def find_swing_points(sym, barsize, start, end):
arrayin = [[
'ES', ' 2015-10-20 22:58:05', 2019.5, 2020.25, 2019.5, 2019.75, 'full',
'60'
],
[
'ES', ' 2015-10-20 22:58:05', 2019.5, 2020.25, 2019.5,
2019.75, 'full', '60'
]]
bs = strip1float(arrayin, 5, sym) ##raw close price
symES = 'ES'
## date = rpu_rp.todaysdateunix() ##
EsFile = rpu_rp.CsvToLines(DataDown + date + '.' + symES + '.' +
dur.replace(' ', '') + '.both.csv')
DurBothBoostedES = boost_pricearray(EsFile, symES)
bsES = strip1float(DurBothBoostedES, 5, 'ES')
## print sym,dur,Indtitle
bsopen = strip1float(arrayin, 2, sym) ##raw open price
bshighs = strip1float(arrayin, 3, sym)
bslows = strip1float(arrayin, 4, sym)
bsbardiff = difftwoarrays(bs, bsopen)
barrange = difftwoarrays(bshighs, bslows)
timestamparray = strip1string(arrayin, 1)
stochval = 14
stochval2 = 3
rvival = 4
rvival2 = 10
comparebs = rpu_rp.tail_array_to_array(bs, 100)
compareES = rpu_rp.tail_array_to_array(bsES, 100)
comparetimes = rpu_rp.tail_array_to_array(timestamparray, 100)
bars = get_bars(today, sym, barsize, start, end)
def get_latest_tick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
if 'close' in str(f):
lasttick = f.split('=')[1]
return lasttick
def ShowABarofBars(sym, dur, barnum):
lastbar = []
## statefile = DataDown + sym + '.' + dur + '.' + ind + '.state.csv'
statefile = DataDown + today + '.' + sym + '.' + dur + '.both.csv'
lastbar = (rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(statefile),
barnum))[0]
return lastbar
def recenttick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
if 'close' in str(f):
lasttick = f.split('=')[1]
return lasttick
def ShowABarofIndByTime(sym,dur,ind,bartime,barfnumlimit):
lastbar =[]
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lastfewbars = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(statefile),barfnumlimit)
for bar in lastfewbars:
if TicksUtile.time_to_epoch(bar[0]) <= TicksUtile.time_to_epoch(bartime) :
lastbar = bar
return lastbar
def get_latest_tick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile), 1)
for f in tickline:
if '2015' in str(f):
print f
lasttick = f[5]
return lasttick
def get_latest_tick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)
for f in tickline:
if '2016' in str(f):
## print f
lasttick = f[5]
return lasttick
def recenttick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickvalue = float(tickvaluedict[sym])
if os.path.isfile(RecentTickFile) :
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
lasttick = rounderrp(float(tickline[5]),tickvalue)
else:
lasttick = 9999
return lasttick
def presort(sym,style):
larray=[]
filein = DataDown +date+'.'+sym+ '.RTMktDepth.csv'
if style == 'dom':
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),1000):
if 'updateMktDepth' in str(line):
## print line
larray.append(line)
return larray
def presortDOM(sym,style):
larray=[]
filein = DataDown +today+'.'+sym+ '.RTMktDepth.csv'
if style == 'dom':
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),1000):
if 'updateMktDepth' in str(line):
## print line
larray.append(line)
return larray
def recenttick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickvalue = float(tickvaluedict[sym])
if os.path.isfile(RecentTickFile) :
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
lasttick = rounderrp(float(tickline[5]),tickvalue)
else:
lasttick = 9999
return lasttick
def ShowABarofIndByTime(sym, dur, ind, bartime, barfnumlimit):
lastbar = []
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lastfewbars = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(statefile),
barfnumlimit)
for bar in lastfewbars:
if TicksUtile.time_to_epoch(
bar[0]) <= TicksUtile.time_to_epoch(bartime):
lastbar = bar
return lastbar
def recenttick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
if os.path.isfile(RecentTickFile) :
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
if 'close' in str(f):
lasttick = f.split('=')[1]
else:
lasttick =1
return lasttick
def last_bar_epoch(filename,
roundformat): #'rounded or noround #last_bar_epochrounded
## from datetime import date, timedelta, datetime, time
from datetime import datetime, timedelta
twolines = []
try:
if 'both' in filename:
stag = 'partial'
else:
stag = 'xxcxxx'
twolines = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filename), 2)
## print twolines
for line in twolines: ### the both file has partial tag, ddload does not
if stag not in str(line):
timeofbar = line[1]
## print timeofbar
if len(twolines) == 0:
lastlines = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filename),
2)
timeofbar = ' 2000-01-01 23:59:51' #### <<< this needs work!!!!! possible bad for hourly merging early in day
if roundformat == 'noround':
epochtimeofbar = convertTime(timeofbar, 'dashspace',
'timetoepoch') #
###### print epochtimeofbar,'bla'
else:
roundTo = 60
timeb = datetime.strptime(timeofbar, spaceYtime_format)
dt = timeb
seconds = (dt - dt.min).seconds
# // is a floor division, not a comment on following line:
rounding = (seconds + roundTo / 2) // roundTo * roundTo
roundtime = dt + timedelta(0, rounding - seconds, -dt.microsecond)
epochtimeofbar = convertTime(
str(roundtime), 'dashnospace', 'timetoepoch'
) # int(time.mktime(time.strptime(timeofbar, formatstring)))
except:
timeofbar = ' 2000-03-01 23:59:51'
print 'bombed getting last bar epoch time in TicksUtile here'
print 'probably missing a download file for one or all durations'
## epochtimeofbar = convertTime(timeofbar,'dashspace','timetoepoch')
print timeofbar, filename
return epochtimeofbar
def createVolHistogram(sym, fnums):
## fullarray =[]
## today = '20151013'
filein = DataDown + today + '.' + sym + '.RTtickData.csv'
prevtotdiff = ask = bid = 0
string = ''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize = vwap = ''
totdowns = totups = 0
tottickups = 0
pricearrayraw = []
pnsize = []
lastsize = lastprice = bidsize = asksize = 9999
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein), 4440000):
if 'tickString' in str(line) and 'tickType=48' in str(line):
pnsizeline = []
## print line
time = line[3]
string = line[2].split(';')
if len(string) > 2:
## print string
tprice = float(string[0].replace('value=', ''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]), 2)
else:
vwap = 0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print tsize,tprice,time,'trade', bid, ask, bidsize, asksize
pricearrayraw.append(tprice)
pnsizeline.append(tprice)
pnsizeline.append(tsize)
pnsize.append(pnsizeline)
uarray = rpu_rp.uniqArray(pricearrayraw)
ldiv = 100
print "\n" * 50
strings = ''
for price in uarray:
lvol = 0.0
for l in pnsize:
if price == l[0]:
lvol += l[1]
if lvol > 6:
## print ('avg %6.2f ... %4d .. %s' % (price,lvol,int(lvol/ldiv)*'l'))
strings += ('avg %6.2f ... %4d .. %s\n' %
(price, lvol, int(lvol / ldiv) * 'l'))
print strings
Mbox('b', strings, '')
def recenttick(sym):
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickvalue = float(tickvaluedict[sym])
if os.path.isfile(RecentTickFile) :
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
if 'close' in str(f):
lasttick = rounderrp(float(f.split('=')[1]),tickvalue)
else:
lasttick =1
return lasttick
def presort(sym,style,headnum,tailnum):
larray=[]
filein = DataDown +date+'.'+sym+ '.RTMktDepth.csv'
if style == 'dom':
topsection = rpu_rp.head_array_to_array(rpu_rp.CsvToLines(filein),headnum)
print len(topsection)
for line in rpu_rp.tail_array_to_array(topsection,tailnum):
if 'updateMktDepth' in str(line):
## print line
larray.append(line)
return larray
def createVolHistogram(sym,fnums):
## fullarray =[]
## today = '20151013'
filein = DataDown +today+'.'+sym+ '.RTtickData.csv'
prevtotdiff = ask = bid =0
string =''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize= vwap =''
totdowns = totups = 0
tottickups=0
pricearrayraw =[]
pnsize =[]
lastsize = lastprice = bidsize = asksize = 9999
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),4440000):
if 'tickString' in str(line) and 'tickType=48' in str(line):
pnsizeline =[]
## print line
time = line[3]
string = line[2].split(';')
if len(string) > 2:
## print string
tprice = float(string[0].replace('value=',''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]),2)
else:
vwap =0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print tsize,tprice,time,'trade', bid, ask, bidsize, asksize
pricearrayraw.append(tprice)
pnsizeline.append(tprice)
pnsizeline.append(tsize)
pnsize.append(pnsizeline)
uarray = rpu_rp.uniqArray(pricearrayraw)
ldiv = 100
print "\n" * 50
strings =''
for price in uarray:
lvol =0.0
for l in pnsize:
if price == l[0]:
lvol += l[1]
if lvol > 6 :
## print ('avg %6.2f ... %4d .. %s' % (price,lvol,int(lvol/ldiv)*'l'))
strings += ('avg %6.2f ... %4d .. %s\n' % (price,lvol,int(lvol/ldiv)*'l'))
print strings
Mbox('b', strings, '')
def presort(sym, style, headnum):
larray = []
filein = DataDown + date + '.' + sym + '.RTMktDepth.csv'
if style == 'dom':
topsection = rpu_rp.head_array_to_array(rpu_rp.CsvToLines(filein),
headnum)
print len(topsection)
for line in rpu_rp.tail_array_to_array(topsection, 1000):
if 'updateMktDepth' in str(line):
## print line
larray.append(line)
return larray
def gatherline(sym,ind):
## print sym, ind
#take a price syand find the 2 lines over and under it....
dur = '1day'
if ind == 'pivot':
indfile = statearea + sym + '.' + dur + '.' + 'pivot.state.csv'
elif ind == 'R' :
indfile = statearea + sym + '.' + dur + '.' + 'R.state.csv'
else:
indfile = statearea + sym + '.' + dur + '.' + 'S.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile),1)[0]
## print lineprice
return lineprice
def gatherline(sym, ind):
## print sym, ind
#take a price syand find the 2 lines over and under it....
dur = '1day'
if ind == 'pivot':
indfile = statearea + sym + '.' + dur + '.' + 'pivot.state.csv'
elif ind == 'R':
indfile = statearea + sym + '.' + dur + '.' + 'R.state.csv'
else:
indfile = statearea + sym + '.' + dur + '.' + 'S.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile), 1)[0]
## print lineprice
return lineprice
def ShowIndBar(sym,dur,ind,mode,barnum,bartime):
barfnumlimit = 500
lastbar =[]
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
arrayin = rpu_rp.CsvToLines(statefile)
barcount = len(arrayin)
lastbar = (rpu_rp.tail_array_to_array(arrayin,1))[0]
nbar = (rpu_rp.tail_array_to_array(arrayin,barnum))[0]
lastfewbars = (rpu_rp.tail_array_to_array(arrayin,barfnumlimit))
for bar in lastfewbars:
if TicksUtile.time_to_epoch(bar[0]) <= TicksUtile.time_to_epoch(bartime) :
timedbar = bar
if mode == 'barcount':
output = barcount
elif mode == 'LastBar':
output = lastbar
elif mode == 'nbar':
output = nbar
elif mode == 'bytime':
output = timedbar
elif mode == 'barcount':
output = barcount
return output
def gatherline(sym,ind):
dur = '1day'
if ind == 'pivot':
indfile = statearea + sym + '.' + dur + '.' + 'pivot.state.csv'
elif ind == 'R' :
indfile = statearea + sym + '.' + dur + '.' + 'R.state.csv'
elif ind == 'R' :
indfile = statearea + sym + '.' + dur + '.' + 'R2.state.csv'
elif ind == 'R' :
indfile = statearea + sym + '.' + dur + '.' + 'S2.state.csv'
else:
indfile = statearea + sym + '.' + dur + '.' + 'S.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile),1)[0]
return lineprice
def find_swing_points(sym,barsize,start,end):
arrayin = [['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60'],['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60']]
bs = strip1float(arrayin,5,sym) ##raw close price
symES = 'ES'
## date = rpu_rp.todaysdateunix() ##
EsFile = rpu_rp.CsvToLines( DataDown+ date + '.'+symES+'.' + dur.replace(' ','') + '.both.csv')
DurBothBoostedES = boost_pricearray(EsFile,symES)
bsES = strip1float(DurBothBoostedES,5,'ES')
## print sym,dur,Indtitle
bsopen = strip1float(arrayin,2,sym) ##raw open price
bshighs = strip1float(arrayin,3,sym)
bslows = strip1float(arrayin,4,sym)
bsbardiff = difftwoarrays(bs,bsopen)
barrange = difftwoarrays(bshighs,bslows)
timestamparray = strip1string(arrayin,1)
stochval = 14
stochval2 = 3
rvival = 4
rvival2 = 10
comparebs = rpu_rp.tail_array_to_array(bs,100)
compareES = rpu_rp.tail_array_to_array(bsES,100)
comparetimes = rpu_rp.tail_array_to_array(timestamparray,100)
bars = get_bars(today,sym,barsize,start,end)
def last_bar_epoch(filename,roundformat): #'rounded or noround #last_bar_epochrounded
## from datetime import date, timedelta, datetime, time
from datetime import datetime, timedelta
twolines =[]
try:
if 'both' in filename:
stag = 'partial'
else:
stag = 'xxcxxx'
twolines = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filename),2)
## print twolines
for line in twolines: ### the both file has partial tag, ddload does not
if stag not in str(line):
timeofbar = line[1]
## print timeofbar
if len(twolines) == 0:
lastlines = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filename),2)
timeofbar = ' 2000-01-01 23:59:51' #### <<< this needs work!!!!! possible bad for hourly merging early in day
if roundformat == 'noround':
epochtimeofbar = convertTime(timeofbar,'dashspace','timetoepoch')#
###### print epochtimeofbar,'bla'
else:
roundTo=60
timeb = datetime.strptime(timeofbar, spaceYtime_format)
dt = timeb
seconds = (dt - dt.min).seconds
# // is a floor division, not a comment on following line:
rounding = (seconds+roundTo/2) // roundTo * roundTo
roundtime = dt + timedelta(0,rounding-seconds,-dt.microsecond)
epochtimeofbar = convertTime(str(roundtime),'dashnospace','timetoepoch')# int(time.mktime(time.strptime(timeofbar, formatstring)))
except:
timeofbar =' 2000-03-01 23:59:51'
print 'bombed getting last bar epoch time in TicksUtile here'
print 'probably missing a download file for one or all durations'
## epochtimeofbar = convertTime(timeofbar,'dashspace','timetoepoch')
print timeofbar, filename
return epochtimeofbar
def ShowIndBar(sym, dur, ind, mode, barnum, bartime):
barfnumlimit = 500
lastbar = []
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
arrayin = rpu_rp.CsvToLines(statefile)
barcount = len(arrayin)
lastbar = (rpu_rp.tail_array_to_array(arrayin, 1))[0]
nbar = (rpu_rp.tail_array_to_array(arrayin, barnum))[0]
lastfewbars = (rpu_rp.tail_array_to_array(arrayin, barfnumlimit))
for bar in lastfewbars:
if TicksUtile.time_to_epoch(bar[0]) <= TicksUtile.convertTime(
bartime, 'dashspace', 'timetoepoch'):
timedbar = bar
if mode == 'barcount':
output = barcount
elif mode == 'LastBar':
output = lastbar
elif mode == 'nbar':
output = nbar
elif mode == 'bytime':
output = timedbar
elif mode == 'barcount':
output = barcount
return output
def recenttick(sym,mode):
if mode == 'recent':
RTFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
elif mode == '1min':
RTFile = DataDown + today + '.' + sym + '.1min.ddload.csv'
else:
RTFile = DataDown + today + '.' + sym + '.1min.both.csv'
tickvalue = float(tickvaluedict[sym])
if os.path.isfile(RTFile) :
arr = rpu_rp.CsvToLines(RTFile)
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RTFile),1)[0]
## tickp = (tickline[2]).replace(' price=','')# price=8948.5', ## for using live ticker nto 5sec
tickp = tickline[5] ## uses 5 sec tick bar style
lasttick = rpu_rp.rounderrp(float(tickp),tickvalue)
else:
lasttick = 9999
return lasttick
def recenttick(sym, mode):
if mode == 'recent':
RTFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
elif mode == '1min':
RTFile = DataDown + today + '.' + sym + '.1min.ddload.csv'
else:
RTFile = DataDown + today + '.' + sym + '.1min.both.csv'
tickvalue = float(tickvaluedict[sym])
if os.path.isfile(RTFile):
arr = rpu_rp.CsvToLines(RTFile)
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RTFile), 1)[0]
## tickp = (tickline[2]).replace(' price=','')# price=8948.5', ## for using live ticker nto 5sec
tickp = tickline[5] ## uses 5 sec tick bar style
lasttick = rpu_rp.rounderrp(float(tickp), tickvalue)
else:
lasttick = 9999
return lasttick
def check_for_lines(sym): ##eventually add time range / how to see approaching?
start = '00:00:00'
end = '19:00:00'
spotlines=[1970.00,1960.00,1972.50,1956,1978.0,1983.0,1989.0,2030.0,2075.0]
##spotlines = file and later perhaps dict... autocreate roundies at least
bars = RP_Snapshot.show_bar_range(sym,'5mins',start,end,date)
for spotline in rpu_rp.tail_array_to_array(spotlines,2):
## print spotline
for l in bars:
close = float(l[5])
difftoline = close - spotline
if difftoline < 0.00001:
tag = 'below'
pass
else:
tag = 'above'
if abs(difftoline) < 2.50:
print difftoline, 'SPOTon >>> ',spotline, tag
def check_for_lines(
sym): ##eventually add time range / how to see approaching?
start = '00:00:00'
end = '19:00:00'
spotlines = [
1970.00, 1960.00, 1972.50, 1956, 1978.0, 1983.0, 1989.0, 2030.0, 2075.0
]
##spotlines = file and later perhaps dict... autocreate roundies at least
bars = RP_Snapshot.show_bar_range(sym, '5mins', start, end, date)
for spotline in rpu_rp.tail_array_to_array(spotlines, 2):
## print spotline
for l in bars:
close = float(l[5])
difftoline = close - spotline
if difftoline < 0.00001:
tag = 'below'
pass
else:
tag = 'above'
if abs(difftoline) < 2.50:
print difftoline, 'SPOTon >>> ', spotline, tag
def prepare_tickfilesto5secBars(today, sym, startmode):
## print 'preparing 5secs in tickutiles...',startmode
durinseconds = 1
singleslist = glob.glob(DataDown + today + '.' + sym + '.rtimebar.*')
newsingles = []
filesinglebars = DataDown + today + '.' + sym + '.' + '5secs' + '.singlesb.csv'
for f in singleslist:
fline = rpu_rp.CsvToLines(f)
newsingles.append(fline[0])
## movefile = f.replace(DataDown,DataDown+'tempsingles/')
## movearea = DataDown+'tempsingles'
## shutil.move(f,movearea)
os.remove(f)
rpu_rp.WriteArrayToCsvfileAppend(filesinglebars, newsingles)
basisdur = 'RTticks'
outputdur = '5secs'
basisFile = filesinglebars # DataDown +today+'.'+sym+ '.'+ basisdur +'.csv'
if startmode == 'initialize':
basisBars = rpu_rp.CsvToLines(basisFile)
else:
basisBars = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(basisFile),
40)
create_bars_from_bars(basisBars, today, sym, outputdur, durinseconds,
'initialize')
#. .. this creates the recent file 5secs used in merge_bar
#### print 'got here in preparer creator finished'
outputbothFile = DataDown + today + '.' + sym + '.' + outputdur + '.both.csv'
file1 = DataDown + today + '.' + sym + '.' + '5secs' + '.ddload.csv'
file2 = DataDown + today + '.' + sym + '.' + '5secs' + '.recent.csv'
cutoffmintime = int(2)
print 'got here in preparer'
merge_bar_files(file1, file2, outputbothFile,
cutoffmintime) ## this creates both file
def prepare_tickfilesto5secBars(today,sym,startmode):
## print 'preparing 5secs in tickutiles...',startmode
durinseconds= 1
singleslist = glob.glob(DataDown+ today + '.' + sym +'.rtimebar.*')
newsingles =[]
filesinglebars = DataDown +today+'.'+sym+'.'+'5secs'+'.singlesb.csv'
for f in singleslist:
fline = rpu_rp.CsvToLines(f)
newsingles.append(fline[0])
## movefile = f.replace(DataDown,DataDown+'tempsingles/')
## movearea = DataDown+'tempsingles'
## shutil.move(f,movearea)
os.remove(f)
rpu_rp.WriteArrayToCsvfileAppend(filesinglebars,newsingles)
basisdur = 'RTticks'
outputdur = '5secs'
basisFile = filesinglebars # DataDown +today+'.'+sym+ '.'+ basisdur +'.csv'
if startmode == 'initialize':
basisBars = rpu_rp.CsvToLines(basisFile)
else:
basisBars = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(basisFile),40)
create_bars_from_bars(basisBars,today,sym,outputdur,durinseconds,'initialize')
#. .. this creates the recent file 5secs used in merge_bar
#### print 'got here in preparer creator finished'
outputbothFile = DataDown +today+'.'+sym+'.'+outputdur+'.both.csv'
file1 = DataDown +today+'.'+sym+'.'+'5secs'+'.ddload.csv'
file2 = DataDown +today+'.'+sym+'.'+'5secs'+'.recent.csv'
cutoffmintime = int(2)
print 'got here in preparer'
merge_bar_files(file1,file2,outputbothFile,cutoffmintime) ## this creates both file
def checkDOMticks(sym,fnums):
filein = DataDown +today+'.'+sym+ '.RTMktDepth.csv'
buylineprice = prepare_empty_array(fnums)
buylinesize = prepare_empty_array(fnums)
selllineprice = prepare_empty_array(fnums)
selllinesize = prepare_empty_array(fnums)
prevtotdiff = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),1500):
## print line
position = int(line[1].replace('position=','').replace('>','').replace(' ',''))
size = float(line[5].replace('size=','').replace('>','').replace(' ',''))
operation = line[2].replace('operation=','').replace('>','').replace(' ','')
price = float(line[4].replace('price=','').replace('>','').replace(' ',''))
time = line[6].replace(' ','')
zflag = 'clean'
if price == 0 or size == 0:
## print 'zeros'
zflag = 'haszeros'
if 'side=1' in str(line):
buylineprice[position] = price
buylinesize[position] = size
buylinesizewtd = buylineprice[position] * buylinesize[position]
else:
selllineprice[position] = price
selllinesize[position] = size
## return buylineprice, buylinesize,selllineprice,selllinesize,timenow
sizeweightedbid = sum_2arrays_weighted(buylineprice,buylinesize,'bla')
sizeweightedsell = sum_2arrays_weighted(selllineprice,selllinesize,'bla')
totalbuy = float(sum_array(buylinesize,'all'))
totalsell = float(sum_array(selllinesize,'all') )
totdiff = totalbuy - totalsell
totalratio = totalbuy/totalsell
topbuy = float(sum_array(buylinesize,'toponly'))
topsell = float(sum_array(selllinesize,'toponly'))
topdiff = topbuy - topsell
if totdiff == 0:
totdiff = 1
if totalbuy > 0:
totdiffperc = 100 * (round(float(totdiff/(totalsell +totalbuy)),3))
else:
totdiffperc = 0.0
############
if topdiff == 0:
topdiff = 1
if topbuy > 0:
topdiffperc = 100 * (round(float(topdiff/(topsell +topbuy)),3))
else:
topdiffperc = 0.0
## print totdiffperc, totdiff, totalbuy
difftoprev = totdiff - prevtotdiff
prevtotdiff = totdiff
buytopprice = buylineprice[0]
selltopprice = selllineprice[0]
## print 'SELL', selllinesize, totalsell, totdiff
showflag = 'no'
if abs(totalratio) > 1.20 or totalratio < .95 :
showflag = 'show'
if abs(difftoprev) > 2000000:
showflag ='show'
if abs(topdiffperc)> 20000 :
showflag = 'show'
if showflag == 'show' :
## print buytopprice,'BUY', buylinesize, totalbuy, totdiff, totalsell, selllinesize, 'SELL',selltopprice,time,difftoprev,str(totdiffperc)
## print 'tot',totalbuy,'x',totalsell, totdiff, str(totdiffperc),'%', difftoprev
print 'topBOOK>>',topbuy,'x',topsell, 'Topbuy ratio =',round(topbuy/(topsell+1),2), 'Totalbook Ratio >>>',round(totalratio,2)
def create_TS_array(sym,fnums):
recentlimit = 2000000
fullarray =[]
filein = DataDown +today+'.'+sym+ '.RTtickData.csv'
prevtotdiff = ask = bid =0
prevtime =''
string =''
prevtradeuid=''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize= vwap =''
totdowns = totups = 0
tottickups=0
nettickhits = 0
lastsize = lastprice = bidsize = asksize = 0
prevtick = nettickups = totHits = totLifts = 0
tickflag = tickdir = minute = hour = 'na'
bidsize=bidp=askp=asksize=empty = tsizenew = tpricenew= 'na'
## aout=[tickflag,tprice,tsize,bid,ask,tickdir,nettickhits,nettickups,minute,hour,time]
newline=[]
newlist = [bidsize,bidp,askp,asksize,tpricenew,tsizenew,tickflag,tprice,tsize,tickdir,minute,hour,time]
for item in newlist:
newline.append(item)
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),recentlimit):
if 'tickSize' in line[0] or 'tickPrice' in line[0]:
## print line
fflag = line[1].replace(' field=','')
value = float((line[2].replace(' size=','')).replace('>','').replace(' price=',''))
time = line[len(line)-1]
#############
if 'tickSize' in line[0] :
## 0 BID_SIZE tickSize() 1 BID_PRICE tickPrice() 2 ASK_PRICE tickPrice() 3 ASK_SIZE tickSize() 4 LAST_PRICE tickPrice()5 LAST_SIZE tickSize()
size = value
newline[int(fflag)]=value
##################
if 'tickPrice' in str(line) and int(fflag) < 4:
newline[int(fflag)]=value
##########################
if 'tickString' in str(line) and 'tickType=48' in str(line):
ttime = line[3]
string = line[2].split(';')
if len(string) > 2:
tprice = float(string[0].replace('value=',''))
tsize = float(string[1])
newline[5]=tsize
newline[7]=tprice
newline[8]=tsize
singletrade = string[5]
notsure = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]),2)
else:
vwap =0.0 ## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## if bid == 0.0:
tradeuid = ttime + str(tsize) + str(tprice)
if tradeuid != prevtradeuid:
## print 'adding line'
#bid > 0 and ask > 0 and
aout =[]
if prevtick < tprice:
tickdir = 'uptick'
elif prevtick == tprice:
tickdir = 'flat'
else:
tickdir = 'downtick'
prevtick = tprice
if tsize > 0 and ttime != 'xxx':
minute = ttime[0:5]#'20:47:32.488000'
hour = ttime[0:4]
## newline=[bidsize,bidp,askp,asksize,empty,tsizenew,tickflag,tprice,tsize,bid,ask,tickdir,minute,hour,time]
newline[12]=ttime
newline[11]=hour
newline[10]=minute
newline[9]=tickdir
numlist = [0,1,2,3,4,5,6,7,8,9,10,11,12]
for n in numlist:
aout.append(newline[n])
fullarray.append(aout) ### how many upticks in a row?
prevtime = ttime
prevtradeuid = tradeuid
return fullarray
def checkDOMticks(sym, fnums):
filein = DataDown + today + '.' + sym + '.RTMktDepth.csv'
buylineprice = prepare_empty_array(fnums)
buylinesize = prepare_empty_array(fnums)
selllineprice = prepare_empty_array(fnums)
selllinesize = prepare_empty_array(fnums)
prevtotdiff = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein), 15000):
## print line
position = int(line[1].replace('position=',
'').replace('>', '').replace(' ', ''))
size = float(line[5].replace('size=', '').replace('>',
'').replace(' ', ''))
operation = line[2].replace('operation=',
'').replace('>', '').replace(' ', '')
price = float(line[4].replace('price=',
'').replace('>', '').replace(' ', ''))
time = line[6].replace(' ', '')
zflag = 'clean'
if price == 0 or size == 0:
## print 'zeros'
zflag = 'haszeros'
if 'side=1' in str(line):
buylineprice[position] = price
buylinesize[position] = size
buylinesizewtd = buylineprice[position] * buylinesize[position]
else:
selllineprice[position] = price
selllinesize[position] = size
## return buylineprice, buylinesize,selllineprice,selllinesize,timenow
sizeweightedbid = sum_2arrays_weighted(buylineprice, buylinesize, 'bla')
sizeweightedsell = sum_2arrays_weighted(selllineprice, selllinesize, 'bla')
totalbuy = float(sum_array(buylinesize, 'all'))
totalsell = float(sum_array(selllinesize, 'all'))
totdiff = totalbuy - totalsell
totalratio = totalbuy / totalsell
topbuy = float(sum_array(buylinesize, 'toponly'))
topsell = float(sum_array(selllinesize, 'toponly'))
topdiff = topbuy - topsell
if totdiff == 0:
totdiff = 1
if totalbuy > 0:
totdiffperc = 100 * (round(float(totdiff / (totalsell + totalbuy)), 3))
else:
totdiffperc = 0.0
############
if topdiff == 0:
topdiff = 1
if topbuy > 0:
topdiffperc = 100 * (round(float(topdiff / (topsell + topbuy)), 3))
else:
topdiffperc = 0.0
## print totdiffperc, totdiff, totalbuy
difftoprev = totdiff - prevtotdiff
prevtotdiff = totdiff
buytopprice = buylineprice[0]
selltopprice = selllineprice[0]
## print 'SELL', selllinesize, totalsell, totdiff
showflag = 'no'
if abs(totalratio) > 1.20 or totalratio < .95:
showflag = 'show'
if abs(difftoprev) > 2000000:
showflag = 'show'
if abs(topdiffperc) > 20000:
showflag = 'show'
if showflag == 'show':
## print buytopprice,'BUY', buylinesize, totalbuy, totdiff, totalsell, selllinesize, 'SELL',selltopprice,time,difftoprev,str(totdiffperc)
## print 'tot',totalbuy,'x',totalsell, totdiff, str(totdiffperc),'%', difftoprev
print 'topBOOK>>', topbuy, 'x', topsell, 'Topbuy ratio =', round(
topbuy / (topsell + 1),
2), 'Totalbook Ratio >>>', round(totalratio, 2)
def checkRTnonbarticksNEW(sym, fnums):
recentlimit = 20000
fullarray = []
filein = DataDown + today + '.' + sym + '.RTtickData.csv'
prevtotdiff = ask = bid = 0
prevtime = ''
string = ''
prevtradeuid = ''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize = vwap = ''
totdowns = totups = 0
tottickups = 0
nettickhits = 0
lastsize = lastprice = bidsize = asksize = 0
prevtick = nettickups = totHits = totLifts = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),
recentlimit):
if 'tickString' in str(line) and 'tickType=48' in str(line):
print line
time = line[3]
string = line[2].split(';')
if len(string) > 2:
tprice = float(string[0].replace('value=', ''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]), 2)
else:
vwap = 0.0 ## value=1984.50;1;1441796865858;207069;1982.49963539;true>
if 'tickSize' in line[0] or 'tickPrice' in line[0]:
print line
## 0 BID_SIZE tickSize() 1 BID_PRICE tickPrice()
## 2 ASK_PRICE tickPrice() 3 ASK_SIZE tickSize()
## 4 LAST_PRICE tickPrice() 5 LAST_SIZE tickSize()
fs = line[1].replace(' field=', '')
sizetime = line[3]
value = int((line[2].replace(' size=', '')).replace('>', ''))
size = value
if fs == '0':
bidsize = value
elif fs == '3':
asksize = value
elif fs == '5':
lastsize = value
else:
pass
if 'tickPrice' in str(line):
pricetime = line[4]
value = float(line[2].replace(' price=', ''))
fp = line[1].replace(' field=', '')
if fp == '1':
bid = value
pass
elif fp == '2':
ask = value
else:
lastprice = value
## if bid == 0.0:
tradeuid = time + str(tsize) + str(tprice)
if 'tickString' in str(line) and len(
string
) > 2 and bid > 0 and ask > 0 and tradeuid != prevtradeuid:
if tprice > prevtick:
tickdir = 'uptick'
nettickups += 1
elif tprice < prevtick:
tickdir = 'downtick'
nettickups = nettickups - 1
else:
tickdir = 'neutral'
if bid == tprice:
tickflag = 'HitBid'
nettickhits = nettickhits - 1
else:
tickflag = 'LiftOffer'
nettickhits = nettickhits + 1
totLifts += tsize
aout = []
prevtick = tprice
if tsize > 0 and time != 'xxx':
minute = time[0:5] #'20:47:32.488000'
hour = time[0:4]
#### minute = tprice# time[0:5]#'20:47:32.488000'
aout.append(tickflag)
aout.append(tprice)
aout.append(tsize)
aout.append(bid)
aout.append(ask)
aout.append(tickdir)
## aout.append(totHits)
aout.append(nettickhits)
aout.append(nettickups)
aout.append(minute)
aout.append(hour)
fullarray.append(aout) ### how many upticks in a row?
prevtime = time
prevtradeuid = tradeuid
return fullarray
##################
global timedate_format, nextorderID, date, today,recentlimit, time_format
from time import sleep, strftime, localtime
import rpu_rp, rpInd, ibutiles, TicksUtile, RP_Snapshot, glob, csv, subprocess, datetime, shutil, time, BarUtiles
from time import sleep, strftime, localtime
import RulesEngine
from datetime import datetime
import ctypes
################
date = today #'20160219' #yesterday # today ######## <<<<<<<
style = ''
symlist = ['ES','FDAX']
##symlist = ['ES']#,'FDAX']
for sym in symlist:
print sym,'========'
bla = TicksUtile.recenttick(sym,'recent')
print bla,' is latest tick'
flist = [sym+'.RTticks.csv',sym+'.5mins.both.csv']
for f in flist:
print f,'===='
tickfile5 = DataDown + date +'.'+f
l = rpu_rp.CsvToLines(tickfile5)
lastlines = rpu_rp.tail_array_to_array(l,5)
for e in lastlines:
print e[0],e[1]
##print lastlines
raw_input('close...')
def create_bars_from_bars(
bararrayin, today, sym, dur, durinseconds,
startmode): #startmodes[initialize,bartobar,addonbartoboth]
## print 'start creator'
import time
if startmode == 'bartobar': ## no need for recent or rootfile as prev both dur bars have 5ticks in them
startbartime = 0
## print 'set mode here'
if startmode == 'initialize':
rootname = '.ddload.csv'
rootfile = DataDown + today + '.' + sym + '.' + dur.replace(
' ', '') + rootname
if startmode == 'addonebartoboth':
rootname = '.both.csv'
rootfile = DataDown + today + '.' + sym + '.' + dur.replace(
' ', '') + rootname
## print 'getting startbar'
startbartime = last_bar_epoch(
rootfile, 'rounded') ####ddload_cutoff_epoch(rootfile,'normal')
######## print startbartime
bar_percentage_required = 0.10 ###<<<<<<<<<<<<<
######## print 'creating bars startmode,',startmode,startbartime
barhi = float(0)
barlo = float(99999999)
tickcount = tottickcount = 0
bararrayout = []
timearray = []
prevhi = prevlo = 0
totallength = len(bararrayin)
prevbar_time = ' 2015-06-01 00:00:00'
## if dur == '5secs':
## prevbar_time = ' 2015-11-09 10:03:55'
prevbar_time_epoch = convertTime(prevbar_time, 'dashspace', 'timetoepoch')
print prevbar_time_epoch, prevbar_time
prevdurbar_epoch = 0
##################
## if filemode == 'test':
## recentfile = DataDown +today+'.'+sym+ '.' +dur.replace(' ','')+ '.rtest.csv'
## else:
recentfile = DataDown + today + '.' + sym + '.' + dur.replace(
' ', '') + '.recent.csv'
## flush the recentfile
rpu_rp.WriteArrayToCsvfile(recentfile, [])
## print recentfile
######################
firsttripflag = 'notstarted'
hardlimit = 4000
if dur == '5secs':
hardlimit = 99000000000
barlimiter = min(4000, len(bararrayin))
if startmode == 'addonebartoboth':
taillines = rpu_rp.tail_array_to_array(
bararrayin, barlimiter
) ##the one hour needs 720 rt msec ticks..so this might savesomething
else:
taillines = rpu_rp.tail_array_to_array(
bararrayin, barlimiter
) ##the one hour needs 720 rt msec ticks..so this might savesomething
totallength = len(taillines)
lc = 1
barvolumetot = 0
tickval = float(tickvaluedict[sym])
prevhaopenpr = prevhaclosepr = openpr = 1950.0
for line in taillines:
## print line
if lc == 2:
prevhaopenpr = float(line[2])
prevhaclosepr = float(line[5])
lc += 1
tottickcount += 1
if len(line) > 3:
## print line, 'this line'
bar_time = line[1]
if bar_time == '1':
bar_time = ' 2015-06-01 00:00:00'
bar_time_epoch = convertTime(bar_time, 'dashspace', 'timetoepoch')
openpr = float(line[2])
highpr = float(line[3])
lowpr = float(line[4])
closepr = float(line[5])
barvolume = int(line[6])
barvolumetot += barvolume
############
barTobarElapsed = bar_time_epoch - prevbar_time_epoch
barToprevdurbarElapsed = bar_time_epoch - prevdurbar_epoch
prevbar_time_epoch = bar_time_epoch
##################
## if int(durinseconds) > -1:
## lessthanval = -1
## else:
lessthanval = 0
testval = int(durinseconds) - barToprevdurbarElapsed - lessthanval
## print testval
tickcount += 1
if highpr > barhi:
barhi = highpr
if lowpr < barlo:
barlo = lowpr
if tickcount == 1:
habaropenpr = openpr
newbartime = bar_time
#############
setflag = 'skip'
haclosepr = quarterround(
((habaropenpr + barhi + barlo + closepr) / 4)) #
habaropenpr = quarterround(((prevhaopenpr + prevhaclosepr) / 2))
habarhi = max(highpr, habaropenpr, haclosepr)
habarlo = min(lowpr, habaropenpr, haclosepr)
if int(
durinseconds
) == 60 and firsttripflag != 'started': ######<<<<<<<<< this sets up the 5 second delay
resetamt = 5
elif int(durinseconds) > 60 and firsttripflag != 'started':
resetamt = 60
## print resetamt
else:
resetamt = 0
partflag = 'full'
if tottickcount == 1:
setflag = 'noreset'
if bar_time_epoch >= (startbartime -
resetamt) and firsttripflag != 'started':
## print 'tripped',dur,sym,bar_time_epoch,startbartime,bar_time
setflag = 'reset'
firsttripflag = 'started'
if testval <= 0:
setflag = 'reset'
partbar = True
barperc = float(
float(barToprevdurbarElapsed) / float(durinseconds))
if tottickcount == totallength and setflag != 'reset' and barperc > bar_percentage_required:
## print round(barperc,3), barToprevdurbarElapsed, int(durinseconds)
time = ' 2019-03-03 03:03:03'
partflag = 'partial'
setflag = 'reset'
partbar = True
if setflag == 'reset' and len(line) > 3:
tickcount = 0
barline = []
bardir = 'grn'
bartdesc = 'tail'
bardesc = 'shortbar'
barlen = haclosepr - habaropenpr
if barlen < tickval:
bardir = 'red'
barhead = habarhi - max(habaropenpr, haclosepr)
bartail = habarlo - min(habaropenpr, haclosepr)
barbigmult = 2
if dur == '3mins':
barbigmult = 1
barminbig = (tickval * barbigmult) - (tickval * 0.10)
if abs(barlen) > barminbig:
bardesc = 'bigbar'
if barhead == 0 and bardir == 'red':
bartdesc = 'notail'
if bartail == 0 and bardir == 'grn':
bartdesc = 'notail'
bardesc = bardir + 'N' + bartdesc + 'N' + bardesc
ilist = [sym, newbartime,openpr,barhi,barlo,closepr,barvolumetot,partflag,barToprevdurbarElapsed,\
habaropenpr,habarhi,habarlo,haclosepr,barlen,barhead,bartail,bardesc]
for item in ilist:
barline.append(item)
prevdurbar_epoch = bar_time_epoch
if partbar == True:
bararrayout.append(barline)
barhi = 0
barlo = 99999999
habarhi = 0 #max(highpr,habaropenpr,haclosepr)
habarlo = 9999999 #min(lowpr,habaropenpr,haclosepr)
barvolumetot = 0
partflag = 'full'
prevhaopenpr = habaropenpr
prevhaclosepr = haclosepr
rpu_rp.WriteArrayToCsvfileAppend(recentfile, bararrayout)
## print 'just wrote recent file with bars t bars in tickutiles'
return bararrayout
prevbart_dt = now_dt
prevbart_epoch = now_epoch
for l in macdTriggers:
bart = l[0]
bart_dt = dt.datetime.strptime(bart, spaceYtime_format)
bart_epoch = int(time.mktime(time.strptime(bart, spaceYtime_format)))
barToNow = now_epoch - bart_epoch
barToPrev = bart_epoch - prevbart_epoch
prevbart_epoch = bart_epoch
## alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
if barToNow < recentlimit:
onesig = l
sym =onesig[1]
RecentTickFile = DataDown + today + '.' + sym + '.RTtickslastquote.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
if 'close' in str(f):
lasttick = f.split('=')[1]
onesig.append(barToNow)
onesig.append(barToPrev)
onesig.append(lasttick)
recentsigs.append(onesig)
############ print onesig
dur = ''
if len(recentsigs) > 0:
## macrossstate = statefile = sigarea +statename +'.MACROSS.state.csv'
sigcount =0
for sig in sorted(recentsigs):
sigcount+=1
if sigcount == len(recentsigs):
typedict = rpu_rp.create_dict(libsyms, 0, 5)
currdict = rpu_rp.create_dict(libsyms, 0, 3)
expiredict = rpu_rp.create_dict(libsyms, 0, 4)
dboostdict = rpu_rp.create_dict(libsyms, 0, 6)
tickdict = rpu_rp.create_dict(libsyms, 0, 8)
tsizedict = rpu_rp.create_dict(libsyms, 0, 7)
roundfactordict = rpu_rp.create_dict(libsyms, 0, 9)
symdict = rpu_rp.create_dict(libsyms, 0, 1)
symbol_list = rpsymdict.keys()
###################################
timelimit = 2
timer = 1
#################
while timer < timelimit:
sigs = rpu_rp.CsvToLines('sigs.csv')
onesig = rpu_rp.tail_array_to_array(sigs, 2)
for sig in onesig:
tws_conn.reqIds(100)
sleep(1)
for l in rpu_rp.CsvToLines('OrderIdsSaved.csv'):
order_id = int(l[0])
##################
print sig # ['13:51:58', 'USD.CAD', '30 secs', '12436.5002', '-0.007', 'negcrossmcd', 'necd']]
sym = sig[1]
action = sig[5]
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
print decimalboost, onetick, roundfactor
price = round(float((sig[3])) / float(decimalboost), roundfactor)
onetick = float(1 / decimalboost)
def GetStates(arrayin, sym, Indtitle, dur, threshold, date,
alternatearrayin): #add barr age from last cross here
## decimalboost = dboostdict[sym]
## print arrayin
if len(arrayin) > 3:
pass
else:
print ' small array detected...probaly needs ddload!!', 'getting states for...', Indtitle, dur, sym, date, 'used yesterday'
arrayin = alternatearrayin #[['ES', ' 2015-10-20 22:58:05',20.5,20.25,20.5,20.75,'full','60'],['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60']]
bsclose = strip1float(arrayin, 5, sym) ##raw close price
bs = bsclose
symES = 'ES'
EsFile = rpu_rp.CsvToLines(DataDown + date + '.' + symES + '.' +
dur.replace(' ', '') + '.both.csv')
DurBothBoostedES = boost_pricearray(EsFile, symES)
bsES = strip1float(DurBothBoostedES, 5, 'ES')
bsopen = strip1float(arrayin, 2, sym) ##raw open price
bshighs = strip1float(arrayin, 3, sym)
#### print dur
bsvolume = strip1float(arrayin, 6, sym)
## bsvolume = strip1floatfromstring(arrayin,6,sym)
bslows = strip1float(arrayin, 4, sym)
bsbardiff = difftwoarrays(bsclose, bsopen)
barrange = difftwoarrays(bshighs, bslows)
barmids = difftwoarraysMIDS(bshighs, bslows)
timestamparray = strip1string(arrayin, 1)
stochval = 14
stochval2 = 3
rvival = 4
rvival2 = 10
comparebs = rpu_rp.tail_array_to_array(bsclose, 100)
compareES = rpu_rp.tail_array_to_array(bsES, 100)
comparetimes = rpu_rp.tail_array_to_array(timestamparray, 100)
stdvarbb = 1 #.382
bbandma = 20
if Indtitle == 'pivot':
indicator = Mod_Indicators.pivotpoint(bshighs, bslows, bsclose)
signindicator = indicator
elif Indtitle == 'R1':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'R', '1')
signindicator = indicator
elif Indtitle == 'S1':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'S', '1')
signindicator = indicator
elif Indtitle == 'S2':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'S', '2')
signindicator = indicator
elif Indtitle == 'R2':
indicator = Mod_Indicators.RS(bshighs, bslows, bsclose, 'R', '2')
signindicator = indicator
elif Indtitle == 'mcross':
indicator = Mod_Indicators.difftwoarrays(EMAmvavgToArray(bsclose, 9),
EMAmvavgToArray(bsclose, 21))
signindicator = indicator
elif Indtitle == 'AO':
indicator = Mod_Indicators.difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34))
signindicator = indicator
elif Indtitle == 'AOAcc':
indicator = Mod_Indicators.difftwoarrays(
difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34)),
SMAmvavgToArray(
difftwoarrays(SMAmvavgToArray(barmids, 5),
SMAmvavgToArray(barmids, 34)), 5))
signindicator = indicator
elif Indtitle == 'price':
indicator = bsclose
signindicator = bsbardiff
elif Indtitle == 'highs':
indicator = bshighs
signindicator = bsbardiff
elif Indtitle == 'lows':
indicator = bslows
signindicator = bsbardiff
elif Indtitle == 'mcd':
indicator = Mod_Indicators.MACDdiverg(bsclose)
signindicator = indicator
elif Indtitle == 'kupper':
indicator = Mod_Indicators.keltner_channels(bshighs, bslows, bsclose,
2, 'upper')
signindicator = indicator
elif Indtitle == 'klower':
indicator = Mod_Indicators.keltner_channels(bshighs, bslows, bsclose,
2, 'lower')
signindicator = indicator
elif Indtitle == 'stddev':
indicator = stddev(bshighs, bslows, bsclose, bbandma)
signindicator = indicator
elif Indtitle == 'bbandlower':
indicator = Mod_Indicators.bbands(bshighs, bslows, bsclose, bbandma,
stdvarbb,
'lower') #simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'bbandupper':
indicator = Mod_Indicators.bbands(bshighs, bslows, bsclose, bbandma,
stdvarbb,
'upper') #simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'kmid':
indicator = Mod_Indicators.keltner_channel_mid(bshighs, bslows,
bsclose, 2)
signindicator = indicator
elif Indtitle == 'ema':
indicator = Mod_Indicators.EMAmvavgToArray(bsclose, 21)
signindicator = indicator
elif Indtitle == 'sma200':
indicator = mvavgToArray(bsclose, 200)
signindicator = indicator
elif Indtitle == 'sma50':
indicator = mvavgToArray(bsclose, 50)
signindicator = indicator
elif Indtitle == 'sma100':
indicator = mvavgToArray(bsclose, 100)
signindicator = indicator
elif Indtitle == 'diffvES':
indicator = Mod_Indicators.diffvES(comparebs, compareES)
## timestamparray = comparetimes
signindicator = indicator
elif Indtitle == 'RSI':
indicator = Mod_Indicators.RSI(bsclose, 14)
signindicator = indicator
elif Indtitle == 'ROC':
indicator = Mod_Indicators.ROC(bsclose, 9)
signindicator = indicator
elif Indtitle == 'StochD':
indicator = Mod_Indicators.StochD(
(Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval)),
stochval2)
signindicator = indicator
elif Indtitle == 'StochK':
indicator = Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval)
signindicator = indicator
elif Indtitle == 'Stoch_CROSS':
indicator = Mod_Indicators.Stoch_CROSS(
Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval),
Mod_Indicators.StochD(
Mod_Indicators.StochK(bshighs, bslows, bsclose, stochval),
stochval2))
signindicator = indicator
elif Indtitle == 'ATR':
indicator = Mod_Indicators.ATR(bshighs, bslows, bsclose, 14)
signindicator = indicator
elif Indtitle == 'RVIline':
ind1 = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
indicator = Mod_Indicators.RVIline(ind1, rvival)
signindicator = indicator
elif Indtitle == 'RVIsignal':
indicator = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
signindicator = indicator
elif Indtitle == 'RVI_CROSS':
ind1 = EMAmvavgToArray(
Mod_Indicators.RVIsignal(bsopen, bshighs, bslows, bsclose),
rvival2)
ind2 = Mod_Indicators.RVIline(ind1, rvival)
indicator = Mod_Indicators.RVI_CROSS(ind1, ind2)
signindicator = indicator
pass
elif Indtitle == 'CMF':
maVal = 20
## indicator = bsvolume #20 #'20' #CMF(bsclose,bslows,bshighs,bsvolume,maVal)
indicator = Mod_Indicators.CMF(bsclose, bslows, bshighs, bsvolume,
maVal)
signindicator = indicator
elif Indtitle == 'OBV':
maVal = 20
indicator = Mod_Indicators.OBV(
bsclose, bsvolume, maVal
) # bsvolume #20 #'20' #CMF(bsclose,bslows,bshighs,bsvolume,maVal)
signindicator = indicator
else:
print 'unknown indicator', Indtitle
sign = show_sign(signindicator, Indtitle, threshold)
if Indtitle == 'RSI':
sign = show_sign2thresholds(signindicator, Indtitle, 21, 81)
durarray = lableToarray(bsclose, dur)
slope = show_slope(indicator, 'value')
slopetag = show_slope(indicator, 'tagstyle')
showcrxx = show_cross(sign, 'noage')
crossages = show_cross(sign, 'crossage')
stdval = stddev(1, 1, indicator, 50)
if Indtitle == 'diffvES':
arrayout = joinArraysStates(comparetimes, indicator, sign, slope,
slopetag, Indtitle, sym, showcrxx,
durarray, bshighs, bslows, bsclose,
crossages, stdval)
else:
arrayout = joinArraysStates(timestamparray, indicator, sign, slope,
slopetag, Indtitle, sym, showcrxx,
durarray, bshighs, bslows, bsclose,
crossages, stdval)
alist = timestamparray, indicator, sign, slope, slopetag, Indtitle, sym, showcrxx, durarray, bshighs, bslows, bsclose, crossages, stdval
prevlena = 0
return arrayout
def ShowABarofBars(sym,dur,barnum):
lastbar =[]
## statefile = DataDown + sym + '.' + dur + '.' + ind + '.state.csv'
statefile = DataDown + today + '.'+ sym + '.' + dur + '.both.csv'
lastbar = (rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(statefile),barnum))[0]
return lastbar
showflag = look_for_dupe_sig(livesigid)
sigcount+=1
## if sigcount == len(recentsigs):
if showflag != 'supress':
indlist = ['MACROSS']#, 'R', 'S']
## indlist = ['MACROSS', 'MCDiv', 'price', 'kupper', 'kmid', 'klower', 'pivot', 'R', 'S']
durstatelist =['1hour', '15mins' ]
## durstatelist =['1hour', '15mins', '3mins']
stateinfo = ''
for durstate in durstatelist:
stateinfo += durstate #+ '\n'
for indicator in indlist:
sfile = rpu_rp.CsvToLines(statearea +sym+'.' + durstate +'.'+ indicator +'.state.csv')
hline = (rpu_rp.tail_array_to_array(sfile,1))[0]
stateinfo += str(hline[1:4])+'\n'
##############################
tside = 'BUY'
if 'negcrs' in action:
tside = 'SELL'
if tside == 'SELL':
beep(soundarea+'sellStocks')
else:
beep(soundarea+'buyStocks')
beep(soundarea+sym)
priceinsignal = float(sig[3]/1)
pricedrift = round(priceinsignal - float(bid),4)
timedrift = barToNow
print '==============='
decimalboost = dboostdict[sym]
dur = barsize
TicksUtile.assemble_dur_bars(today,sym,dur,durinseconds)
DurBoth = rpu_rp.CsvToLines( DataDown+ today + '.'+sym+'.' + dur.replace(' ','') + '.both.csv')
indicator = 'MACROSS'
TicksUtile.create_state_files(today,sym,dur,indicator)
indicator = 'MCDiv'
TicksUtile.create_state_files(today,sym,dur,indicator)
indicator = 'price'
TicksUtile.create_state_files(today,sym,dur,indicator)
####################
macross = rpInd.process_ticks(DurBoth,sym,barsize)
macdTriggers = rpInd.Trigger_MACD(DurBoth,sym,barsize)
macd = macdTriggers
lline = rpu_rp.tail_array_to_array(macross,1)
## print lline
## statearray =[]
state = ((lline[0])[5])
sigbart = ((lline[0])[0])
sigbart_epoch = int(time.mktime(time.strptime(sigbart, spaceYtime_format)))
barage = str(round((now_epoch - sigbart_epoch)/int(durinseconds),2))
## statearray.append(state)
## print statearray
## set the state for each sym
statename = sym+dur.replace(' ','')
statefile = sigarea +statename +'.MACROSS.state.csv'
rpu_rp.WriteStringsToFile(statefile, state+dur.replace(' ','')+'since_bars'+barage+',')
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigsma.csv', macross)
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', macd)
print ResLine,SupLine,PivLine,bid,action
dur = sig[2]
livesigid = sym+action+dur.replace(' ','')
showflag = look_for_dupe_sig(livesigid)
sigcount+=1
## if sigcount == len(recentsigs):
if showflag != 'supress':
indlist = ['MACROSS', 'MCDiv', 'price', 'kupper', 'kmid', 'klower', 'pivot', 'R']
durstatelist =['1hour', '15mins', '3mins']
stateinfo = ''
for durstate in durstatelist:
stateinfo += durstate + '\n'
for indicator in indlist:
sfile = rpu_rp.CsvToLines(statearea +sym+'.' + durstate +'.'+ indicator +'.state.csv')
hline = (rpu_rp.tail_array_to_array(sfile,1))[0]
stateinfo += str(hline[1:4])+'\n'
##############################
tside = 'BUY'
if 'negcrs' in action:
tside = 'SELL'
if tside == 'SELL':
beep(soundarea+'sellStocks')
else:
beep(soundarea+'buyStocks')
beep(soundarea+sym)
priceinsignal = float(sig[3]/1)
pricedrift = round(priceinsignal - float(bid),4)
timedrift = barToNow
print '==============='
print sig
def checkRTnonbarticksNEW(sym, fnums):
fullarray = []
filein = DataDown + today + '.' + sym + '.RTtickData.csv'
prevtotdiff = ask = bid = 0
prevtime = ''
string = ''
prevtradeuid = ''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize = vwap = ''
totdowns = totups = 0
tottickups = 0
nettickhits = 0
lastsize = lastprice = bidsize = asksize = 0
prevtick = nettickups = totHits = totLifts = 0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein), 4000000):
if 'tickString' in str(line) and 'tickType=48' in str(line):
time = line[3]
string = line[2].split(';')
if len(string) > 2:
tprice = float(string[0].replace('value=', ''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]), 2)
else:
vwap = 0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print tsize,tprice,time,'trade', bid, ask, bidsize, asksize
if 'tickSize' in str(line):
## 0 BID_SIZE tickSize()
## 1 BID_PRICE tickPrice()
## 2 ASK_PRICE tickPrice()
## 3 ASK_SIZE tickSize()
## 4 LAST_PRICE tickPrice()
## 5 LAST_SIZE tickSize()
fs = line[1].replace(' field=', '')
sizetime = line[3]
value = int((line[2].replace(' size=', '')).replace('>', ''))
size = value
######## print sizetime,size,fs,'size'
if fs == '0':
bidsize = value
elif fs == '3':
asksize = value
elif fs == '5':
lastsize = value
else:
pass
if 'tickPrice' in str(line):
pricetime = line[4]
value = float(line[2].replace(' price=', ''))
fp = line[1].replace(' field=', '')
if fp == '1':
bid = value
pass
elif fp == '2':
ask = value
else:
lastprice = value
## if bid == 0.0:
tradeuid = time + str(tsize) + str(tprice)
if 'tickString' in str(line) and len(
string
) > 2 and bid > 0 and ask > 0 and tradeuid != prevtradeuid:
if tprice > prevtick:
tickdir = 'uptick'
elif tprice < prevtick:
tickdir = 'downtick'
else:
tickdir = 'neutral'
if bid == tprice:
tickflag = 'HitBid'
else:
tickflag = 'LiftOffer'
aout = []
prevtick = tprice
if tsize > 0 and time != 'xxx':
aout.append(tickflag)
aout.append(tickdir)
aout.append(tprice)
aout.append(tsize)
aout.append(bid)
aout.append(ask)
aout.append(time)
fullarray.append(aout) ### how many upticks in a row?
prevtime = time
prevtradeuid = tradeuid
## print fullarray
c = 0
x = len(fullarray)
## print x
limiter = 50
f = x - limiter
## print f
netlifts = netticks = 0
for l in fullarray:
c += 1
if c > f:
## print l
lifttag = l[0]
tsize = l[2]
ticktag = l[1]
if lifttag == 'HitBid':
netlifts = netlifts - 1
pass
else:
netlifts += 1
if ticktag == 'downtick':
netticks = netticks - 1
pass
elif ticktag == 'uptick':
netticks += 1
else:
pass
if c > (x - 8):
print l
print netlifts, netticks, x, limiter
def create_slicendice():
#analyze
prevcycledelay = 2
########################
print 'got to loop'
while loop < loopmax:
if loop == 0:
create_statesdaily()
if (round((loop/10),-1) - loop) == 0:
print 'cycle ', loop
fileage = check_for_CP_change(cpfname)
if fileage < 50:
command = read_vars('Setting',cpfname)
cycledelay = int(read_vars('CycleTime',cpfname))
recentlimit = int(read_vars('TimeLimitRecentSigs',cpfname))
print 'cycle delay changed to...',cycledelay
# change to cycledelay later
now = datetime.strftime(datetime.now(),spaceYtime_format)
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
now_dt = dt.datetime.strptime(now, spaceYtime_format)
## print 'ccreate sigs searching for sigs in last ',recentlimit
###############
recentsigs =[]
## symbol_list = ['ES']
for sym in symbol_list:
## print sym
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', []) # flush the file to keep all sigs
TicksUtile.prepare_tickfilesto5secBars(today,sym) ## merge the 5secddload with 5sec recents > 5sec boths
####################################
rpu_rp.WriteArrayToCsvfile(sigarea +sym+'.sigs.csv', [])
for barsize in barlist :
timeframe = bardict[barsize]
durinseconds = secdict[barsize]
barsizeNtimeframe = timeframe + barsize
dur = barsize
TicksUtile.assemble_dur_bars(today,sym,dur,durinseconds)
DurBoth = rpu_rp.CsvToLines( DataDown+ today + '.'+sym+'.' + dur.replace(' ','') + '.both.csv')
indlist = ['MACROSS', 'MCDiv', 'price']
for indicator in indlist:
indarr = rpInd.GetStates(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
indlist = ['klower', 'kmid', 'kupper']
for indicator in indlist:
indarr = rpInd.GetKupper(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
####################
macdTriggers = rpInd.Trigger_MACD(DurBoth,sym,barsize)
maCrossTriggers = rpInd.Trigger_MACross(DurBoth,sym,barsize)
for a in maCrossTriggers:
macdTriggers.append(a)
state = 'seefile'
## sigbart = ((lline[0])[0])
## sigbart_epoch = int(time.mktime(time.strptime(sigbart, spaceYtime_format)))
## barage = str(round((now_epoch - sigbart_epoch)/int(durinseconds),2))
barage = 'need barage'
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', macdTriggers)
############################
prevt = 0
numsigs = len(macdTriggers)
signum =0
prevbart_dt = now_dt
prevbart_epoch = now_epoch
for l in macdTriggers:
bart = l[0]
bart_dt = dt.datetime.strptime(bart, spaceYtime_format)
bart_epoch = int(time.mktime(time.strptime(bart, spaceYtime_format)))
barToNow = now_epoch - bart_epoch
barToPrev = bart_epoch - prevbart_epoch
prevbart_epoch = bart_epoch
if barToNow < recentlimit:
onesig = l
sym =onesig[1]
lasttick = recenttick(sym)
onesig.append(barToNow)
onesig.append(barToPrev)
onesig.append(lasttick)
recentsigs.append(onesig)
dur = ''
if len(recentsigs) > 0:
## macrossstate = statefile = sigarea +statename +'.MACROSS.state.csv'
sigcount =0
for sig in sorted(recentsigs):
sigtime = sig[0]
sym = sig[1]
sigtype = sig[5]
barToPrev=sig[len(sig)-2]
barToNow = sig[len(sig)-3]
bid = sig[len(sig)-1]
action =sig[5]
dur = sig[2]
livesigid = sym+action+dur.replace(' ','')
showflag = look_for_dupe_sig(livesigid)
sigcount+=1
## if sigcount == len(recentsigs):
if showflag != 'supress':
indlist = ['MACROSS']#, 'R', 'S']
## indlist = ['MACROSS', 'MCDiv', 'price', 'kupper', 'kmid', 'klower', 'pivot', 'R', 'S']
durstatelist =['1hour', '15mins' ]
## durstatelist =['1hour', '15mins', '3mins']
stateinfo = ''
for durstate in durstatelist:
stateinfo += durstate #+ '\n'
for indicator in indlist:
sfile = rpu_rp.CsvToLines(statearea +sym+'.' + durstate +'.'+ indicator +'.state.csv')
hline = (rpu_rp.tail_array_to_array(sfile,1))[0]
stateinfo += str(hline[1:4])+'\n'
##############################
tside = 'BUY'
if 'negcrs' in action:
tside = 'SELL'
if tside == 'SELL':
beep(soundarea+'sellStocks')
else:
beep(soundarea+'buyStocks')
beep(soundarea+sym)
priceinsignal = float(sig[3]/1)
pricedrift = round(priceinsignal - float(bid),4)
timedrift = barToNow
print '==============='
print sym, tside, sigtype, dur, pricedrift, sigtime, now
create_lines(sym,bid)
## print symNEWSdict[sym]
## print timedrift,sym, tside,dur, priceinsignal,barToPrev,sigtime,pricedrift,now
print stateinfo
######################
ttype = 'LIM'
limitprice = bid
tfactor = float(0.5)
tsize = int(max(1,(int(tsizedict[sym]) * tfactor)))
tickvalue = float(tickvaluedict[sym])
showdecimal = int(showdecimaldict[sym])
addamt = tickvalue * int(entrywiderdict[sym])
frsigline=[]
frsigline.append(sym)
frsigline.append(showdecimal)
frsigline.append(tside)
frsigline.append(tsize)
frsigline.append(ttype)
frsigline.append(limitprice)
frsigline.append(addamt)
frsigline.append(livesigid)
frsigline.append(sigtime)
frsigline.append(tickvalue)
frsigline.append(now)
rpu_rp.WriteArrayToCsvfileAppend(sigarea + today +'.recentsigs.csv', [frsigline])
rpu_rp.WriteArrayToCsvfileAppend(sigarea + today +'.recentsigsexec.csv', [frsigline])
loop +=1
####################
sleep(cycledelay)
print 'finished ',loopmax,' loops by Signal Creator...dead since..',now
#############
def create_report(Sigfile,sym,barsize):
barfile = DataDown + today + '.'+sym+ '.'+ barsize +'both.csv'
lines = rpu_rp.CsvToLines(barfile)
numberBars = len(lines)
siglines = rpu_rp.CsvToLines(Sigfile)
numsigs = len(siglines)
print barsize,sym,'number bars studied=',numberBars,numsigs,'=numsigs'
indlist = [
'pivot', 'R', 'S', 'S2', 'R2', 'kupper', 'klower', 'kmid',
'ema', 'mcross', 'mcd'
]
indlist = ['pivot', 'R', 'S', 'S2', 'R2', 'mcross']
indlist = ['pivot', 'mcross', 'mcd']
indlist = ['mcross', 'mcd']
rpInd.create_states_files(sym, dur, today, threshold, indlist)
####################
threshold = 0.0
ALLTriggers = []
lasttwo = []
if dur != '1min':
Triggers = rpInd.Trigger_from_states(sym, dur, 'mcross')
lasttwo = rpu_rp.tail_array_to_array(Triggers, 1)
for a in lasttwo:
ALLTriggers.append(a)
Triggers = rpInd.Trigger_from_states(sym, '15mins', 'mcd')
lasttwo = rpu_rp.tail_array_to_array(Triggers, 1)
for a in lasttwo:
ALLTriggers.append(a)
## threshold = float(-0.20)
## maCrossNEARTriggers = rpInd.Trigger_MACross(DurBoth,sym,dur,threshold,'manearcross')
## rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', ALLTriggers)
############################
prevt = 0
numsigs = len(ALLTriggers)
signum = 0
prevbart_dt = now_dt
prevbart_epoch = now_epoch
typedict = rpu_rp.create_dict(libsyms,0,5)
currdict = rpu_rp.create_dict(libsyms,0,3)
expiredict = rpu_rp.create_dict(libsyms,0,4)
dboostdict = rpu_rp.create_dict(libsyms,0,6)
tickdict = rpu_rp.create_dict(libsyms,0,8)
tsizedict = rpu_rp.create_dict(libsyms,0,7)
roundfactordict = rpu_rp.create_dict(libsyms,0,9)
symdict = rpu_rp.create_dict(libsyms,0,1)
symbol_list = rpsymdict.keys()
###################################
timelimit = 2
timer = 1
#################
while timer < timelimit:
sigs = rpu_rp.CsvToLines('sigs.csv')
onesig = rpu_rp.tail_array_to_array(sigs,2)
for sig in onesig:
tws_conn.reqIds(100)
sleep(1)
for l in rpu_rp.CsvToLines('OrderIdsSaved.csv'):
order_id = int(l[0])
##################
print sig # ['13:51:58', 'USD.CAD', '30 secs', '12436.5002', '-0.007', 'negcrossmcd', 'necd']]
sym = sig[1]
action = sig[5]
decimalboost = float(dboostdict[sym])
onetick = float(tickdict[sym])
roundfactor = int(roundfactordict[sym])
print decimalboost, onetick, roundfactor
price = round(float((sig[3]))/float(decimalboost),roundfactor)
onetick = float(1/decimalboost)
def checkRTnonbarticksNEW(sym,fnums):
## fullarray =[]
filein = DataDown +today+'.'+sym+ '.RTtickData.csv'
prevtotdiff = ask = bid =0
string =''
time = ''
size = ''
tprice = 0.0
tsize = singletrade = totdaysize= vwap =''
totdowns = totups = 0
tottickups=0
for line in rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(filein),400):
## print line
if 'tickString' in str(line) and 'tickType=48':
time = line[3]
string = line[2].split(';')
if len(string) > 2:
## print string
tprice = float(string[0].replace('value=',''))
tsize = float(string[1])
singletrade = string[5]
totdaysize = string[3]
vwaps = string[4]
if len(vwaps) > 0:
vwap = round(float(string[4]),2)
else:
vwap =0.0
## value=1984.50;1;1441796865858;207069;1982.49963539;true>
## print string
if 'tickPrice' in str(line):
## print line
time = line[4]
if line[1] == ' field=1':
bid= float(line[2].replace(' price=',''))
pass
if line[1] == ' field=2':
ask = float(line[2].replace(' price=',''))
pass
## if bid == 0.0:
## print line
if 'tickSize' in str(line):
time = line[3]
size = line[2]
if 'tickString' in str(line) and len(string) > 2 and bid > 0 and ask > 0:
if bid == tprice:
bflag = 'down'
## print '>>>>>>>>','hitbid',tsize,'@', tprice,bid,ask
tag = '>>>>>>>>'+' '+'hitbid'+' '+str(tsize)+' '+'@'+' '+ str(tprice)+ ' '+str(bid)+' '+str(ask)
totdowns += tsize
tottickups = tottickups -1
pass
else:
bflag = 'uptick'
## print 'XXXXXXXX','uptick',tsize,'@', tprice,bid,ask
tag = 'XXXXXXXX'+' uptick '+str(tsize)+' @ '+ str(tprice)+' '+ str(bid)+' '+str(ask)
totups += tsize
tottickups +=1
aout =[]
if tsize > 50:
aout.append(tag)
fullarray.append(aout)
## print fullarray
c=0
x = len(fullarray)
for l in fullarray:
c+=1
if c > (x - 4):
print l
def gatherlineNEW(sym,ind,dur):
print sym,ind,dur
## dur = '1day'
indfile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile),1)[0]
return lineprice
def gatherlineNEW(sym, ind, dur):
print sym, ind, dur
## dur = '1day'
indfile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lineprice = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(indfile), 1)[0]
return lineprice
def GetStates(arrayin,sym,Indtitle,dur,threshold,date): #add barr age from last cross here
## decimalboost = dboostdict[sym]
## print 'getting states for...',Indtitle
if len(arrayin) > 3 :
pass
else:
arrayin = [['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60'],['ES', ' 2015-10-20 22:58:05',2019.5,2020.25,2019.5,2019.75,'full','60']]
bsclose = strip1float(arrayin,5,sym) ##raw close price
bs = bsclose
## print Indtitle
symES = 'ES'
## date = rpu_rp.todaysdateunix() ##
EsFile = rpu_rp.CsvToLines( DataDown+ date + '.'+symES+'.' + dur.replace(' ','') + '.both.csv')
DurBothBoostedES = boost_pricearray(EsFile,symES)
bsES = strip1float(DurBothBoostedES,5,'ES')
## print sym,dur,Indtitle
bsopen = strip1float(arrayin,2,sym) ##raw open price
bshighs = strip1float(arrayin,3,sym)
## bsvolume = strip1float(arrayin,6,sym)
bslows = strip1float(arrayin,4,sym)
bsbardiff = difftwoarrays(bsclose,bsopen)
barrange = difftwoarrays(bshighs,bslows)
barmids = difftwoarraysMIDS(bshighs,bslows)
timestamparray = strip1string(arrayin,1)
stochval = 14
stochval2 = 3
rvival = 4
rvival2 = 10
comparebs = rpu_rp.tail_array_to_array(bsclose,100)
compareES = rpu_rp.tail_array_to_array(bsES,100)
comparetimes = rpu_rp.tail_array_to_array(timestamparray,100)
## print comparetimes
stdvarbb = 1#.382
bbandma = 20
if Indtitle == 'pivot':
indicator = pivotpoint(bshighs,bslows,bsclose)
signindicator = indicator
elif Indtitle == 'R1':
indicator = RS1(bshighs,bslows,bsclose,'R')
signindicator = indicator
elif Indtitle == 'S1':
indicator = RS1(bshighs,bslows,bsclose,'S')
signindicator = indicator
elif Indtitle == 'S2':
indicator = RS2(bshighs,bslows,bsclose,'S')
signindicator = indicator
elif Indtitle == 'R2':
indicator = RS2(bshighs,bslows,bsclose,'R')
signindicator = indicator
elif Indtitle == 'mcross':
indicator = difftwoarrays(EMAmvavgToArray(bsclose,9),EMAmvavgToArray(bsclose,21))
signindicator = indicator
elif Indtitle == 'AO':
indicator = difftwoarrays(SMAmvavgToArray(barmids,5),SMAmvavgToArray(barmids,34))
signindicator = indicator
elif Indtitle == 'AOAcc':
indicator = difftwoarrays(difftwoarrays(SMAmvavgToArray(barmids,5),SMAmvavgToArray(barmids,34)),SMAmvavgToArray(difftwoarrays(SMAmvavgToArray(barmids,5),SMAmvavgToArray(barmids,34)),5))
signindicator = indicator
elif Indtitle == 'price':
indicator = bsclose
signindicator = bsbardiff
elif Indtitle == 'highs':
indicator = bshighs
signindicator = bsbardiff
elif Indtitle == 'lows':
indicator = bslows
signindicator = bsbardiff
elif Indtitle == 'mcd':
indicator = MACDdiverg(bsclose)
signindicator = indicator
elif Indtitle == 'kupper':
indicator = keltner_channels(bshighs,bslows,bsclose,2,'upper')
signindicator = indicator
elif Indtitle == 'klower':
indicator = keltner_channels(bshighs,bslows,bsclose,2,'lower')
signindicator = indicator
elif Indtitle == 'stddev':
indicator = stddev(bshighs,bslows,bsclose,bbandma)
signindicator = indicator
elif Indtitle == 'bbandlower':
indicator = bbands(bshighs,bslows,bsclose,bbandma,stdvarbb,'lower')#simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'bbandupper':
indicator = bbands(bshighs,bslows,bsclose,bbandma,stdvarbb,'upper')#simpleAvgVal,stdvariable)
signindicator = indicator
elif Indtitle == 'kmid':
indicator = keltner_channel_mid(bshighs,bslows,bsclose,2)
signindicator = indicator
elif Indtitle == 'ema':
indicator = EMAmvavgToArray(bsclose,21)
signindicator = indicator
elif Indtitle == 'sma200':
indicator = mvavgToArray(bsclose,200)
signindicator = indicator
elif Indtitle == 'sma50':
indicator = mvavgToArray(bsclose,50)
signindicator = indicator
elif Indtitle == 'sma100':
indicator = mvavgToArray(bsclose,100)
signindicator = indicator
elif Indtitle == 'diffvES':
indicator = diffvES(comparebs,compareES)
## timestamparray = comparetimes
signindicator = indicator
elif Indtitle == 'RSI':
indicator = RSI(bsclose,14)
signindicator = indicator
elif Indtitle == 'ROC':
indicator = ROC(bsclose,9)
signindicator = indicator
elif Indtitle == 'StochD':
indicator = StochD((StochK(bshighs,bslows,bsclose,stochval)),stochval2)
signindicator = indicator
elif Indtitle == 'StochK':
indicator = StochK(bshighs,bslows,bsclose,stochval)
signindicator = indicator
elif Indtitle == 'Stoch_CROSS':
indicator = Stoch_CROSS(StochK(bshighs,bslows,bsclose,stochval),StochD(StochK(bshighs,bslows,bsclose,stochval),stochval2))
signindicator = indicator
elif Indtitle == 'ATR':
indicator = ATR(bshighs,bslows,bsclose,14)
signindicator = indicator
elif Indtitle == 'RVIline':
ind1 = EMAmvavgToArray(RVIsignal(bsopen,bshighs,bslows,bsclose),rvival2)
indicator = RVIline(ind1,rvival)
signindicator = indicator
elif Indtitle == 'RVIsignal':
indicator = EMAmvavgToArray(RVIsignal(bsopen,bshighs,bslows,bsclose),rvival2)
signindicator = indicator
elif Indtitle == 'RVI_CROSS':
ind1 = EMAmvavgToArray(RVIsignal(bsopen,bshighs,bslows,bsclose),rvival2)
ind2 = RVIline(ind1,rvival)
indicator = RVI_CROSS(ind1,ind2)
signindicator = indicator
pass
elif Indtitle == 'CMF':
maVal=20
indicator = bsclose #20 #'20' #CMF(bsclose,bslows,bshighs,bsvolume,maVal)
signindicator = indicator
else:
print 'unknown indicator', Indtitle
sign = show_sign(signindicator,Indtitle,threshold)
if Indtitle == 'RSI':
sign = show_sign2thresholds(signindicator,Indtitle,21,81)
durarray =lableToarray(bsclose,dur)
slope = show_slope(indicator,'value')
slopetag = show_slope(indicator,'tagstyle')
showcrxx = show_cross(sign,'noage')
crossages = show_cross(sign,'crossage')
stdval = stddev(1,1,indicator,50)
## print ' got here'
if Indtitle == 'diffvES':
arrayout = joinArraysStates(comparetimes,indicator,sign,slope,slopetag,Indtitle,sym,showcrxx,durarray,bshighs,bslows,bsclose,crossages,stdval)
else:
arrayout = joinArraysStates(timestamparray,indicator,sign,slope,slopetag,Indtitle,sym,showcrxx,durarray,bshighs,bslows,bsclose,crossages,stdval)
alist = timestamparray,indicator,sign,slope,slopetag,Indtitle,sym,showcrxx,durarray,bshighs,bslows,bsclose,crossages,stdval
prevlena = 0
## print 'joining states'
return arrayout
currentbar = l[0].split()[1]
else:
currentbar = (l[0].split()[0])
currentbar_dt = dt.datetime.strptime(currentbar, time_format)
now_dt = dt.datetime.strptime(now, time_format)
barToNow = (now_dt - currentbar_dt).seconds
barToPrev = (currentbar_dt - prevbart_dt).seconds
alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
prevbart_dt = currentbar_dt
recentlimit = read_vars()
if barToNow < recentlimit:
onesig = l
## Snaptfile = DataDown + today + '.' + sym + '.ticksnaps.csv'
RecentTickFile = DataDown + today + '.' + sym + '.RTticks.csv'
tickline = rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(RecentTickFile),1)[0]
for f in tickline:
onesig.append(f)
onesig.append(barToNow)
## print onesig
## print len(onesig)
recentsigs.append(onesig)
dur = ''
if len(recentsigs) > 0:
sigcount =0
origsigf = 7
for sig in recentsigs:
sigcount+=1
barToNow = sig[len(sig)-1]
bid = (sig[origsigf +10]).replace('close=','')
ask = bid#sig[origsigf +6]
def ShowABarofInd(sym,dur,ind,barnum):
lastbar =[]
statefile = statearea + sym + '.' + dur + '.' + ind + '.state.csv'
lastbar = (rpu_rp.tail_array_to_array(rpu_rp.CsvToLines(statefile),barnum))[0]
return lastbar