def __init__(self, account_id, access_token, environment='practice'):
DataConnection.__init__(self)
import oandapy # pylint: disable=import-error
self.account_id = account_id
self.environment = environment
self.oanda = oandapy.API(environment=environment,
access_token=access_token)
def check_order(self,check):
if check== True:
oanda0 = oandapy.API(environment="practice", access_token=self.access_token)
try:
responseTrades = oanda0.get_trades(self.account_id,instrument=self.pairs)
except Exception as e:
logging.warning('Caught exception in get_trades() of check_order()!\n'+str(time.ctime()))
return
if responseTrades.get("trades")==[]:
pd = self.pairs_dict
pd["orlis"].pop(0)
logging.info(" orlis: "+str(pd["orlis"]))
pd["orlis"].append(0)
logging.info(" orlis: "+str(pd["orlis"]))
if pd["orlis"][0:4]==[1,1,0,0]:
logging.warning( "Stop Loss Order Executed!")
#warn.tradingWarning(" Stop Loss Order Executed!")
pd["invested"]= False
pd["fixed"] = False #position closed, the stra type is free
pd["check"] = False
else:
pass
else:
pd = self.pairs_dict
#pd["orlis"][0] = copy.copy(pd["orlis"][1])
pd["orlis"].pop(0)
pd["orlis"].append(1)
logging.info("not empty- orlis: "+str(pd["orlis"]))
pd["invested"]= True
pd["fixed"] = True #position closed, the stra type is free
pd["check"] = True
else:
pass
def collect(today='2017-01-30'):
print('ond import successfull')
timeframe = "M5"
it = datetime.strftime(
datetime.strptime(today, "%Y-%m-%d") - timedelta(days=2), "%Y-%m-%d")
finish = datetime.strftime(
datetime.strptime(today, "%Y-%m-%d") + timedelta(days=1), "%Y-%m-%d")
print(it, finish)
oanda = ond.API(
environment='practice',
access_token=
'ce5f70d5af3563435fa23311d05314ea-98f884f4751f25ff622cfa2debfbb01e')
data = oanda.get_history(
instrument='EUR_GBP', # our instrument
start=it, # start data
end=finish, # end date
granularity=timeframe) # minute bars # 71
df = pd.DataFrame(data['candles'])
# print(pd.DataFrame(data['candles']))
df['Date'] = pd.to_datetime(df.time)
df.sort_values(by=['Date'])
df['close'] = (df['closeBid'] + df['closeAsk']) / 2
#print(df)
print('collect() done')
df['pct'] = df['close'].pct_change()
return (df)
def __init__(self, user_settings):
HistoricalMarketData.__init__(self, user_settings)
self.user_settings = user_settings
self.oanda = oandapy.API(
environment=self.user_settings.oanda_environment,
access_token=self.user_settings.oanda_token)
pass
def getDataBatch(startTime="0", instrument="EUR_USD"):
account = od.API(environment="practice",
access_token="",
headers={'X-Accept-Datetime-Format': 'UNIX'})
hist = account.get_history(instrument="EUR_USD",
granularity="M1",
start=startTime,
count="5000",
candleFormat="midpoint")
data = hist['candles']
close = np.ndarray([0])
high = np.ndarray([0])
low = np.ndarray([0])
volume = np.ndarray([0])
openMid = np.ndarray([0])
time = np.ndarray([0])
for x in data:
cur = x
close = np.append(close, float(cur.get('closeMid')))
high = np.append(high, float(cur.get('highMid')))
low = np.append(low, float(cur.get('lowMid')))
volume = np.append(volume, float(cur.get('volume')))
openMid = np.append(openMid, float(cur.get('openMid')))
time = np.append(time, float(cur.get('time')))
return close, high, low, volume, openMid, time
def __init__(cls):
cfg = Config()
cls.account_id = cfg.get_oanda_env('account_id')
cls.api_key = cfg.get_oanda_env('api_key')
cls.environment = cfg.get_oanda_env('environment')
cls.oanda = oandapy.API(environment=cls.environment,
access_token=cls.api_key)
def get_history_frame(instrument='EUR_USD',
start=OandaDate().minus(minutes=1),
end=OandaDate(),
granularity=OandaGranularity.s5["api"]):
config = configparser.ConfigParser()
config.read(os.path.join(config_path, "oanda.cfg"))
oanda = opy.API(environment='practice',
access_token=config['oanda']['access_token'])
try:
data = oanda.get_history(instrument=instrument,
start=str(start),
end=str(end),
granularity=granularity,
price="M")
data_frame = pd.DataFrame(data['candles']).set_index('time')
data_frame.index = pd.DatetimeIndex(data_frame.index)
print(
data_frame,
"Data received for instrument {} between {} and {}:".format(
instrument, start.description(), end.description()))
return data_frame
except JSONDecodeError:
print(
"No Data received for instrument {} between {} and {}".format(
instrument, start.description(), end.description()))
def download(target_year="2018", target=None):
access_token = "e2d515e8591ad375131f73b4d00fa046-dbcc42f596456f1562792f3639259b7f"
start_time = "T00:00:00"
end_time = "T23:59:59"
granularity = "H1"
oanda = oandapy.API(environment="practice", access_token=access_token)
for target in target_list:
res_hist = oanda.get_history(instrument=target,
granularity=granularity,
start=target_year + "-01-01" + start_time,
end=target_year + "-06-30" + end_time)
rate1 = pandas.DataFrame(res_hist['candles'])
time.sleep(1)
res_hist = oanda.get_history(instrument=target,
granularity=granularity,
start=target_year + "-07-01" + start_time,
end=target_year + "-12-31" + end_time)
rate2 = pandas.DataFrame(res_hist['candles'])
pandas.concat([rate1, rate2]).to_csv(target + "-" + granularity + "-" +
target_year + ".csv",
sep=",")
print(target_year + ": " + str(target))
def __init__(self, user_settings):
self.user_settings = user_settings
self.oanda = oandapy.API(
environment=self.user_settings.oanda_environment,
access_token=self.user_settings.oanda_token)
self.account_id = self.user_settings.oanda_id
pass
def getDataCSV(pair, granularity, numDataPoints, OHLCV, time, ratio):
oanda = oandapy.API(environment=environment, access_token=access_token)
end = datetime.utcnow()
if OHLCV:
file = open(pair+'_'+granularity+'_'+str(numDataPoints)+'_OHLCV.csv', 'w')
else:
file = open(pair+'_'+granularity+'_'+str(numDataPoints)+'.csv', 'w')
#can get max 5k datapoints in 1 call to the API
count = 5000
data = []
print "getting data"
while numDataPoints > 0:
if numDataPoints < 5000:
count = numDataPoints
print end.isoformat('T')
response = oanda.get_history(instrument = pair, granularity=granularity, count = count, candleFormat="midpoint", end=end.isoformat('T'))['candles']
end = parser.parse(response[0]["time"])
data += reversed(response)
numDataPoints -= count
for candle in reversed(data):
if not OHLCV:
if not time:
file.write(str(candle['closeMid']) + '\n')
else:
file.write(str(candle['time'])+','+str(candle['closeMid']) + '\n')
else:
if not time:
file.write(str(candle['openMid']) +',' + str(candle['highMid'])+','+str(candle['lowMid'])+','+str(candle['closeMid'])+','+str(candle['volume'])+ '\n')
else:
file.write(str(candle['time']) +','+ str(candle['openMid']) +',' + str(candle['highMid'])+','+str(candle['lowMid'])+','+str(candle['closeMid'])+','+str(candle['volume'])+ '\n')
def __init__(self, *args, **kwargs):
oandapy.Streamer.__init__(self, *args, **kwargs)
self.oanda = oandapy.API(kwargs["environment"],
kwargs["access_token"])
self.instrument = None
self.account_id = None
self.qty = 0
self.ticks=0
self.resample_interval = "10s"
self.mean_period_short = 12
self.mean_period_long = 24
self.buy_threshold = 1.0
self.sell_threshold = 1.0
self.resampled_prices=pd.DataFrame()
self.prices = pd.DataFrame()
self.beta = 0
self.is_position_opened = False
self.opening_price = 0
self.executed_price = 0
self.unrealized_pnl = 0
self.realized_pnl = 0
self.position = 0
self.dt_format = "%Y-%m-%dT%H:%M:%S.%fZ"
def get_candles(dates, token):
oanda = opy.API(environment="practice", access_token=token)
data = oanda.get_history(instrument="EUR_USD",
start=dates[0],
end=dates[1],
granularity="H1")
return data["candles"]
def oanda(self):
import oandapy
if self._oanda is None:
self._oanda = oandapy.API(
environment=os.environ['OANDA_ENV'],
access_token=os.environ['OANDA_ACCESS_TOKEN'])
return self._oanda
def test_rest_connection():
"""Initiate a connection, and get current EUR_USD price"""
oanda = oandapy.API(access_token=settings.ACCESS_TOKEN,
environment=settings.DOMAIN)
response = oanda.get_prices(instruments=instruments)
prices = response.get("prices")
buy_price = prices[0].get("bid")
print buy_price
def __init__(self):
config = get_config()
self.account_id = config.get_broker_account_id()
self.environment = config.get_broker_environment()
self.access_token = config.get_broker_access_token()
self.api = oandapy.API(
**{
"environment": config.get_broker_environment(),
"access_token": config.get_broker_access_token(),
})
def __init__(self, instrument, units, side, stopLoss, takeProfit): self.accountID = "8098814" self.token = "651c24e0df293921aa1d299195f42d9a-fb0a7be5c893a749d4593c2bef6e8730" self.response = dict() self.oanda = oandapy.API(environment="practice", access_token=self.token) self.instrument = instrument self.units = units self.side = side self.stopLoss = stopLoss self.takeProfit= takeProfit
def pause_plot():
fig, ax = plt.subplots(1, 1) #行数、列数1,1のオブジェクト生成
x_time = [datetime.datetime.now()]
#oandapyの設定
oanda = oandapy.API(
environment="practice",
access_token=
"e777fc0c0a7aedb89e00f91e15a7b415-ac361a890d2fa25b195ba4dbe825f38b")
response = oanda.get_prices(instruments='USD_JPY')
print(type(response))
prices = response.get('prices')
asking_price = prices[0].get('ask')
#ｙにレート入力
y = [asking_price]
# 初期化的に一度plotしなければならない
# そのときplotしたオブジェクトを受け取る受け取る必要がある．
# listが返ってくるので，注意
lines, = ax.plot(x_time, y)
# グラフのフォーマットの設定
cnt = 0
plt.grid(True)
# ここから無限にplotする
while True:
cnt += 1
# plotデータの更新
response = oanda.get_prices(instruments='USD_JPY')
prices = response.get('prices')
asking_price = prices[0].get('ask')
x_time.append(datetime.datetime.now())
y.append(asking_price)
print(asking_price)
# 描画データを更新するときにplot関数を使うと
# lineオブジェクトが都度増えてしまうので，注意．
#
# 一番楽なのは上記で受け取ったlinesに対して
# set_data()メソッドで描画データを更新する方法．
lines.set_data(x_time, y)
# set_data()を使うと軸とかは自動設定されないっぽいので，
# そのためx軸の範囲は適宜修正してやる必要がある．
ax.set_xlim(datetime.datetime.now() - datetime.timedelta(seconds=1000),
datetime.datetime.now() + datetime.timedelta(seconds=10))
if cnt > 2:
plt.ylim(min(y) - 0.01, max(y) + 0.01)
# 一番のポイント
# - plt.show() ブロッキングされてリアルタイムに描写できない
# - plt.ion() + plt.draw() グラフウインドウが固まってプログラムが止まるから使えない
# ----> plt.pause(interval) これを使う!!! 引数はsleep時間
plt.pause(1)
if cnt > 100000:
plt.close()
break
def setUp(self):
global access_token
global account
global api
try:
account, access_token = unittestsetup.auth()
except Exception as e:
print("%s" % e)
exit(0)
api = oandapy.API(environment=environment, access_token=access_token)
def collect(start='2018-01-30', end='2019-10-15'):
a = ond.API(
environment='practice',
access_token=
'ce5f70d5af3563435fa23311d05314ea-98f884f4751f25ff622cfa2debfbb01e')
print(dir(a))
print('ond import successfull')
timeframe = "M5"
dates = []
it = datetime.strptime(start, "%Y-%m-%d")
finish = datetime.strptime(end, "%Y-%m-%d")
while it < finish:
dates.append(datetime.strftime(it, "%Y-%m-%d"))
it += timedelta(days=14)
dates.append(datetime.strftime(finish, "%Y-%m-%d"))
oanda = ond.API(
environment='practice',
access_token=
'ce5f70d5af3563435fa23311d05314ea-98f884f4751f25ff622cfa2debfbb01e')
for i in range(0, len(dates) - 1):
print(dates[i], dates[i + 1])
data = oanda.get_history(
instrument='EUR_GBP', # our instrument
start=dates[i], # start data
end=dates[i + 1], # end date
granularity=timeframe) # minute bars # 7
print('data=', pd.DataFrame(data['candles']))
if i <= 0:
df = pd.DataFrame(data['candles'])
else:
df = pd.concat([df, pd.DataFrame(data['candles'])],
ignore_index=True)
print(i)
# print(pd.DataFrame(data['candles']))
df['Date'] = pd.to_datetime(df.time)
df.sort_values(by=['Date'])
df['close'] = (df['closeBid'] + df['closeAsk']) / 2
print(df)
print('collect() done')
return (df)
def StrategyMaker():
print('\n !!! Connecting User !!!')
config = configparser.ConfigParser() # 3
config.read('oanda.cfg') # 4
oanda = opy.API(environment='practice',
access_token=config['oanda']['access_token']) # 5
print('\n !!! Importing Market Data !!!')
data = oanda.get_history(
instrument='EUR_USD', # our instrument
start='2017-11-24', # start data
end='2017-11-26', # end date
granularity='M1') # minute bars # 7
#data = oanda.rates(account_id=config['oanda']['account_id'],
# instruments=['DE30_EUR'], ignore_heartbeat=True);
print('\n !!! Creating DataFrame !!!')
df = pd.DataFrame(data['candles']).set_index('time') # 8
df.index = pd.DatetimeIndex(df.index) # 9
#df.info() # 10
print('\n !!! Calculating Returns !!!')
df['returns'] = np.log(df['closeAsk'] / df['closeAsk'].shift(1)) # 12
df.fillna(0, inplace=True)
print('\n !!! Calculating Positions !!!')
cols = [] # 13
for momentum in [15, 30, 60, 120]: # 14
col = 'position_%s' % momentum # 15
df[col] = np.sign(df['returns'].rolling(momentum).mean()) # 16
cols.append(col) # 17
sns.set() # 18
print('\n !!! Calculating strategy !!!')
strats = ['returns'] # 19
for col in cols: # 20
strat = 'strategy_%s' % col.split('_')[1] # 21
df[strat] = df[col].shift(1) * df['returns'] # 22
strats.append(strat) # 23
#Get the best strategy
Strat_Mean = {}
for strat in strats:
Strat_Mean[strat] = df[strat].mean()
print(Strat_Mean)
BestStrategy = max(Strat_Mean.items(), key=operator.itemgetter(1))[0]
print('\n !!! Plot for various strategies and Returns !!!')
df[strats].dropna().cumsum().apply(np.exp).plot() # 24
plt.show()
return BestStrategy
def available_symbols(self):
"""
Get every symbols available for streaming by the broker
:return: list of symbols
"""
if self.symbols is None:
oanda = oandapy.API(environment=self.environment,
access_token=self.token)
symbols = oanda.get_instruments(
account_id=self.account_id).get('instruments')
return [symbol['instrument'] for symbol in list(symbols)]
else:
return self.symbols
def close_order(self, event):
oanda0 = oandapy.API(environment="practice", access_token=self.access_token)
response1= oanda0.get_trades(self.account_id,instrument=event.instrument)
order_lis= response1["trades"]
if order_lis !=[]:
for order in order_lis: #close all trades
responseX = oanda0.close_trade(self.account_id,trade_id= order['id'])
logging.info( "Close Order ! \n {0}".format(responseX))
content0 = "Close Order !" + "profit: "+str(responseX['profit'])+" CLOSE "+str(responseX['instrument'])
content0 = content0 + " "+str(responseX['side'])+" at "+ str(responseX['price'])
#warn.tradingWarning(content0)
else:
logging.warning("No trade to be closed! :{0}".format(time.ctime()))
def close_all_trade():
oanda = oandapy.API(access_token=API_KEY, environment='practice')
tickets = oanda.get_trades(account_id=ACCOUNT_ID)['trades']
for ticket in tickets:
oanda.close_order(account_id=ACCOUNT_ID, order_id=ticket['id'])
conn = sqlite3.connect(DB_NAME)
c = conn.cursor()
sql = "DELETE FROM chart_monitor;"
c.execute(sql)
sql = "DELETE FROM agent;"
c.execute(sql)
conn.close()
def run(self):
credential = config.load()['oanda']['live']
oanda = oandapy.API(environment='live',
access_token=credential['access_token'])
while self.is_active():
try:
res = oanda.get_prices(instruments=','.join(self.instruments))
for price in res['prices']:
self.dispatch_price(price)
except Exception as e:
self.logger.exception(e)
for _ in range(100):
time.sleep(0.1)
if not self.is_active():
break
def __init__(self):
self.stds, self.means = self.load_scaler()
self.sequential = rm.Sequential(
[rm.Lstm(30), rm.Lstm(10),
rm.Dense(pred_length)])
self.oanda = oandapy.API(environment="practice", access_token=token)
self.res = self.oanda.get_history(instrument="USD_JPY",
granularity=gran,
count=look_back + pred_length + 78)
self.prep = Preprocess(self.res)
self.df = self.prep.data
self.data = self.standardize()
self.exp, self.target = self.create_dataset()
self.pred = self.predict()
self.pred_side = self.predict_side()
def __get_fx_data(self):
"""
oanda apiからjson fxデータを取得
:return:
"""
# 日時をapiのフォーマットに変換
from_datetime = FormatDatetime.datetime_to_str(self.from_datetime)
to_datetime = FormatDatetime.datetime_to_str(self.to_datetime)
# oanda apiで時系列fx価格データ取得
oanda = oandapy.API(environment="practice", access_token=ACCESS_TOKEN)
self.json_fx_data = oanda.get_history(instrument=self.instrument,
granularity=self.granularity,
start=from_datetime,
end=to_datetime,
candleFormat='midpoint')
def getPrices():
oanda = oandapy.API(environment="practice", access_token=OANDA_API_KEY)
lsymbol_id = []
f = open("symbolsLong.txt", "r")
for x in f:
sym = x.rstrip()
lsymbol_id.append(sym)
for x in lsymbol_id:
systime.sleep(1)
response = oanda.get_prices(instruments=x)
prices = response.get("prices")
asking_price = prices[0].get("ask")
print("Symbol {} price {}".format(x, asking_price))
def __init__(self, environment, account_id, access_token, instrument):
#一些账号个人信息
self.environment = environment
self.account_id = account_id
self.access_token = access_token
self.oanda = oandapy.API(self.environment, self.access_token)
self.instrument = instrument
self.minute_granularity = 'M1' #分钟数据
self.hour_granularity = 'H1' #小时数据
self.minute_count = 5000 #5000分钟
self.hour_count = 20 #20小时
self.units = 1000 #下单数量：1000张合约
self.weighted_bias = 0
self.trading_stats = 0
self.ema1 = self.ema2 = self.ema3 = pd.Series()
self.bias1 = self.bias2 = self.bias3 = pd.Series()
def main():
print "------ System online -------", datetime.now()
oanda = oandapy.API(environment="practice",
access_token=OANDA_ACCESS_TOKEN)
response = oanda.get_prices(instruments="EUR_USD")
prices = response.get("prices")
buy_price = prices[0].get("bid")
print "Buy at", buy_price
trade_id = oanda.create_order(OANDA_ACCOUNT_ID,
instrument="EUR_USD",
units=1000,
side='buy',
type='market')
print "Trading id", trade_id
def __init__(self, id, bid, ask):
self.id = id
self.bid = bid
self.ask = ask
self.HOLD = 0
self.BUY = 1
self.SELL = 2
self.CLOSE = 3
self.take_profit_pips = 30
self.stop_loss_pips = 15
self.point = 0.01
self.lots = 1
self.info = AccountInformation()
self.oanda = oandapy.API(access_token=API_KEY, environment='practice')
self.tickets = [ticket for ticket in self.get_active_tickets()]