def __init__(self,
instruments: list,
events: queue.Queue,
heartbeat: int = 10,
account: str = 'mt4'):
"""
:param instruments: instrument list: ['GBP_USD', 'GBP_AUD', 'EUR_GBP', 'EUR_USD']
:param events: shared event queue for processing the events
:param heartbeat: frequency in seconds between polling
:param account: trading account
"""
self.instruments = instruments
self.events = events
self.heartbeat = heartbeat
self.account_id = RUNNING_ENV.get_account(account)
def valid_env(env):
if env == 'live':
if RUNNING_ENV.is_practice():
RUNNING_ENV.load_config('live')
elif env == 'practice':
if RUNNING_ENV.is_live():
RUNNING_ENV.load_config('practice')
else:
return {
'error': f'Invalid env {env}! Env mush be either practice or live'
}, HTTPStatus.BAD_REQUEST
def __init__(self,
events: queue.Queue,
instruments: list,
feeds_loc: str,
max_orders: int = 4,
account: str = 'mt4',
entry_adj: float = 0.0005,
adj_btw_orders: float = 0.0025,
expiry_hours: int = 3,
risk_pct: float = 0.02,
live_run: bool = False,
heartbeat: int = 1):
"""
Mean reversion auto trader
:param events: Tick price event queue
:param instruments: list of currency pairs
:param feeds_loc: Location to read daily price feed
:param max_orders: maximum order allowed for LONG or SHORT
:param account: Oanda account name: primary or mt4
:param entry_adj: entry adjustment, default to 5 pips
:param adj_btw_orders: entry adjustment between orders, default to 25 pips
:param expiry_hours: expiry hours for GTD trades (Good Till Date)
:param risk_pct: risk percentage for each trade
:param live_run: live or dry run, default to false
"""
self.events = events
self.instruments = instruments
self.feeds_loc = feeds_loc
self.max_orders = max_orders
self.account_id = RUNNING_ENV.get_account(account)
self.entry_adj = entry_adj
self.adj_btw_orders = adj_btw_orders
self.expiry_hours = expiry_hours
self.risk_pct = risk_pct
self.om = OrderManager(account)
self.am = AccountManager(account)
self.live_run = live_run
self.heartbeat = heartbeat
# Order stats initialization
self.cache = self.initialize_cache()
logger.info(f'output feeds complete for [{instrument}]!')
return pd_d
if __name__ == '__main__':
parser = argparse.ArgumentParser(
description="Output daily price feeds to CSV")
parser.add_argument('--env',
action="store",
dest="env",
default='practice')
parser.add_argument('--saveDir',
action="store",
dest="saveDir",
default='c:/temp/prices')
args = parser.parse_args()
if args.env == 'live':
RUNNING_ENV.load_config('live')
instruments = ('GBP_USD', 'EUR_USD', 'AUD_USD', 'USD_SGD', 'USD_JPY',
'GBP_AUD', 'USD_CAD', 'EUR_GBP', 'USD_CHF', 'BCO_USD')
for inst in instruments:
# Output feeds from 2020
output_feeds(instrument=inst,
st=datetime(2020, 1, 1),
et=None,
short_win=20,
long_win=10,
ema_period=55,
save_dir=args.saveDir)
def __init__(self, account):
self.account_id = RUNNING_ENV.get_account(account)
def __init__(self, instruments, callback, max_rec=None, account='mt4'):
self.instruments = instruments
self.max_rec = max_rec
self.callback = callback
self.account_id = RUNNING_ENV.get_account(account)