def is_market_open(self):
today_date = datetime.datetime.today().strftime("%Y-%m-%d")
IsMarketOpen = True
if not IsMarketOpen:
oanda_logger.info(
"{}'s forex market is closed!".format(today_date))
return IsMarketOpen
def get_trade_instrument(self, day_buy, day_sell):
trade_instruments_tuple = []
for instrument in day_buy:
trade_instruments_tuple.append((instrument, 'buy'))
for instrument in day_sell:
trade_instruments_tuple.append((instrument, 'sell'))
time = datetime.datetime.today().strftime("%Y-%m-%d %H:%M:%S")
oanda_logger.info("Trading decision: {}, Time: {}".format(
trade_instruments_tuple, time))
return trade_instruments_tuple
def get_close_out_instrument(self, day_buy, day_sell, strategy='s1'):
print("=============get_close_out_instrument===============")
instrument_list = []
unit_list = []
line_id_list = []
# if strategy == 's2':
# # close out the sell trade
# for instrument in day_buy:
# for instrument_pos, buy_or_sell in self.pos_detail_dict.items():
# if instrument == instrument_pos and buy_or_sell == 'sell':
# instruments.append(instrument_pos)
# # close out the buy trade
# for instrument in day_sell:
# for instrument_pos, buy_or_sell in self.pos_detail_dict.items():
# oanda_logger.debug("instrument: {}, instrument_pos:{}， buy_or_sell:{}"
# .format(instrument, instrument_pos, buy_or_sell))
# if instrument == instrument_pos and buy_or_sell == 'buy':
# instruments.append(instrument_pos)
if strategy == 's1':
today_str = self.date_today.strftime("%Y-%m-%d")
with open(self.close_out_file_path, 'r') as f:
for i, line in enumerate(f):
if line == '\n':
continue
line_list = line.split(',')
date_str = line_list[1]
if today_str != date_str:
continue
else:
instrument = line_list[0]
units = str(line_list[2])
instrument_list.append(instrument)
unit_list.append(units)
line_id_list.append(i)
# date_today_str = self.date_today.strftime("%Y-%m-%d")
# strategy1_file_path = self.strategy1_file_path
# with open (strategy1_file_path, 'r', encoding = 'utf-8') as f:
# strategy1_dict = json.load(f)
# if strategy1_dict.get(date_today_str):
# instruments = strategy1_dict[date_today_str]['close_out']
# else:
# instruments = []
#instruments = ['EUR_USD']
time = datetime.datetime.today().strftime("%Y-%m-%d %H:%M:%S")
oanda_logger.info(
"Close_out instruments: {}, units: {}, Time: {}".format(
instrument_list, unit_list, time))
return instrument_list, unit_list, line_id_list
def get_day_buy_sell(self, ga_classifier_result_dict):
#
is_1_day_buy = self.is_1_day_buy
is_1_day_sell = self.is_1_day_sell
is_3_day_buy = self.is_3_day_buy
is_3_day_sell = self.is_3_day_sell
is_7_day_buy = self.is_7_day_buy
is_7_day_sell = self.is_7_day_sell
#
buy_list = []
sell_list = []
buy_set = set()
sell_set = set()
# buy
if is_1_day_buy:
buy_list.extend(ga_classifier_result_dict['1_day_buy'])
if is_3_day_buy:
buy_list.extend(ga_classifier_result_dict['3_day_buy'])
if is_7_day_buy:
buy_list.extend(ga_classifier_result_dict['7_day_buy'])
buy_set = set(buy_list)
# sell
if is_1_day_sell:
sell_list.extend(ga_classifier_result_dict['1_day_sell'])
if is_3_day_sell:
sell_list.extend(ga_classifier_result_dict['3_day_sell'])
if is_7_day_sell:
sell_list.extend(ga_classifier_result_dict['7_day_sell'])
sell_set = set(sell_list)
# if forex appear in both set, delete it
buy_set_complete = buy_set.copy()
sell_set_complete = sell_set.copy()
buy_set -= sell_set_complete
sell_set -= buy_set_complete
day_buy = list(buy_set)
day_sell = list(sell_set)
oanda_logger.info("day_buy: {}".format(day_buy))
oanda_logger.info("day_sell: {}".format(day_sell))
return day_buy, day_sell
def main_loop():
print("Oanda Trading Start!")
# (0.) see if market is open
is_market_open = oanda_trading.is_market_open()
if not is_market_open:
print("Market is closed today!")
oanda_trading.modify_close_out_date()
sys.exit()
oanda_logger.info(
"===============adopted strategy: {}===============".format(strategy))
# (1.) Update Forex Data
read_up_to_date_forex_data()
# (2.) get ga_classifier_result_dict
ga_classifier_result_dict = get_ga_classifier_result_dict()
# (3.) get day_buy/day_sell
if strategy == 's2':
day_buy, day_sell = oanda_trading.get_day_buy_sell(
ga_classifier_result_dict)
elif strategy == 's1':
day_buy, day_sell = oanda_trading.s1_get_day_buy_sell(
ga_classifier_result_dict)
# TODO reinforcement learning, action outputs close order date, units, which shoule be the input of close_out and trade
# (4.) close out
oanda_trading.close_out2(strategy=strategy)
time.sleep(3)
# (5.) buy
oanda_trading.trade(trading_params, day_buy, day_sell)
time.sleep(3)
# (6.) show position and archive positions
oanda_trading.get_all_positions()
# (7.)
oanda_trading.isEnd = False
def trade(self, trading_params, day_buy, day_sell):
time = datetime.datetime.today().strftime("%Y-%m-%d %H:%M:%S")
# trade_instruments_tuple: (('EUR_USD', 'buy'), ('EUR_USD', 'sell')...)
trade_instruments_tuple = self.get_trade_instrument(day_buy, day_sell)
for trade_instrument, sell_or_buy in trade_instruments_tuple:
if not trade_instrument:
# return logging
oanda_logger.info(
"=============================Return Trading============================="
)
oanda_logger.info("Trading Time: {}".format(time))
oanda_logger.info("Day buy: {}".format(day_buy))
oanda_logger.info("Day sell: {}".format(day_sell))
oanda_logger.info("No instrument chosen")
oanda_logger.info(
"=============================Return Trading END==========================\n"
)
return
body = self.body
headers = self.headers
url = self.order_url
body['order']['instrument'] = trade_instrument
body['order']['units'] = '50'
# sell or buy
if sell_or_buy == 'sell':
body['order']['units'] = str(int(body['order']['units']) * -1)
else:
pass
response = requests.post(url, headers=headers, json=body)
response_content = response.json()
status_code = response.status_code
last_transaction_id = response_content['lastTransactionID']
# TODO update close_out_order.txt
if status_code == '201':
closed_out_date = self.s1_get_close_out_date()
self.update_close_out_order(trade_instrument, sell_or_buy,
closed_out_date,
last_transaction_id)
# logging
oanda_logger.info(
"=============================Oanda Trading============================="
)
oanda_logger.info("Trading Time: {}".format(time))
oanda_logger.info("Day buy: {}".format(day_buy))
oanda_logger.info("Day sell: {}".format(day_sell))
oanda_logger.info("Instrument chosen: {}".format(trade_instrument))
oanda_logger.info("status_code: {}".format(status_code))
oanda_logger.info("response_content:\n {}".format(
pprint.pformat(response_content)))
oanda_logger.info(
"=============================Oanda Trading END==========================\n"
)
def close_out2(self, strategy='s2'):
oanda_logger.info(
"=============================Oanda Close Out============================="
)
# get close out id
close_out_id_list = []
with open(self.close_out_file_path, 'r') as f:
for line in f:
if line == '\n':
continue
line_list = line.strip().split(',')
date = line_list[1]
id = line_list[-1]
date_temp = time.strptime(date, '%Y-%m-%d')
date_obj = datetime.datetime(*date_temp[:3]).date()
if self.date_today == date_obj:
close_out_id_list.append(id)
if not close_out_id_list:
oanda_logger.info("No close out forex for {}".format(date))
for i, trade_id in enumerate(close_out_id_list):
url = self.close_out_url.format(self.account_id, trade_id)
response = requests.put(url, headers=self.headers)
response_content = response.json()
status_code = response.status_code
oanda_logger.info("trade_id: ", trade_id)
oanda_logger.info("response_content: ", response_content)
oanda_logger.info("status_code: ", status_code)
# ===============================================================================
# delete the close_out_order line if close out is done succesfully
# TODO change status_code
new_file_list = []
if status_code == 200:
with open(self.close_out_file_path, 'r') as f:
for line in f:
line_list = line.strip().split(',')
f_trade_id = line_list[-1]
date = line_list[1]
date_temp = time.strptime(date, '%Y-%m-%d')
date_obj = datetime.datetime(*date_temp[:3]).date()
if f_trade_id == trade_id and self.date_today == date_obj:
continue
else:
new_file_list.append(line)
with open(self.close_out_file_path, 'w') as f:
for new_line in new_file_list:
f.write(new_line)
oanda_logger.info(
"Close out trade_id {} succesfully!".format(trade_id))
else:
oanda_logger.info(
"trade_id {} does not hold any position!".format(trade_id))
# ===============================================================================
oanda_logger.info(
"=============================Oanda Close Out END=============================\n"
)
def close_out(self, trading_params, day_buy, day_sell, strategy='s2'):
def get_trade_id(instrument):
url = self.get_trade_id_url.format(self.account_id, instrument)
response = requests.get(url, headers=self.headers)
trade_id = dict(response.json())['trades'][0]["id"]
return trade_id
# ::: close_out
time = datetime.datetime.today().strftime("%Y-%m-%d %H:%M:%S")
instrument_in_pos = self.get_all_positions()
print("instrument_in_pos", instrument_in_pos)
# ('EUR_USD', 'USD_JPY')
close_out_instruments, units_list, line_id_list = self.get_close_out_instrument(
day_buy, day_sell, strategy=strategy)
close_out_instruments = set(close_out_instruments) & set(
instrument_in_pos)
if not close_out_instruments:
# return logging
oanda_logger.info(
"=============================No Close Out============================="
)
oanda_logger.info("Time: {}".format(time))
oanda_logger.info("Day buy: {}".format(day_buy))
oanda_logger.info("Day sell: {}".format(day_sell))
oanda_logger.info("Hold position: {}".format(instrument_in_pos))
oanda_logger.info("No close_out!")
oanda_logger.info(
"=============================Return Trading END==========================\n"
)
return
# get close out id
close_out_id_list = []
with open(self.close_out_file_path, 'r') as f:
for line in f:
if line == '\n':
continue
line_list = line.strip().split(',')
date = line_list[1]
id = line_list[-1]
date_temp = time.strptime(date, '%Y%m%d')
date_obj = datetime.datetime(*date_temp[:3])
if self.date_today == date_obj:
close_out_id_list.append(id)
if not close_out_id_list:
print("No close out forex for {}".format())
for i, trade_id in enumerate(close_out_id_list):
url = self.close_out_url.format(self.account_id, trade_id)
response = requests.put(url, headers=self.headers, json=body)
response_content = response.json()
status_code = response.status_code
# ===============================================================================
# delete the close_out_order line if close out is done succesfully
# TODO change status_code
if status_code == '200':
delete_line_id = line_id_list[i]
with open(self.close_out_file_path, 'r') as f:
file_lines = f.readlines()
new_file_lines = [
x for i, x in enumerate(file_lines) if i != delete_line_id
]
with open(self.close_out_file_path, 'w') as f:
for new_line in new_file_lines:
f.write(new_line)
f.write('\n')
# ===============================================================================
# close_out logging
oanda_logger.info(
"=============================Oanda Close Out============================="
)
oanda_logger.info("Close Out Time: {}".format(time))
oanda_logger.info("Close Out trade_id: {}".format(trade_id))
oanda_logger.info("status_code: {}".format(status_code))
oanda_logger.info("response_content:\n {}".format(
pprint.pformat(response_content)))
oanda_logger.info(
"=============================Oanda Trading END==========================\n"
)
def get_all_positions(self):
time = datetime.datetime.today().strftime("%Y-%m-%d %H:%M:%S")
url = self.get_all_positions_url
response = requests.get(url, headers=self.headers)
positions_list = dict(response.json())['positions']
pprint.pprint(positions_list)
all_pos_list = []
for positions_dict in positions_list:
instrument = positions_dict['instrument']
all_pos_list.append(instrument)
# get the pos detail(buy/sell)
long_units = int(positions_dict['long']['units'])
short_units = int(positions_dict['short']['units'])
if short_units != 0 and long_units == 0:
if short_units > 0:
buy_or_sell = 'buy'
elif short_units < 0:
buy_or_sell = 'sell'
elif long_units != 0 and short_units == 0:
if long_units > 0:
buy_or_sell = 'buy'
elif long_units < 0:
buy_or_sell = 'sell'
else:
oanda_logger.error(
"ERROR HAPPEND AT get_all_positions! long_unit, short unit"
)
sys.exit(0)
self.pos_detail_dict[instrument] = buy_or_sell
# archive positions
date = datetime.datetime.today().strftime("%Y-%m-%d")
folder_name = 'position_archive'
date_file_name = date + '_positions.txt'
date_file_path = os.path.join(folder_name, date_file_name)
archive_time = datetime.datetime.today().strftime("%Y-%m-%d-%H-%M-%S")
with open(date_file_path, 'w') as f:
f.write("archive_time: {}\n".format(archive_time))
for detail in positions_list:
f.write(str(detail))
f.write("\n")
#
# logging
oanda_logger.info(
"=============================All positions============================="
)
oanda_logger.info("Time: {}".format(time))
oanda_logger.info("All_pos_list: {}".format(all_pos_list))
oanda_logger.info("Pos details:\n {}".format(
pprint.pformat(response.json())))
oanda_logger.info("Buy/Sell details:\n {}".format(
pprint.pformat(dict(self.pos_detail_dict))))
oanda_logger.info(
"=============================All positions END==========================\n"
)
return all_pos_list
def get_ga_classifier_result_dict():
oanda_logger.info(
"======================GETTING FOREX RETURN START======================"
)
import random
today = datetime.datetime.today()
today = datetime.date(year=today.year, month=today.month, day=today.day)
ga_classifier_result_dict = collections.defaultdict(lambda: [])
chromosome_strategy_chosen_path = os.path.join(
code_main_folder, 'pyoanda', 'chromosome_strategy_chosen.txt')
with open(chromosome_strategy_chosen_path, 'r', encoding='utf-8') as f:
for line in f:
chromosome_type = re.findall(r'#([A-Za-z0-9_]+)#', line)[0]
chromosome = re.findall(r':chromosome#([0-9]+)#END', line)[0]
chromosome_bits = list(chromosome)
# convert str to int
chromosome_bits = [int(x) for x in chromosome_bits]
print("len_chromosome: ", len(chromosome_bits))
#chromosome_bits = [random.sample([0,1],1)[0] for x in range(len(chromosome_bits))]
oanda_logger.info("chromosome_bits: {}".format(''.join(
[str(x) for x in chromosome_bits])))
#(chromosome_bits, chromosome_type, parameter_path, data_path, output_path, trading = False
# cls_result_today: (datetime.date(2017, 2, 17), 'GBP_USD')
cls_result = get_single_chromo_cls_result(
chromosome_bits,
chromosome_type,
oanda_main_parameter_json__path,
oanda_forex_trading_data_path,
trading=True)
print("cls_result: ", cls_result)
oanda_logger.debug("chromosome_type: {}, cls_result :{}".format(
chromosome_type, cls_result))
# test whether this chromosome has return any forex for any date
if cls_result == None:
oanda_logger.info("{} has no forex return for any date".format(
chromosome_type))
else:
cls_result_today = cls_result[-1]
# test whether the fetech result is today
date_cls = cls_result_today[0]
if date_cls == today:
ga_classifier_result_dict[chromosome_type].append(
cls_result_today[1])
oanda_logger.info("{} has return forex {} for {}".format(
chromosome_type, cls_result_today, today))
else:
oanda_logger.info("{} has no forex return for {}".format(
chromosome_type, today))
print("ga_classifier_result_dict: ", dict(ga_classifier_result_dict))
oanda_logger.info(
"======================GETTING FOREX RETURN END======================")
return ga_classifier_result_dict
