: {conversion_pair}')
payload = {
'count': 1,
'granularity': 'M1',
}
r = instruments.InstrumentsCandles(instrument=conversion_pair,
params=payload)
conversion_price = float(api.request(r)['candles'][-1]['mid']['c'])
print(f'conversion price: {conversion_price}')
logging.error(f'conversion price: {conversion_price}')
if conversion_pair in pairs_usd:
print('conversion pair in pairs_usd')
logging.error('conversion pair in pairs_usd')
price_currency_qty = position_size / conversion_price
print(f'price currency qty: {price_currency_qty}')
logging.error(f'price currency qty: {price_currency_qty}')
qty = math.floor(price_currency_qty / price)
print(f'qty: {qty}')
logging.error(f'qty: {qty}')
else:
print('conversion pair not in pairs_usd')
logging.error('conversion pair not in pairs_usd')
price_currency_qty = position_size * conversion_price
print(f'price currency qty: {price_currency_qty}')
logging.error(f'price currency qty: {price_currency_qty}')
qty = math.floor(price_currency_qty / price)
print(f'qty: {qty}')
logging.error(f'qty: {qty}')
if signal == 'buy':
return qty
elif signal == 'sell':
return -qty
def connection_historic_data(self, params):
"""
Makes a candle download request to Oanda.
:params (dict) is a dictionary comprised by:
'granularity' : 'M1'
'financial_instrument' : 'EUR_USD'
'count': 5000
'price': 'B' (B for Bid, A for Ask, M for Mid)
'from': '2018-04-13T14:10:00Z'
:return raw data from Oanda
:rtype nested dictionaries follow structure below:
dictionary nests list of dictionaries that nests a dictionary:
'instrument'
'granularity'
'candles' --> list of dictionaries
'complete'
'volume'
'time'
'bid' --> dictionary
'o'
'h'
'l'
'c'
"""
# For some reason Oanda (or oandapyV20) requests two instances of financial instrument as input?
financial_instrument = params['financial instrument']
conn_params = instruments.InstrumentsCandles(instrument=financial_instrument, params=params)
return self.api.request(conn_params)
def insert_table(base_time, instrument, con, table_type, count):
if decideMarket(base_time):
sql = "select insert_time from %s_%s_TABLE where insert_time = \'%s\'" % (instrument, table_type, base_time)
response = con.select_sql(sql)
if len(response) == 0:
if table_type == "1m":
granularity = "M1"
elif table_type == "5m":
granularity = "M5"
elif table_type == "1h":
granularity = "H1"
elif table_type == "3h":
granularity = "H3"
elif table_type == "8h":
granularity = "H8"
elif table_type == "day":
granularity = "D"
start_time = (base_time - timedelta(hours=14)).strftime("%Y-%m-%dT%H:%M:%S")
params = {
"from": start_time,
"granularity": granularity,
"price": "ABM",
"count": count
}
req = instruments.InstrumentsCandles(instrument=instrument, params=params)
client.request(req)
response = req.response
if len(response) == 0:
pass
else:
for candle in response["candles"]:
open_ask_price = candle["ask"]["o"]
open_bid_price = candle["bid"]["o"]
close_ask_price = candle["ask"]["c"]
close_bid_price = candle["bid"]["c"]
high_ask_price = candle["ask"]["h"]
high_bid_price = candle["bid"]["h"]
low_ask_price = candle["ask"]["l"]
low_bid_price = candle["bid"]["l"]
insert_time = candle["time"]
insert_time = insert_time.split(".")[0]
insert_time = insert_time + ".000000Z"
#print(insert_time)
insert_time = iso_jp(insert_time)
insert_time = insert_time.strftime("%Y-%m-%d %H:%M:%S")
sql = "select insert_time from %s_%s_TABLE where insert_time = \'%s\'" % (instrument, table_type, insert_time)
response = con.select_sql(sql)
if len(response) == 0:
sql = "insert into %s_%s_TABLE(open_ask, open_bid, close_ask, close_bid, high_ask, high_bid, low_ask, low_bid, insert_time) values(%s, %s, %s, %s, %s, %s, %s, %s, \'%s\')" % (instrument, table_type, open_ask_price, open_bid_price, close_ask_price, close_bid_price, high_ask_price, high_bid_price, low_ask_price, low_bid_price, insert_time)
print(sql)
try:
con.insert_sql(sql)
except Exception as e:
print(traceback.format_exc())
def insert_new_into_table(trading_pair, time_frame):
added_times = []
#request data from oanda
params = {'granularity': time_frame}
r = instruments.InstrumentsCandles(instrument=trading_pair, params=params)
requested_data = api.request(r)
#prep data to push
no_of_candles = len(requested_data['candles'])
for i in range(no_of_candles):
if requested_data['candles'][i]['complete'] == True:
raw_time = requested_data['candles'][i]['time']
formatted_time = datetime.strptime(raw_time,
'%Y-%m-%dT%H:%M:%S.000000000Z')
formatted_time = formatted_time + timedelta(hours=3)
temp = str(formatted_time)[:-3]
formatted_time = temp.replace('-', '.')
table_name = '{}_{}'.format(time_frame, trading_pair)
#check if time needs to be added
if time_query_check(table_name, formatted_time) == []:
raw_data = requested_data['candles'][i]['mid']
o = raw_data['o']
h = raw_data['h']
l = raw_data['l']
c = raw_data['c']
insert_stuff(table_name, (formatted_time, o, h, l, c))
added_times.append(formatted_time)
return added_times
def get_candles(self, _from, count, granularity, instrument):
params = {"from": _from, "count": count, "granularity": granularity}
r = instruments.InstrumentsCandles(instrument=instrument,
params=params)
data = self.client.request(r)
#print(data)
return data
def get_price_data(pair, config_file, output, **kwargs):
"""Get data from Oanda and put in CSV.
Parameters
----------
pair: str
The instrument pair in which to fetch prices.
config_file : str
Location of configuration file.
output: str
Location and name of output .csv file.
"""
conf = get_config(config_file)
kwargs['price'] = 'BA'
r = instruments.InstrumentsCandles(instrument=pair, params=kwargs)
api = API(access_token=conf['token'])
api.request(r)
prices = []
for _ in r.response['candles']:
prices.append([
_['time'], _['bid']['c'], _['ask']['c'],
float(_['ask']['c']) - float(_['bid']['c'])
])
df = pd.DataFrame(prices)
df.columns = ['time', 'bid', 'ask', 'spread']
df.to_csv(output, sep='\t', index=False)
def get_exrate_as_df(instrument='EUR_USD',
granularity='D',
from_=None,
to='2019-03-01',
count=100):
if from_ is None:
params = {
'granularity': granularity,
'to': to,
'count': count,
}
else:
params = {
'granularity': granularity,
'from': from_,
'to': to,
}
api = API(access_token=ACCESS_TOKEN)
r = instruments.InstrumentsCandles(instrument=instrument, params=params)
api.request(r)
data = []
for row in r.response['candles']:
data.append([
row['time'], row['mid']['o'], row['mid']['h'], row['mid']['l'],
row['mid']['c'], row['volume']
])
df = pd.DataFrame(data)
df.columns = ['time', 'open', 'high', 'low', 'close', 'volume']
df = df.set_index('time')
df.index = pd.to_datetime(df.index)
df = df.astype(float)
return df
def candle_data(self, symbol, granularity, de, para):
""" Candle data for symbols """
params = {"from": de,
"granularity": granularity,
"to": para,
"alignmentTimezone": "Europe/Moscow",
}
r = instruments.InstrumentsCandles(instrument=symbol, params=params)
data = api.request(r)
clean = [{'time':i['time'],"open":i['mid']['o'],
"close":i['mid']['c'],'high':i['mid']['h'],
'low':i['mid']['l']} for i in data['candles']]
df = pd.DataFrame(clean)
df.set_index('time',inplace=True)
df.index = [ parse(i).strftime('%Y-%m-%d') for i in df.index ]
df.index = pd.to_datetime(df.index)
df = df.convert_objects(convert_numeric=True)
df['asset'] = symbol
return df
def get_candles(self, instrument: str, date_from: datetime,
date_to: datetime, granularity: str):
timestamp_from = math.floor(date_from.timestamp())
timestamp_to = math.floor(date_to.timestamp())
granularity_s = self.__get_granularity_s(granularity)
candles = []
while timestamp_to - timestamp_from > 0:
_from = timestamp_from
_to = timestamp_from + 5000 * granularity_s
if _to > timestamp_to:
_to = timestamp_to
params = {
"from": datetime.utcfromtimestamp(_from).isoformat() + "Z",
"to": datetime.utcfromtimestamp(_to).isoformat() + "Z",
"granularity": granularity
}
r = instruments.InstrumentsCandles(instrument, params)
resp = self.__api.request(r)
candles += resp["candles"]
timestamp_from = _to
data = []
for candle in candles:
data.append([
datetime.fromisoformat(candle["time"].split(".")[0]),
candle["mid"]["o"], candle["mid"]["h"], candle["mid"]["l"],
candle["mid"]["c"], candle["volume"]
])
df = pd.DataFrame(data)
df.columns = ["DateTime", "Open", "High", "Low", "Close", "Volume"]
df["Open"] = df["Open"].astype(float)
df["High"] = df["High"].astype(float)
df["Low"] = df["Low"].astype(float)
df["Close"] = df["Close"].astype(float)
return df
def candles(inst, granularity, count, From, to, price, nice, access_token):
api = API(access_token=access_token)
def check_date(s):
dateFmt = "[\d]{4}-[\d]{2}-[\d]{2}T[\d]{2}:[\d]{2}:[\d]{2}Z"
if not re.match(dateFmt, s):
raise ValueError("Incorrect date format: ", s)
return True
if inst:
params = {}
if granularity:
params.update({"granularity": granularity})
if count:
params.update({"count": count})
if From and check_date(From):
params.update({"from": From})
if to and check_date(to):
params.update({"to": to})
if price:
params.update({"price": price})
for i in inst:
r = instruments.InstrumentsCandles(instrument=i, params=params)
rv = api.request(r)
kw = {}
if nice:
kw = {"indent": nice}
# print("{}".format(json.dumps(rv, **kw)))
return rv
def show_candles(accountID, instrument, other_args: List[str]):
parser = argparse.ArgumentParser(
add_help=False,
prog="candles",
description="Display Candle Data",
)
parser.add_argument(
"-g",
"--granularity",
dest="granularity",
action="store",
type=str,
default="D",
required=False,
help=
"The timeframe to get for the candle chart (Seconds: S5, S10, S15, S30 "
+
"Minutes: M1, M2, M4, M5, M10, M15, M30 Hours: H1, H2, H3, H4, H6, H8, H12 "
+ "Day (default): D, Week: W Month: M",
)
parser.add_argument(
"-c",
"--count",
dest="candlecount",
action="store",
default=180,
type=int,
required=False,
help="The number of candles to retrieve. Default:180 ",
)
ns_parser = parse_known_args_and_warn(parser, other_args)
if not ns_parser:
return
parameters = {}
parameters["granularity"] = ns_parser.granularity
parameters["count"] = ns_parser.candlecount
try:
instrument = format_instrument(instrument, "_")
request = instruments.InstrumentsCandles(instrument, params=parameters)
response = client.request(request)
process_candle_response(response)
oanda_fix_date(".temp_candles.csv")
df = pd.read_csv(".candles.csv", index_col=0)
df.index = pd.to_datetime(df.index)
df.columns = ["Open", "High", "Low", "Close", "Volume"]
if gtff.USE_ION:
plt.ion()
mpf.plot(
df,
type="candle",
style="charles",
volume=True,
title=f"{instrument} {ns_parser.granularity}",
)
print("")
except V20Error as e:
d_error = eval(e.msg)
print(d_error["errorMessage"], "\n")
def get_candle(self, instrument='EUR_USD', count=2, granularity='M1'):
r = instruments.InstrumentsCandles(instrument=instrument,
params={
'count': count,
'granularity': granularity
})
candleprice = self.client.request(r)
completed = False
for count in candleprice["candles"]:
if count['complete']:
volume = float(count['volume'])
high = float(count['mid']['h'])
low = float(count['mid']['l'])
close = float(count['mid']['c'])
date = count['time']
times = self.reverse_format_func(date)
if len(self.times) == 0:
completed = True
self.times = [times]
self.last_close = close
self.last_volume = volume
elif times != self.times[-1]:
completed = True
self.times.append(times)
self.liste_to_evol(high=high,
low=low,
close=close,
volume=volume)
return completed
def connect_to_api():
client = oandapyV20.API(access_token= ACCESS_TOKEN)
params = {'accountId' : ACCOUNT_ID, 'instruments' : INSTRUMENTS, 'granularity': granularity}
data_request = instruments.InstrumentsCandles(instrument = INSTRUMENTS, params = params)
client.request(data_request)
response = data_request.response
return response
def get_instruments_all(self,
instruments_list,
from_date,
to_date='',
granularity="D",
price="MBA"):
data = {}
params = {}
params['granularity'] = granularity
params['price'] = price
if from_date != '':
params['from'] = from_date
if to_date != '':
params['to'] = to_date
else:
now = datetime.datetime.now()
now = now.strftime('%Y-%m-%d')
params['to'] = now
client = oandapyV20.API(access_token=self.__token)
for i in range(len(instruments_list)):
try:
r = instruments.InstrumentsCandles(
instrument=instruments_list[i], params=params)
json_response = client.request(r)
data[instruments_list[i]] = self.get_tot_trade(json_response)
except:
continue
return (data)
def main(self):
def check_date(s):
dateFmt = "[\d]{4}-[\d]{2}-[\d]{2}T[\d]{2}:[\d]{2}:[\d]{2}Z"
if not re.match(dateFmt, s):
raise ValueError("Incorrect date format: ", s)
return True
if self.clargs.instruments:
params = {}
if self.clargs.granularity:
params.update({"granularity": self.clargs.granularity})
if self.clargs.count:
params.update({"count": self.clargs.count})
if self.clargs.From and check_date(self.clargs.From):
params.update({"from": self.clargs.From})
if self.clargs.to and check_date(self.clargs.to):
params.update({"to": self.clargs.to})
if self.clargs.price:
params.update({"price": self.clargs.price})
for i in self.clargs.instruments:
r = instruments.InstrumentsCandles(instrument=i, params=params)
rv = self.api.request(r)
kw = {}
if self.clargs.nice:
kw = {"indent": self.clargs.nice}
print("{}".format(json.dumps(rv, **kw)))
def get_sequence_candles(instrument, granularity, count, da=daily_alignment):
env = yaml.safe_load(open('/seq/seq5/configs/env.yaml', 'r'))
client = oandapyV20.API(access_token=env['client'])
params = {
'count': count,
'granularity': granularity,
'price': 'M',
'alignmentTimezone': 'UTC', #'America/Los_Angeles',
'dailyAlignment': da
}
r = instruments.InstrumentsCandles(instrument=instrument, params=params)
coll = client.request(r)
# Remove last candle if not complete.
if coll['candles'][-1]['complete'] == False:
coll['candles'].pop()
# Assemble Dataframe
high = []
low = []
close = []
timestamp = []
for i in range(len(coll['candles'])):
high.append(float(coll['candles'][i]['mid']['h']))
low.append(float(coll['candles'][i]['mid']['l']))
close.append(float(coll['candles'][i]['mid']['c']))
timestamp.append(coll['candles'][i]['time'])
# Assemble DataFrame. Cast Values.
df = pd.DataFrame(pd.to_datetime(timestamp))
df.columns = ['timestamp']
df['high'] = pd.to_numeric(high)
df['low'] = pd.to_numeric(low)
df['close'] = pd.to_numeric(close)
return df
def f_descarga_precios(date, instrument):
"""
Parameters
---------
instrument: str : instrumento del precio que se requiere
date : date : fecha del dia del precio
Returns
---------
prices: : precios del activo descargado.
Debuggin
---------
instrument : str : cadena de texto con 'EUR_USD'
date = pd.to_datetime("2019-07-06 00:00:00")
"""
# Inicializar api de OANDA
api = API(environment="practice", access_token='107596e9d65c' + '1bbc9175953d917140' + '12-f975c6201dddad03ac1592232c0ea0ea',)
# Convertir en string la fecha
fecha = date.strftime('%Y-%m-%dT%H:%M:%S')
# Parametros para Oanda
r = instruments.InstrumentsCandles(instrument=instrument,
params={"count": 1, "granularity": 'S10', "price": "M", "dailyAlignment": 16, "from": fecha})
# Descargar
response = api.request(r)
# En fomato candles
prices = response.get("candles")
# Regresar el precio de apertura
return prices
def __init__(self, instrument, granularity, units, clargs):
self.accountID, token = authentication()
self.client = API(access_token=token)
self.units = units
self.clargs = clargs
self.pt = PriceTable(instrument, granularity)
# fetch First Candle data
params = {"count": 1, "from": self.clargs.Orbdate}
r = instruments.InstrumentsCandles(instrument=instrument,
params=params)
rv = self.client.request(r)
if len(rv) == 0:
logger.error(
"No candle data available for specified date:{d}".format(
d=self.clargs.Orbdate))
# and calculate indicators
for crecord in rv['candles']:
if crecord['complete'] is True:
self.high = float(crecord['mid']['h'])
self.low = float(crecord['mid']['l'])
ORBdetails = ORB(self.pt, self.client, self.high, self.low)
self.pt.setHandler("onAddItem", ORBdetails.calculate)
self.indicators = [ORBdetails]
self.state = NEUTRAL # overall state based on calculated indicators
self.unit_ordered = False
self._botstate()
def __init__(self, instrument, granularity, units, clargs):
self.accountID, token = exampleAuth()
self.client = API(access_token=token)
self.units = units
self.clargs = clargs
self.pt = PriceTable(instrument, granularity)
mavgX = MAx(self.pt, clargs.shortMA, clargs.longMA, clargs.SOK,
clargs.SOD, clargs.SOF)
self.pt.setHandler("onAddItem", mavgX.calculate)
self.indicators = [mavgX]
self.state = NEUTRAL # overall state based on calculated indicators
# fetch initial historical data
params = {"granularity": granularity, "count": self.clargs.longMA}
r = instruments.InstrumentsCandles(instrument=instrument,
params=params)
rv = self.client.request(r)
# and calculate indicators
for crecord in rv['candles']:
if crecord['complete'] is True:
# def addItem(self, dt, ao, ah, al, ac, av, bo, bh, bl, bc, bv):
self.pt.addItem(crecord['time'], float(crecord['mid']['o']),
float(crecord['mid']['h']),
float(crecord['mid']['l']),
float(crecord['mid']['c']),
int(crecord['volume']),
float(crecord['mid']['o']),
float(crecord['mid']['h']),
float(crecord['mid']['l']),
float(crecord['mid']['c']),
int(crecord['volume']))
self._botstate()
def get_candles(granularity, instrument="USD_CAD", count=100):
'''
Returns candlestick information based on given parameters.
Information is returned as a pandas df
'''
params = {"count": count, "granularity": granularity}
oanda, __ = connect_to_server()
r = instruments.InstrumentsCandles(instrument, params=params)
oanda.request(r)
candles = r.response['candles']
for i in candles:
i.pop('complete')
olhc = i.pop('mid')
i['Date'] = i.pop('time')
i['Volume'] = i.pop('volume')
i['Open'] = float(olhc['o'])
i['High'] = float(olhc['h'])
i['Low'] = float(olhc['l'])
i['Close'] = float(olhc['c'])
i['Volume'] = float(i['Volume'])
df = pd.DataFrame(candles)
df['Datetime'] = pd.DatetimeIndex(df['Date'])
df = df.set_index('Datetime')
df = df.drop(['Date'], axis=1)
# csv_for_testing()
return df
def get_last_hour(self, which=1):
last_hour = pd.DataFrame()
for j in range(0, len(self.instrument)):
params = {}
params.update({'granularity': 'M5'})
params.update({'count': 2})
params.update({'price': 'BA'})
r = instruments.InstrumentsCandles(instrument=self.instrument[j],
params=params)
rv = self.api.request(r)
dict = {}
for i in range(2):
df = pd.DataFrame.from_dict(rv['candles'][:][i])
df = df.transpose()
spread = float(df.loc['ask'].c) - float(df.loc['bid'].c)
list = df.loc['ask'][['o', 'h', 'l', 'c', 'time']]
date = df.loc['time'].c
vol = df.loc['volume'].c
dict[i] = {
'date': date,
'open': float(list.o),
'high': float(list.h),
'low': float(list.l),
'close': float(list.c),
'AskVol': float(vol),
'spread': spread,
'symbol': self.instrument[j]
}
df = pd.DataFrame.from_dict(dict)
df = df.transpose()
df = df.set_index(pd.to_datetime(df.date))
df = df[[
'open', 'high', 'low', 'close', 'AskVol', 'spread', 'symbol'
]]
last_hour = last_hour.append(df.iloc[which])
last_hour = last_hour[['close', 'symbol']]
time = last_hour.index[0]
values = last_hour.close.values
symbols = last_hour.symbol.values
append = pd.DataFrame(data=[values], columns=symbols, index=[time])
self.hist_data = self.hist_data.append(append)
self.hist_data.to_csv('Data/Composite_Prices.csv')
def main():
access_token = "df36fd83bc0d3b33010ebbea7feb99d7-5849f313292879ab44e0a824de58e1ad"
api = API(access_token=access_token, environment="practice")
# count = 2000
count = 100
params = {
"count": count, # 足3本取得
"granularity": "M5", # 1分足を取得
"price": "B", # Bidを取得
}
instruments_candles = instruments.InstrumentsCandles(instrument="GBP_USD",
params=params)
try:
api.request(instruments_candles)
response = instruments_candles.response
df = pd.DataFrame([candle["bid"] for candle in response["candles"]],
dtype=np.float64)
df['v'] = [candle["volume"] for candle in response["candles"]]
df.columns = ['Open', 'High', 'Low', 'Close', 'Volume']
df['date'] = [candle["time"] for candle in response["candles"]]
df['date'] = pd.to_datetime(df['date'])
df.set_index('date', inplace=True)
# print(df)
for i in range(int(count / 10)):
mpf.plot(df[i * 10:(i + 1) * 10],
type='candle',
style='nightclouds',
savefig=f'data/candles{i}.png')
# mpf.show()
except V20Error as e:
print("Error: {}".format(e))
def candlestickinfo(candlecount, granularity):
parameters = {"count": candlecount, "granularity": granularity}
info = instruments.InstrumentsCandles(instrument="EUR_USD",
params=parameters)
api.request(info)
return info.response
def get_candles(instrument, params):
_conf = PyOandaConfig()
_api = API(access_token=_conf.access_token, environment="practice")
_request = instruments.InstrumentsCandles(instrument=instrument, params=params)
_api.request(_request)
return _request.response
def historical_klines(self, forex_pair, num_of_candles, interval):
import oandapyV20.endpoints.instruments as instruments
parameters = {"count": num_of_candles, "granularity": interval}
r = instruments.InstrumentsCandles(instrument=forex_pair, params=parameters)
self.client.request(r)
forex_pair_data_raw = r.response
# OHLC
flag_historical = True
idx_historical = 0
while flag_historical:
self.open_prices.append(float(forex_pair_data_raw["candles"][idx_historical]["mid"]["o"]))
self.high_prices.append(float(forex_pair_data_raw["candles"][idx_historical]["mid"]["h"]))
self.low_prices.append(float(forex_pair_data_raw["candles"][idx_historical]["mid"]["l"]))
self.close_prices.append(float(forex_pair_data_raw["candles"][idx_historical]["mid"]["c"]))
self.date_time.append(forex_pair_data_raw["candles"][idx_historical]["time"][: -11])
if idx_historical == num_of_candles - 1:
flag_historical = False
idx_historical += 1
self.red_green_candles = ["Green" if x[0] < x[1] else "Red" for x in zip(self.open_prices, self.close_prices)]
self.candles_size = [round((((x[1] - x[0]) * 100) / x[0]), 3) for x in zip(self.open_prices, self.close_prices)]
def get_candles_dataframe(accountID, instrument, parameters):
if not parameters:
parameters = {
"granularity": "D",
"count": "1500",
}
try:
request = instruments.InstrumentsCandles(instrument, params=parameters)
response = client.request(request)
candles_data = []
for i in range(len(response["candles"])):
candles_data.append({
"Date":
response["candles"][i]["time"][:10] + " " +
response["candles"][i]["time"][11:19],
"Open":
float(response["candles"][i]["mid"]["o"]),
"High":
float(response["candles"][i]["mid"]["h"]),
"Low":
float(response["candles"][i]["mid"]["l"]),
"Close":
float(response["candles"][i]["mid"]["c"]),
"Volume":
response["candles"][i]["volume"],
})
df = pd.DataFrame(candles_data)
df.set_index("Date", inplace=True)
df.index = pd.to_datetime(df.index)
return df
except V20Error as e:
# pylint: disable=W0123
d_error = eval(e.msg)
print(d_error["errorMessage"], "\n")
def get_currency_bars(ticker, granularity, numBars=1):
"""
returns a dataframe object that has the specified currency's Current price,Open,High,Low,Close Values
for the specified Granularity. Default number of bars is 1.
"""
#Set up Parameters
inParams = {"count": numBars, "granularity": granularity}
#retrieve data from network
candle_get = instruments.InstrumentsCandles(instrument=ticker,
params=inParams)
client.request(candle_get)
#Flatten the data recived from network and set datetime index
norm_data = json_normalize(candle_get.response['candles'])
norm_data.set_index(norm_data['time'].apply(pd.to_datetime), inplace=True)
#Create the dataframe you will return
ret_df = pd.DataFrame(
np.zeros((numBars, 6)),
index=norm_data['time'].apply(pd.to_datetime),
columns='Open High Low Close Volume Complete'.split())
#Assign corresponding Columns and return the dataframe!
ret_df['Open'] = norm_data['mid.o']
ret_df['High'] = norm_data['mid.h']
ret_df['Low'] = norm_data['mid.l']
ret_df['Close'] = norm_data['mid.c']
ret_df['Volume'] = norm_data['volume']
ret_df['Complete'] = norm_data['complete']
return ret_df
def get_historical_ohlc(self, instrument=INSTRUMENT, granularity=GRANULARITY, count=5000):
"""
:param instrument:
:param from_date:
:param to_date:
:return:
"""
# get historical price data from OANDA API
params = {
"granularity": granularity,
"count": count
}
hist_data = instruments.InstrumentsCandles(instrument, params)
hist_data = client.request(hist_data)
# save the historical data
collection = db['historical_ohlc']
collection.insert_one(hist_data)
del hist_data['_id']
print(hist_data)
print(type(hist_data))
return hist_data
