def connect(self):
super().connect()
try:
identity = self.service.identity(self._name)
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(
self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
self._available_instruments = set()
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
def connect(self):
super().connect()
with self._mutex:
try:
self._ready = False
self._connecting = True
identity = self.service.identity(self._name)
self._subscriptions = [] # reset previous list
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(
self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
# from CST and XST
password = "******" % (self._connector.cst, self._connector.xst)
# logger.debug(self._connector.cst, self._connector.xst, self._connector.lightstreamer_endpoint, identity.get('account-id'), self._connector.client_id)
if self._lightstreamer:
# destroy previous connection
self._lightstreamer.destroy()
self._lightstreamer = LSClient(
self._connector.lightstreamer_endpoint, # "https://push.lightstreamer.com",
adapter_set="DEFAULT",
user=self._connector.client_id,
password=password)
self._lightstreamer.connect()
# subscribe for account and trades to have a reactive feedback and don't saturate the REST API
self.subscribe_account(identity.get('account-id'))
self.subscribe_trades(identity.get('account-id'))
#
# default watched instruments
#
configured_instruments = self.configured_symbols()
# @todo could check with API if configured epic exists and put them into this list
instruments = copy.copy(configured_instruments)
self._available_instruments = copy.copy(instruments)
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(configured_symbols, instruments)
# cache them
self.__configured_symbols = configured_symbols
self.__matching_symbols = matching_symbols
self._ready = True
self._connecting = False
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
self._connector = None
self._lightstreamer = None
if self._connector and self._connector.connected and self._ready:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name, time.time())
class IGWatcher(Watcher):
"""
IG watcher get price and volumes of instruments in live mode throught websocket API.
Search Markets: https://demo-api.ig.com/gateway/deal/markets?searchTerm=USDJPY
https://labs.ig.com/sample-apps/api-companion/index.html
https://labs.ig.com/sample-apps/streaming-companion/index.html
- LTV Last traded volume
>> https://labs.ig.com/streaming-api-reference
Limits
======
Rest API:
- Per-app non-trading requests per minute: 60
- Per-account trading requests per minute: 100 (Applies to create/amend position or working order requests)
- Per-account non-trading requests per minute: 30
- Historical price data points per week: 10,000 (Applies to price history endpoints)
Streaming API:
- 40 concurrents subscriptions
Data history:
- 1 Sec 4 Days
- 1 to 3 Min 40 Days
- 5 Min to 4 Hours 360 Days
- Day 15 years
- Only for forex, indices, commodities, but no history for stocks !
@todo get vol24 in base and quote unit
@todo base_exchange_rate must be updated as price changes
"""
MAX_CONCURRENT_SUBSCRIPTIONS = 40
def __init__(self, service):
super().__init__("ig.com", service, Watcher.WATCHER_PRICE_AND_VOLUME)
self._host = "ig.com"
self._connector = None
self._lightstreamer = None
self._subscriptions = []
self._account_id = ""
self._subscribed_markets = {}
self._subscribed_ticks = {}
self.__configured_symbols = set() # cache for configured symbols set
self.__matching_symbols = set() # cache for matching symbols
self._cached_tick = {} # caches for when a value is not defined
self._store_trade = True # default store trade because we can't get history else
def connect(self):
super().connect()
with self._mutex:
try:
self._ready = False
self._connecting = True
identity = self.service.identity(self._name)
self._subscriptions = [] # reset previous list
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(
self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
# from CST and XST
password = "******" % (self._connector.cst, self._connector.xst)
# logger.debug(self._connector.cst, self._connector.xst, self._connector.lightstreamer_endpoint, identity.get('account-id'), self._connector.client_id)
if self._lightstreamer:
# destroy previous connection
self._lightstreamer.destroy()
self._lightstreamer = LSClient(
self._connector.lightstreamer_endpoint, # "https://push.lightstreamer.com",
adapter_set="DEFAULT",
user=self._connector.client_id,
password=password)
self._lightstreamer.connect()
# subscribe for account and trades to have a reactive feedback and don't saturate the REST API
self.subscribe_account(identity.get('account-id'))
self.subscribe_trades(identity.get('account-id'))
#
# default watched instruments
#
configured_instruments = self.configured_symbols()
# @todo could check with API if configured epic exists and put them into this list
instruments = copy.copy(configured_instruments)
self._available_instruments = copy.copy(instruments)
configured_symbols = self.configured_symbols()
matching_symbols = self.matching_symbols_set(configured_symbols, instruments)
# cache them
self.__configured_symbols = configured_symbols
self.__matching_symbols = matching_symbols
self._ready = True
self._connecting = False
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
self._connector = None
self._lightstreamer = None
if self._connector and self._connector.connected and self._ready:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name, time.time())
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._ready and self._connector is not None and self._connector.connected
def disconnect(self):
super().disconnect()
with self._mutex:
try:
if self._lightstreamer:
# if self._lightstreamer.connected:
# for sub_key in self._subscriptions:
# self._lightstreamer.unsubscribe(sub_key)
self._subscriptions = []
self._lightstreamer.disconnect()
# self._lightstreamer._join()
self._lightstreamer = None
if self._connector:
self._connector.disconnect()
self._connector = None
# reset subscribed markets WS
self._subscribed_markets = {}
self._subscribed_ticks = {}
self._ready = False
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
def pre_update(self):
if not self._connecting and not self._ready:
reconnect = False
with self._mutex:
if self._connector is None or not self._connector.connected or self._lightstreamer is None or not self._lightstreamer.connected:
# cleanup
self._ready = False
self._connector = None
reconnect = True
if reconnect:
time.sleep(2)
self.connect()
return
def update(self):
if not super().update():
return False
if not self.connected:
return False
#
# ohlc close/open
#
with self._mutex:
self.update_from_tick()
#
# market info update (each 4h)
#
if time.time() - self._last_market_update >= IGWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
try:
# session must at least be obtained each 6h, we call each 4h at least but if we have a server invalidation
self.update_markets_info()
self._last_market_update = time.time()
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
# @todo and is the WS still valid ?
self._connector.update_session()
return True
def post_update(self):
super().post_update()
time.sleep(0.0005)
def post_run(self):
super().post_run()
#
# instruments
#
def subscribe(self, market_id, timeframe, ohlc_depths=None, order_book_depth=None):
with self._mutex:
if market_id in self.__matching_symbols:
# fetch from 1m to 1w, we have a problem of the 10k candle limit per weekend, then we only
# prefetch for the last of each except for 1m and 5m we assume we have a delay of 5 minutes
# from the manual prefetch script execution and assuming the higher timeframe are already up-to-date.
if self._initial_fetch:
logger.info("%s prefetch for %s" % (self.name, market_id))
self.fetch_and_generate(market_id, Instrument.TF_1M, 5, None)
self.fetch_and_generate(market_id, Instrument.TF_3M, 2, None)
self.fetch_and_generate(market_id, Instrument.TF_5M, 1, None)
self.fetch_and_generate(market_id, Instrument.TF_15M, 1, None)
self.fetch_and_generate(market_id, Instrument.TF_1H, 1, None)
self.fetch_and_generate(market_id, Instrument.TF_4H, 1, None)
self.fetch_and_generate(market_id, Instrument.TF_1D, 1, None)
self.fetch_and_generate(market_id, Instrument.TF_1W, 1, None)
self.insert_watched_instrument(market_id, [0])
# to know when market close but could be an hourly REST API call, but it consume one subscriber...
# @todo so maybe prefers REST call hourly ? but need bid/ofr properly defined at signals on trader.market and strategy.instrument !
self.subscribe_market(market_id)
# tick data
self.subscribe_tick(market_id)
# if self._initial_fetch:
# logger.info("Watcher %s wait 8+1 seconds to limit to a fair API usage" % (self.name,))
# time.sleep(9.0) # 1 sec per query + 1 extra second
return True
return False
def unsubscribe(self, market_id, timeframe):
with self._mutex:
if market_id in self._subscribed_markets:
sub = self._subscribed_markets[market_id]
self.unsubscribe_ws(sub)
del self._subscribed_markets[market_id]
sub = self._subscribed_ticks[market_id]
self.unsubscribe_ws(sub)
del self._subscribed_ticks[market_id]
return True
return False
#
# WS subscribtion
#
def subscribe_account(self, account_id):
fields = ["PNL", "AVAILABLE_TO_DEAL", "MARGIN", "FUNDS", "AVAILABLE_CASH"]
subscription = Subscription(
mode="MERGE",
items=["ACCOUNT:"+account_id],
fields=fields,
adapter="")
self.subscribe_ws(subscription)
subscription.addlistener(self, IGWatcher.on_account_update)
def subscribe_trades(self, account_id):
fields = ["CONFIRMS", "OPU", "WOU"]
subscription = Subscription(
mode="DISTINCT",
items=["TRADE:"+account_id],
fields=fields,
adapter="")
self.subscribe_ws(subscription)
subscription.addlistener(self, IGWatcher.on_trade_update)
def subscribe_tick(self, instrument):
"""
Subscribe to an instrument tick updates.
"""
fields = ["BID", "OFR", "LTP", "LTV", "TTV", "UTM"]
subscription = Subscription(
mode="DISTINCT",
items=["CHART:"+instrument+":TICK"],
fields=fields,
adapter="")
sub_key = self.subscribe_ws(subscription)
subscription.addlistener(self, IGWatcher.on_tick_update)
self._subscribed_ticks[instrument] = sub_key
# def subscribe_ohlc(self, instrument, timeframe):
# """
# Subscribe to an instrument. Timeframe must be greater than 0.
# """
# fields = [
# "BID_OPEN", "OFR_OPEN",
# "BID_CLOSE", "OFR_CLOSE",
# "BID_HIGH", "OFR_HIGH",
# "BID_LOW", "OFR_LOW",
# "LTP", "LTV", "TTV", "UTM",
# "CONS_END"
# ]
# if timeframe == Instrument.TF_SEC:
# tf = "SECOND"
# elif timeframe == Instrument.TF_MIN:
# tf = "1MINUTE"
# elif timeframe == Instrument.TF_5MIN:
# tf = "5MINUTE"
# elif timeframe == Instrument.TF_HOUR:
# tf = "HOUR"
# else:
# return
# subscription = Subscription(
# mode="MERGE",
# items=["CHART:"+instrument+":"+tf],
# fields=fields,
# adapter="")
# self.subscribe_ws(subscription)
# subscription.addlistener(self, IGWatcher.on_ohlc_update)
def subscribe_market(self, instrument):
"""
Subscribe to an instrument.
"""
fields = ["MARKET_STATE", "UPDATE_TIME", "BID", "OFFER"]
subscription = Subscription(
mode="MERGE",
items=["MARKET:"+instrument],
fields=fields,
adapter="")
sub_key = self.subscribe_ws(subscription)
subscription.addlistener(self, IGWatcher.on_market_update)
self._subscribed_markets[instrument] = sub_key
def subscribe_ws(self, subscription):
"""
Registering the Subscription
"""
sub_key = self._lightstreamer.subscribe(subscription)
self._subscriptions.append(sub_key)
return sub_key
def unsubscribe_ws(self, sub_key):
if sub_key in self._subscriptions:
self._lightstreamer.unsubscribe(sub_key)
del self._subscriptions[sub_key]
#
# WS data
#
@staticmethod
def on_account_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'ACCOUNT' and name[1] == self._account_id:
# live account updates
values = item_update['values']
account_data = (float(values['FUNDS']), float(values['AVAILABLE_TO_DEAL']), float(values['PNL']), None, float(values['MARGIN']))
self.service.notify(Signal.SIGNAL_ACCOUNT_DATA, self.name, account_data)
except Exception as e:
error.error(repr(e))
traceback_logger.error(traceback.format_exc())
@staticmethod
def on_market_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'MARKET':
# market data instrument by epic
values = item_update['values']
epic = name[1]
ready = values['MARKET_STATE'] == 'TRADEABLE'
# date of the event 20:36:01 without Z
if ready:
# @todo take now and replace H:M:S
update_time = time.time() # datetime.strptime(values['UPDATE_TIME'], '%H:%M:%S').timestamp()
market_data = (name[1], True, update_time, float(values["BID"]), float(values["OFFER"]), None, None, None, None, None)
else:
update_time = 0
market_data = (name[1], False, 0, None, None, None, None, None, None, None)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name, market_data)
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
@staticmethod
def on_tick_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 3 and name[0] == 'CHART' and name[2] == 'TICK':
values = item_update['values']
market_id = name[1]
bid = None
ofr = None
utm = None
ltv = None
if values['UTM']:
utm = values['UTM']
elif market_id in self._cached_tick:
utm = self._cached_tick[market_id][0]
if values['BID']:
bid = values['BID']
elif market_id in self._cached_tick:
bid = self._cached_tick[market_id][1]
if values['OFR']:
ofr = values['OFR']
elif market_id in self._cached_tick:
ofr = self._cached_tick[market_id][2]
if values['LTV']:
ltv = values['LTV']
elif market_id in self._cached_tick:
ltv = self._cached_tick[market_id][3]
if utm is None or bid is None or ofr is None:
# need all informations, wait the next one
return
# cache for when a value is not defined
self._cached_tick[market_id] = (utm, bid, ofr, ltv)
tick = (float(utm) * 0.001, float(bid), float(ofr), float(ltv or "0"))
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name, (market_id, tick))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per each tf
with self._mutex:
candle = self.update_ohlc(market_id, tf, tick[0], tick[1], tick[2], tick[3])
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name, (market_id, candle))
# disabled for now
if not self._read_only and self._store_trade:
Database.inst().store_market_trade((self.name, market_id, int(utm), bid, ofr, ltv or 0))
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
# @staticmethod
# def on_ohlc_update(self, item_update):
# name = item_update.get('name', '').split(':')
# try:
# if len(name) == 3 and name[0] == 'CHART':
# values = item_update['values']
# if values['CONS_END'] == '0':
# # get only consolidated candles
# # @warning It is rarely defined, so many close could be missing, prefers using tick to rebuild ohlc locally
# return
# # timeframe
# if name[2] == 'SECOND':
# tf = Instrument.TF_SEC
# elif name[2] == '1MINUTE':
# tf = Instrument.TF_MIN
# elif name[2] == '5MINUTE':
# tf = Instrument.TF_5MIN
# elif name[2] == 'HOUR':
# tf = Instrument.TF_HOUR
# # one of the value could be missing, use the previous from the cache if we have it
# if (values['UTM'] is None or values['LTV'] is None or
# values['OFR_OPEN'] is None or values['OFR_HIGH'] is None or values['OFR_LOW'] is None or values['OFR_CLOSE'] is None or
# values['BID_OPEN'] is None or values['BID_HIGH'] is None or values['BID_LOW'] is None or values['BID_CLOSE'] is None):
# if name[1] not in self._cached_ohlc or tf not in self._cached_ohlc[name[1]]:
# logger.warning("no value and cache miss for %s ohlc in %s (%s)" % (name[1], tf, values))
# if values['UTM'] is None:
# utm = self._cached_ohlc[name[1]][tf][0]
# if values['LTV'] is None:
# ltv = self._cached_ohlc[name[1]][tf][9]
# utm = values['UTM']
# ltv = values['LTV']
# candle = Candle(float(utm) * 0.001, tf)
# # if incomplete candle replace ofr by bid or bid by ofr @todo but must be value from previous candle
# # but and if we don't have to previous... ok for 1 min but for 1h ? ...
# bid_open = values['BID_OPEN'] or values['OFR_OPEN']
# bid_high = values['BID_HIGH'] or values['OFR_HIGH']
# bid_low = values['BID_LOW'] or values['OFR_LOW']
# bid_close = values['BID_CLOSE'] or values['OFR_CLOSE']
# ofr_open = values['OFR_OPEN'] or values['BID_OPEN']
# ofr_high = values['OFR_HIGH'] or values['BID_HIGH']
# ofr_low = values['OFR_LOW'] or values['BID_LOW']
# ofr_close = values['OFR_CLOSE'] or values['BID_CLOSE']
# candle.set_bid_ohlc(float(bid_open), float(bid_high), float(bid_low), float(bid_close))
# candle.set_ofr_ohlc(float(ofr_open), float(ofr_high), float(ofr_low), float(ofr_close))
# candle.set_volume(float(values['LTV']) if values['LTV'] else 0.0)
# candle.set_consolidated(values['CONS_END'] == '1')
# self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name, (name[1], candle))
# if values['CONS_END'] == '1' and not self._read_only:
# # write only consolidated candles. values are string its perfect if not last traded volume then 0
# Database.inst().store_market_ohlc((
# self.name, name[1], int(utm), tf,
# bid_open, bid_high, bid_low, bid_close,
# ofr_open, ofr_high, ofr_low, ofr_close,
# values['LTV'] or "0"))
# # cache for when a value is not defined
# self._cached_ohlc[name[1]][tf] = (utm, bid_open, bid_high, bid_low, bid_close, ofr_open, ofr_high, ofr_low, ofr_close, ltv)
# except Exception as e:
# error_logger.error(repr(e))
# traceback_logger.error(traceback.format_exc())
@staticmethod
def on_trade_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'TRADE' and name[1] == self._account_id:
# live trade updates
values = item_update['values']
#
# active waiting order (open/updated/deleted)
#
if values.get('WOU'):
data = json.loads(values.get('WOU'))
exec_logger.info("ig.com WOU %s" % str(data))
order_id = data['dealId']
ref_order_id = data['dealReference']
epic = data['epic']
# date of the event 2018-09-13T20:36:01.096 without Z
event_time = datetime.strptime(data['timestamp'], '%Y-%m-%dT%H:%M:%S.%f').replace(tzinfo=UTC()).timestamp()
if data.get('direction', '') == 'BUY':
direction = Order.LONG
elif data.get('direction', '') == 'SELL':
direction = Order.SHORT
else:
direction = 0
if data.get('dealStatus', "") == 'REJECTED':
pass
elif data.get('dealStatus', "") == 'ACCEPTED':
quantity = float(data.get('size')) if data.get('size') is not None else 0.0
level = float(data['level']) if data.get('level') is not None else None
stop_distance = float(data['stopDistance']) if data.get('stopDistance') is not None else None
limit_distance = float(data['limitDistance']) if data.get('limitDistance') is not None else None
guaranteed_stop = data.get('guaranteedStop', False)
currency = data.get('currency', "")
if data.get('orderType'):
if data['orderType'] == "LIMIT":
order_type = Order.ORDER_LIMIT
elif data['orderType'] == "STOP":
order_type = Order.ORDER_STOP
else:
order_type = Order.ORDER_MARKET
else:
order_type = Order.ORDER_MARKET
if data.get('timeInForce'):
if data['timeInForce'] == "GOOD_TILL_CANCELLED":
time_in_force = Order.TIME_IN_FORCE_GTC
elif data['timeInForce'] == "GOOD_TILL_DATE":
time_in_force = Order.TIME_IN_FORCE_GTD
# data['goodTillDate'] @todo till date
else:
time_in_force = Order.TIME_IN_FORCE_GTC
status = data.get('status', "")
if status == "OPEN":
order_data = {
'id': order_id,
'type': order_type,
'time-in-force': time_in_force,
'price': level if order_type == Order.ORDER_LIMIT else None,
'stop-price': level if order_type == Order.ORDER_STOP else None,
'stop-loss': stop_distance,
'take-profit': limit_distance
}
self.service.notify(Signal.SIGNAL_ORDER_OPENED, self.name, (epic, order_data, ref_order_id))
elif status == "UPDATED":
# signal of updated order
order_data = {
'id': order_id,
'type': order_type,
'time-in-force': time_in_force,
'price': level if order_type == Order.ORDER_LIMIT else None,
'stop-price': level if order_type == Order.ORDER_STOP else None,
'stop-loss': stop_distance,
'take-profit': limit_distance
}
self.service.notify(Signal.SIGNAL_ORDER_UPDATED, self.name, (epic, order_data, ref_order_id))
elif status == "DELETED":
# signal of deleted order
self.service.notify(Signal.SIGNAL_ORDER_DELETED, self.name, (epic, order_id, ref_order_id))
#
# order confirms (accepted/rejected)
#
if values.get('CONFIRMS'):
data = json.loads(values.get('CONFIRMS'))
exec_logger.info("ig.com CONFIRMS %s" % str(data))
epic = data.get('epic')
if data.get('dealStatus', "") == "REJECTED":
ref_order_id = data['dealReference']
self.service.notify(Signal.SIGNAL_ORDER_REJECTED, self.name, (epic, ref_order_id))
elif data.get('dealStatus', "") == "ACCEPTED":
# deal confirmed and accepted
order_id = data['dealId']
ref_order_id = data['dealReference']
# date 2018-09-13T20:36:01.096 without Z
event_time = datetime.strptime(data['date'], '%Y-%m-%dT%H:%M:%S.%f').replace(tzinfo=UTC()).timestamp()
# direction of the trade
if data['direction'] == 'BUY':
direction = Order.LONG
elif data['direction'] == 'SELL':
direction = Order.SHORT
else:
direction = 0
level = float(data['level']) if data.get('level') is not None else None # exec price
quantity = float(data['size']) if data.get('size') is not None else 0.0
stop_level = float(data['stopLevel']) if data.get('stopLevel') is not None else 0.0
limit_level = float(data['limitLevel']) if data.get('limitLevel') is not None else 0.0
profit_loss = float(data['profit']) if data.get('profit') is not None else 0.0
profit_currency = data.get('profitCurrency', "")
# 'expiry', 'guaranteedStop'
# affected positions, normaly should not be necessary except if user create a manual trade that could reduce an existing position
# for affected_deal in data.get('affectedDeals', []):
# position_id = affected_deal['dealId']
# status = affected_deal.get('status', "")
# if status == "AMENDED":
# pass
# elif status == "DELETED":
# pass
# elif status == "FULLY_CLOSED":
# pass
# elif status == "OPENED":
# pass
# elif status == "PARTIALLY_CLOSED":
# pass
status = data.get('status', "")
if status == "AMENDED":
# traded and initial
order = {
'id': order_id,
'symbol': epic,
'timestamp': event_time,
'direction': direction,
'quantity': None, # no have
'filled': None, # no have
'cumulative-filled': quantity,
'exec-price': level,
'avg-price': None,
'stop-loss': stop_level,
'take-profit': limit_level,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'info': 'amended'
}
self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name, (epic, order, ref_order_id))
elif status == "CLOSED":
# traded and completed
order = {
'id': order_id,
'symbol': epic,
'timestamp': event_time,
'direction': direction,
'quantity': None,
'filled': None,
'cumulative-filled': quantity,
'exec-price': level,
'avg-price': None,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'info': 'closed'
}
if data.get('limitLevel') and data.get('stopLevel'):
order['type'] = Order.ORDER_STOP_LIMIT
elif data.get('limitLevel'):
order['type'] = Order.ORDER_LIMIT
elif data.get('stopLevel'):
order['type'] = Order.ORDER_STOP
else:
order['type'] = Order.ORDER_MARKET
self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name, (epic, order, ref_order_id))
self.service.notify(Signal.SIGNAL_ORDER_DELETED, self.name, (epic, order_id, ""))
elif status == "DELETED":
# deleted why for, we never receive them
self.service.notify(Signal.SIGNAL_ORDER_DELETED, self.name, (epic, order_id, ""))
elif status == "OPEN":
# traded and initial
order = {
'id': order_id,
'symbol': epic,
'timestamp': event_time,
'direction': direction,
'quantity': None, # no have
'filled': None, # no have
'cumulative-filled': quantity,
'exec-price': level,
'avg-price': None,
'stop-loss': stop_level,
'take-profit': limit_level,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'info': 'open'
}
if data.get('limitLevel') and data.get('stopLevel'):
order['type'] = Order.ORDER_STOP_LIMIT
order['price'] = float(data.get('limitLevel'))
order['stop-price'] = float(data.get('stopLevel'))
elif data.get('limitLevel'):
order['type'] = Order.ORDER_LIMIT
order['price'] = float(data.get('limitLevel'))
elif data.get('stopLevel'):
order['type'] = Order.ORDER_STOP
order['stop-price'] = float(data.get('stopLevel'))
else:
order['type'] = Order.ORDER_MARKET
# @todo 'limitDistance' 'stopDistance' 'trailingStop'
self.service.notify(Signal.SIGNAL_ORDER_OPENED, self.name, (epic, order, ref_order_id))
if quantity > 0.0:
self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name, (epic, order, ref_order_id))
elif status == "PARTIALLY_CLOSED":
# traded and partially completed
order = {
'id': order_id,
'symbol': epic,
'timestamp': event_time,
'direction': direction,
'quantity': None, # no have
'filled': None, # no have
'cumulative-filled': quantity,
'exec-price': level,
'avg-price': None,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'info': 'partially-closed'
}
self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name, (epic, order, ref_order_id))
#
# active position (open/updated/deleted)
#
if values.get('OPU'):
data = json.loads(values.get('OPU'))
exec_logger.info("ig.com OPU %s" % str(data))
position_id = data['dealId']
ref_order_id = data['dealReference']
epic = data.get('epic')
# "channel": "WTP", "expiry": "-"
# date of the event 2018-09-13T20:36:01.096 without Z
event_time = datetime.strptime(data['timestamp'], '%Y-%m-%dT%H:%M:%S.%f').replace(tzinfo=UTC()).timestamp()
if data.get('direction', '') == 'BUY':
direction = Order.LONG
elif data.get('direction', '') == 'SELL':
direction = Order.SHORT
else:
direction = Order.LONG
if data.get('dealStatus', "") == "REJECTED":
pass
elif data.get('dealStatus', "") == "ACCEPTED":
quantity = float(data.get('size')) if data.get('size') is not None else 0.0
level = float(data['level']) if data.get('level') is not None else None
stop_level = float(data['stopLevel']) if data.get('stopLevel') is not None else None
limit_level = float(data['limitLevel']) if data.get('limitLevel') is not None else None
profit_loss = float(data['profit']) if data.get('profit') is not None else 0.0
profit_currency = data.get('profitCurrency', "")
# @todo trailingStep, trailingStopDistance, guaranteedStop
status = data.get('status', "")
if status == "OPEN":
# signal of opened position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'avg-price': level,
'avg-entry-price': level, # entry
'stop-loss': stop_level,
'take-profit': limit_level,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'cumulative-filled': None,
'filled': None,
'liquidation-price': None
}
self.service.notify(Signal.SIGNAL_POSITION_OPENED, self.name, (epic, position_data, ref_order_id))
elif status == "UPDATED":
# signal of updated position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'avg-entry-price': level, # entry
'avg-price': level,
'stop-loss': stop_level,
'take-profit': limit_level,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'cumulative-filled': None,
'filled': None,
'liquidation-price': None
}
self.service.notify(Signal.SIGNAL_POSITION_UPDATED, self.name, (epic, position_data, ref_order_id))
elif status == "DELETED":
# signal of deleted position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'avg-price': level,
'avg-exit-price': level, # exit
'stop-loss': stop_level,
'take-profit': limit_level,
'profit-loss': profit_loss,
'profit-currency': profit_currency,
'cumulative-filled': None,
'filled': None,
'liquidation-price': None
}
self.service.notify(Signal.SIGNAL_POSITION_DELETED, self.name, (epic, position_data, ref_order_id))
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
#
# REST data
#
def fetch_market(self, epic):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
"""
market_info = self._connector.market(epic)
instrument = market_info['instrument']
snapshot = market_info['snapshot']
dealing_rules = market_info['dealingRules']
market = Market(epic, instrument['marketId'])
# cannot interpret this value because IG want it as it is
market.expiry = instrument['expiry']
# not perfect but IG does not provides this information
if instrument["marketId"].endswith(instrument["currencies"][0]["name"]):
base_symbol = instrument["marketId"][:-len(instrument["currencies"][0]["name"])]
else:
base_symbol = instrument["marketId"]
market.base_exchange_rate = instrument['currencies'][0]['baseExchangeRate'] # "exchangeRate": 0.77
market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0]) # "1 Index Point", "0.0001 USD/EUR"
market.value_per_pip = float(instrument['valueOfOnePip'])
market.contract_size = float(instrument['contractSize'])
market.lot_size = float(instrument['lotSize'])
market.set_base(
base_symbol,
base_symbol,
decimal_place(market.one_pip_means))
if instrument['type'] in ('CURRENCIES'):
pass # quote_precision =
elif instrument['type'] in ('INDICES', 'COMMODITIES', 'SHARES', 'RATES', 'SECTORS'):
pass # quote_precision =
market.set_quote(
instrument["currencies"][0]["name"],
instrument["currencies"][0]['symbol'],
decimal_place(market.one_pip_means))
# "forceOpenAllowed": true,
# "stopsLimitsAllowed": true,
# "controlledRiskAllowed": true,
# "streamingPricesAvailable": true,
if snapshot:
market.is_open = snapshot["marketStatus"] == "TRADEABLE"
market.bid = snapshot['bid']
market.ofr = snapshot['offer']
# "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
if instrument.get('marginFactor') and market.is_open:
market.margin_factor = float(instrument['marginFactor'])
margin_factor = instrument['marginFactor']
elif instrument.get('margin') and market.is_open:
market.margin_factor = 0.1 / float(instrument['margin'])
margin_factor = str(market.margin_factor)
else:
# we don't want this when market is down because it could overwrite the previous stored value
margin_factor = None
if instrument['unit'] == 'AMOUNT':
market.unit_type = Market.UNIT_AMOUNT
elif instrument['unit'] == 'CONTRACTS':
market.unit_type = Market.UNIT_CONTRACTS
elif instrument['unit'] == 'SHARES':
market.unit_type = Market.UNIT_SHARES
# BINARY OPT_* BUNGEE_*
if instrument['type'] == 'CURRENCIES':
market.market_type = Market.TYPE_CURRENCY
elif instrument['type'] == 'INDICES':
market.market_type = Market.TYPE_INDICE
elif instrument['type'] == 'COMMODITIES':
market.market_type = Market.TYPE_COMMODITY
elif instrument['type'] == 'SHARES':
market.market_type = Market.TYPE_STOCK
elif instrument['type'] == 'RATES':
market.market_type = Market.TYPE_RATE
elif instrument['type'] == 'SECTORS':
market.market_type = Market.TYPE_SECTOR
market.trade = Market.TRADE_MARGIN | Market.TRADE_POSITION
market.contract_type = Market.CONTRACT_CFD
# take minDealSize as tick size
market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0, dealing_rules["minDealSize"]["value"])
# @todo there is some limits in contract size
market.set_notional_limits(0.0, 0.0, 0.0)
# use one pip means for minimum and tick price size
market.set_price_limits(market.one_pip_means, 0.0, market.one_pip_means)
# commission for stocks @todo
commission = "0.0"
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((self.name, epic, market.symbol,
market.market_type, market.unit_type, market.contract_type, # type
market.trade, market.orders, # type
market.base, market.base_display, market.base_precision, # base
market.quote, market.quote_display, market.quote_precision, # quote
market.expiry, int(market.last_update_time * 1000.0), # expiry, timestamp
instrument['lotSize'], instrument['contractSize'], str(market.base_exchange_rate),
instrument['valueOfOnePip'], instrument['onePipMeans'].split(' ')[0], margin_factor,
dealing_rules["minDealSize"]["value"], "0.0", dealing_rules["minDealSize"]["value"], # size limits
"0.0", "0.0", "0.0", # notional limits
"0.0", "0.0", "0.0", # price limits
"0.0", "0.0", commission, commission) # fees
)
# print(market.symbol, market._size_limits, market._price_limits)
# notify for strategy
self.service.notify(Signal.SIGNAL_MARKET_INFO_DATA, self.name, (epic, market))
return market
def update_markets_info(self):
"""
Update market info (very important because IG frequently changes lot or contract size).
"""
for market_id in self._watched_instruments:
market = self.fetch_market(market_id)
if market.is_open:
market_data = (market_id, market.is_open, market.last_update_time, market.bid, market.ofr,
market.base_exchange_rate, market.contract_size, market.value_per_pip,
market.vol24h_base, market.vol24h_quote)
else:
market_data = (market_id, market.is_open, market.last_update_time, None, None, None, None, None, None, None)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name, market_data)
def fetch_candles(self, market_id, timeframe, from_date=None, to_date=None, n_last=None):
try:
if n_last:
data = self._connector.history_last_n(market_id, timeframe, n_last)
else:
data = self._connector.history_range(market_id, timeframe, from_date, to_date)
except Exception as e:
error_logger.error(repr(e))
traceback_logger.error(traceback.format_exc())
data = {}
prices = data.get('prices', [])
for price in prices:
timestamp = datetime.strptime(price['snapshotTime'], '%Y:%m:%d-%H:%M:%S').timestamp()
if price.get('highPrice')['bid'] is None and price.get('highPrice')['ask'] is None:
# ignore empty candles
continue
# yield (timestamp, high bid, low, open, close, high ofr, low, open, close, volume)
yield([int(timestamp * 1000),
str(price.get('highPrice')['bid'] or price.get('highPrice')['ask']),
str(price.get('lowPrice')['bid'] or price.get('lowPrice')['ask']),
str(price.get('openPrice')['bid'] or price.get('openPrice')['ask']),
str(price.get('closePrice')['bid'] or price.get('closePrice')['ask']),
str(price.get('highPrice')['ask'] or price.get('highPrice')['bid']),
str(price.get('lowPrice')['ask'] or price.get('lowPrice')['bid']),
str(price.get('openPrice')['ask'] or price.get('openPrice')['bid']),
str(price.get('closePrice')['ask'] or price.get('closePrice')['bid']),
price.get('lastTradedVolume', '0')])
def connect(self):
super().connect()
try:
self.lock()
self._ready = False
identity = self.service.identity(self._name)
self._subscriptions = [] # reset previous list
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
# from CST and XST
password = "******" % (self._connector.cst,
self._connector.xst)
# logger.debug(self._connector.cst, self._connector.xst, self._connector.lightstreamer_endpoint, identity.get('account-id'), self._connector.client_id)
if self._lightstreamer:
# destroy previous connection
self._lightstreamer.destroy()
self._lightstreamer = LSClient(
self._connector.
lightstreamer_endpoint, # "https://push.lightstreamer.com",
adapter_set="DEFAULT",
user=self._connector.client_id,
password=password)
self._lightstreamer.connect()
# subscribe for account and trades to have a reactive feedback and don't saturate the REST API
self.subscribe_account(identity.get('account-id'))
self.subscribe_trades(identity.get('account-id'))
#
# default watched instruments
#
all_instruments = []
if '*' in self.configured_symbols():
self._available_instruments = set(all_instruments)
instruments = all_instruments
else:
instruments = self.configured_symbols()
# prefetching and then WS subscribtion because else it block the WS processing...
# look to see for a better solution
# susbcribe for symbols
for symbol in instruments:
# fetch from 1m to 1w, we have a problem of the 10k candle limit per weekend, then we only
# prefetch for the last of each except for 1m and 5m we assume we have a delay of 5 minutes
# from the manual prefetch script execution and assuming the higher timeframe are already up-to-date.
self.fetch_and_generate(symbol, Instrument.TF_1M, 5, None)
self.fetch_and_generate(symbol, Instrument.TF_3M, 2, None)
self.fetch_and_generate(symbol, Instrument.TF_5M, 1, None)
self.fetch_and_generate(symbol, Instrument.TF_15M, 1, None)
self.fetch_and_generate(symbol, Instrument.TF_1H, 1, None)
self.fetch_and_generate(symbol, Instrument.TF_4H, 1, None)
self.fetch_and_generate(symbol, Instrument.TF_1D, 1, None)
self.fetch_and_generate(symbol, Instrument.TF_1W, 1, None)
logger.info("%s prefetch for %s" % (self.name, symbol))
self.insert_watched_instrument(symbol, [0])
# avoid blocking websocket during sleep
# self.unlock()
# time.sleep(8.0) # 1 sec per query + 1 extra second
# self.lock()
# logger.info("Watcher %s wait 10 seconds to limit to a fair API usage" % (self.name,))
# self.unlock()
# time.sleep(10.0)
# self.lock()
# susbcribe for symbols
for symbol in instruments:
# to know when market close but could be an hourly REST API call, but it consume one subscriber...
# @todo so maybe prefers REST call hourly ? but need bid/ofr properly defined at signals on trader.market and strategy.instrument !
self.subscribe_market(symbol)
# tick data
self.subscribe_tick(symbol)
# ohlc data (now generated)
# for tf in IGWatcher.STORED_TIMEFRAMES:
# self.subscribe_ohlc(symbol, tf)
self._ready = True
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
self._lightstreamer = None
finally:
self.unlock()
if self._connector and self._connector.connected and self._ready:
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
class IGFetcher(Fetcher):
"""
IG watcher data fetcher.
@noto Limitation on 10000 candles per week.
"""
def __init__(self, service):
super().__init__("ig.com", service)
self._host = "ig.com"
self._connector = None
self._account_id = ""
def connect(self):
super().connect()
try:
identity = self.service.identity(self._name)
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(
self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
self._available_instruments = set()
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected
def disconnect(self):
super().disconnect()
try:
if self._connector:
self._connector.disconnect()
self._connector = None
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
def has_instrument(self, instrument, fetch_option=""):
return True # @todo check...
def fetch_trades(self, market_id, from_date=None, to_date=None, n_last=None, fetch_option=""):
pass
def fetch_candles(self, market_id, timeframe, from_date=None, to_date=None, n_last=None, fetch_option=""):
try:
if n_last:
data = self._connector.history_last_n(market_id, timeframe, n_last)
else:
data = self._connector.history_range(market_id, timeframe, from_date, to_date)
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
data = {}
prices = data.get('prices', [])
for price in prices:
timestamp = datetime.strptime(price['snapshotTime'], '%Y:%m:%d-%H:%M:%S').timestamp()
if price.get('highPrice')['bid'] is None and price.get('highPrice')['ask'] is None:
# ignore empty candles
continue
# yield (timestamp, high bid, low, open, close, high ofr, low, open, close, volume)
yield([int(timestamp * 1000),
str(price.get('highPrice')['bid'] or price.get('highPrice')['ask']),
str(price.get('lowPrice')['bid'] or price.get('lowPrice')['ask']),
str(price.get('openPrice')['bid'] or price.get('openPrice')['ask']),
str(price.get('closePrice')['bid'] or price.get('closePrice')['ask']),
str(price.get('highPrice')['ask'] or price.get('highPrice')['bid']),
str(price.get('lowPrice')['ask'] or price.get('lowPrice')['bid']),
str(price.get('openPrice')['ask'] or price.get('openPrice')['bid']),
str(price.get('closePrice')['ask'] or price.get('closePrice')['bid']),
price.get('lastTradedVolume', '0')])
def connect(self):
super().connect()
try:
self.lock()
identity = self.service.identity(self._name)
self._subscriptions = [] # reset previous list
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
# from CST and XST
password = "******" % (self._connector.cst,
self._connector.xst)
# logger.debug(self._connector.cst, self._connector.xst, self._connector.lightstreamer_endpoint, identity.get('account-id'), self._connector.client_id)
if self._lightstreamer:
# destroy previous connection
self._lightstreamer.destroy()
self._lightstreamer = LSClient(
self._connector.
lightstreamer_endpoint, # "https://push.lightstreamer.com",
adapter_set="DEFAULT",
user=self._connector.client_id,
password=password)
self._lightstreamer.connect()
# subscribe for account and trades to have a reactive feedback and don't saturate the REST API
self.subscribe_account(identity.get('account-id'))
self.subscribe_trades(identity.get('account-id'))
#
# default watched instruments
#
all_instruments = []
if '*' in self.configured_symbols():
self._available_instruments = set(all_instruments)
instruments = all_instruments
else:
instruments = self.configured_symbols()
# susbcribe for symbols
for symbol in instruments:
# to know when market close but could be an hourly REST API call, but it consume one subscriber...
# @todo so maybe prefers REST call hourly ? but need bid/ofr properly defined at signals on trader.market and strategy.instrument !
self.subscribe_market(symbol)
# tick data
self.subscribe_tick(symbol)
# ohlc data (now generated)
# for tf in IGWatcher.STORED_TIMEFRAMES:
# self.subscribe_ohlc(symbol, tf)
self.insert_watched_instrument(symbol, [0])
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
self._lightstreamer = None
finally:
self.unlock()
class IGWatcher(Watcher):
"""
IG watcher get price and volumes of instruments in live mode throught websocket API.
Search Markets: https://demo-api.ig.com/gateway/deal/markets?searchTerm=USDJPY
https://labs.ig.com/sample-apps/api-companion/index.html
https://labs.ig.com/sample-apps/streaming-companion/index.html
- LTV Last traded volume
>> https://labs.ig.com/streaming-api-reference
Limits
======
Rest API:
- Per-app non-trading requests per minute: 60
- Per-account trading requests per minute: 100 (Applies to create/amend position or working order requests)
- Per-account non-trading requests per minute: 30
- Historical price data points per week: 10,000 (Applies to price history endpoints)
Streaming API:
- 40 concurrents subscriptions
Data history:
- 1 Sec 4 Days
- 1 to 3 Min 40 Days
- 5 Min to 4 Hours 360 Days
- Day 15 years
@todo get vol24 in base and quote unit
@todo base_exchange_rate must be updated as price changes
@todo could use endpoint marketnavigation to get all instruments but its hierarchically queries...
{ "nodes": [{ "id": "668394", "name": "Crypto-monnaie" }, { "id": "5371876", ...
per nodes id we have then : {"nodes": [{ "id": "668997", "name": "Bitcoin" }, { "id": "1002200", ...
and finally when we found "markets": [{ "epic": "CS.D.AUDUSD.CFD.IP", ... }]
"""
MAX_CONCURRENT_SUBSCRIPTIONS = 40
def __init__(self, service):
super().__init__("ig.com", service, Watcher.WATCHER_PRICE_AND_VOLUME)
self._host = "ig.com"
self._connector = None
self._lightstreamer = None
self._subscriptions = []
self._account_id = ""
# caches for when a value is not defined
self._cached_tick = {}
def connect(self):
super().connect()
try:
self.lock()
identity = self.service.identity(self._name)
self._subscriptions = [] # reset previous list
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._connector.connect()
# from CST and XST
password = "******" % (self._connector.cst,
self._connector.xst)
# logger.debug(self._connector.cst, self._connector.xst, self._connector.lightstreamer_endpoint, identity.get('account-id'), self._connector.client_id)
if self._lightstreamer:
# destroy previous connection
self._lightstreamer.destroy()
self._lightstreamer = LSClient(
self._connector.
lightstreamer_endpoint, # "https://push.lightstreamer.com",
adapter_set="DEFAULT",
user=self._connector.client_id,
password=password)
self._lightstreamer.connect()
# subscribe for account and trades to have a reactive feedback and don't saturate the REST API
self.subscribe_account(identity.get('account-id'))
self.subscribe_trades(identity.get('account-id'))
#
# default watched instruments
#
all_instruments = []
if '*' in self.configured_symbols():
self._available_instruments = set(all_instruments)
instruments = all_instruments
else:
instruments = self.configured_symbols()
# susbcribe for symbols
for symbol in instruments:
# to know when market close but could be an hourly REST API call, but it consume one subscriber...
# @todo so maybe prefers REST call hourly ? but need bid/ofr properly defined at signals on trader.market and strategy.instrument !
self.subscribe_market(symbol)
# tick data
self.subscribe_tick(symbol)
# ohlc data (now generated)
# for tf in IGWatcher.STORED_TIMEFRAMES:
# self.subscribe_ohlc(symbol, tf)
self.insert_watched_instrument(symbol, [0])
self.service.notify(Signal.SIGNAL_WATCHER_CONNECTED, self.name,
time.time())
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
self._lightstreamer = None
finally:
self.unlock()
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected
def subscribe_account(self, account_id):
fields = [
"PNL", "AVAILABLE_TO_DEAL", "MARGIN", "FUNDS", "AVAILABLE_CASH"
]
subscription = Subscription(mode="MERGE",
items=["ACCOUNT:" + account_id],
fields=fields,
adapter="")
self.subscribe(subscription)
subscription.addlistener(self, IGWatcher.on_account_update)
def subscribe_trades(self, account_id):
fields = ["CONFIRMS", "WOU", "OPU"]
subscription = Subscription(mode="DISTINCT",
items=["TRADE:" + account_id],
fields=fields,
adapter="")
self.subscribe(subscription)
subscription.addlistener(self, IGWatcher.on_trade_update)
def subscribe_tick(self, instrument):
"""
Subscribe to an instrument tick updates.
"""
fields = ["BID", "OFR", "LTP", "LTV", "TTV", "UTM"]
subscription = Subscription(mode="DISTINCT",
items=["CHART:" + instrument + ":TICK"],
fields=fields,
adapter="")
self.subscribe(subscription)
subscription.addlistener(self, IGWatcher.on_tick_update)
# def subscribe_ohlc(self, instrument, timeframe):
# """
# Subscribe to an instrument. Timeframe must be greater than 0.
# """
# fields = [
# "BID_OPEN", "OFR_OPEN",
# "BID_CLOSE", "OFR_CLOSE",
# "BID_HIGH", "OFR_HIGH",
# "BID_LOW", "OFR_LOW",
# "LTP", "LTV", "TTV", "UTM",
# "CONS_END"
# ]
# if timeframe == Instrument.TF_SEC:
# tf = "SECOND"
# elif timeframe == Instrument.TF_MIN:
# tf = "1MINUTE"
# elif timeframe == Instrument.TF_5MIN:
# tf = "5MINUTE"
# elif timeframe == Instrument.TF_HOUR:
# tf = "HOUR"
# else:
# return
# subscription = Subscription(
# mode="MERGE",
# items=["CHART:"+instrument+":"+tf],
# fields=fields,
# adapter="")
# self.subscribe(subscription)
# subscription.addlistener(self, IGWatcher.on_ohlc_update)
def subscribe_market(self, instrument):
"""
Subscribe to an instrument.
"""
fields = ["MARKET_STATE", "UPDATE_TIME", "BID", "OFFER"]
subscription = Subscription(mode="MERGE",
items=["MARKET:" + instrument],
fields=fields,
adapter="")
self.subscribe(subscription)
subscription.addlistener(self, IGWatcher.on_market_update)
def subscribe(self, subscription):
"""
Registering the Subscription
"""
sub_key = self._lightstreamer.subscribe(subscription)
self._subscriptions.append(sub_key)
return sub_key
def unsubscribe(self, sub_key):
if sub_key in self._subscriptions:
self._lightstreamer.unsubscribe(sub_key)
del self._subscriptions[sub_key]
def disconnect(self):
super().disconnect()
try:
self.lock()
if self._lightstreamer:
# if self._lightstreamer.connected:
# for sub_key in self._subscriptions:
# self._lightstreamer.unsubscribe(sub_key)
self._subscriptions = []
self._lightstreamer.disconnect()
self._lightstreamer._join()
self._lightstreamer = None
if self._connector:
self._connector.disconnect()
self._connector = None
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
finally:
self.unlock()
def pre_update(self):
super().pre_update()
if self._connector is None or not self._connector.connected or self._lightstreamer is None or not self._lightstreamer.connected:
self._connector = None
self.connect()
if not self.connected:
# retry in 2 second
time.sleep(2.0)
return
def update(self):
if not super().update():
return False
if not self.connected:
return False
#
# ohlc close/open
#
self.lock()
self.update_from_tick()
self.unlock()
#
# market info update (each 4h)
#
if time.time(
) - self._last_market_update >= IGWatcher.UPDATE_MARKET_INFO_DELAY: # only once per 4h
self.update_markets_info()
self._last_market_update = time.time()
return True
def post_update(self):
super().post_update()
time.sleep(0.0005)
def post_run(self):
super().post_run()
#
# WS data
#
@staticmethod
def on_account_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'ACCOUNT' and name[
1] == self._account_id:
# live account updates
values = item_update['values']
account_data = (float(values['FUNDS']),
float(values['AVAILABLE_TO_DEAL']),
float(values['PNL']), None, None)
self.service.notify(Signal.SIGNAL_ACCOUNT_DATA, self.name,
account_data)
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
@staticmethod
def on_market_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'MARKET':
# market data instrument by epic
values = item_update['values']
epic = name[1]
ready = values['MARKET_STATE'] == 'TRADEABLE'
# date of the event 20:36:01 without Z
if ready:
update_time = datetime.strptime(values['UPDATE_TIME'],
'%H:%M:%S').timestamp()
market_data = (name[1], True, update_time,
float(values["BID"]),
float(values["OFFER"]), None, None, None,
None, None)
else:
update_time = 0
market_data = (name[1], False, 0, 0.0, 0.0, None, None,
None, None, None)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name,
market_data)
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
@staticmethod
def on_tick_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 3 and name[0] == 'CHART' and name[2] == 'TICK':
values = item_update['values']
market_id = name[1]
bid = None
ofr = None
utm = None
ltv = None
if values['UTM']:
utm = values['UTM']
elif market_id in self._cached_tick:
utm = self._cached_tick[market_id][0]
if values['BID']:
bid = values['BID']
elif market_id in self._cached_tick:
bid = self._cached_tick[market_id][1]
if values['OFR']:
ofr = values['OFR']
elif market_id in self._cached_tick:
ofr = self._cached_tick[market_id][2]
if values['LTV']:
ltv = values['LTV']
elif market_id in self._cached_tick:
ltv = self._cached_tick[market_id][3]
if utm is None or bid is None or ofr is None:
# need all informations, wait the next one
return
# cache for when a value is not defined
self._cached_tick[market_id] = (utm, bid, ofr, ltv)
tick = (float(utm) * 0.001, float(bid), float(ofr),
float(ltv or "0"))
# keep last complete tick values for ohlc generation
self._last_tick[market_id] = tick
self.service.notify(Signal.SIGNAL_TICK_DATA, self.name,
(market_id, tick))
for tf in Watcher.STORED_TIMEFRAMES:
# generate candle per each tf
self.lock()
candle = self.update_ohlc(market_id, tf, tick[0], tick[1],
tick[2], tick[3])
self.unlock()
if candle is not None:
self.service.notify(Signal.SIGNAL_CANDLE_DATA,
self.name, (market_id, candle))
# disabled for now
if not self._read_only:
Database.inst().store_market_trade(
(self.name, market_id, int(utm), bid, ofr, ltv or 0))
except Exception as e:
logger.debug(repr(e))
error_logger.error(traceback.format_exc())
# @staticmethod
# def on_ohlc_update(self, item_update):
# name = item_update.get('name', '').split(':')
# try:
# if len(name) == 3 and name[0] == 'CHART':
# values = item_update['values']
# if values['CONS_END'] == '0':
# # get only consolidated candles
# # @warning It is rarely defined, so many close could be missing, prefers using tick to rebuild ohlc locally
# return
# # timeframe
# if name[2] == 'SECOND':
# tf = Instrument.TF_SEC
# elif name[2] == '1MINUTE':
# tf = Instrument.TF_MIN
# elif name[2] == '5MINUTE':
# tf = Instrument.TF_5MIN
# elif name[2] == 'HOUR':
# tf = Instrument.TF_HOUR
# # one of the value could be missing, use the previous from the cache if we have it
# if (values['UTM'] is None or values['LTV'] is None or
# values['OFR_OPEN'] is None or values['OFR_HIGH'] is None or values['OFR_LOW'] is None or values['OFR_CLOSE'] is None or
# values['BID_OPEN'] is None or values['BID_HIGH'] is None or values['BID_LOW'] is None or values['BID_CLOSE'] is None):
# if name[1] not in self._cached_ohlc or tf not in self._cached_ohlc[name[1]]:
# logger.warning("no value and cache miss for %s ohlc in %s (%s)" % (name[1], tf, values))
# if values['UTM'] is None:
# utm = self._cached_ohlc[name[1]][tf][0]
# if values['LTV'] is None:
# ltv = self._cached_ohlc[name[1]][tf][9]
# utm = values['UTM']
# ltv = values['LTV']
# candle = Candle(float(utm) * 0.001, tf)
# # if incomplete candle replace ofr by bid or bid by ofr @todo but must be value from previous candle
# # but and if we don't have to previous... ok for 1 min but for 1h ? ...
# bid_open = values['BID_OPEN'] or values['OFR_OPEN']
# bid_high = values['BID_HIGH'] or values['OFR_HIGH']
# bid_low = values['BID_LOW'] or values['OFR_LOW']
# bid_close = values['BID_CLOSE'] or values['OFR_CLOSE']
# ofr_open = values['OFR_OPEN'] or values['BID_OPEN']
# ofr_high = values['OFR_HIGH'] or values['BID_HIGH']
# ofr_low = values['OFR_LOW'] or values['BID_LOW']
# ofr_close = values['OFR_CLOSE'] or values['BID_CLOSE']
# candle.set_bid_ohlc(float(bid_open), float(bid_high), float(bid_low), float(bid_close))
# candle.set_ofr_ohlc(float(ofr_open), float(ofr_high), float(ofr_low), float(ofr_close))
# candle.set_volume(float(values['LTV']) if values['LTV'] else 0.0)
# candle.set_consolidated(values['CONS_END'] == '1')
# self.service.notify(Signal.SIGNAL_CANDLE_DATA, self.name, (name[1], candle))
# if values['CONS_END'] == '1' and not self._read_only:
# # write only consolidated candles. values are string its perfect if not last traded volume then 0
# Database.inst().store_market_ohlc((
# self.name, name[1], int(utm), tf,
# bid_open, bid_high, bid_low, bid_close,
# ofr_open, ofr_high, ofr_low, ofr_close,
# values['LTV'] or "0"))
# # cache for when a value is not defined
# self._cached_ohlc[name[1]][tf] = (utm, bid_open, bid_high, bid_low, bid_close, ofr_open, ofr_high, ofr_low, ofr_close, ltv)
# except Exception as e:
# logger.debug(repr(e))
# error_logger.error(traceback.format_exc())
@staticmethod
def on_trade_update(self, item_update):
name = item_update.get('name', '').split(':')
try:
if len(name) == 2 and name[0] == 'TRADE' and name[
1] == self._account_id:
# live trade updates
values = item_update['values']
#
# order confirms (accepted/rejected)
#
if values.get('CONFIRMS'):
# not use them because we only want CRUD operations => OPU only so
data = json.loads(values.get('CONFIRMS'))
exec_logger.info("ig.com CONFIRMS %s" % str(data))
epic = data.get('epic')
level = float(data['level']) if data.get(
'level') is not None else None
quantity = float(
data['size']) if data.get('size') is not None else None
if data['dealStatus'] == 'REJECTED':
ref_order_id = data['dealReference']
# if data['reason'] == 'INSUFFICIENT_BALANCE':
# reason = 'insufficient balance'
self.service.notify(Signal.SIGNAL_ORDER_REJECTED,
self.name, (epic, ref_order_id))
elif data['dealStatus'] == 'ACCEPTED':
# deal confirmed and accepted
order_id = data['dealId']
ref_order_id = data['dealReference']
exec_logger.info("ig 538 'CONFIRMS' %s" % str(data))
# date 2018-09-13T20:36:01.096 without Z
event_time = datetime.strptime(
data['date'], '%Y-%m-%dT%H:%M:%S.%f').timestamp()
if data['direction'] == 'BUY':
direction = Order.LONG
elif data['direction'] == 'SELL':
direction = Order.SHORT
else:
direction = Order.LONG
quantity = float(data.get('size')) if data.get(
'size') is not None else 0.0
# don't send event because create_order return True in that case
if quantity and level:
# signal of updated order
order_data = {
'id': order_id,
# @todo important we want TRADED and UPDATED distinct
}
# @todo to be completed before signal, but not really necessary we can work with position update
# self.service.notify(Signal.SIGNAL_ORDER_TRADED, self.name, (epic, order_data, ref_order_id))
#
# active waiting order (open/updated/deleted)
#
if values.get('WOU'):
data = json.loads(values.get('WOU'))
exec_logger.info("ig.com WOU %s" % str(data))
order_id = data['dealId']
ref_order_id = data['dealReference']
epic = data['epic']
# level = float(data['level']) if data.get('level') is not None else None
# stop_level = float(data['stopLevel']) if data.get('stopLevel') is not None else None
# limit_level = float(data['limitLevel']) if data.get('limitLevel') is not None else None
# stop_distance = float(data['stopDistance']) if data.get('stopDistance') is not None else None
# limit_distance = float(data['limitDistance']) if data.get('limitDistance') is not None else None
# profit_loss = float(data['profit']) if data.get('profit') is not None else 0.0
# epic, level, guaranteedStop, currency, timeInForce (GOOD_TILL_CANCELLED, GOOD_TILL_DATE)
# goodTillDate, size, timestamp, stopDistance, limitDistance
# if data['orderType'] == "LIMIT":
# pass
# elif data['orderType'] == "STOP":
# pass
# status OPEN, DELETED, FULLY_CLOSED
if data['status'] == "OPEN":
order_data = {
'id': order_id,
# @todo important
}
self.service.notify(Signal.SIGNAL_ORDER_OPENED,
self.name,
(epic, order_data, ref_order_id))
elif data['status'] == "UPDATED":
# signal of updated order
order_data = {
'id': order_id,
# @todo important we want TRADED and UPDATED distinct
}
self.service.notify(Signal.SIGNAL_ORDER_UPDATED,
self.name,
(epic, order_data, ref_order_id))
elif data['status'] == "DELETED":
# signal of deleted order
self.service.notify(Signal.SIGNAL_ORDER_DELETED,
self.name,
(epic, order_id, ref_order_id))
elif data['status'] == "FULLY_CLOSED":
# @todo ??
pass
#
# active position (open/updated/deleted)
#
if values.get('OPU'):
data = json.loads(values.get('OPU'))
exec_logger.info("ig.com OPU %s" % str(data))
if data.get('direction', '') == 'BUY':
direction = Order.LONG
elif data.get('direction', '') == 'SELL':
direction = Order.SHORT
else:
direction = Order.LONG
position_id = data['dealId']
ref_order_id = data['dealReference']
epic = data.get('epic')
quantity = float(data.get('size')) if data.get(
'size') is not None else 0.0
level = float(data['level']) if data.get(
'level') is not None else None
stop_level = float(data['stopLevel']) if data.get(
'stopLevel') is not None else None
limit_level = float(data['limitLevel']) if data.get(
'limitLevel') is not None else None
stop_distance = float(data['stopDistance']) if data.get(
'stopDistance') is not None else None
limit_distance = float(data['limitDistance']) if data.get(
'limitDistance') is not None else None
profit_loss = float(data['profit']) if data.get(
'profit') is not None else 0.0
# "dealStatus": "ACCEPTED",
# "channel": "WTP", "expiry": "-", "currency": "EUR", "guaranteedStop": false,
# @todo "orderType": "LIMIT", "timeInForce": "GOOD_TILL_CANCELLED", "goodTillDate": null
# date of the event 2018-09-13T20:36:01.096 without Z
event_time = datetime.strptime(
data['timestamp'], '%Y-%m-%dT%H:%M:%S.%f').timestamp()
# status OPEN, UPDATED, DELETED
if data['status'] == "OPEN":
# signal of opened position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'stop-loss': stop_distance,
'take-profit': limit_level,
'profit-loss': profit_loss,
'cumulative-filled': quantity,
'filled': None, # no have
'liquidation-price': None # no have
}
self.service.notify(
Signal.SIGNAL_POSITION_OPENED, self.name,
(epic, position_data, ref_order_id))
elif data['status'] == "UPDATED":
# signal of updated position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'stop-loss': stop_distance,
'take-profit': limit_level,
# 'profit-currency': '', 'profitCurrency'
'profit-loss': profit_loss,
# @todo trailingStep, trailingStopDistance, guaranteedStop
'cumulative-filled': quantity,
'filled': None, # no have
'liquidation-price': None # no have
}
self.service.notify(
Signal.SIGNAL_POSITION_UPDATED, self.name,
(epic, position_data, ref_order_id))
elif data['status'] == "DELETED":
# signal of updated position
position_data = {
'id': position_id,
'symbol': epic,
'direction': direction,
'timestamp': event_time,
'quantity': quantity,
'exec-price': level,
'stop-loss': stop_distance,
'take-profit': limit_level,
# 'profit-currency': '', 'profitCurrency'
'profit-loss': profit_loss,
# @todo trailingStep, trailingStopDistance, guaranteedStop
'cumulative-filled': quantity,
'filled': None, # no have
'liquidation-price': None # no have
}
self.service.notify(
Signal.SIGNAL_POSITION_DELETED, self.name,
(epic, position_data, ref_order_id))
else:
exec_logger.info("ig l695 'OPU' %s" % str(data))
except Exception as e:
logger.debug(repr(e))
exec_logger.error(traceback.format_exc())
#
# REST data
#
def fetch_market(self, epic):
"""
Fetch and cache it. It rarely changes, except for base exchange rate, so assume it once for all.
"""
market_info = self._connector.market(epic)
instrument = market_info['instrument']
snapshot = market_info['snapshot']
dealing_rules = market_info['dealingRules']
market = Market(epic, instrument['marketId'])
# cannot interpret this value because IG want it as it is
market.expiry = instrument['expiry']
# not perfect but IG does not provides this information
if instrument["marketId"].endswith(
instrument["currencies"][0]["name"]):
base_symbol = instrument[
"marketId"][:-len(instrument["currencies"][0]["name"])]
else:
base_symbol = instrument["marketId"]
market.base_exchange_rate = instrument['currencies'][0][
'baseExchangeRate'] # "exchangeRate": 0.77
market.one_pip_means = float(instrument['onePipMeans'].split(' ')[0])
market.value_per_pip = float(instrument['valueOfOnePip'])
market.contract_size = float(instrument['contractSize'])
market.lot_size = float(instrument['lotSize'])
# @todo how to determine base precision ?
market.set_base(base_symbol, base_symbol)
market.set_quote(instrument["currencies"][0]["name"],
instrument["currencies"][0]['symbol'],
decimal_place(market.one_pip_means)) # "USD", "$"
if snapshot:
market.is_open = snapshot["marketStatus"] == "TRADEABLE"
market.bid = snapshot['bid']
market.ofr = snapshot['offer']
# "marginFactorUnit": "PERCENTAGE" not avalaible if market is down
if instrument.get('marginFactor') and market.is_open:
market.margin_factor = float(instrument['marginFactor'])
margin_factor = instrument['marginFactor']
elif instrument.get('margin') and market.is_open:
market.margin_factor = 0.1 / float(instrument['margin'])
margin_factor = str(market.margin_factor)
else:
# we don't want this when market is down because it could overwrite the previous stored value
margin_factor = None
if instrument['unit'] == 'AMOUNT':
market.unit_type = Market.UNIT_AMOUNT
elif instrument['unit'] == 'CONTRACTS':
market.unit_type = Market.UNIT_CONTRACTS
elif instrument['unit'] == 'SHARES':
market.unit_type = Market.UNIT_SHARES
# BINARY OPT_* BUNGEE_*
if instrument['type'] == 'CURRENCIES':
market.market_type = Market.TYPE_CURRENCY
elif instrument['type'] == 'INDICES':
market.market_type = Market.TYPE_INDICE
elif instrument['type'] == 'COMMODITIES':
market.market_type = Market.TYPE_COMMODITY
elif instrument['type'] == 'SHARES':
market.market_type = Market.TYPE_STOCK
elif instrument['type'] == 'RATES':
market.market_type = Market.TYPE_RATE
elif instrument['type'] == 'SECTORS':
market.market_type = Market.TYPE_SECTOR
market.trade = Market.TRADE_MARGIN
market.contract_type = Market.CONTRACT_CFD
# take minDealSize as tick size
market.set_size_limits(dealing_rules["minDealSize"]["value"], 0.0,
dealing_rules["minDealSize"]["value"])
# @todo there is some limits in contract size
market.set_notional_limits(0.0, 0.0, 0.0)
# @todo maybe decimal_place of onePipMeans for tick_size
market.set_price_limits(0.0, 0.0, 0.0)
# commission for stocks
commission = "0.0"
# @todo
# store the last market info to be used for backtesting
if not self._read_only:
Database.inst().store_market_info((
self.name,
epic,
market.symbol,
market.market_type,
market.unit_type,
market.contract_type, # type
market.trade,
market.orders, # type
market.base,
market.base_display,
market.base_precision, # base
market.quote,
market.quote_display,
market.quote_precision, # quote
market.expiry,
int(market.last_update_time * 1000.0), # expiry, timestamp
instrument['lotSize'],
instrument['contractSize'],
str(market.base_exchange_rate),
instrument['valueOfOnePip'],
instrument['onePipMeans'].split(' ')[0],
margin_factor,
dealing_rules["minDealSize"]["value"],
"0.0",
dealing_rules["minDealSize"]["value"], # size limits
"0.0",
"0.0",
"0.0", # notional limits
"0.0",
"0.0",
"0.0", # price limits
"0.0",
"0.0",
commission,
commission) # fees
)
return market
def update_markets_info(self):
"""
Update market info (very important because IG frequently changes lot or contract size).
"""
for market_id in self._watched_instruments:
market = self.fetch_market(market_id)
if market.is_open:
market_data = (market_id, market.is_open,
market.last_update_time, market.bid, market.ofr,
market.base_exchange_rate, market.contract_size,
market.value_per_pip, market.vol24h_base,
market.vol24h_quote)
else:
market_data = (market_id, market.is_open,
market.last_update_time, 0.0, 0.0, None, None,
None, None, None)
self.service.notify(Signal.SIGNAL_MARKET_DATA, self.name,
market_data)
class IGFetcher(Fetcher):
"""
IG watcher data fetcher.
@note Initial limitation to 10000 candles per week.
@warning UTC timestamp are erroneous in D, W and M because there is an issue with DST changes.
Then have to fix that cases.
"""
def __init__(self, service):
super().__init__("ig.com", service)
self._host = "ig.com"
self._connector = None
self._account_id = ""
self._tzname = None
def connect(self):
super().connect()
try:
identity = self.service.identity(self._name)
if identity:
self._host = identity.get('host')
self._account_type = "LIVE" if self._host == "api.ig.com" else "demo"
self._account_id = identity.get('account-id')
self._connector = IGConnector(
self.service,
identity.get('username'),
identity.get('password'),
identity.get('account-id'),
identity.get('api-key'),
identity.get('host'))
self._tzname = identity.get('tzname')
self._connector.connect()
self._available_instruments = set()
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
self._connector = None
@property
def connector(self):
return self._connector
@property
def connected(self):
return self._connector is not None and self._connector.connected
def disconnect(self):
super().disconnect()
try:
if self._connector:
self._connector.disconnect()
self._connector = None
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
def has_instrument(self, instrument, fetch_option=""):
return True # @todo check...
def fetch_trades(self, market_id, from_date=None, to_date=None, n_last=None, fetch_option=""):
pass
def fetch_candles(self, market_id, timeframe, from_date=None, to_date=None, n_last=None, fetch_option=""):
try:
if n_last:
data = self._connector.history_last_n(market_id, timeframe, n_last)
else:
data = self._connector.history_range(market_id, timeframe, from_date, to_date)
except Exception as e:
logger.error(repr(e))
error_logger.error(traceback.format_exc())
data = {}
prices = data.get('prices', [])
# get local timezone, assume its the same of the account, or overrided by account detail
tzname = self._tzname or time.tzname[0]
pst = pytz.timezone(tzname)
for price in prices:
dt = datetime.strptime(price['snapshotTimeUTC'], '%Y-%m-%dT%H:%M:%S').replace(tzinfo=UTC())
# ldt = datetime.strptime(price['snapshotTime'], '%Y/%m/%d %H:%M:%S')
# timezone + DST aware conversion
# print("<", dt, ldt)
# dt = dt + pst.localize(ldt).dst() + pst.localize(ldt).utcoffset()
# fix for D,W,M snapshotTimeUTC, probaby because of the DST (then might be +1 or -1 hour)
if timeframe in (Instrument.TF_1D, Instrument.TF_1W, Instrument.TF_1M):
if dt.hour == 23:
# is 23:00 on the previous day, add 1h
dt = dt + timedelta(hours=1)
elif dt.hour == 1:
# is 01:00 on the same day, sub 1h
dt = dt - timedelta(hours=1)
elif timeframe == Instrument.TF_4H:
if dt.hour in (3, 7, 11, 15, 19, 23):
dt = dt + timedelta(hours=1)
elif dt.hour in (1, 5, 9, 13, 17, 21):
dt = dt - timedelta(hours=1)
# print(">", dt, ldt)
timestamp = dt.timestamp()
if price.get('highPrice')['bid'] is None and price.get('highPrice')['ask'] is None:
# ignore empty candles
continue
# yield (timestamp, high bid, low, open, close, high ofr, low, open, close, volume)
yield([int(timestamp * 1000),
str(price.get('openPrice')['bid'] or price.get('openPrice')['ask']),
str(price.get('highPrice')['bid'] or price.get('highPrice')['ask']),
str(price.get('lowPrice')['bid'] or price.get('lowPrice')['ask']),
str(price.get('closePrice')['bid'] or price.get('closePrice')['ask']),
str(price.get('openPrice')['ask'] or price.get('openPrice')['bid']),
str(price.get('highPrice')['ask'] or price.get('highPrice')['bid']),
str(price.get('lowPrice')['ask'] or price.get('lowPrice')['bid']),
str(price.get('closePrice')['ask'] or price.get('closePrice')['bid']),
price.get('lastTradedVolume', '0')])
