def insertMonoPricedata(instrument, granularity, startprice, start, end,
direction, pipdiff):
db = MSSQLDB()
pricetbl = lib.names.getPriceTable(instrument, granularity)
priceunit = tradelib.pip2Price(1, instrument)
unitsecs = tradelib.getUnitSecs(granularity)
start -= (start % unitsecs)
end -= (end % unitsecs)
curr = start
price = startprice
cnt = 0
while curr <= end:
i = cnt % 3
if i == 2:
price -= pipdiff * priceunit * direction
else:
price += pipdiff * priceunit * direction
if direction == 1:
o = price
c = price + 2 * pipdiff * priceunit
else:
o = price + 2 * pipdiff * priceunit
c = price
sql = "insert into %s ([ep],[dt],[o],[h],[l],[c],[v]) \
values (%d,'%s',%f,%f,%f,%f,%d)" % (
pricetbl, curr, lib.epoch2str(curr, "%Y-%m-%d %H:%M:%S"), o,
price + 2 * pipdiff * priceunit, price, c, (i + 1) * 10)
db.execute(sql)
curr += unitsecs
cnt += 1
def __init__(self,
instrument,
granularity,
startep=-1,
endep=-1,
peakspan=12 * 6,
peaksize=5,
analspan=12 * 4):
self.instrument = instrument
self.granularity = granularity
self.subc = SubChart("PriceAction",
self.instrument,
self.granularity,
startep=startep,
endep=endep,
nbars=peakspan + peaksize * 2)
self.peaks = PeakIndex(self.subc, peaksize, peakspan)
self.analspan = analspan
self.hist = MultiObjHistory(analspan)
self.candleshapes = CandleShapeIndex(self.subc,
statistics_span=analspan)
self.unitsecs = tradelib.getUnitSecs(granularity)
self.pipprice = tradelib.pip2Price(1, instrument)
self.nowi = -1
self.now = -1
self.linehists = {
const_candles.LINE_TPTREND: {}, # dict of History()
const_candles.LINE_BTTREND: {},
const_candles.LINE_MAX: {},
const_candles.LINE_MIN: {}
}
def prepare2legData(instrument, granularity, startprice, start, end, diffpips):
reCreatePriceTable(instrument, granularity)
midep = (start + end) / 2
unitsecs = tradelib.getUnitSecs(granularity)
insertMonoPricedata(instrument, granularity, startprice, start, midep, 1,
diffpips)
insertMonoPricedata(instrument, granularity, startprice, midep + unitsecs,
end, -1, diffpips)
def __init__(self, instrument, granularity="M1"):
#self.now = tradelib.getNearEpoch(granularity, lib.nowepoch())
self.now = -1
self.instrument = instrument
self.granularity = granularity
self.oandaw = OandaWrapper()
self.ticker_type = env.TICKTYPE_ONLINE
self.unitsecs = tradelib.getUnitSecs(granularity)
def __init__(self, childDG):
self.instrument = childDG.instrument
self.granularity = childDG.granularity
self.unitsecs = tradelib.getUnitSecs(self.granularity)
self.childDG = childDG
self.pricetbl = lib.names.getPriceTable(self.instrument, self.granularity)
self.db = MSSQLDB()
self.db.createTable(self.pricetbl, "prices")
self.maxID = -1
def __init__(self, instrument, granularity, profitpips):
self.instrument = instrument
self.unitsecs = tradelib.getUnitSecs(granularity)
self.granularity = granularity
self.subc = None
self.profit = tradelib.pip2Price(profitpips, instrument)
self.id = -1
self.curr_side = env.SIDE_BUY
self.now = -1
def __init__(self, instrument, granularity, priceToGet="M"):
'''
price:
M = Mid point
B = Bid
A = Ask
'''
self.name = "%s_%s" % (instrument, granularity)
self.instrument = instrument
self.granularity = granularity
self.priceToGet = priceToGet
self.unitsecs = tradelib.getUnitSecs(granularity)
self.oandaw = OandaWrapper()
def __init__(self, name, instrument, granularity,
startep=-1, endep=-1,
nbars=0, maxsize=12*24*3, truncateOld=True):
self.name = name
self.instrument = instrument
self.granularity = granularity
self.truncateOld = truncateOld
self.unitsecs = tradelib.getUnitSecs(granularity)
self.epochsidx = None
self.nowidx = -1
self.now = -1
self.maxsize = maxsize
self.size_to_cleanup = int(maxsize*1.5)
if endep == -1:
endep = lib.nowepoch()
if startep == -1:
startep = min(endep, lib.nowepoch())
startep = startep - (startep % self.unitsecs) - self.unitsecs
(t,o,h,l,c,v) = getterlib.getPrices(instrument,
granularity, startep, endep)
if nbars > 0:
(t1,o1,h1,l1,c1,v1) = getterlib.getNPrices(instrument,
granularity, startep-1, nbars)
nbars = len(t1)
t1.extend(t)
o1.extend(o)
h1.extend(h)
l1.extend(l)
c1.extend(c)
v1.extend(v)
(t,o,h,l,c,v) = (t1,o1,h1,l1,c1,v1)
self.prices = (t,o,h,l,c,v)
self._initCaches()
self.now = t[nbars]
self.nowidx = nbars
def makeSmallPeriodData(instrument, large_period, small_period):
reCreatePriceTable(instrument, small_period)
lus = tradelib.getUnitSecs(large_period)
sus = tradelib.getUnitSecs(small_period)
if lus <= sus:
raise Exception("large_period must be greater than small_period!")
db = MSSQLDB()
lpricetbl = lib.names.getPriceTable(instrument, large_period)
spricetbl = lib.names.getPriceTable(instrument, small_period)
diffrate = lus / sus
cnt = db.countTable(lpricetbl)
if cnt == 0:
raise Exception("No data in %s" % lpricetbl)
for (ep, o, h, l, c, v) in db.execute("select ep,o,h,l,c,v from %s;" %
lpricetbl).fetchall():
bar_size = (h - l) / diffrate
pdiff = (h - l - bar_size) / diffrate
if c > o:
direction = 1
price = l
else:
direction = -1
price = h
vs = int(v / diffrate)
for i in range(int(diffrate)):
os = price
if direction == 1:
hs = price + bar_size
ls = os
cs = hs
else:
hs = price
ls = price - bar_size
cs = ls
if i >= diffrate - 1:
if direction == 1:
hs = h
cs = h
else:
ls = l
cs = l
sql = "insert into %s ([ep],[dt],[o],[h],[l],[c],[v]) \
values (%d,'%s',%f,%f,%f,%f,%d)" % (
spricetbl, ep, lib.epoch2str(
ep, "%Y-%m-%d %H:%M:%S"), os, hs, ls, cs, vs)
db.execute(sql)
shuff = i % 4
if shuff == 2:
price -= direction * pdiff
elif shuff == 3:
price += direction * pdiff * 2
else:
price += direction * pdiff
ep += sus
def __init__(self, name, subChart):
self.name = name
self.instrument = subChart.instrument
self.granularity = subChart.granularity
self.unitsecs = tradelib.getUnitSecs(self.granularity)
self.now = -1
