def check_for_entry_fills(profitorder, order_id):
ordersfname = 'entryorderssent'
lines = rpu_rp.CsvToLines(ordersfname)
for l in lines:
executedf = 'open'
print l
## order_id = 22
filltag = 'orderId=' + str(order_id) + ', status=Filled'
## for order id, look fora fill
for b in rpu_rp.TxtToLines('replys'):
if 'orderStatus' in str(b) and filltag in str(b):
print b
executedf = 'filled'
print executedf, 'placing prof ord if filled'
executedf = 'filled' ##### hack for testing to force the proforder
if executedf == 'filled':
print 'sending prof'
## cannot use this order, it is stale, need to rebuild order based on the dictionary
##created in order creation, tag the orders in the dictionary as entry,profit,filled,open and use this
## newpoorder = ibutiles.create_order('LMT', tsize, flipside, profprice,True,profprice,profprice,'profit') ## need to add profit amount based ona dictionary created before
tws_conn.placeOrder(order_id + 1, symcontract, profitorder)
def prepare_imp_file(filein,fileout):
newlines =[]
lines = rpu_rp.CsvToLines(filein)
headerline =['Action', 'Quantity', 'Symbol', 'TimeInForce', 'SecType', 'OrderType', 'LmtPrice', 'Exchange', 'Currency', 'CUSIP', 'ISIN', '']
## itemlist = [Action, Quantity, Symbol, TimeInForce, SecType, OrderType, LmtPrice, Exchange, Currency, CUSIP, ISIN]
newlines.append(headerline)
for l in lines:
newline =[]
print l
isin = l[6]
action = l[0]
title = l[3]
qty = l[5]
price = l[2]
c=0
for i in headerline: # itemlist:
## print i
## newline.append(i)
newline.append(l[c])
c+=1
newlines.append(newline)
rpu_rp.WriteArrayToCsvfile(fileout,newlines)
def show_spots(sym, date, limit, spotfile):
curprice = float(TicksUtile.recenttick(sym, 'recent'))
spotlines = rpu_rp.CsvToLines(spotfile)
for l in spotlines:
spotp = float(l[0])
if len(l) > 1:
## print l
spotid = l[1]
pass
else:
spotid = ''
distance = abs(spotp - curprice)
if (spotp - curprice) > 0:
underover = 'under'
else:
underover = 'over'
if distance < limit:
if underover == 'under':
sflag = 'SELL'
else:
sflag = 'BUY'
print('>>%4s at %8.2f %s|%s |%4.2f |%8.2f > pass#? range=%d' %
(sflag, spotp, spotid, sym, distance, curprice, limit))
def prepare_imp_file(filein, fileout):
newlines = []
lines = rpu_rp.CsvToLines(filein)
headerline = [
'Action', 'Quantity', 'Symbol', 'TimeInForce', 'SecType', 'OrderType',
'LmtPrice', 'Exchange', 'Currency', 'CUSIP', 'ISIN', ''
]
headerline = [
'name', 'roloid', 'isin', 'sugarid', 'tradedcurr', 'assetclass',
'sector'
]
newlines.append(headerline)
for l in lines:
newline = []
newlinebla = []
c = 0
for i in headerline:
newvar = locals()[i]
if newvar == 'isin':
print newvar
newline.append(newvar)
newlines.append(newline)
rpu_rp.WriteArrayToCsvfile(fileout, newlines)
def ShowIndBar(sym, dur, ind, mode, barnum, bartime):
barfnumlimit = 500
lastbar = []
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
arrayin = rpu_rp.CsvToLines(statefile)
barcount = len(arrayin)
lastbar = (rpu_rp.tail_array_to_array(arrayin, 1))[0]
nbar = (rpu_rp.tail_array_to_array(arrayin, barnum))[0]
lastfewbars = (rpu_rp.tail_array_to_array(arrayin, barfnumlimit))
for bar in lastfewbars:
if TicksUtile.time_to_epoch(bar[0]) <= TicksUtile.convertTime(
bartime, 'dashspace', 'timetoepoch'):
timedbar = bar
if mode == 'barcount':
output = barcount
elif mode == 'LastBar':
output = lastbar
elif mode == 'nbar':
output = nbar
elif mode == 'bytime':
output = timedbar
elif mode == 'barcount':
output = barcount
return output
def GetStates(arrayin, sym, Indtitle, dur, threshold, date,
alternatearrayin): #add barr age from last cross here
## decimalboost = dboostdict[sym]
## print arrayin
if len(arrayin) > 3:
pass
else:
print ' small array detected...probaly needs ddload!!', 'getting states for...', Indtitle, dur, sym, date, 'used yesterday'
arrayin = alternatearrayin #[['ES', ' 2015-10-20 22:58:05',20.5,20.25,20.5,20.75,'full','60'],['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60']]
bsclose = strip1float(arrayin, 5, sym) ##raw close price
bs = bsclose
symES = 'ES'
EsFile = rpu_rp.CsvToLines(DataDown + date + '.' + symES + '.' +
dur.replace(' ', '') + '.both.csv')
DurBothBoostedES = boost_pricearray(EsFile, symES)
bsES = strip1float(DurBothBoostedES, 5, 'ES')
bsopen = strip1float(arrayin, 2, sym) ##raw open price
bshighs = strip1float(arrayin, 3, sym)
#### print dur
bsvolume = strip1float(arrayin, 6, sym)
## bsvolume = strip1floatfromstring(arrayin,6,sym)
bslows = strip1float(arrayin, 4, sym)
bsbardiff = difftwoarrays(bsclose, bsopen)
barrange = difftwoarrays(bshighs, bslows)
barmids = difftwoarraysMIDS(bshighs, bslows)
timestamparray = strip1string(arrayin, 1)
stochval = 14
stochval2 = 3
rvival = 4
rvival2 = 10
comparebs = rpu_rp.tail_array_to_array(bsclose, 100)
compareES = rpu_rp.tail_array_to_array(bsES, 100)
comparetimes = rpu_rp.tail_array_to_array(timestamparray, 100)
stdvarbb = 1 #.382
bbandma = 20
if Indtitle == 'pivot':
indicator = Mod_Indicators.pivotpoint(bshighs, bslows, bsclose)
signindicator = indicator
elif Indtitle == 'R1':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'R', '1')
signindicator = indicator
elif Indtitle == 'S1':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'S', '1')
signindicator = indicator
elif Indtitle == 'S2':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'S', '2')
signindicator = indicator
elif Indtitle == 'R2':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'R', '2')
signindicator = indicator
elif Indtitle == 'mcross':
indicator = Mod_Indicators.difftwoarrays(EMAmvavgToArray(bsclose, 9),
EMAmvavgToArray(bsclose, 21))
signindicator = indicator
elif Indtitle == 'AO':
indicator = Mod_Indicators.difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34))
signindicator = indicator
elif Indtitle == 'AOAcc':
indicator = Mod_Indicators.difftwoarrays(
difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34)),
SMAmvavgToArray(
difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34)), 5))
signindicator = indicator
elif Indtitle == 'price':
indicator = bsclose
signindicator = bsbardiff
elif Indtitle == 'highs':
indicator = bshighs
signindicator = bsbardiff
elif Indtitle == 'lows':
indicator = bslows
signindicator = bsbardiff
elif Indtitle == 'mcd':
indicator = Mod_Indicators.MACDdiverg(bsclose)
signindicator = indicator
elif Indtitle == 'kupper':
indicator = Mod_Indicators.keltner_channels(bshighs, bslows, bsclose,
2, 'upper')
signindicator = indicator
elif Indtitle == 'klower':
indicator = Mod_Indicators.keltner_channels(bshighs, bslows, bsclose,
2, 'lower')
signindicator = indicator
elif Indtitle == 'stddev':
indicator = stddev(bshighs, bslows, bsclose, bbandma)
signindicator = indicator
elif Indtitle == 'bbandlower':
indicator = Mod_Indicators.bbands(bshighs, bslows, bsclose, bbandma,
stdvarbb,
'lower') #simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'bbandupper':
indicator = Mod_Indicators.bbands(bshighs, bslows, bsclose, bbandma,
stdvarbb,
'upper') #simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'kmid':
indicator = Mod_Indicators.keltner_channel_mid(bshighs, bslows,
bsclose, 2)
signindicator = indicator
elif Indtitle == 'ema':
indicator = Mod_Indicators.EMAmvavgToArray(bsclose, 21)
signindicator = indicator
elif Indtitle == 'sma200':
indicator = mvavgToArray(bsclose, 200)
signindicator = indicator
elif Indtitle == 'sma50':
indicator = mvavgToArray(bsclose, 50)
signindicator = indicator
elif Indtitle == 'sma100':
indicator = mvavgToArray(bsclose, 100)
signindicator = indicator
elif Indtitle == 'diffvES':
indicator = Mod_Indicators.diffvES(comparebs, compareES)
## timestamparray = comparetimes
signindicator = indicator
elif Indtitle == 'RSI':
indicator = Mod_Indicators.RSI(bsclose, 14)
signindicator = indicator
elif Indtitle == 'ROC':
indicator = Mod_Indicators.ROC(bsclose, 9)
signindicator = indicator
elif Indtitle == 'StochD':
indicator = Mod_Indicators.StochD(
(Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval)),
stochval2)
signindicator = indicator
elif Indtitle == 'StochK':
indicator = Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval)
signindicator = indicator
elif Indtitle == 'Stoch_CROSS':
indicator = Mod_Indicators.Stoch_CROSS(
Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval),
Mod_Indicators.StochD(
Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval),
stochval2))
signindicator = indicator
elif Indtitle == 'ATR':
indicator = Mod_Indicators.ATR(bshighs, bslows, bsclose, 14)
signindicator = indicator
elif Indtitle == 'RVIline':
ind1 = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
indicator = Mod_Indicators.RVIline(ind1, rvival)
signindicator = indicator
elif Indtitle == 'RVIsignal':
indicator = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
signindicator = indicator
elif Indtitle == 'RVI_CROSS':
ind1 = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
ind2 = Mod_Indicators.RVIline(ind1, rvival)
indicator = Mod_Indicators.RVI_CROSS(ind1, ind2)
signindicator = indicator
pass
elif Indtitle == 'CMF':
maVal = 20
## indicator = bsvolume #20 #'20' #CMF(bsclose,bslows,bshighs,bsvolume,maVal)
indicator = Mod_Indicators.CMF(bsclose, bslows, bshighs, bsvolume,
maVal)
signindicator = indicator
elif Indtitle == 'OBV':
maVal = 20
indicator = Mod_Indicators.OBV(
bsclose, bsvolume, maVal
) # bsvolume #20 #'20' #CMF(bsclose,bslows,bshighs,bsvolume,maVal)
signindicator = indicator
else:
print 'unknown indicator', Indtitle
sign = show_sign(signindicator, Indtitle, threshold)
if Indtitle == 'RSI':
sign = show_sign2thresholds(signindicator, Indtitle, 21, 81)
durarray = lableToarray(bsclose, dur)
slope = show_slope(indicator, 'value')
slopetag = show_slope(indicator, 'tagstyle')
showcrxx = show_cross(sign, 'noage')
crossages = show_cross(sign, 'crossage')
stdval = stddev(1, 1, indicator, 50)
if Indtitle == 'diffvES':
arrayout = joinArraysStates(comparetimes, indicator, sign, slope,
slopetag, Indtitle, sym, showcrxx,
durarray, bshighs, bslows, bsclose,
crossages, stdval)
else:
arrayout = joinArraysStates(timestamparray, indicator, sign, slope,
slopetag, Indtitle, sym, showcrxx,
durarray, bshighs, bslows, bsclose,
crossages, stdval)
alist = timestamparray, indicator, sign, slope, slopetag, Indtitle, sym, showcrxx, durarray, bshighs, bslows, bsclose, crossages, stdval
prevlena = 0
return arrayout
def StatesArrayToAllStats(sym, dur, ind, fieldnum):
arrayfull = rpu_rp.CsvToLines(statearea + sym + '.' + dur + '.' + ind +
'.state.csv')
arrayin = strip1float(arrayfull, fieldnum, sym)
stats = ArrayToAllStats(arrayin, 50) ## gives std,max,avg
return stats
def MaxMinABSAvgIndArray(sym, dur, ind, fieldnum):
arrayfull = rpu_rp.CsvToLines(statearea + sym + '.' + dur + '.' + ind +
'.state.csv')
arrayin = strip1float(arrayfull, fieldnum, sym)
stats = maxminABSAvgToArray(arrayin)
return stats
((os.getcwd().replace('EXE', '|')).split('|'))[0] + 'EXE' + localtag
]
#########################################
import ENVdicts, rpu_rp
nd = {}
nd = ENVdicts.ENVdicts(localtag)
for var in nd.keys():
## print var
locals()[var] = nd[var]
##################
#############################
global sym, symbol_list, symdict
########################################
import fileinput
lines = rpu_rp.CsvToLines('vardefsin.csv')
typelable = 'addfin'
typelablenew = 'rolo'
for l in lines:
if l[1] == typelable:
newf = typelablenew + '_' + l[0]
print '\'' + newf + '\'' + '=> array('
print '\'name\' => ' + '\'' + newf + '\','
print '\'type\' => ' + '\'' + 'varchar' + '\','
print '\'vname\' => ' + '\'LBL_DB_PROD_' + newf.upper() + '\','
print '\'len\' => ' + '\'' + '35' + '\','
print '),'
for l in lines:
if l[1] == typelable:
def get_orderid():
tws_conn.reqIds(100)
sleep(1)
for l in rpu_rp.CsvToLines(TMP + 'OrderIdsSavedlocalsigcreate.csv'):
order_id = int(l[0])
return order_id
if round(1000 * a2[barnum], 2) > -0.03 and round(1000 * a2[barnum],
2) < 0.03:
print a1[barnum], round(1000 * a2[barnum],
2), round(float(a3[barnum]), 4)
barnum += 1
#######################################
files = [
'ibhistdata.15 mins.2 D.20150428.GBP.csv',
'ibhistdata.15 mins.2 D.20150428.EUR.csv'
]
for inputfile in files:
print inputfile
##inputfile = 'ibhistdata.15 mins.2 D.20150428.EUR.csv'
lines = rpu_rp.CsvToLines(inputfile)
###########################################
bs = strip1value(lines, 5)
sma26 = EMAmvavgToArray(bs, 26)
sma12 = EMAmvavgToArray(bs, 12)
##print len(sma26), len(sma12)
diffs = difftwoarrays(sma12, sma26)
## macd is the mvavg9 on this diff
macdavg = EMAmvavgToArray(diffs, 9)
macddiverg = difftwoarrays(diffs, macdavg)
datearray = strip1string(lines, 1)
rawprice = strip1value(lines, 5)
print_arrays(datearray, macddiverg, rawprice)
###########################
def create_slicendice():
#analyze
prevcycledelay = 2
########################
print 'got to loop'
while loop < loopmax:
if loop == 0:
create_statesdaily()
if (round((loop/10),-1) - loop) == 0:
print 'cycle ', loop
fileage = check_for_CP_change(cpfname)
if fileage < 50:
command = read_vars('Setting',cpfname)
cycledelay = int(read_vars('CycleTime',cpfname))
recentlimit = int(read_vars('TimeLimitRecentSigs',cpfname))
print 'cycle delay changed to...',cycledelay
# change to cycledelay later
now = datetime.strftime(datetime.now(),spaceYtime_format)
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
now_dt = dt.datetime.strptime(now, spaceYtime_format)
## print 'ccreate sigs searching for sigs in last ',recentlimit
###############
recentsigs =[]
## symbol_list = ['ES']
for sym in symbol_list:
## print sym
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', []) # flush the file to keep all sigs
TicksUtile.prepare_tickfilesto5secBars(today,sym) ## merge the 5secddload with 5sec recents > 5sec boths
####################################
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', [])
for barsize in barlist :
timeframe = bardict[barsize]
durinseconds = secdict[barsize]
barsizeNtimeframe = timeframe + barsize
dur = barsize
TicksUtile.assemble_dur_bars(today,sym,dur,durinseconds)
DurBoth = rpu_rp.CsvToLines( DataDown+ today + '.'+sym+'.' + dur.replace(' ','') + '.both.csv')
indlist = ['MACROSS', 'MCDiv', 'price']
for indicator in indlist:
indarr = rpInd.GetStates(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
indlist = ['klower', 'kmid', 'kupper']
for indicator in indlist:
indarr = rpInd.GetKupper(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
####################
macdTriggers = rpInd.Trigger_MACD(DurBoth,sym,barsize)
maCrossTriggers = rpInd.Trigger_MACross(DurBoth,sym,barsize)
for a in maCrossTriggers:
macdTriggers.append(a)
state = 'seefile'
## sigbart = ((lline[0])[0])
## sigbart_epoch = int(time.mktime(time.strptime(sigbart, spaceYtime_format)))
## barage = str(round((now_epoch - sigbart_epoch)/int(durinseconds),2))
barage = 'need barage'
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', macdTriggers)
############################
prevt = 0
numsigs = len(macdTriggers)
signum =0
prevbart_dt = now_dt
prevbart_epoch = now_epoch
for l in macdTriggers:
bart = l[0]
bart_dt = dt.datetime.strptime(bart, spaceYtime_format)
bart_epoch = int(time.mktime(time.strptime(bart, spaceYtime_format)))
barToNow = now_epoch - bart_epoch
barToPrev = bart_epoch - prevbart_epoch
prevbart_epoch = bart_epoch
if barToNow < recentlimit:
onesig = l
sym =onesig[1]
lasttick = recenttick(sym)
onesig.append(barToNow)
onesig.append(barToPrev)
onesig.append(lasttick)
recentsigs.append(onesig)
dur = ''
if len(recentsigs) > 0:
## macrossstate = statefile = sigarea +statename +'.MACROSS.state.csv'
sigcount =0
for sig in sorted(recentsigs):
sigtime = sig[0]
sym = sig[1]
sigtype = sig[5]
barToPrev=sig[len(sig)-2]
barToNow = sig[len(sig)-3]
bid = sig[len(sig)-1]
action =sig[5]
dur = sig[2]
livesigid = sym+action+dur.replace(' ','')
showflag = look_for_dupe_sig(livesigid)
sigcount+=1
## if sigcount == len(recentsigs):
if showflag != 'supress':
indlist = ['MACROSS']#, 'R', 'S']
## indlist = ['MACROSS', 'MCDiv', 'price', 'kupper', 'kmid', 'klower', 'pivot', 'R', 'S']
durstatelist =['1hour', '15mins' ]
## durstatelist =['1hour', '15mins', '3mins']
stateinfo = ''
for durstate in durstatelist:
stateinfo += durstate #+ '\n'
for indicator in indlist:
sfile = rpu_rp.CsvToLines(statearea +sym+'.' + durstate +'.'+ indicator +'.state.csv')
hline = (rpu_rp.tail_array_to_array(sfile,1))[0]
stateinfo += str(hline[1:4])+'\n'
##############################
tside = 'BUY'
if 'negcrs' in action:
tside = 'SELL'
if tside == 'SELL':
beep(soundarea+'sellStocks')
else:
beep(soundarea+'buyStocks')
beep(soundarea+sym)
priceinsignal = float(sig[3]/1)
pricedrift = round(priceinsignal - float(bid),4)
timedrift = barToNow
print '==============='
print sym, tside, sigtype, dur, pricedrift, sigtime, now
create_lines(sym,bid)
## print symNEWSdict[sym]
## print timedrift,sym, tside,dur, priceinsignal,barToPrev,sigtime,pricedrift,now
print stateinfo
######################
ttype = 'LIM'
limitprice = bid
tfactor = float(0.5)
tsize = int(max(1,(int(tsizedict[sym]) * tfactor)))
tickvalue = float(tickvaluedict[sym])
showdecimal = int(showdecimaldict[sym])
addamt = tickvalue * int(entrywiderdict[sym])
frsigline=[]
frsigline.append(sym)
frsigline.append(showdecimal)
frsigline.append(tside)
frsigline.append(tsize)
frsigline.append(ttype)
frsigline.append(limitprice)
frsigline.append(addamt)
frsigline.append(livesigid)
frsigline.append(sigtime)
frsigline.append(tickvalue)
frsigline.append(now)
rpu_rp.WriteArrayToCsvfileAppend(sigarea + today +'.recentsigs.csv', [frsigline])
rpu_rp.WriteArrayToCsvfileAppend(sigarea + today +'.recentsigsexec.csv', [frsigline])
loop +=1
####################
sleep(cycledelay)
print 'finished ',loopmax,' loops by Signal Creator...dead since..',now
#############
def create_report(Sigfile,sym,barsize):
barfile = DataDown + today + '.'+sym+ '.'+ barsize +'both.csv'
lines = rpu_rp.CsvToLines(barfile)
numberBars = len(lines)
siglines = rpu_rp.CsvToLines(Sigfile)
numsigs = len(siglines)
print barsize,sym,'number bars studied=',numberBars,numsigs,'=numsigs'
' ', '') + '.ddload.csv'
shutil.copyfile(tmp, fname)
TicksUtile.throw_out_lastbar(fname)
###############
##blist = bardictweekly.keys()
##blist=['1daylong']
smode = 'allsyms'
bmode = 'normal'
if smode == 'allsyms':
slist = ['SPX', 'FDAX']
## slist = rpu_rp.CsvToLines(TMP+'symlist.csv')[0]
else:
slist = rpu_rp.CsvToLines(TMP + 'symlist.csv')[0]
if bmode == 'weekly':
blist = ['1day'] #bardictweekly.keys()
pass
else:
blist = barlist_Allw5sec
strikelist = ['1'] #rpu_rp.CsvToLines('strikelist.csv')[0]
explist = ['1'] #rpu_rp.CsvToLines('expirylist.csv')[0]
dload(slist, blist, strikelist, explist)
print 'disconnecting hdownload flex'
tws_conn.disconnect()
def createlines(fname):
recentfile = fname.replace('.csv','.recent.csv')
rpInd.prepare_tick_files(fname,fname.replace('.csv','both.csv'),recentfile)
lines = rpu_rp.CsvToLines(fname.replace('.csv','both.csv'))
return lines
current_time = datetime.now()
current_time_dt = dt.datetime.strptime(current_time, time_format)
print current_time
prevt = 0
numsigs = len(ma)
signum =0
for symbol in symbol_list:
for tf in barlist:
bardur = bardict[tf]
totalsecs = secdict[tf]
dur = bardur + tf
htickfile = DataDown+ today + '.'+symbol+'.' + dur + '.csv') #[date 5 mins.2 D.GBP.csv
Snaptickfile = DataDown + today + '.' + symbol + '.ticksnaps.csv'
SnapBarsFname = DataDown + today + '.' +dur + '.' + symbol + '.SnapBars.csv'
Sigfile = symbol+'.sigs.csv'
snaplines = rpu_rp.CsvToLines(DataDown + today + '.' + sym + '.ticksnaps.csv')
##########
lastline = rpu_rp.tail_to_txtfile(htickfile,2,'outfile') ## get last line of historical file for time check
lastlineof_hticks = rpu_rp.catstring('outfile') ## this is the last line
try:
timeofbar = (lastlineof_hticks.split(',')[1]).split()[1]
except:
timeofbar ='23:59:58'
time_of_last_hbar_dt = dt.datetime.strptime(timeofbar, time_format)
snapbars = rpInd.create_bars(ticklines,50000,timebarforsnaps,'fullbar','snapshot', sym,time_of_last_hbar_dt,SnapBarsFname)# also creates a file
rpu_rp.WriteArrayToCsvfile(DataDown+today + '.' + sym + '.'+ dur + '.recent.csv',newbars)
lines = createlines(htickfile)
decimalboost = dboostdict[sym]
create_report(sigfile,lines,decimalboost,tf)
'''
def show_bar8(today, sym):
filein = DataDown + today + '.' + sym + '.5mins.both.csv'
lines = rpu_rp.CsvToLines(filein)
## oneline = grep '16:05:00' filein
onelinearray = rpu_rp.grep_array_to_array(lines, '16:05:00')
print onelinearray
def checkRTnonbarticksNEW(sym, fnums):
fullarray = []
filein = DataDown + today + '.' + sym + '.RTtickData.csv'
prevtotdiff = ask = bid = 0
prevtime = ''
string = ''
prevtradeuid = ''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize = vwap = ''
totdowns = totups = 0
tottickups = 0
nettickhits = 0
lastsize = lastprice = bidsize = asksize = 0
prevtick = nettickups = totHits = totLifts = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein), 4000000):
if 'tickString' in str(line) and 'tickType=48' in str(line):
time = line[3]
string = line[2].split(';')
if len(string) > 2:
tprice = float(string[0].replace('value=', ''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]), 2)
else:
vwap = 0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print tsize,tprice,time,'trade', bid, ask, bidsize, asksize
if 'tickSize' in str(line):
## 0 BID_SIZE tickSize()
## 1 BID_PRICE tickPrice()
## 2 ASK_PRICE tickPrice()
## 3 ASK_SIZE tickSize()
## 4 LAST_PRICE tickPrice()
## 5 LAST_SIZE tickSize()
fs = line[1].replace(' field=', '')
sizetime = line[3]
value = int((line[2].replace(' size=', '')).replace('>', ''))
size = value
######## print sizetime,size,fs,'size'
if fs == '0':
bidsize = value
elif fs == '3':
asksize = value
elif fs == '5':
lastsize = value
else:
pass
if 'tickPrice' in str(line):
pricetime = line[4]
value = float(line[2].replace(' price=', ''))
fp = line[1].replace(' field=', '')
if fp == '1':
bid = value
pass
elif fp == '2':
ask = value
else:
lastprice = value
## if bid == 0.0:
tradeuid = time + str(tsize) + str(tprice)
if 'tickString' in str(line) and len(
string
) > 2 and bid > 0 and ask > 0 and tradeuid != prevtradeuid:
if tprice > prevtick:
tickdir = 'uptick'
elif tprice < prevtick:
tickdir = 'downtick'
else:
tickdir = 'neutral'
if bid == tprice:
tickflag = 'HitBid'
else:
tickflag = 'LiftOffer'
aout = []
prevtick = tprice
if tsize > 0 and time != 'xxx':
aout.append(tickflag)
aout.append(tickdir)
aout.append(tprice)
aout.append(tsize)
aout.append(bid)
aout.append(ask)
aout.append(time)
fullarray.append(aout) ### how many upticks in a row?
prevtime = time
prevtradeuid = tradeuid
## print fullarray
c = 0
x = len(fullarray)
## print x
limiter = 50
f = x - limiter
## print f
netlifts = netticks = 0
for l in fullarray:
c += 1
if c > f:
## print l
lifttag = l[0]
tsize = l[2]
ticktag = l[1]
if lifttag == 'HitBid':
netlifts = netlifts - 1
pass
else:
netlifts += 1
if ticktag == 'downtick':
netticks = netticks - 1
pass
elif ticktag == 'uptick':
netticks += 1
else:
pass
if c > (x - 8):
print l
print netlifts, netticks, x, limiter
#############################
global sym, symbol_list, symdict
########################################
heredir = os.getcwd()
print heredir
newfile = downloads +'suitecrm modulebuilder TransEXT - Sheet5.csv'
newfile = downloads + 'Untitled spreadsheet - Sheet1 (1).csv' #'fields list WIP new Suitecrm - DB_productsRolotec.csv'
newfile = downloads + 'temp' #'fields list WIP new Suitecrm - DB_productsRolotec.csv'
newfile = downloads + 'fields list WIP new Suitecrm - Organizations.csv'
#newfile = heredir + '/fieldsin.csv'
import fileinput
newfile = 'newfields.txt'
lines = rpu_rp.CsvToLines(newfile)
typelable = 'addfin'
typelable = 'addfin'
typelable2 = 'tx'
typelablenew = 'tx'
modulename ='TransEXT'
modulename ='Organizations'
mnamelower = modulename.lower()
print '$dictionary[\'' + modulename + '\'] = array( \n\
\'table\'=>\''+ mnamelower +'\',\n\
\'audited\'=>true,\n\
\'duplicate_merge\'=>true,\n\
\'fields\'=>array (\n\
'
lablearray =[]
##################
global timedate_format, nextorderID, date, today,recentlimit, time_format
from time import sleep, strftime, localtime
import rpu_rp, rpInd, ibutiles, TicksUtile, RP_Snapshot, glob, csv, subprocess, datetime, shutil, time, BarUtiles
from time import sleep, strftime, localtime
import RulesEngine
from datetime import datetime
import ctypes
################
date = today #'20160219' #yesterday # today ######## <<<<<<<
style = ''
symlist = ['ES','FDAX']
##symlist = ['ES']#,'FDAX']
for sym in symlist:
print sym,'========'
bla = TicksUtile.recenttick(sym,'recent')
print bla,' is latest tick'
flist = [sym+'.RTticks.csv',sym+'.5mins.both.csv']
for f in flist:
print f,'===='
tickfile5 = DataDown + date +'.'+f
l = rpu_rp.CsvToLines(tickfile5)
lastlines = rpu_rp.tail_array_to_array(l,5)
for e in lastlines:
print e[0],e[1]
##print lastlines
raw_input('close...')
############
sizemult = 3
#################
while loop < loopmax:
loop += 1
check_status()
print 'entry trader hbeat.', loop, loopmax
sleep(cycledelay)
siglistfile = sigarea + today + '.recentsigsexecHARD.csv'
if os.path.isfile(siglistfile):
sigfileage = check_for_CP_change(siglistfile)
pass
else:
sigfileage = 99999999
if os.path.isfile(siglistfile) and sigfileage < (cycledelay + agelimit):
recentsigs = rpu_rp.CsvToLines(siglistfile)
if online == 'online':
parent_order_id = get_orderidfromfile()
else:
parent_order_id = '888'
#################3
for lastsig in recentsigs:
sym = lastsig[0]
profsig = float(lastsig[12])
tsizesig = float(lastsig[13])
showdecimal = int(showdecimaldict[sym])
tside = lastsig[1]
## profsig = int(lastsig[10])
## stopsig = profsig * 4
## stopsig = int(lastsig[11])
## tsize = (int(tsizedict[sym])* sizemult
ordid =0
contractdict ={}
for sym in symbol_list:
ordid+=1
create_contract_dictionary(ordid,sym)
sleep(1)
#####################################
cycletime = 15 ## will need to be increase for more products because of delay
delay = 1
usedtime = ((len(symbol_list))*delay)
cyclepause = cycletime - usedtime
loopmax = 36000 # = allday
loop = 1
controlfname = TMP + 'QUOTEcontroller.txt'
while loop < loopmax:
command = (rpu_rp.CsvToLines(controlfname)[0])[0]
controlflag = True
if command != 'RUN-setting':
controlflag = False
print 'got the order to exit program....!!! <<<'
sys.exit()
loopmax = 1
###############
sym_id = 1
current_time = datetime.now().time()
for sym in symbol_list:
contract = contractdict[sym]
## contract = ibutiles.create_ticksym(sym_id,sym)
quotearray =[1,0,0,0,0,'bla','somedate',1,1,1,1,1,1,1,222,333]
tws_conn.reqMktData(sym_id,contract,'BID',True)
def checkRTnonbarticksNEW(sym,fnums):
## fullarray =[]
filein = DataDown +today+'.'+sym+ '.RTtickData.csv'
prevtotdiff = ask = bid =0
string =''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize= vwap =''
totdowns = totups = 0
tottickups=0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),400):
## print line
if 'tickString' in str(line) and 'tickType=48':
time = line[3]
string = line[2].split(';')
if len(string) > 2:
## print string
tprice = float(string[0].replace('value=',''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]),2)
else:
vwap =0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print string
if 'tickPrice' in str(line):
## print line
time = line[4]
if line[1] == ' field=1':
bid= float(line[2].replace(' price=',''))
pass
if line[1] == ' field=2':
ask = float(line[2].replace(' price=',''))
pass
## if bid == 0.0:
## print line
if 'tickSize' in str(line):
time = line[3]
size = line[2]
if 'tickString' in str(line) and len(string) > 2 and bid > 0 and ask > 0:
if bid == tprice:
bflag = 'down'
## print '>>>>>>>>','hitbid',tsize,'@', tprice,bid,ask
tag = '>>>>>>>>'+' '+'hitbid'+' '+str(tsize)+' '+'@'+' '+ str(tprice)+ ' '+str(bid)+' '+str(ask)
totdowns += tsize
tottickups = tottickups -1
pass
else:
bflag = 'uptick'
## print 'XXXXXXXX','uptick',tsize,'@', tprice,bid,ask
tag = 'XXXXXXXX'+' uptick '+str(tsize)+' @ '+ str(tprice)+' '+ str(bid)+' '+str(ask)
totups += tsize
tottickups +=1
aout =[]
if tsize > 50:
aout.append(tag)
fullarray.append(aout)
## print fullarray
c=0
x = len(fullarray)
for l in fullarray:
c+=1
if c > (x - 4):
print l
def MaxStdAvgIndArray(sym, dur, ind, fieldnum):
arrayfull = rpu_rp.CsvToLines(statearea + sym + '.' + dur + '.' + ind +
'.state.csv')
arrayin = strip1float(arrayfull, fieldnum, sym)
stats = maxStdAvgToArray(arrayin) ## gives std,max,avg
return stats
recentsigs =[]
## symbol_list = ['ES']
for sym in symbol_list:
## print sym
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', []) # flush the file to keep all sigs
TicksUtile.prepare_tickfilesto5secBars(today,sym) ## merge the 5secddload with 5sec recents > 5sec boths
####################################
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', [])
for barsize in barlist :
timeframe = bardict[barsize]
durinseconds = secdict[barsize]
barsizeNtimeframe = timeframe + barsize
dur = barsize
TicksUtile.assemble_dur_bars(today,sym,dur,durinseconds)
DurBoth = rpu_rp.CsvToLines( DataDown+ today + '.'+sym+'.' + dur.replace(' ','') + '.both.csv')
indlist = ['MACROSS', 'MCDiv', 'price']
for indicator in indlist:
indarr = rpInd.GetStates(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
indlist = ['klower', 'kmid', 'kupper']
for indicator in indlist:
indarr = rpInd.GetKupper(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
####################
macdTriggers = rpInd.Trigger_MACD(DurBoth,sym,barsize)
maCrossTriggers = rpInd.Trigger_MACross(DurBoth,sym,barsize)
def Trigger_from_states(sym, dur, label):
statefile = statearea + sym + '.' + dur.replace(
' ', '') + '.' + label + '.state.csv'
mdarray = rpu_rp.CsvToLines(statefile)
array_of_crosses = rpu_rp.grep_array_to_array(mdarray, 'crxx')
return array_of_crosses
exchdict = rpu_rp.create_dict(libsyms, 0, 2)
typedict = rpu_rp.create_dict(libsyms, 0, 5)
currdict = rpu_rp.create_dict(libsyms, 0, 3)
expiredict = rpu_rp.create_dict(libsyms, 0, 4)
dboostdict = rpu_rp.create_dict(libsyms, 0, 6)
tickdict = rpu_rp.create_dict(libsyms, 0, 8)
tsizedict = rpu_rp.create_dict(libsyms, 0, 7)
roundfactordict = rpu_rp.create_dict(libsyms, 0, 9)
symdict = rpu_rp.create_dict(libsyms, 0, 1)
symbol_list = rpsymdict.keys()
###################################
timelimit = 2
timer = 1
#################
while timer < timelimit:
sigs = rpu_rp.CsvToLines('sigs.csv')
onesig = rpu_rp.tail_array_to_array(sigs, 2)
for sig in onesig:
tws_conn.reqIds(100)
sleep(1)
for l in rpu_rp.CsvToLines('OrderIdsSaved.csv'):
order_id = int(l[0])
##################
print sig # ['13:51:58', 'USD.CAD', '30 secs', '12436.5002', '-0.007', 'negcrossmcd', 'necd']]
sym = sig[1]
action = sig[5]
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
print decimalboost, onetick, roundfactor
price = round(float((sig[3])) / float(decimalboost), roundfactor)
def gatherlineNEW(sym, ind, dur):
print sym, ind, dur
## dur = '1day'
indfile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile), 1)[0]
return lineprice
def checkRTnonbarticksNEW(sym, fnums):
recentlimit = 20000
fullarray = []
filein = DataDown + today + '.' + sym + '.RTtickData.csv'
prevtotdiff = ask = bid = 0
prevtime = ''
string = ''
prevtradeuid = ''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize = vwap = ''
totdowns = totups = 0
tottickups = 0
nettickhits = 0
lastsize = lastprice = bidsize = asksize = 0
prevtick = nettickups = totHits = totLifts = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),
recentlimit):
if 'tickString' in str(line) and 'tickType=48' in str(line):
print line
time = line[3]
string = line[2].split(';')
if len(string) > 2:
tprice = float(string[0].replace('value=', ''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]), 2)
else:
vwap = 0.0 ## value=1984.50;1;1441796865858;207069;1982.49963539;true>
if 'tickSize' in line[0] or 'tickPrice' in line[0]:
print line
## 0 BID_SIZE tickSize() 1 BID_PRICE tickPrice()
## 2 ASK_PRICE tickPrice() 3 ASK_SIZE tickSize()
## 4 LAST_PRICE tickPrice() 5 LAST_SIZE tickSize()
fs = line[1].replace(' field=', '')
sizetime = line[3]
value = int((line[2].replace(' size=', '')).replace('>', ''))
size = value
if fs == '0':
bidsize = value
elif fs == '3':
asksize = value
elif fs == '5':
lastsize = value
else:
pass
if 'tickPrice' in str(line):
pricetime = line[4]
value = float(line[2].replace(' price=', ''))
fp = line[1].replace(' field=', '')
if fp == '1':
bid = value
pass
elif fp == '2':
ask = value
else:
lastprice = value
## if bid == 0.0:
tradeuid = time + str(tsize) + str(tprice)
if 'tickString' in str(line) and len(
string
) > 2 and bid > 0 and ask > 0 and tradeuid != prevtradeuid:
if tprice > prevtick:
tickdir = 'uptick'
nettickups += 1
elif tprice < prevtick:
tickdir = 'downtick'
nettickups = nettickups - 1
else:
tickdir = 'neutral'
if bid == tprice:
tickflag = 'HitBid'
nettickhits = nettickhits - 1
else:
tickflag = 'LiftOffer'
nettickhits = nettickhits + 1
totLifts += tsize
aout = []
prevtick = tprice
if tsize > 0 and time != 'xxx':
minute = time[0:5] #'20:47:32.488000'
hour = time[0:4]
#### minute = tprice# time[0:5]#'20:47:32.488000'
aout.append(tickflag)
aout.append(tprice)
aout.append(tsize)
aout.append(bid)
aout.append(ask)
aout.append(tickdir)
## aout.append(totHits)
aout.append(nettickhits)
aout.append(nettickups)
aout.append(minute)
aout.append(hour)
fullarray.append(aout) ### how many upticks in a row?
prevtime = time
prevtradeuid = tradeuid
return fullarray
return 3000
############################
def get_orderid():
################ tws_conn.reqIds(100)
## sleep(1)
for l in rpu_rp.CsvToLines(TMP + 'OrderIdsSavedlocalsigcreate.csv'):
order_id = int(l[0])
## order_id = 122
return order_id
###################################
recentlimit = read_vars()
print 'recent limit is now.. ', recentlimit
##################
loopmax = 2
loop = 0
sigs = rpu_rp.CsvToLines(sigarea + today +'.sigs.csv')
########################
controlfname = TMP + 'LT_Controller.txt'
##delaytime = 5
cycledelay = int(3)
rpu_rp.WriteArrayToCsvfile(sigarea +today+'.LTsigs.csv', '') # flush the file to keep all sigs
print 'delay is set at .. ', cycledelay
print 'THIS IS LONGTERM SEIGNALS HOURLEY ETC'
while loop < loopmax:
###############
loop +=1
sleep(cycledelay)
now = datetime.strftime(datetime.now(),time_format)
recentsigs =[]
for sym in symbol_list:
for barsize in barlist:
def checkDOMticks(sym, fnums):
filein = DataDown + today + '.' + sym + '.RTMktDepth.csv'
buylineprice = prepare_empty_array(fnums)
buylinesize = prepare_empty_array(fnums)
selllineprice = prepare_empty_array(fnums)
selllinesize = prepare_empty_array(fnums)
prevtotdiff = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein), 15000):
## print line
position = int(line[1].replace('position=',
'').replace('>', '').replace(' ', ''))
size = float(line[5].replace('size=', '').replace('>',
'').replace(' ', ''))
operation = line[2].replace('operation=',
'').replace('>', '').replace(' ', '')
price = float(line[4].replace('price=',
'').replace('>', '').replace(' ', ''))
time = line[6].replace(' ', '')
zflag = 'clean'
if price == 0 or size == 0:
## print 'zeros'
zflag = 'haszeros'
if 'side=1' in str(line):
buylineprice[position] = price
buylinesize[position] = size
buylinesizewtd = buylineprice[position] * buylinesize[position]
else:
selllineprice[position] = price
selllinesize[position] = size
## return buylineprice, buylinesize,selllineprice,selllinesize,timenow
sizeweightedbid = sum_2arrays_weighted(buylineprice, buylinesize, 'bla')
sizeweightedsell = sum_2arrays_weighted(selllineprice, selllinesize, 'bla')
totalbuy = float(sum_array(buylinesize, 'all'))
totalsell = float(sum_array(selllinesize, 'all'))
totdiff = totalbuy - totalsell
totalratio = totalbuy / totalsell
topbuy = float(sum_array(buylinesize, 'toponly'))
topsell = float(sum_array(selllinesize, 'toponly'))
topdiff = topbuy - topsell
if totdiff == 0:
totdiff = 1
if totalbuy > 0:
totdiffperc = 100 * (round(float(totdiff / (totalsell + totalbuy)), 3))
else:
totdiffperc = 0.0
############
if topdiff == 0:
topdiff = 1
if topbuy > 0:
topdiffperc = 100 * (round(float(topdiff / (topsell + topbuy)), 3))
else:
topdiffperc = 0.0
## print totdiffperc, totdiff, totalbuy
difftoprev = totdiff - prevtotdiff
prevtotdiff = totdiff
buytopprice = buylineprice[0]
selltopprice = selllineprice[0]
## print 'SELL', selllinesize, totalsell, totdiff
showflag = 'no'
if abs(totalratio) > 1.20 or totalratio < .95:
showflag = 'show'
if abs(difftoprev) > 2000000:
showflag = 'show'
if abs(topdiffperc) > 20000:
showflag = 'show'
if showflag == 'show':
## print buytopprice,'BUY', buylinesize, totalbuy, totdiff, totalsell, selllinesize, 'SELL',selltopprice,time,difftoprev,str(totdiffperc)
## print 'tot',totalbuy,'x',totalsell, totdiff, str(totdiffperc),'%', difftoprev
print 'topBOOK>>', topbuy, 'x', topsell, 'Topbuy ratio =', round(
topbuy / (topsell + 1),
2), 'Totalbook Ratio >>>', round(totalratio, 2)
