def updateQuotesFromDukascopy(instrument, period, depth = 5000000):
intervalSize = 3000
intervals = int(depth/intervalSize)
import postgresql as db
tableName = db.getTableName(instrument, period, depth)
if db.isTableExist(tableName) is False:
db.createQuotesTable(instrument, period, depth)
lastQuote = db.getLastQuote(tableName)
if lastQuote is not None:
lastQuoteTime = lastQuote[0]
else:
lastQuoteTime = datetime(2000,1,1)
lastQuoteReachedFlag = False
engine = DukascopyEngine()
for i in range(0, intervals):
print 'collecting %d of %d' %(i+1, intervals)
if lastQuoteReachedFlag is True:
continue
res = []
newData = engine.getHistoryBars(instrument, intervalSize, i*intervalSize, 0, period, trimInstrument=True, filterWeekends=False)
for row in newData:
if row[0] > lastQuoteTime:
res.append(row)
else:
lastQuoteReachedFlag = True
db.insertQuotes(tableName, res)
def getHistoryDayByDay(instrument, period, dateFromS, dateToS):
try:
dateFrom = datetime.strptime(dateFromS, "%d/%m/%Y %H:%M:%S")
except Exception as e:
dateFrom = datetime.strptime(dateFromS, "%d/%m/%Y")
try:
dateTo = datetime.strptime(dateToS, "%d/%m/%Y %H:%M:%S")
except Exception as e:
dateTo = datetime.strptime(dateToS, "%d/%m/%Y")
engine = DukascopyEngine()
quotes = None
currentDate = dateFrom
nextDay = dateFrom + relativedelta(days=+1)
while nextDay < dateTo:
print "collecting: " + instrument + " " + period + " " + currentDate.strftime('%d/%m/%Y %H:%M:%S') + '-' + nextDay.strftime('%d/%m/%Y %H:%M:%S')
r = engine.getHistoryFromDateToDate(instrument, period, currentDate.strftime('%d/%m/%Y %H:%M:%S'), nextDay.strftime('%d/%m/%Y %H:%M:%S'))
r = r[:len(r)-1] #obrezaem posledniy chtobi ne bilo gemora na sticah dnia
if quotes is None:
quotes = r
else:
quotes = np.append(quotes, r, axis=0)
currentDate = currentDate + relativedelta(days=+1)
nextDay = nextDay + relativedelta(days=+1)
if currentDate < dateTo:
print "collecting: " + instrument + " " + period + " " + currentDate.strftime('%d/%m/%Y %H:%M:%S') + '-' + nextDay.strftime('%d/%m/%Y %H:%M:%S')
r = engine.getHistoryFromDateToDate(instrument, period, currentDate.strftime('%d/%m/%Y %H:%M:%S'), nextDay.strftime('%d/%m/%Y %H:%M:%S'))
if quotes is None:
quotes = r
else:
quotes = np.append(quotes, r, axis=0)
return quotes
def updateQuotes(maxQuotes = 100):
intervalSize = 3000
intervals = 2100
import postgresql as db
#tableName = "eurusd_1min"
tableName = "eurusd_10sec"
lastQuote = db.getLastQuote(tableName)
if lastQuote is not None:
lastQuoteTime = lastQuote[0]
else:
lastQuoteTime = datetime(2000,1,1)
lastQuoteReachedFlag = False
engine = DukascopyEngine()
for i in range(0, intervals):
print 'collecting %d of %d' %(i+1, intervals)
if lastQuoteReachedFlag is True:
continue
res = []
newData = engine.getHistoryBars('EUR/USD', intervalSize, i*intervalSize, 0, 'TEN_SECS', trimInstrument=True, filterWeekends=False)
for row in newData:
if row[0] > lastQuoteTime:
res.append(row)
else:
lastQuoteReachedFlag = True
db.insertQuotes(tableName, res)
exit()
print lastQuote
data = getHistoryIntervalsToDB(10, 10, instrument='EUR/USD', period='ONE_MIN')
db.insertQuotes("eurusd_1min", data)
print 'done'
def getHistoryIntervalsToDB(intervals, intervalSize, instrument = 'EUR/USD', period = 'ONE_MIN'):
engine = DukascopyEngine()
res = engine.getHistoryBars(instrument, intervalSize, 0, 0, period, trimInstrument=True, filterWeekends=False)
for i in range(1,intervals):
print 'collecting %d of %d' %(i, intervals)
newData = engine.getHistoryBars(instrument, intervalSize, i*intervalSize, 0, period, trimInstrument=True, filterWeekends=False)
res = np.append(newData, res, axis=0)
return res
if f[len(f)-1] < m - 2*s:
print 'opening long'
if coef[0] < 0:
self.engine.sendOrder(Order('EUR/USD', -1, 0, 0, 0, -1*np.round(coef[0],2), 0, 0, market=True), bar)
else:
self.engine.sendOrder(Order('EUR/USD', 1, 0, 0, 0, np.round(coef[0],2), 0, 0, market=True), bar)
if coef[1] < 0:
self.engine.sendOrder(Order('GBP/USD', -1, 0, 0, 0, -1*np.round(coef[1],2), 0, 0, market=True), bar)
else:
self.engine.sendOrder(Order('GBP/USD', 1, 0, 0, 0, np.round(coef[1],2), 0, 0, market=True), bar)
if coef[2] < 0:
self.engine.sendOrder(Order('AUD/USD', -1, 0, 0, 0, -1*np.round(coef[2],2), 0, 0, market=True), bar)
else:
self.engine.sendOrder(Order('AUD/USD', 1, 0, 0, 0, np.round(coef[2],2), 0, 0, market=True), bar)
if coef[3] < 0:
self.engine.sendOrder(Order('USD/CAD', -1, 0, 0, 0, -1*np.round(coef[3],2), 0, 0, market=True), bar)
else:
self.engine.sendOrder(Order('USD/CAD', 1, 0, 0, 0, np.round(coef[3],2), 0, 0, market=True), bar)
def onStop(self):
print 'firstMio stopped..'
engine = DukascopyEngine()
engine.connect(['USD/CAD', 'EUR/USD', 'GBP/USD', 'AUD/USD'], '1 Min', firstMio)
