def compute(self, timestamp, high, low, close):
# Breakout Indicator Inputs
bb_basis = ta_EMA(close, self._bb_L) if self._use_EMA else ta_SMA(
close, self._bb_L)
fast_ma = ta_EMA(close, self._fast_MA_L)
# Deviation (a simple BBAND)
# dev = ta_STDDEV(close, self._bb_L)
# bb_dev_inner = self._base_multiplier * dev
# Upper bands
# inner_high = bb_basis + bb_dev_inner
# Lower Bands
# inner_low = bb_basis - bb_dev_inner
# Calculate Awesome Oscillator
hl2 = (high + low) * 0.5
xSMA1_hl2 = ta_SMA(hl2, self._awesome_fast_L)
xSMA2_hl2 = ta_SMA(hl2, self._awesome_slow_L)
xSMA1_SMA2 = xSMA1_hl2 - xSMA2_hl2
# Calculate direction of AO
if xSMA1_SMA2[-1] >= 0:
if xSMA1_SMA2[-1] > xSMA1_SMA2[-2]:
AO = 1
else:
AO = 2
else:
if xSMA1_SMA2[-1] > xSMA1_SMA2[-2]:
AO = -1
else:
AO = -2
# Calc breakouts
break_down = crossunder(
fast_ma,
bb_basis) and close[-1] < bb_basis[-1] and AO < 0 # abs(AO)==2
break_up = crossover(
fast_ma,
bb_basis) and close[-1] > bb_basis[-1] and AO > 0 # abs(AO)==1
self._signal = 1 if break_up else -1 if break_down else 0
self._last_timestamp = timestamp
return self._signal
def compute(self, timestamp, high, low, close):
# Breakout Indicator Inputs
bb_basis = ta_EMA(close, self._bb_L) if self._use_EMA else ta_SMA(
close, self._bb_L)
fast_ma = ta_EMA(close, self._fast_MA_L)
# Calculate Awesome Oscillator
hl2 = (high + low) * 0.5
xSMA1_hl2 = ta_SMA(hl2, self._awesome_fast_L)
xSMA2_hl2 = ta_SMA(hl2, self._awesome_slow_L)
xSMA1_SMA2 = xSMA1_hl2 - xSMA2_hl2
# Calculate direction of AO
if xSMA1_SMA2[-1] >= 0:
if xSMA1_SMA2[-1] > xSMA1_SMA2[-2]:
AO = 1
else:
AO = 2
else:
if xSMA1_SMA2[-1] > xSMA1_SMA2[-2]:
AO = -1
else:
AO = -2
# Calc breakouts
break_down = crossunder(
fast_ma,
bb_basis) and close[-1] < bb_basis[-1] and AO < 0 # abs(AO)==2
break_up = crossover(
fast_ma,
bb_basis) and close[-1] > bb_basis[-1] and AO > 0 # abs(AO)==1
self._signal = 1 if break_up else -1 if break_down else 0
self._last_timestamp = timestamp
return self._signal
def process(self, timeframe, timestamp):
# process only at base timeframe
if timeframe != self.base_timeframe:
return
# update data at tick level
if timeframe == self.base_timeframe:
self.gen_candles_from_ticks(timestamp)
accept, compute = self.filter_market(timestamp)
if not accept:
return
# and compute
entries = []
exits = []
if compute:
entries, exits = self.compute(timeframe, timestamp)
#
# global indicators
#
ref_price = self.timeframes[self.ref_timeframe].price.last
# sma200 = self.timeframes[self.ref_timeframe].sma200.last
ref_sma55 = self.timeframes[self.ref_timeframe].sma55.last
ref_sma = self.timeframes[self.ref_timeframe].sma.last
ref_ema = self.timeframes[self.ref_timeframe].ema.last
#
# compute the entry
#
retained_entries = []
for entry in entries:
# only allowed range of signal for entry
if not (self.min_traded_timeframe <= entry.timeframe <=
self.max_traded_timeframe):
continue
# trade region
if not self.check_regions(timestamp, self.instrument.market_bid,
self.instrument.market_ofr, entry,
self.region_allow):
continue
# ref timeframe is contrary
if entry.direction > 0 and not self.timeframes[
self.sltp_timeframe].can_long:
continue
if entry.direction < 0 and not self.timeframes[
self.sltp_timeframe].can_short:
continue
# initial stop-loss
atr_stop = self.timeframes[self.sltp_timeframe].atr.stop_loss(
entry.dir)
if entry.direction > 0:
# and an initial target
take_profit = self.timeframes[
self.ref_timeframe].pivotpoint.last_resistances[2]
if atr_stop < self.instrument.open_exec_price(entry.dir):
entry.sl = atr_stop
gain = (take_profit - entry.p) / entry.p
loss = (entry.p - entry.sl) / entry.p
elif entry.direction < 0:
# and an initial target
take_profit = self.timeframes[
self.ref_timeframe].pivotpoint.last_supports[2]
if atr_stop > self.instrument.open_exec_price(entry.dir):
entry.sl = atr_stop
gain = (entry.p - take_profit) / entry.p
loss = (entry.sl - entry.p) / entry.p
if loss != 0 and (gain / loss < 1.0):
Terminal.inst().message(
"%s %s %s %s %s %s" %
(entry.p, entry.sl, take_profit, gain, loss,
(gain / loss)),
view="debug")
continue
# not enought potential profit
if gain < 0.005:
continue
entry.tp = take_profit if gain > 0.005 else entry.p * 1.01
entry.set('partial-take-profit', 1.0)
# max loss at x%
if loss > 0.035:
if entry.direction > 0:
entry.sl = entry.price * (1 - 0.035)
elif entry.direction < 0:
entry.sl = entry.price * (1 + 0.035)
# or do not do the trade to risky
# continue
retained_entries.append(entry)
# TP 50% entry
# entry_50pc = StrategySignal(0, 0)
# entry_50pc.dup(entry)
# entry_50pc.tp = np.max(self.timeframes[self.sltp_timeframe].pivotpoint.resistances[0])#[-1]
# entry_50pc.set('partial-take-profit', 0.25)
# retained_entries.append(entry_50pc)
#
# process eventually exits signals
#
if self.trades:
self.lock()
for trade in self.trades:
retained_exit = None
# important if we dont want to update user controlled trades if it have some operations
user_mgmt = trade.is_user_trade()
for signal in exits:
# @todo how to managed exit region ?
# receive an exit signal of the timeframe of the trade
if signal.timeframe == trade.timeframe:
retained_exit = signal
break
# exit signal on reference timeframe
if signal.timeframe == self.ref_timeframe:
retained_exit = signal
break
# exit from any parent timeframe signal
# if signal.timeframe > trade.timeframe:
# retained_exit = signal
# break
# can cancel a non filled trade if exit signal occurs before timeout (timeframe)
# if trade.is_entry_timeout(timestamp, trade.timeframe):
# trader = self.strategy.trader()
# trade.cancel_open(trader)
# Terminal.inst().info("Canceled order (exit signal or entry timeout) %s" % (self.instrument.market_id,), view='default')
# continue
if user_mgmt:
retained_exit = None
# if trade.is_opened() and not trade.is_valid(timestamp, trade.timeframe):
# # @todo re-adjust entry
# Terminal.inst().info("Update order %s trade %s TODO" % (trade.id, self.instrument.market_id,), view='default')
# continue
# only for active and currently not closing trades
if not trade.is_active() or trade.is_closing(
) or trade.is_closed():
continue
close_exec_price = self.instrument.close_exec_price(trade.dir)
#
# stop-loss update
#
# always need a target, even if user trade and a stop order
update_tp = not trade.tp or not trade.has_limit_order()
update_sl = not trade.sl or not trade.has_stop_order()
# current sl/tp
stop_loss = trade.sl
take_profit = trade.tp
# ATR stop-loss (long/short)
atr_stop = self.timeframes[self.sltp_timeframe].atr.stop_loss(
trade.direction)
if trade.direction > 0:
# long, greater or initial
if atr_stop > stop_loss and atr_stop < close_exec_price * 0.995:
stop_loss = atr_stop
elif trade.direction < 0:
# short, lesser or initial
if (atr_stop < stop_loss or stop_loss <= 0
) and atr_stop > close_exec_price * 1.005:
stop_loss = atr_stop
# update take-profit if necessary, and trailing stop-loss
# new_exit = self.update_exit(trade, close_exec_price, self.timeframes[self.ref_timeframe].price, self.timeframes[self.ref_timeframe].pointpivot)
if self.timeframes[
self.ref_timeframe].pivotpoint.last_pivot > 0.0:
if trade.direction > 0:
# long
if close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[2]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[2]):
update_tp = True
if stop_loss < self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[
1]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_resistances[1]
elif close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[1]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[1]):
update_tp = True
if stop_loss < self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[
0]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_resistances[0]
elif close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[0]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[0]):
update_tp = True
if stop_loss < self.timeframes[
self.ref_timeframe].pivotpoint.last_pivot:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_pivot
elif close_exec_price > self.timeframes[
self.ref_timeframe].pivotpoint.last_pivot:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[
self.ref_timeframe].pivotpoint.pivot):
update_tp = True
if stop_loss < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[0]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[0]
elif close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[0]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[0]):
update_tp = True
if trade.sl < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[1]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[1]
elif close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[1]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[1]):
update_tp = True
if trade.sl < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[2]
elif close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[2]):
update_tp = True
if close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[2]
elif trade.direction < 0:
# short (could use the sign, but if we want a non symmetrical approch...)
if close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[2]):
update_tp = True
if close_exec_price > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[2]
elif close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[1]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[1]):
update_tp = True
if trade.sl > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[2]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[2]
elif close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[0]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.supports[0]):
update_tp = True
if trade.sl > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[1]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[1]
elif close_exec_price < self.timeframes[
self.ref_timeframe].pivotpoint.last_pivot:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[
self.ref_timeframe].pivotpoint.pivot):
update_tp = True
if stop_loss > self.timeframes[
self.
ref_timeframe].pivotpoint.last_supports[0]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_supports[0]
elif close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[0]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[0]):
update_tp = True
if stop_loss > self.timeframes[
self.ref_timeframe].pivotpoint.last_pivot:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_pivot
elif close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[1]:
if utils.crossover(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[1]):
update_tp = True
if stop_loss > self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[
0]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_resistances[0]
elif close_exec_price < self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[2]:
if utils.crossunder(
self.timeframes[
self.ref_timeframe].price.prices,
self.timeframes[self.ref_timeframe].
pivotpoint.resistances[2]):
update_tp = True
if stop_loss > self.timeframes[
self.
ref_timeframe].pivotpoint.last_resistances[
1]:
update_sl = True
# stop_loss = self.timeframes[self.ref_timeframe].pivotpoint.last_resistances[1]
#
# target update
#
# enought potential profit (0.5% min target)
if trade.direction > 0:
take_profit = self.timeframes[
self.ref_timeframe].pivotpoint.last_resistances[
int(2 * trade.get('partial-take-profit', 0))]
# if take_profit <= trade.entry_price:
# take_profit = trade.entry_price * 1.05
gain = (take_profit -
trade.entry_price) / trade.entry_price
loss = (trade.entry_price -
trade.sl) / trade.entry_price
elif trade.direction < 0:
take_profit = self.timeframes[
self.ref_timeframe].pivotpoint.last_supports[int(
2 * trade.get('partial-take-profit', 0))]
# if take_profit >= trade.entry_price:
# take_profit = trade.entry_price * 0.95
gain = (trade.entry_price -
take_profit) / trade.entry_price
loss = (trade.sl -
trade.entry_price) / trade.entry_price
# reevaluate the R:R
# @todo
# if gain < 0.005 and update_tp:
# ...
if update_sl and stop_loss > 0:
stop_loss = self.instrument.adjust_price(stop_loss)
if trade.sl != stop_loss:
# logger.info("SL %s %s %s" % (update_sl, stop_loss, trade.sl))
delta_time = timestamp - trade.last_stop_loss[0]
num_orders = trade.last_stop_loss[1]
# too many stop-loss modifications in the timeframe
if not trade.has_stop_order(
) or delta_time > 60.0: #not ((self.sltp_max_rate > num_orders) and (delta_time < self.sltp_max_timeframe)):
try:
trade.modify_stop_loss(self.strategy.trader(),
self.instrument,
stop_loss)
except Exception as e:
logger.error(repr(e))
Terminal.inst().info("%s modify SL" % timestamp,
view="debug")
else:
trade.sl = stop_loss
if update_tp and take_profit > 0:
take_profit = self.instrument.adjust_price(take_profit)
if trade.tp != take_profit:
logger.info("TP %s %s %s" %
(update_tp, take_profit, trade.tp))
delta_time = timestamp - trade.last_take_profit[0]
num_orders = trade.last_take_profit[1]
# too many stop-loss modifications in the timeframe
if not trade.has_limit_order(
) or delta_time > 60.0: #not ((self.sltp_max_rate > num_orders) and (delta_time < self.sltp_max_timeframe)):
try:
trade.modify_take_profit(
self.strategy.trader(), self.instrument,
take_profit)
except Exception as e:
logger.error(repr(e))
Terminal.inst().info("%s modify TP" % timestamp,
view="debug")
else:
trade.tp = take_profit
#
# exit trade if an exit signal retained
#
if retained_exit:
self.process_exit(timestamp, trade, retained_exit.price)
Terminal.inst().info("Exit trade %s %s" %
(self.instrument.symbol, trade.id),
view='debug')
self.unlock()
# update actives trades
self.update_trades(timestamp)
# retained long entry do the order entry signal
for entry in retained_entries:
self.process_entry(timestamp, entry.dir, entry.price, entry.tp,
entry.sl, entry.timeframe,
entry.get('partial-take-profit', 0))
# streaming
self.stream()