def newOrder(instrument, p, pip, bid, ask):
units = 1000
if instrument == 'XAG_USD':
units = 1
if instrument == 'XAU_USD':
units = 1
if instrument == 'BCO_USD':
units = 1
if p > ask:
side = 'buy'
if pip == 0.001:
price = round(((ask - bid) / 2 + bid), 3)
takeProfit = round((ask + 0.007 * ask), 3)
stopLoss = round((bid - 0.002 * ask), 3)
trailingStop = round((bid - 0.002 * ask), 3)
if pip == 0.00001:
price = round(((ask - bid) / 2 + bid), 5)
takeProfit = round((ask + 0.007 * ask), 5)
stopLoss = round((bid - 0.002 * ask), 5)
trailingStop = round((bid - 0.002 * ask), 5)
if p < bid:
side = 'sell'
if pip == 0.001:
price = round(((ask - bid) / 2 + bid), 3)
takeProfit = round((bid - 0.007 * bid), 3)
stopLoss = round((ask + 0.002 * bid), 3)
trailingStop = round((ask + 0.002 * bid), 3)
if pip == 0.00001:
price = round(((ask - bid) / 2 + bid), 5)
takeProfit = round((bid - 0.007 * bid), 5)
stopLoss = round((ask + 0.002 * bid), 5)
trailingStop = round((ask + 0.002 * bid), 5)
test_order = Order(
instrument=instrument,
units=units,
side=side,
type="market",
stopLoss=stopLoss,
trailingStop=trailingStop,
takeProfit=takeProfit,
# price=price,
# now = datetime.datetime.now()
# expire = now + datetime.timedelta(days=1)
# expiry="GTC"
expiry=(datetime.datetime.now() +
datetime.timedelta(days=50)).isoformat('T') + "Z"
# expiry=(datetime.datetime.now() + datetime.timedelta(days=1))
# expiry=datetime.datetime.now()
)
print(instrument, takeProfit, stopLoss)
return test_order
def market_order(symbol, units, side):
bid = get_bid(symbol)
if side == 'buy':
sl = "{0:.1f}".format(bid * (1 - trading[symbol][side + '_sl']))
tp = "{0:.1f}".format(bid * (1 + trading[symbol][side + '_tp']))
else:
sl = "{0:.1f}".format(bid * (1 + trading[symbol][side + '_sl']))
tp = "{0:.1f}".format(bid * (1 - trading[symbol][side + '_tp']))
market_order = Order(instrument=symbol,
units=units,
side=side,
type="market",
stopLoss=sl,
takeProfit=tp)
return market_order
import datetime
from pyoanda import Client, PRACTICE, Order
client = Client(
environment=PRACTICE,
account_id='9276489',
access_token=
'2b557bdd4fa3dee56c8a159ece012a48-5f5a29d25cb2e7ea1aaeba98f4bbca40')
test_order = Order(
instrument="BCO_USD",
units=1000,
side="buy",
type="market",
trailingStop=51.10,
takeProfit=58.55,
# price=1.1100,
# now = datetime.datetime.now()
# expire = now + datetime.timedelta(days=1)
# expiry="GTC"
expiry=(datetime.datetime.now() +
datetime.timedelta(days=50)).isoformat('T') + "Z"
# expiry=(datetime.datetime.now() + datetime.timedelta(days=1))
# expiry=datetime.datetime.now()
)
position = client.get_positions()
print(position)
order = client.create_order(order=test_order)
def newOrder(instrument, p, bid, ask):
units = 1000
if instrument == 'XAG_USD':
units = 1
if instrument == 'XAU_USD':
units = 1
if instrument == 'BCO_USD':
units = 1
if oanda_usdjpy_topic[-3:] == "JPY":
pip = float('0.001')
else:
pip = float('0.00001')
if p > ask:
side = 'buy'
if pip == 0.00001:
price = round(((ask - bid) / 2 + bid), 5)
takeProfit = round((ask + 0.0005 * ask), 5)
stopLoss = round((bid - 0.0005 * ask), 5)
trailingStop = round((bid - 0.0007 * ask), 5)
if pip == 0.001:
price = round(((ask - bid) / 2 + bid), 3)
takeProfit = round((ask + 0.0007 * ask), 3)
stopLoss = round((bid - 0.0003 * ask), 3)
trailingStop = round((bid - 0.0007 * ask), 3)
if instrument == "USD_JPY":
jpy_exposure = 1000 * float(oanda_eurjpy_bid)
units = int(round(jpy_exposure / float(oanda_usdjpy_ask), 0))
print(units)
if p < bid:
side = 'sell'
if pip == 0.00001:
price = round(((ask - bid) / 2 + bid), 5)
takeProfit = round((bid - 0.0007 * bid), 5)
stopLoss = round((ask + 0.0003 * bid), 5)
trailingStop = round((ask + 0.0007 * bid), 5)
if pip == 0.001:
price = round(((ask - bid) / 2 + bid), 3)
takeProfit = round((bid - 0.0007 * bid), 3)
stopLoss = round((ask + 0.0003 * bid), 3)
trailingStop = round((ask + 0.0007 * bid), 3)
if instrument == "USD_JPY":
jpy_exposure = 1000 * float(oanda_eurjpy_ask)
units = int(round(jpy_exposure / float(oanda_usdjpy_bid), 0))
print(units)
print(stopLoss, takeProfit)
test_order = Order(
instrument=instrument,
units=units,
side=side,
type="market",
stopLoss=stopLoss,
trailingStop=20,
# distance= (2),
takeProfit=takeProfit,
price=price,
# now = datetime.datetime.now()
# expire = now + datetime.timedelta(days=1)
expiry="GTC"
# expiry=(datetime.datetime.now() + datetime.timedelta(days=50)).isoformat('T') + "Z"
# expiry=(datetime.datetime.now() + datetime.timedelta(days=1))
# expiry=datetime.datetime.now()
)
# print(instrument, takeProfit, stopLoss, trailingStop)
return test_order
def start(self):
self.load_data()
if (int(self.weekday) == 4 and int(self.now.hour) >= 17): #Friday 5pm
print 'market closed...'
return None
model = HFmodel(self.vol)
model.calib(self.get_live_sprd())
model.calc(self.mid_price, self.q, 0, 1)
print >> self.f, 'market mid price: ' + str(self.mid_price)
print >> self.f, 'model reservation price: ' + str(
model.get_mid_rev_price())
print >> self.f, 'model bid price: ' + str(model.get_opt_bid(
self.prec))
print >> self.f, 'model ask price: ' + str(model.get_opt_ask(
self.prec))
print >> self.f, 'gamma: ' + str(model.gamma)
print >> self.f, 'inventory: ' + str(self.q)
print >> self.f, 'volatility (5s): ' + str(self.vol)
try:
print 'heartbeat(' + self.underlying + ') ' + str(self.now) + '...'
#close all outstanding orders
resp_order = self.client.get_orders(instrument=self.underlying)
for order in resp_order['orders']:
resp_close_order = self.client.close_order(
order_id=order['id'])
expiry_order = self.now + datetime.timedelta(days=1)
expiry_order = expiry_order.isoformat('T') + "Z"
order_ask = Order(
instrument=self.underlying,
units=self.set_obj.get_trade_size(),
side="sell",
type="limit",
price=model.get_opt_ask(self.prec),
expiry=expiry_order,
)
order_bid = Order(
instrument=self.underlying,
units=self.set_obj.get_trade_size(),
side="buy",
type="limit",
price=model.get_opt_bid(self.prec),
expiry=expiry_order,
)
#place order
try:
if self.q >= 1: #long limit reached
resp_order_ask = self.client.create_order(order=order_ask)
elif self.q <= -1: #short limit reached
resp_order_bid = self.client.create_order(order=order_bid)
else:
resp_order_ask = self.client.create_order(order=order_ask)
resp_order_bid = self.client.create_order(order=order_bid)
except Exception as err:
print err
if ('halt' in str(err)) == True:
print 'market closed...'
return None
else:
print "cannot place order..."
time.sleep(self.set_obj.get_timer())
except Exception as error:
print error
print self.underlying + ' disconnected, try to reconnect ' + str(
self.now) + '...'
self.connect()
threading.Timer(1, self.start).start()
"""How to create a stop order without pulling out all your hair :-)
"""
import datetime
from pyoanda import Client, SANDBOX, Order
client = Client(environment=SANDBOX)
test_order = Order(instrument="EUR_JPY",
units=10,
side="buy",
type="stop",
stopLoss=80.95,
takeProfit=170.56,
price=10.0,
expiry=datetime.datetime.now() + datetime.timedelta(days=1))
stop_order = client.create_order(order=test_order)