def fetch_candlelist(self):
'''
This function returns a CandleList object for this Trade
Returns
-------
A CandleList object
'''
oanda = OandaAPI(instrument=self.pair,
granularity=self.timeframe,
settingf=self.settingf,
settings=self.settings)
if isinstance(self.start, datetime) is True:
astart = self.start
else:
astart = try_parsing_date(self.start)
if isinstance(self.end, datetime) is True:
anend = self.end
else:
anend = try_parsing_date(self.end)
oanda.run(start=astart.isoformat(), end=anend.isoformat())
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
type=self.type,
settingf=self.settingf,
settings=self.settings)
return cl
def __initclist(self):
'''
Private function to initialize the CandleList object that goes from self.start
to self.period
This will set the self.clist_period class attribute
'''
delta_period=periodToDelta(self.period, self.timeframe)
delta_1=periodToDelta(1, self.timeframe)
start = self.start - delta_period # get the start datetime for this CandleList period
end = self.start + delta_1 # increase self.start by one candle to include self.start
oanda = OandaAPI(url=config.OANDA_API['url'],
instrument=self.pair,
granularity=self.timeframe,
alignmentTimezone=config.OANDA_API['alignmentTimezone'],
dailyAlignment=config.OANDA_API['dailyAlignment'])
oanda.run(start=start.isoformat(),
end=end.isoformat(),
roll=True
)
candle_list = oanda.fetch_candleset(vol_cutoff=0)
cl = CandleList(candle_list, self.pair, granularity=self.timeframe, id=self.id, type=self.type)
self.clist_period=cl
def __initclist(self):
'''
Private function to initialize the CandleList object that goes from self.trade.start
to self.period
This will set the self.clist_period class attribute
'''
delta_period = periodToDelta(self.settings.getint('counter', 'period'),
self.trade.timeframe)
delta_1 = periodToDelta(1, self.trade.timeframe)
start = self.trade.start - delta_period # get the start datetime for this CandleList period
end = self.trade.start + delta_1 # increase self.start by one candle to include self.start
oanda = OandaAPI(url=self.settings.get('oanda_api', 'url'),
instrument=self.trade.pair,
granularity=self.trade.timeframe,
settingf=self.settingf,
settings=self.settings)
oanda.run(start=start.isoformat(), end=end.isoformat())
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
settingf=self.settingf,
settings=self.settings,
instrument=self.trade.pair,
granularity=self.trade.timeframe,
id=self.trade.id,
type=self.trade.type)
self.clist_period = cl
def test_merge_pre(ix, pair, timeframe, id, start, end, date_pre, date_post,
clean_tmp):
'''
Test function 'merge_pre' to merge the 'pre' Segment
'''
oanda = OandaAPI(instrument=pair,
granularity=timeframe,
settingf='../../data/settings.ini')
oanda.run(start=start, end=end)
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument=pair,
id=id,
settingf='../../data/settings.ini')
pl = cl.get_pivotlist(
th_bounces=cl.settings.getfloat('pivots', 'th_bounces'))
pivot = pl.plist[ix]
# Check pivot.pre.start() before running 'merge_pre'
assert date_post == pivot.pre.start()
# run 'merge_pre' function
pivot.merge_pre(slist=pl.slist,
n_candles=cl.settings.getint('pivots', 'n_candles'),
diff_th=cl.settings.getint('pivots', 'diff_th'))
# Check pivot.pre.start() after running 'merge_pre'
assert date_pre == pivot.pre.start()
def serialize_object():
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2015-01-25T22:00:00', count=10)
oanda.serialize_data(outfile="../../data/out.data")
def test_run_with_seralized_data(clean_tmp):
'''
test oanda.run with serialized data
'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings_serialised.ini')
oanda.run(start='2015-01-25T22:00:00', count=10)
def test_OandaAPI_e():
'''
Test a simple query to Oanda's REST API using a H12 timeframe and a
non conventional time that will raise an Exception
'''
with pytest.raises(Exception):
oanda = OandaAPI(instrument='AUD_USD', granularity='H12')
oanda.run(start='2018-11-12T10:00:00', end='2018-11-14T11:00:00')
def test_serialize_data():
'''
test of function 'serialize_data'
'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2015-01-25T22:00:00', count=10)
oanda.serialize_data(outfile="../../data/out.data")
def test_indecision_c(pair, timeframe, time, is_it):
oanda = OandaAPI(instrument=pair,
granularity=timeframe,
settingf="../../data/settings.ini")
oanda.run(start=time, count=1)
candle_list = oanda.fetch_candleset()
candle_list[0].set_candle_features()
result = candle_list[0].indecision_c()
assert is_it == result
def get_max_min(self, adateObj):
'''
Function to get the price range for identifying S/R by checking the max
and min price for CandleList starting in
'adateObj'- self.settings.getint('trade_bot', 'period_range') and ending in 'adateObj'
Parameters
----------
datetime object used for identifying
S/R areas
Returns
-------
max, min floats
'''
oanda = OandaAPI(instrument=self.pair,
granularity=self.timeframe,
settingf=self.settingf,
settings=self.settings)
delta_period = periodToDelta(self.settings.getint('trade_bot', 'period_range'),
self.timeframe)
delta_1 = periodToDelta(1, self.timeframe)
start = adateObj - delta_period # get the start datetime for this CandleList period
end = adateObj + delta_1 # increase self.start by one candle to include self.start
if self.ser_data_obj is None:
tb_logger.info("Fetching data from API")
oanda.run(start=start.isoformat(),
end=end.isoformat())
else:
tb_logger.info("Fetching data from File")
oanda.data = self.ser_data_obj.slice(start=start,
end=end)
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument=self.pair,
id='test',
granularity=self.timeframe,
settingf=self.settingf,
settings=self.settings)
max = cl.get_highest()
min = cl.get_lowest()
# add a number of pips to max,min to be sure that we
# also detect the extreme pivots
max = add_pips2price(self.pair, max, self.settings.getint('trade_bot', 'add_pips'))
min = substract_pips2price(self.pair, min, self.settings.getint('trade_bot', 'add_pips'))
return max, min
def test_OandaAPI_count():
'''
Test a simple query to Oanda's REST API using a D timeframe and using
the 'count' parameter instead of 'end'
'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2018-05-21T22:00:00', count=1)
assert 1
def test_OandaAPI2_e():
'''
Test a simple query to Oanda's REST API using a H8 timeframe and a
non conventional time that will raise an Exception
'''
with pytest.raises(Exception):
oanda = OandaAPI(url='https://api-fxtrade.oanda.com/v1/candles?',
instrument='AUD_USD',
granularity='H8',
alignmentTimezone='Europe/London',
dailyAlignment=22)
oanda.run(start='2018-11-12T10:00:00', end='2018-11-14T11:00:00')
def test_OandaAPI_vol():
'''
Test a simple query to Oanda's REST API using a H12 timeframe and using
a volume cutoff for 'fetch_candleset' function
'''
oanda = OandaAPI(instrument='NZD_JPY',
granularity='H12',
settingf='../../data/settings.ini')
oanda.run(start='2011-09-02T21:00:00', end='2011-09-06T22:00:00')
candle_list = oanda.fetch_candleset(vol_cutoff=20)
assert len(candle_list) == 6
def test_fetch_one_candle():
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2015-01-25T22:00:00', count=1)
candle_list = oanda.fetch_candleset()
assert candle_list[0].highBid == 0.79329
assert candle_list[0].openBid == 0.7873
assert candle_list[0].lowBid == 0.7857
assert candle_list[0].representation == 'bidask'
assert candle_list[0].lowAsk == 0.786
assert candle_list[0].complete == True
assert candle_list[0].openAsk == 0.7889
def clO():
"""Returns a CandleList object"""
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2019-03-06T23:00:00', end='2020-01-24T23:00:00')
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument='AUD_USD',
id='test_AUD_USD_clist',
granularity='D',
settingf='../../data/settings.ini')
return cl
def cl_object():
'''Returns a CandleList object'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2019-03-06T23:00:00', end='2020-01-03T23:00:00')
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
return cl
def cl_object(clean_tmp):
'''Returns CandleList object'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2015-06-24T22:00:00', end='2019-06-21T22:00:00')
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument='AUD_USD',
id='AUD_USD_testclist',
type='long',
settingf='../../data/settings.ini')
return cl
def test_set_candle_features(pair, timeframe, time, colour, upper_wick,
lower_wick):
'''
Test function to set basic candle features based on price
i.e. self.colour, upper_wick, etc...
'''
oanda = OandaAPI(instrument=pair,
granularity=timeframe,
settingf="../../data/settings.ini")
oanda.run(start=time, count=1)
candle_list = oanda.fetch_candleset()
candle_list[0].set_candle_features()
assert candle_list[0].colour == colour
assert candle_list[0].upper_wick == upper_wick
assert candle_list[0].lower_wick == lower_wick
def __initclist(self, timeframe, end, pair):
'''
Private function to initialize the CandleList object that goes from trade.start
to self.settings.getint('counter', 'period')
Parameters
----------
timeframe : Timeframe
end : Datetime object that will be the end of this CandleList
pair : pair
Returns
-------
Candlelist or
None if Oanda API query was not successful
'''
delta_period = periodToDelta(self.settings.getint('trade_bot', 'period_range'),
timeframe)
delta_1 = periodToDelta(1, timeframe)
start = end - delta_period # get the start datetime for this CandleList period
end = end + delta_1 # increase end by one candle to include end
tb_logger.debug("Fetching candlelist for period: {0}-{1}".format(start, end))
oanda = OandaAPI(url=self.settings.get('oanda_api', 'url'),
instrument=pair,
granularity=timeframe,
settingf=self.settingf,
settings=self.settings)
if self.ser_data_obj is None:
tb_logger.info("Fetching data from API")
resp = oanda.run(start=start.isoformat(),
end=end.isoformat())
else:
tb_logger.info("Fetching data from File")
oanda.data = self.ser_data_obj.slice(start=start,
end=end)
resp = 200
if resp == 200:
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
settingf=self.settingf,
settings=self.settings,
instrument=pair,
granularity=timeframe,
ser_data_obj=self.ser_data_obj,
id="test",
type="short")
cl.calc_rsi()
return cl
else:
t_logger.warn("API query was not OK. No CandleList created ")
return None
def test_calc_itrend(pair, start, end, t_type, itrend, settings_obj,
clean_tmp):
settings_obj.set('it_trend', 'th_bounces', '0.02')
settings_obj.set('it_trend', 'n_candles', '12')
oanda = OandaAPI(instrument=pair, granularity='D', settings=settings_obj)
oanda.run(start=start.isoformat(), end=end.isoformat())
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument=pair,
id='test_clist',
granularity='D',
settings=settings_obj)
assert itrend == cl.calc_itrend(t_type=t_type)
def test_OandaAPI(i, g, s, e, resp):
'''
Test a simple query to Oanda's REST API using a start and end datetimes
'''
oanda = OandaAPI(instrument=i,
granularity=g,
settingf='../../data/settings.ini')
respl = oanda.run(start=s, end=e)
assert respl == resp
def __initclist(self):
'''
Private function to initialize the CandleList object that goes from self.trade.start
to self.settings.getint('counter', 'period')
This will set the self.clist_period class attribute
Returns
-------
None if Oanda API query was not successful
'''
delta_period = periodToDelta(self.settings.getint('counter', 'period'),
self.trade.timeframe)
delta_1 = periodToDelta(1, self.trade.timeframe)
start = self.trade.start - delta_period # get the start datetime for this CandleList period
end = self.trade.start + delta_1 # increase self.start by one candle to include self.start
c_logger.debug("Fetching candlelist for period: {0}-{1}".format(
start, end))
oanda = OandaAPI(url=self.settings.get('oanda_api', 'url'),
instrument=self.trade.pair,
granularity=self.trade.timeframe,
settingf=self.settingf,
settings=self.settings)
resp = None
if self.ser_data_obj is None:
c_logger.debug("Fetching data from API")
resp = oanda.run(start=start.isoformat(), end=end.isoformat())
else:
c_logger.debug("Fetching data from File")
oanda.data = self.ser_data_obj.slice(start=start, end=end)
resp = 200
if resp == 200:
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
settingf=self.settingf,
settings=self.settings,
instrument=self.trade.pair,
granularity=self.trade.timeframe,
id=self.trade.id,
ser_data_obj=self.ser_data_obj,
type=self.trade.type)
self.clist_period = cl
else:
c_logger.warn(
"API query was not OK. 'self.clist_period' will be None ")
self.clist_period = None
def pl_object():
'''Returns PivotList object'''
oanda = OandaAPI(instrument='AUD_USD',
granularity='D',
settingf='../../data/settings.ini')
oanda.run(start='2019-03-08T22:00:00', end='2019-08-09T22:00:00')
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument='AUD_USD',
id='AUD_USD_test',
type='long',
settingf='../../data/settings.ini')
pl = cl.get_pivotlist(
th_bounces=cl.settings.getfloat('pivots', 'th_bounces'))
return pl
def test_OandaAPI_e():
'''
Test a simple query to Oanda's REST API using a non-valid pair
'''
oanda = OandaAPI(instrument='AUD_MOCK',
granularity='H12',
settingf='../../data/settings.ini')
respl = oanda.run(start='2018-11-12T10:00:00', end='2018-11-14T11:00:00')
assert respl == 400
def set_valley(self):
'''
Function to calculate the length of the valley
between bounce_1st & bounce_2nd
Returns
-------
It will set the 'valley' attribute of the class
'''
oanda = OandaAPI(url=config.OANDA_API['url'],
instrument=self.pair,
granularity=self.timeframe,
alignmentTimezone=config.OANDA_API['alignmentTimezone'],
dailyAlignment=config.OANDA_API['dailyAlignment'])
oanda.run(start=self.bounce_2nd.time.isoformat(),
end=self.bounce_1st.time.isoformat())
candle_list = oanda.fetch_candleset(vol_cutoff=0)
self.valley = len(candle_list)
def test_adjust_pivottime(ix, pair, timeframe, id, start, end, new_b,
clean_tmp):
oanda = OandaAPI(instrument=pair,
granularity=timeframe,
settingf='../../data/settings.ini')
oanda.run(start=start, end=end)
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument=pair,
id=id,
settingf='../../data/settings.ini')
pl = cl.get_pivotlist(
th_bounces=cl.settings.getfloat('pivots', 'th_bounces'))
p = pl.plist[ix]
newt = p.adjust_pivottime(clistO=cl)
assert new_b == newt
def fetch_candlelist(self):
'''
This function returns a CandleList object for this Trade
Returns
-------
A CandleList object
'''
oanda = OandaAPI(instrument=self.pair,
granularity=self.timeframe,
settingf=self.settingf,
settings=self.settings)
if isinstance(self.start, datetime) is True:
astart = self.start
else:
astart = try_parsing_date(self.start)
if isinstance(self.end, datetime) is True:
anend = self.end
else:
anend = try_parsing_date(self.end)
if self.ser_data_obj is None:
t_logger.debug("Fetching data from API")
oanda.run(start=astart.isoformat(), end=anend.isoformat())
else:
t_logger.debug("Fetching data from File")
oanda.data = self.ser_data_obj.slice(start=astart, end=anend)
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
type=self.type,
settingf=self.settingf,
settings=self.settings)
return cl
def test_get_lasttime():
oanda = OandaAPI(instrument='AUD_CHF',
granularity='H12',
settingf='../../data/settings.ini')
resist = HArea(price=1.00721,
pips=45,
instrument='AUD_CHF',
granularity='H12',
settingf='../../data/settings.ini')
oanda.run(start='2004-11-07T10:00:00', end='2010-04-30T09:00:00')
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
instrument='AUD_CHF',
id='test_AUD_CHF_clist',
granularity='H12',
type='short',
settingf='../../data/settings.ini')
lasttime = cl.get_lasttime(resist)
assert lasttime == datetime.datetime(2007, 11, 9, 10, 0)
def calc_pips_c_trend(self):
'''
Function to calculate the pips_c_trend
Returns
-------
Float with number of pips for the trend_i
'''
oanda = OandaAPI(url=self.settings.get('oanda_api', 'url'),
instrument=self.trade.pair,
granularity=self.trade.timeframe,
settingf=self.settingf,
settings=self.settings)
resp = None
if self.ser_data_obj is None:
c_logger.debug("Fetching data from API")
resp = oanda.run(start=self.trend_i.isoformat(),
end=self.trade.start.isoformat())
else:
c_logger.debug("Fetching data from File")
oanda.data = self.ser_data_obj.slice(start=self.trend_i,
end=self.trade.start)
resp = 200
if resp == 200:
candle_list = oanda.fetch_candleset()
cl = CandleList(candle_list,
settingf=self.settingf,
settings=self.settings,
instrument=self.trade.pair,
granularity=self.trade.timeframe,
id=self.trade.id,
type=self.trade.type)
pips_c_trend = cl.get_length_pips() / cl.get_length_candles()
return round(pips_c_trend, 1)
else:
c_logger.warn(
"API query was not OK. 'pips_c_trend' could not be calculated")
def __get_time4candles(self, n, anchor_point,roll=True):
'''
This private function takes a a number of candles
and returns a Datetime corresponding to
this number of candles
Parameters
----------
n : int
Number of candles
anchor_point : datetime
Datetime used as the anchor (end point from which it will go back 'n' candles) for calculation
roll : boolean
if True, then if will try to go back in time in order to get exactly 'n' number of candles.
Default: True
Returns
-------
Datetime.datetime
'''
delta_from_start = None
delta_one = None
if self.timeframe == "D":
delta_from_start = datetime.timedelta(hours=24 * n)
delta_one = datetime.timedelta(hours=24)
else:
fgran = self.timeframe.replace('H', '')
delta_from_start = datetime.timedelta(hours=int(fgran) * n)
delta_one = datetime.timedelta(hours=int(fgran))
# calculate the cutoff for the first threshold using the number of candles
oanda = OandaAPI(url=config.OANDA_API['url'],
instrument=self.pair,
granularity=self.timeframe,
alignmentTimezone=config.OANDA_API['alignmentTimezone'],
dailyAlignment=config.OANDA_API['dailyAlignment'])
start = anchor_point - delta_from_start
if roll is True:
if start< config.START_HIST[self.pair]:
#return the first candle in the record if start goes back before the start of the record
return config.START_HIST[self.pair]
else :
end = anchor_point.isoformat()
oanda.run(start=start.isoformat(),
end=end,
roll=True)
candle_list = oanda.fetch_candleset()
# if len of candle_list is below n then go back one candle at a time
while len(candle_list) < n:
start = start - delta_one
oanda.run(start=start.isoformat(),
end=end,
roll=True)
candle_list = oanda.fetch_candleset()
return start
else:
return start