def collectData(instrument, granularity, count):
candleData = requests.get(accountDetails.getBaseURL() + "instruments/" +
instrument + "/candles",
headers=accountDetails.getHeaders(),
params=createQuery(granularity, count))
parsedData = json.loads(json.dumps(candleData.json()))
candles = parsedData["candles"]
return candles
def collectData(instrument, granularity, count):
candleData = requests.get(accountDetails.getBaseURL() + "instruments/" +
instrument + "/candles",
headers=accountDetails.getHeaders(),
params=createQuery(granularity, count))
parsedData = json.loads(json.dumps(candleData.json()))
candles = parsedData["candles"]
RSIs, avgSog, avgSol = RSICalculation.calcRSI(14, candles)
stopLevel = trailingStopLevel.main(candles)
return candles, RSIs
def openTradeTrailing(instrument):
##Current price chunk
rawCandle = requests.get(accountDetails.getBaseURL() + "/instruments/" + instrument + "/candles",
headers=accountDetails.getHeaders(), params=createQuery("M5", 3))
parsedCandle = json.loads(json.dumps(rawCandle.json()))
##curentPrice is live price -- only using completed candles##
currentPrice1 = float(parsedCandle["candles"][2]["mid"]["c"])
bestStopFloat = float(backtestStream.getBestStop(candles, RSIs))
takeProfitPrice = "{0:.4f}".format(bestStopFloat + currentPrice1)
mktOrderParamsTrailing["instrument"] = instrument
mktOrderParamsTrailing["order"]["takeProfitOnFill"]["price"] = takeProfitPrice
result = requests.post(accountDetails.getBaseURL() + "/accounts/" + accountDetails.accountID + "/orders", headers = accountDetails.getHeaders(), json = mktOrderParamsTrailing)
print(result)
print("Trade entered with the following parameters:")
##get entry price##
resultBody = json.loads(json.dumps(result.json()))
print(resultBody)
entryPrice = float(resultBody["orderFillTransaction"]["price"])
print("Entry price: " + str(entryPrice))
print("Take Profit: " + str(float(resultBody["orderCreateTransaction"]["takeProfitOnFill"]["price"]) - entryPrice))
print("Stop Loss: " + str(float(resultBody["orderCreateTransaction"]["stopLossOnFill"]["distance"])))
##get tradeId##
tradeId = resultBody["orderFillTransaction"]["id"]
tradeIsOpen = True
currentTime = time.clock()
exitTime = currentTime + 60
emailer.sendEmail(instrument,entryPrice)
while tradeIsOpen:
time.sleep(400)
tradeIsOpenA = checkForOpen(instrument)
if not tradeIsOpenA[0]:
tradeIsOpen = False
else:
print("Trade is open. PL: " + str(tradeIsOpenA[1]))
print(result)
def checkForOpen(instrument):
positionsRaw = requests.get(accountDetails.getBaseURL() + "accounts/" +
accountDetails.accountID + "/openPositions",
headers=accountDetails.getHeaders())
print(positionsRaw)
parsedData = json.loads(json.dumps(positionsRaw.json()))
positions = parsedData["positions"]
for position in positions:
if instrument == position["instrument"]:
return [True, position["long"]["unrealizedPL"]]
return [False, 0]
def collectData(instrument, granularity, fromTime, toTime):
fromTime = str(fromTime.isoformat("T")) + "Z"
toTime = str(toTime.isoformat("T")) + "Z"
candleData = requests.get(
accountDetails.getBaseURL() + "instruments/" + instrument + "/candles",
headers=accountDetails.getHeaders(),
params=createQuery(granularity, fromTime, toTime))
parsedData = json.loads(json.dumps(candleData.json()))
#print(parsedData)
candles = parsedData["candles"]
return candles
def checkForOrder(instrument):
ordersRaw = requests.get(accountDetails.getBaseURL() + "accounts/" +
accountDetails.accountID + "/orders?instrument=" +
instrument,
headers=accountDetails.getHeaders())
print(ordersRaw)
parsedData = json.loads(json.dumps(ordersRaw.json()))
orders = parsedData["orders"]
if len(orders) > 0:
return True
return False
def collectDataCount(instrument, granularity, count):
candleData = requests.get(accountDetails.getBaseURL() + "instruments/" +
instrument + "/candles",
headers=accountDetails.getHeaders(),
params=createQueryCount(granularity, count))
parsedData = json.loads(json.dumps(candleData.json()))
candles = parsedData["candles"]
prices = []
volumes = []
for candle in candles:
prices.append(float(candle['mid']['c']))
volumes.append(float(candle['volume']))
return prices, volumes
def getCurrentPrice(instrument, long=False, short=False):
query = {"granularity": "M1", "count": 2}
rawCandle = requests.get(accountDetails.getBaseURL() + "/instruments/" +
instrument + "/candles",
headers=accountDetails.getHeaders(),
params=query)
parsedCandle = json.loads(json.dumps(rawCandle.json()))
##curentPrice is live price -- only using completed candles##
currentPrice1 = float(parsedCandle["candles"][-1]["mid"]["c"])
if long:
cp = float(parsedCandle["candles"][-1][""]["c"])
return "{0:.4f}".format(currentPrice1)
def open_trade(instrument, params):
try:
result = requests.post(accountDetails.getBaseURL() + "/accounts/" +
accountDetails.accountID + "/orders",
headers=accountDetails.getHeaders(),
json=params)
resultBody = json.loads(json.dumps(result.json()))
print(resultBody)
entryPrice = float(resultBody["orderFillTransaction"]["price"])
emailer.sendEmail(instrument, entryPrice)
print("Entry price: " + str(entryPrice))
except:
print("Unable to enter trade...")
traceback.print_exc()
"granularity":"H1",
"count" : 5000
}
def createQuery(granularity,count):
##granularities on http://developer.oanda.com/rest-live-v20/instrument-df/
## count is an int from 0 to 5000 inclusive
query = {
"granularity": granularity,
"count": count
}
return query
instrument = "EUR_USD"
candleData = requests.get(accountDetails.getBaseURL() + "instruments/" + instrument + "/candles", headers=accountDetails.getHeaders(), params=query)
parsedData = json.loads(json.dumps(candleData.json()))
candles = parsedData["candles"]
rawCandle = requests.get(accountDetails.getBaseURL() + "/instruments/"+ instrument +"/candles", headers = accountDetails.getHeaders(), params = createQuery("M5",3))
parsedCandle = json.loads(json.dumps(rawCandle.json()))
##curentPrice is live price -- only using completed candles##
currentPrice1 = float(parsedCandle["candles"][2]["mid"]["c"])
mktOrderParamsTrailing = {
"order": {
"units": "800",
import statistics
import math
import requests
import json
import accountDetails
instrument = "EUR_USD"
query = {
"granularity":"M15",
"count" : 1000
}
candleData = requests.get(accountDetails.getBaseURL() + "instruments/" + instrument + "/candles", headers=accountDetails.getHeaders(), params=query)
parsedData = json.loads(json.dumps(candleData.json()))
candles = parsedData["candles"]
def candleChanges(candles):
candleChangeList = []
for i in range(1,len(candles)):
change = float(candles[i]["mid"]["h"]) - float(candles[i]["mid"]["l"])
candleChangeList.append(change)
return candleChangeList
def main(candles):
def stream(RSI,avgSog,avgSol):
## True so it will run indefinitely (until I cancel it running or something goes wrong) ##
c = 0
while True:
if c != 0:
##get current price data
rawCandle = requests.get(accountDetails.getBaseURL() + "/instruments/"+ instrument +"/candles", headers = accountDetails.getHeaders(), params = createQuery("M5",3))
parsedCandle = json.loads(json.dumps(rawCandle.json()))
##curentPrice is live price -- only using completed candles##
currentPrice = float(parsedCandle["candles"][2]["mid"]["c"])
p1Price = float(parsedCandle["candles"][1]["mid"]["c"])
p2Price = float(parsedCandle["candles"][0]["mid"]["c"])
priceChange = p1Price-p2Price
##update RSI##
results = RSICalculation.updateRSI(priceChange,avgSog,avgSol)
RSI = results[0]
avgSog = results[1]
avgSol = results[2]
print("Waiting for trade...")
print(RSI)
print("\n")
if RSI >= 70:
print("Opening trade...")
openTradeTrailing(instrument)
print("RSI update in 5 minutes: " + str(datetime.datetime.now()))
time.sleep(60*5)
c+=1
def getTradeStatus(tradeId):
tradeStatus = requests.get(accountDetails.getBaseURL() + "accounts/" + accountDetails.accountID + "/trades/" + tradeId, headers = accountDetails.getHeaders())
parsedStatus = json.loads(json.dumps(tradeStatus.json()))
print(tradeStatus)
if parsedStatus["trade"]["state"] == "OPEN":
return True
else:
return False
def stream(instrument, vwaps, vdists, candles):
## True so it will run indefinitely (until I cancel it running or something goes wrong) ##
p_with_v = vwaps
dist_from_price = vdists
vwaps = []
c = 0
currentPrice = float(candles[-1]['mid']['c'])
long_o = False
short_o = False
while True:
if c != 0:
##get current price data
rawCandle = requests.get(accountDetails.getBaseURL() +
"/instruments/" + instrument + "/candles",
headers=accountDetails.getHeaders(),
params=createQuery("M1", 3))
parsedCandle = json.loads(json.dumps(rawCandle.json()))
candle = parsedCandle["candles"][1]
candles.append(candle)
p_with_v, dist_from_price = calcVWAPs(candles)
print("Waiting for trade...")
#print("VWAP:", p_with_v[-1][-1], "Price:", p_with_v[-1][0])
#print("\n")
price = p_with_v[-1][0]
vwap = p_with_v[-1][-1]
distance = (price - vwap) / price
level = numpy.std(dist_from_price) * 3
#print("Distance: ", abs(distance), " Level: ", level)
tradeIsOn = checkForOpen(instrument)
isOpen = tradeIsOn[0]
long_entry_cond = abs(distance) > level and not isOpen and distance < 0
short_entry_cond = abs(
distance) > level and not isOpen and distance > 0
open_order = checkForOrder(instrument)
if not isOpen:
if not open_order:
if long_entry_cond:
long_params["price"] = getCurrentPrice(instrument)
end = datetime.datetime.utcnow() + datetime.timedelta(
minutes=5)
gtd = str(end.isoformat("T")) + "Z"
long_params["gtdTime"] = gtd
exe_price = open_trade(instrument, long_params)
long_o = True
print("Long ordered")
elif short_entry_cond:
short_params["price"] = getCurrentPrice(instrument)
end = datetime.datetime.utcnow() + datetime.timedelta(
minutes=5)
gtd = str(end.isoformat("T")) + "Z"
short_params["gtdTime"] = gtd
exe_price = open_trade(instrument, short_params)
short_o = True
print("Short ordered")
elif isOpen:
long_exit_cond = vwap >= price
short_exit_cond = vwap <= price
if long_exit_cond:
exe_price = open_trade(instrument, short_params)
print("Long closed at: ", exe_price)
long_o = False
elif short_exit_cond:
exe_price = open_trade(instrument, long_params)
print("Short closed at: ", exe_price)
short_o = False
current_time = datetime.datetime.time(datetime.datetime.now())
if current_time > datetime.time(
hour=0, minute=0, second=0,
microsecond=0) and current_time < datetime.time(
hour=0, minute=2, second=0, microsecond=0):
if tradeIsOn[0]:
if long_o:
exe_price = open_trade(instrument, short_params_exit)
print("Long closed")
long_o = False
elif short_o:
exe_price = open_trade(instrument, long_params_exit)
print("Short closed")
short_o = False
print("VWAP update in 1 minute: " + str(datetime.datetime.now()))
time.sleep(60)
c += 1
