def assemble_lines(sym,barsize,barsizeNtimeframe):
## print sym, barsize,barsizeNtimeframe
totalsecs = secdict[barsize]
timebarforsnaps = barsize
import datetime as dt
htickfile = DataDown+ today + '.'+sym+'.' + barsize + '.csv' #[date 5 mins.2 D.GBP.csv
Snaptickfile = DataDown + today + '.' + sym + '.ticksnaps.csv'
SnapBarsFname = DataDown + today + '.' + barsize + '.' + sym + '.SnapBars.csv'
Sigfile = sigarea + sym +'.sigs.csv'
snaplines = rpu_rp.CsvToLines(Snaptickfile)
lline = 'ES, 2015-06-10 00:22:00, 2080.25, 2080.5, 2080.25, 2080.5, -1'
try:
lastline = rpu_rp.tail_to_txtfile(htickfile,2,'outfile') ## get last line of historical file for time check
pass
except:
lastline = lline
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(snaplines,50000,totalsecs,'fullbar','snapshot', sym,time_of_last_hbar_dt,SnapBarsFname)# also creates a file
rpu_rp.WriteArrayToCsvfile(DataDown+today + '.' + sym + '.'+ barsize + '.recent.csv',snapbars)
lines = createlines(htickfile)
decimalboost = dboostdict[sym]
return lines
def ddload_cutoff_epoch(histfilename,formatchoice):
if formatchoice == 'oldformat':
formatstring = '%H:%M:%S'
else:
formatstring = ' %Y-%m-%d %H:%M:%S'
try:
rpu_rp.tail_to_txtfile(histfilename,1,TMP +'outfile') ## get last line of historical file for time check
oneline = rpu_rp.catstring(TMP +'outfile') ## this is the last line
timeofbar = (oneline.split(',')[1])
epochtimeofbar = int(time.mktime(time.strptime(timeofbar, formatstring)))
except:
timeofbar =' 2015-03-01 23:59:58'
print 'bombed getting ddload cutoff time in TicksUtile here'
## rpu_rp.tail_to_txtfile(histfilename,1,TMP +'outfile') ## get last line of historical file for time check
## oneline = rpu_rp.catstring(TMP +'outfile') ## this is the last line
## timeofbar = (oneline.split(',')[1])
## print timeofbar
epochtimeofbar = int(time.mktime(time.strptime(timeofbar, formatstring)))
return epochtimeofbar
def ddload_cutoff_epoch(histfilename, formatchoice):
if formatchoice == 'oldformat':
formatstring = '%H:%M:%S'
else:
formatstring = ' %Y-%m-%d %H:%M:%S'
try:
rpu_rp.tail_to_txtfile(
histfilename, 1, TMP +
'outfile') ## get last line of historical file for time check
oneline = rpu_rp.catstring(TMP + 'outfile') ## this is the last line
timeofbar = (oneline.split(',')[1])
epochtimeofbar = int(
time.mktime(time.strptime(timeofbar, formatstring)))
except:
timeofbar = ' 2015-03-01 23:59:58'
print 'bombed getting ddload cutoff time in TicksUtile here'
## rpu_rp.tail_to_txtfile(histfilename,1,TMP +'outfile') ## get last line of historical file for time check
## oneline = rpu_rp.catstring(TMP +'outfile') ## this is the last line
## timeofbar = (oneline.split(',')[1])
## print timeofbar
epochtimeofbar = int(
time.mktime(time.strptime(timeofbar, formatstring)))
return epochtimeofbar
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)
'''
create a report on all distances.....
##############################
slopemcd = rpInd.show_slope(macrossval,'mcd')
print len(signmcd),len(macrossval),len(crossesmcd)
MDarray = rpInd.makearrayJust2(timestamparray,slopebs,signbs,bs,macrossval,crossesmcd,signmcd)
## macdcrosses = rpInd.show_macd_low_lines(MDarray,'Slope','Slope',3,.001,4)#(arrayin,texttosell,texttobuy,pricefnum,macdtestval,macdfnum)
ma = rpu_rp.grep_array_to_array(MDarray,'cross')
rpInd.format_lines(ma,5) #tailamount
################################################
## setup aloop for time durations
durationselect = '4 D15 mins' ## this has to match timebarforsnaps
files = glob.glob(DataDown+ today + '.EUR.' +durationselect + '*.csv') #[date 5 mins.2 D.GBP.csv
print files
#############################################
for inputfile in files:
sym = inputfile.split('.')[1]
ticklines = rpu_rp.CsvToLines(today + '.' + sym + '.ticksnaps.csv')
lastline = rpu_rp.tail_to_txtfile(inputfile,2,'outfile')
strings= rpu_rp.catstring('outfile')
fulldatetime = strings.split(',')[1]
time = fulldatetime.split()[1]
hourmincutoff = time.split(':')[0] + time.split(':')[1]
print hourmincutoff
timebarforsnaps = 900
newbars = rpInd.create_bars(ticklines,5000,timebarforsnaps,'fullbar','snapshot', sym,hourmincutoff) #field three is timesize in seconds
## ## idendify last line of historical as 9:05
## meld the ticksaps bars to historical
## EUR, 2015-06-04 09:05:00, 1.12455, 1.12485, 1.12425, 1.1246, -1
## the last minute of the main bars = ?
## tail last line of inputfile
rpu_rp.WriteArrayToCsvfile(DataDown+today + '.' + sym+ '.recent'+ durationselect + '.csv',newbars)
lines = createlines(inputfile)
if 'ES' in str(inputfile) or 'NQ' in str(inputfile):
currentbar = l[0].split()[1]
else:
currentbar = (l[0].split()[0])
currentbar_dt = dt.datetime.strptime(currentbar, time_format)
now_dt = dt.datetime.strptime(now, time_format)
barToNow = (now_dt - currentbar_dt).seconds
barToPrev = (currentbar_dt - prevbart_dt).seconds
alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
prevbart_dt = currentbar_dt
recentlimit = int(var['TimeLimitRecentSigs'])
if barToNow < recentlimit:
rpu_rp.WriteArrayToCsvfileAppend(sigarea +today +'.sigs.csv',ma)
onesig = ma[len(ma)-1]
need to add here one sig added to full list, full list of this sym dur sent to file as a whole....
Snaptickfile = DataDown + today + '.' + sym + '.ticksnaps.csv'
rpu_rp.tail_to_txtfile(Snaptickfile,2,'lasttick')
a5 = rpu_rp.CsvToLines('lasttick')
a6= a5[0]
bid = a6[1]
ask = a6[3]
bsize = a6[2]
asize = a6[4]
side =onesig[5]
rside = 'BUY'
if side == 'negcrossmcd':
rside = 'SELL'
sym =onesig[1]
sigdur =onesig[2]
pricedrift = round((sigprice / float(decimalboost)) - float(ask),4)
timedrift = barToNow
## print barToPrev,'second lastsig..bid/ask',bid, ask,a6[2],'X',a6[4],
## macdcrosses = rpInd.show_macd_low_lines(MDarray,'Slope','Slope',3,.001,4)#(arrayin,texttosell,texttobuy,pricefnum,macdtestval,macdfnum)
ma = rpu_rp.grep_array_to_array(MDarray, 'cross')
rpInd.format_lines(ma, 5) #tailamount
################################################
## setup aloop for time durations
durationselect = '4 D15 mins' ## this has to match timebarforsnaps
files = glob.glob(DataDown + today + '.EUR.' + durationselect +
'*.csv') #[date 5 mins.2 D.GBP.csv
print files
#############################################
for inputfile in files:
sym = inputfile.split('.')[1]
ticklines = rpu_rp.CsvToLines(today + '.' + sym + '.ticksnaps.csv')
lastline = rpu_rp.tail_to_txtfile(inputfile, 2, 'outfile')
strings = rpu_rp.catstring('outfile')
fulldatetime = strings.split(',')[1]
time = fulldatetime.split()[1]
hourmincutoff = time.split(':')[0] + time.split(':')[1]
print hourmincutoff
timebarforsnaps = 900
newbars = rpInd.create_bars(
ticklines, 5000, timebarforsnaps, 'fullbar', 'snapshot', sym,
hourmincutoff) #field three is timesize in seconds
## ## idendify last line of historical as 9:05
## meld the ticksaps bars to historical
## EUR, 2015-06-04 09:05:00, 1.12455, 1.12485, 1.12425, 1.1246, -1
## the last minute of the main bars = ?
## tail last line of inputfile
rpu_rp.WriteArrayToCsvfile(
def process_ticks(lines,decimalboost,dur):
################
##read variables from the control panel file
cpfile = EXE + 'signalcreator.controlpanel.csv'
paramlines = rpu_rp.CsvToLines(cpfile)
varstrings = ['TimeLimitRecentSigs','SignalsToShow','DurationToShow']
var = {}
for varstring in varstrings:
for line in paramlines:
if len(line) > 0:
if line[0] == varstring:
var[varstring] = line[1]
bs = rpInd.strip1float(lines,5,decimalboost) ##raw close price
bshighs = rpInd.strip1float(lines,3,decimalboost)
bslows = rpInd.strip1float(lines,4,decimalboost)
timestamparray = rpInd.strip1string(lines,1)
symarray = rpInd.strip1string(lines,0)
sym = symarray[1]
durarray = []
for b in symarray:
durarray.append(dur)
### create pivots rs and ss ###
piv = rpInd.pivotpoint(bs,bshighs,bslows)
R1 = rpInd.R1(piv,bshighs)
########################################
signbs = rpInd.show_sign(bs,'price')
slopebs = rpInd.show_slope(bs,'price')
##### MA Cross ##
macrossval = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,9),rpInd.EMAmvavgToArray(bs,21))
signmcd = rpInd.show_sign(macrossval,'mcd')
crossesmcd = rpInd.show_crossover(signmcd,'mcd')
slopemcd = rpInd.show_slope(macrossval,'mcd')
MDarray = rpInd.makearrayJust2(timestamparray,symarray,durarray,bs,macrossval,crossesmcd,signmcd)
ma = rpu_rp.grep_array_to_array(MDarray,'cross')
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', ma)
##############################
from datetime import datetime
prevt = 0
numsigs = len(ma)
signum =0
import datetime as dt
now = datetime.strftime(datetime.now(),time_format)
now_dt = dt.datetime.strptime(now, time_format)
prevbart_dt = now_dt
for l in ma:
sym = l[1] #.split()[0])
sigprice = float(l[3]) #.split()[0])
## print l
signum +=1
if len(l[0].split()) == 2:
currentbar = l[0].split()[1]
else:
currentbar = (l[0].split()[0])
currentbar_dt = dt.datetime.strptime(currentbar, time_format)
now_dt = dt.datetime.strptime(now, time_format)
barToNow = (now_dt - currentbar_dt).seconds
barToPrev = (currentbar_dt - prevbart_dt).seconds
alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
prevbart_dt = currentbar_dt
recentlimit = int(var['TimeLimitRecentSigs'])
if barToNow < recentlimit and signum == numsigs:
rpu_rp.WriteArrayToCsvfile(sigarea +'sigs.csv',ma)
onesig = ma[len(ma)-1]
Snaptickfile = DataDown + today + '.' + sym + '.ticksnaps.csv'
rpu_rp.tail_to_txtfile(Snaptickfile,2,'lasttick')
a5 = rpu_rp.CsvToLines('lasttick')
a6= a5[0]
bid = a6[1]
ask = a6[3]
bsize = a6[2]
asize = a6[4]
side =onesig[5]
rside = 'BUY'
if side == 'negcrossmcd':
rside = 'SELL'
sym =onesig[1]
sigdur =onesig[2]
pricedrift = round((sigprice / float(decimalboost)) - float(ask),4)
timedrift = barToNow
## print barToPrev,'second lastsig..bid/ask',bid, ask,a6[2],'X',a6[4],
print timedrift, pricedrift, sym, rside,sigdur, sigprice,bid,ask,bsize,asize,barToPrev
print '=========='