def get_vola():
reqID = 33
##contract = ibutiles.create_ticksym(99,sym)
genericTicks = ''
snapshot = True
sym = 'SPY'
contract = contractdict[sym]
tws_conn.reqMktData(reqID, contract, genericTicks, snapshot)
#########################################
symid = 0
for sym in symbol_list:
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = TicksUtile.recenttick(underlying, 'dload')
optionpricenew = TicksUtile.recenttick(sym, 'dload')
optionprice = 5.00
underPrice = 200.0
print underPricenew, optionpricenew
print typedict[sym]
ATMstrike = round(underPrice, -2)
print 'atm', ATMstrike
if typedict[sym] == 'OPT':
symid += 1
contract = contractdict[sym]
tws_conn.calculateImpliedVolatility(reqID, contract,
optionprice, underPrice)
reqID += 1
sleep(1)
tws_conn.cancelCalculateImpliedVolatility(reqID)
def run_oneloop(dur,now,sym):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
print '##### ',now, dur, sym,' ####### '
Createlines.create_HAs([sym])
##########
perc = .60
maxlines = 12
difflimit = 700
taglist = ['buy','sell','allxx']
for tag in taglist:
b = showlines(sym,dur,tag)
print '#############'
print '>>>>>> ',tag.upper(), 'WINDOW',dur,sym, ' <<<'
lenha = len(b)
c=0
climitlines = int(lenha * perc)
climit = max((lenha-maxlines),climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
c+=1
if tag != 'allxx':
if len(lha.split('|')) > 2:
bar_time = (lha.split('|')[3]).replace(' 201','201')
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = now_epoch - bar_time_epoch
else:
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = 0# now_epoch - bar_time_epoch
if c > climit and tdiff < difflimit :
print lha,'>>> ',tdiff #,difflimit
def run_oneloop(dur, now, sym):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
print '##### ', now, dur, sym, ' ####### '
Createlines.create_HAs([sym])
##########
perc = .70
maxlines = 6
difflimit = 700
taglist = ['buy', 'sell', 'allxx']
for tag in taglist:
b = showlines(sym, dur, tag)
print '#############'
print '>>>>>> ', tag.upper(), 'WINDOW', dur, sym, ' <<<'
lenha = len(b)
c = 0
climitlines = int(lenha * perc)
climit = max((lenha - maxlines), climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
c += 1
if tag != 'allxx':
if len(lha.split('|')) > 2:
bar_time = (lha.split('|')[3]).replace(' 201', '201')
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = now_epoch - bar_time_epoch
else:
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = 0 # now_epoch - bar_time_epoch
if c > climit and tdiff < difflimit:
print lha, '>>> ', tdiff #,difflimit
def chopMonthToDays(bararray,sym,dur,secs): ### what does this do?
lines = bararray
print secs
preve = 0
prevfname = 0
ubars =[]
uubars =[]
diffprev = 1
daylist =[]
for l in lines:
if len(l) > 2:
timestring = l[1]
date = timestring[0:11]
daylist.append(date)
daylistu = rpu_rp.uniq(daylist)
for day in daylistu:
daysarray=[]
for l in bararray:
if day in l[1] :
timestring = l[1]
try:
e = TicksUtile.convertTime(timestring,'dashspace','timetoepoch')
except:
e = TicksUtile.convertTime(timestring,'dashspace','timetoepoch')
diffcur = e - preve
preve = e
## print diffcur,timestring
if diffcur == int(secs):
daysarray.append(l)
## print l
print day, sym,dur, len(daysarray)
fileoutname = DataDown + day +'.' + sym +'.' + dur+'.cleaned.csv'
rpu_rp.WriteArrayToCsvfile(fileoutname, daysarray)
def get_vola(symbol_list_opts):
reqID = 111
symid = 0
for sym in symbol_list_opts:
if sym != 'SPY':
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = float(TicksUtile.recenttick(
underlying, '1min'))
optionpricenew = float(TicksUtile.recenttick(sym, 'both'))
optionprice = underPricenew # 5.00
underPrice = underPricenew #200.0
ticktype = ticktypedict[sym]
ATMstrike = round(underPrice, 0)
if 'SPYF' in sym:
print sym, underPrice, optionprice, typedict[
sym], 'atm', ATMstrike
symid += 1
## contract = contractdict[sym]
ATMspyoption = ibutiles.create_option_contract(
sym, ATMstrike)
## tws_conn.reqRealTimeBars(reqID,ATMspyoption,'',ticktype,0)
## print rpu_rp.CsvToLines(replyfname)
## reqID +=1
tws_conn.calculateImpliedVolatility(
reqID, ATMspyoption, optionprice, underPrice)
reqID += 1
sleep(1)
def dload(symlist, barlist, strikelist, expirylist):
print symlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
for sym in symlist:
print sym
for bar in barlist:
for strike in strikelist:
for expiry in expirylist:
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
TicksUtile.backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_contract(sym, strike, expiry)
ticktype = ticktypedict[sym]
print bar, sym, duration, ticktype, barspaced, strike, expiry
tws_conn.reqHistoricalData(trans_id, contract, '',
duration, barspaced, ticktype,
0, 2)
trans_id = trans_id + 1
sleep(10)
tmp = DataDown + today + '.' + 'tempdlfile' + '.ddload.csv'
fname = DataDown + today + '.' + sym + '.' + bar.replace(
' ', '') + '.ddload.csv'
shutil.copyfile(tmp, fname)
TicksUtile.throw_out_lastbar(fname)
def create_statesdaily():
for sym in symbol_list:
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 = ['pivot', 'R', 'S', 'S2', 'R2']
for indicator in indlist:
## print sym
indarr = rpInd.GetPivots(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
indlist2 = ['kupper', 'klower', 'kmid']
for indicator in indlist2:
## print indicator
indarr = rpInd.GetKupper(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
## keltner_channel_upper(highs,lows,closes,mult)
indlist3 = ['ema']
for indicator in indlist3:
## print indicator
indarr = rpInd.GetEMA(DurBoth,sym,indicator)
statename = sym+'.'+dur.replace(' ','')+'.'
statefile = statearea +statename + indicator + '.state.csv'
rpu_rp.WriteArrayToCsvfile(statefile, indarr)
def get_vola(symbol_list_opts):
reqID =111
symid = 0
for sym in symbol_list_opts:
if sym != 'SPY':
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = float(TicksUtile.recenttick(underlying,'1min'))
optionpricenew = float(TicksUtile.recenttick(sym,'both'))
optionprice = underPricenew # 5.00
underPrice = underPricenew #200.0
ticktype = ticktypedict[sym]
ATMstrike = round(underPrice,0)
if 'SPYF' in sym:
print sym, underPrice, optionprice, typedict[sym], 'atm', ATMstrike
symid+=1
## contract = contractdict[sym]
ATMspyoption = ibutiles.create_option_contract(sym,ATMstrike)
## tws_conn.reqRealTimeBars(reqID,ATMspyoption,'',ticktype,0)
## print rpu_rp.CsvToLines(replyfname)
## reqID +=1
tws_conn.calculateImpliedVolatility(reqID,ATMspyoption,optionprice,underPrice)
reqID +=1
sleep(1)
def createOneMerge(dur, now, sym, date):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
## print '##### ', dur, sym,' ####### '
durinseconds = secdict[dur]
basisdur = '1min'
if dur == '1min':
basisdur = '5secs'
basisfile = DataDown + date + '.' + sym + '.' + basisdur + '.both.csv' ### this bit not used yet until expand startmode
basisbars = rpu_rp.CsvToLines(basisfile)
## print'creating bars'
recentbars = TicksUtile.create_bars_from_bars(basisbars, date, sym, dur,
durinseconds, 'noHA')
## print 'done creating bars'
filerecent = DataDown + date + '.' + sym + '.' + dur.replace(
' ', '') + '.recent' + '.csv'
rpu_rp.WriteArrayToCsvfile(filerecent, recentbars)
## now merge recent and both
fileddload = filerecent.replace('recent', 'ddload')
outfile = filerecent.replace('recent', 'both')
cutoffmintime = int(int(durinseconds) - 5)
if os.path.isfile(filerecent):
TicksUtile.merge_bar_files(filerecent, fileddload, outfile,
cutoffmintime)
else:
shutil.copyfile(fileddload, outfile)
## print 'found no ddload file so did no merge'
##########
basisfile = DataDown + date + '.' + sym + '.' + dur + '.both.csv' ### note the basis dur changed to just dur!!
basisbars = rpu_rp.CsvToLines(basisfile)
HAbars = TicksUtile.create_bars_from_bars(basisbars, date, sym, dur,
durinseconds, 'hamode')
## print 'done creating HA bars'
fileHABoth = DataDown + date + '.' + sym + '.' + dur.replace(
' ', '') + '.bothHA' + '.csv'
rpu_rp.WriteArrayToCsvfile(fileHABoth, HAbars)
def get_vola():
reqID =33
##contract = ibutiles.create_ticksym(99,sym)
genericTicks =''
snapshot = True
sym = 'SPY'
contract = contractdict[sym]
tws_conn.reqMktData(reqID,contract,genericTicks,snapshot)
#########################################
symid = 0
for sym in symbol_list:
print sym
underlying = symdict[sym]
if underlying == 'SPY':
underPricenew = TicksUtile.recenttick(underlying,'dload')
optionpricenew = TicksUtile.recenttick(sym,'dload')
optionprice = 5.00
underPrice = 200.0
print underPricenew, optionpricenew
print typedict[sym]
ATMstrike = round(underPrice,-2)
print 'atm', ATMstrike
if typedict[sym] == 'OPT':
symid+=1
contract = contractdict[sym]
tws_conn.calculateImpliedVolatility(reqID,contract,optionprice,underPrice)
reqID +=1
sleep(1)
tws_conn.cancelCalculateImpliedVolatility(reqID)
def createOneMerge(dur,now,sym,date):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
## print '##### ', dur, sym,' ####### '
durinseconds= secdict[dur]
basisdur = '1min'
if dur == '1min':
basisdur ='5secs'
basisfile = DataDown +date+'.'+sym+'.'+basisdur+'.both.csv' ### this bit not used yet until expand startmode
basisbars = rpu_rp.CsvToLines(basisfile)
## print'creating bars'
recentbars = TicksUtile.create_bars_from_bars(basisbars,date,sym,dur,durinseconds,'noHA')
## print 'done creating bars'
filerecent = DataDown +date+'.'+sym+'.'+dur.replace(' ','')+'.recent' +'.csv'
rpu_rp.WriteArrayToCsvfile(filerecent,recentbars)
## now merge recent and both
fileddload = filerecent.replace('recent','ddload')
outfile = filerecent.replace('recent','both')
cutoffmintime = int(int(durinseconds) - 5)
if os.path.isfile(filerecent):
TicksUtile.merge_bar_files(filerecent,fileddload,outfile,cutoffmintime)
else:
shutil.copyfile(fileddload,outfile)
## print 'found no ddload file so did no merge'
##########
basisfile = DataDown +date+'.'+sym+'.'+dur+'.both.csv' ### note the basis dur changed to just dur!!
basisbars = rpu_rp.CsvToLines(basisfile)
HAbars = TicksUtile.create_bars_from_bars(basisbars,date,sym,dur,durinseconds,'hamode')
## print 'done creating HA bars'
fileHABoth = DataDown +date+'.'+sym+'.'+dur.replace(' ','')+'.bothHA' +'.csv'
rpu_rp.WriteArrayToCsvfile(fileHABoth,HAbars)
def dload(symlist,barlist,strikelist,expirylist):
print symlist
global bar, sym
trans_id = 0
strikelist = [1]
expirylist = [1]
for sym in symlist:
print sym
for bar in barlist:
for strike in strikelist:
for expiry in expirylist:
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
TicksUtile.backupTickfiles(fname)
##########
duration = bardict[bar]
barspaced = bardictspaced[bar]
contract = ibutiles.create_contract(sym,strike,expiry)
ticktype = ticktypedict[sym]
print bar, sym, duration,ticktype, barspaced, strike, expiry
tws_conn.reqHistoricalData(trans_id, contract, '', duration, barspaced, ticktype, 0, 2)
trans_id = trans_id + 1
sleep(10)
tmp = DataDown+ today + '.' + 'tempdlfile' + '.ddload.csv'
fname = DataDown+ today + '.' + sym + '.' + bar.replace(' ','')+'.ddload.csv'
shutil.copyfile(tmp,fname)
TicksUtile.throw_out_lastbar(fname)
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 make_bars_no_5sec(date,startmode,symbol_list,barlist):
for sym in symbol_list:
for dur in barlist :
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
TicksUtile.assemble_dur_bars(date,sym,dur,startmode,basisdur)
def create_weeklies():
sym = 'SPX'
basisdur = '1day'
TicksUtile.assemble_dur_bars(date,sym,'1day','initialize','5secs')
TicksUtile.assemble_bars_1min_basis(date,sym,'1Week','bartobar',basisdur)
indlist = ['mcross','pivot','R','R2','S','S2']
threshold = 0.0
rpInd.create_states_files(sym,'1Week',date,threshold,indlist)
rpInd.create_states_files(sym,'1day',date,threshold,indlist)
def loop_one_prepare():
basisdur = '5secs'
barlist = ['1min','3mins', '15mins', '1hour', '1day']
## pre prepare ES for compares
startmode = 'initialize'
## sym='ES'
TicksUtile.prepare_tickfilesto5secBars(today,'ES',startmode) ## merge the 5secddload with 5sec recents > 5sec boths
for dur in barlist :
## sym = 'ES'
TicksUtile.assemble_dur_bars(today,'ES',dur,startmode,basisdur)
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 parse_signalsNEW(rulesetoutput):
## [['result', 'SELL', 'stochkeasy1minSELL.rules.csv', ' 2015-09-23 08:16:05', 'CL', 46.36]]
dur = ''
if len(rulesetoutput) > 0:
sigcount = 0
for sig in rulesetoutput:
if len(sig) > 0 and sig[1] != 'nomatch':
sig.append(now)
sigtime = sig[3]
nowepoch = TicksUtile.time_to_epoch(now)
## print sig
sigepoch = TicksUtile.time_to_epoch(sigtime)
elapsed = nowepoch - sigepoch
## print elapsed
## print sig,'sigline',elapsed
sigtime = sig[3]
indvalue = 0.0 #float(sig[len(sig)-2]) <<<<<<<<<<<<<<<<<<
sym = sig[4]
sigtype = sig[2]
priceinsignal = float(sig[5]) ### need to unboost the price...
dboost = dboostdict[sym]
newprice = priceinsignal / float(dboost)
sig[5] = newprice
tside = sig[1]
dur = '0mins' # sig[8] <<<<<<<<<<<<<<<<<<<<<<<<<<<<<
livesigid = sym + tside + dur + sigtype
sig.append(livesigid)
showflag = look_for_dupe_sig(livesigid, sigtime,
delaydupetime) #'notsupress'
sigcount += 1
###### print sym,tside,sigtype,sigtime,elapsed,str(newprice)
## if btmode == 'BACKTEST':
## soundarea = 'gg'
if showflag != 'supress':
if tside == 'SELL':
#### beep(soundarea+'sell')
print sig
#### beep(soundarea+sym)
print '==============='
## Mbox('BuySignal', sig, style)
elif tside == 'BUY':
#### beep(soundarea+'buy')
print sig
#### beep(soundarea+sym)
print '==============='
## Mbox('BuySignal', sig, style)
else:
print 'supressing'
###### RP_Snapshot.snapshot_sym(sym,date)
frsigline = []
rpu_rp.WriteArrayToCsvfileAppend(
sigarea + date + '.recentsigs.csv', [sig])
rpu_rp.WriteArrayToCsvfileAppend(
sigarea + date + '.recentsigsexec.csv', [sig])
def loop_one_prepare():
basisdur = '5secs'
barlist = ['1min', '3mins', '15mins', '1hour', '1day']
## pre prepare ES for compares
startmode = 'initialize'
## sym='ES'
TicksUtile.prepare_tickfilesto5secBars(
today, 'ES',
startmode) ## merge the 5secddload with 5sec recents > 5sec boths
for dur in barlist:
## sym = 'ES'
TicksUtile.assemble_dur_bars(today, 'ES', dur, startmode, basisdur)
def snapshot_sym(sym, today, durslist):
## print 'got her'
text = []
barlist = ['1min', '3mins', '5mins', '15mins', '1hour']
basisfile = DataDown + today + '.' + sym + '.' + '5secs' + '.both.csv'
TicksUtile.assemble_dur_bars(today, sym, '1hour', 'initial', basisfile)
posstate = rpInd.ShowRecentPositionState(sym)
text.append(posstate + sym)
threshold = 0.0
indlist = ['mcross', 'kupper']
## print posstate,sym,'recentstate age val | lastcrosstime| name USING THRESH ', threshold
textline = 'recentstate age val name USING THRESH ' + str(threshold)
text.append(textline)
for dur in barlist:
## print dur
threshold = 0.0
if dur == '1min':
threshold = 0.1
## print sym,dur
## make_dur_state(sym,dur,threshold,indlist)
basisdur = '5secs'
startmode = 'initialize'
basisfile = DataDown + today + '.' + sym + '.' + basisdur + '.both.csv'
TicksUtile.assemble_dur_bars(today, sym, dur, startmode, basisfile)
### this relys on the sig creator to assemble each time
rpInd.create_states_files(sym, dur, today, threshold, indlist)
indlist = ['mcross']
for ind in indlist:
mode = 'noboost'
state = rpInd.ShowRecentState(sym, dur, ind, mode)
stateAge = rpInd.ShowRecentAge(sym, dur, ind, mode)
val = rpInd.ShowRecentStateValue(sym, dur, ind, mode)
crxtime = rpInd.ShowRecentCRXTime(sym, dur, ind, mode)
price = rpInd.ShowRecentClPrice(sym, dur, ind, mode)
if ind == 'mcross':
textline = []
tlist = [
state, dur, stateAge, val, price, crxtime, threshold, sym,
ind
]
for t in tlist:
textline.append(str(t))
text.append(str(textline))
print state, dur, stateAge, val, price, crxtime, threshold, sym, ind
## Triggers = rpInd.Trigger_from_states(sym,dur,'kupper')
## lasttwo = rpu_rp.tail_array_to_array(Triggers,2)
## for l in lasttwo:
## print l[0],l[1],l[7],l[5],l[8],l[11],'kupperflips'
print recenttick(sym)
print '======================='
return text
def parse_signalsNEW(rulesetoutput):
## [['result', 'SELL', 'stochkeasy1minSELL.rules.csv', ' 2015-09-23 08:16:05', 'CL', 46.36]]
dur = ''
if len(rulesetoutput) > 0:
sigcount =0
for sig in rulesetoutput:
if len(sig) > 0 and sig[1] != 'nomatch':
sig.append(now)
sigtime = sig[3]
nowepoch = TicksUtile.time_to_epoch(now)
## print sig
sigepoch = TicksUtile.time_to_epoch(sigtime)
elapsed = nowepoch - sigepoch
## print elapsed
## print sig,'sigline',elapsed
sigtime = sig[3]
indvalue = 0.0 #float(sig[len(sig)-2]) <<<<<<<<<<<<<<<<<<
sym = sig[4]
sigtype = sig[2]
priceinsignal = float(sig[5]) ### need to unboost the price...
dboost = dboostdict[sym]
newprice = priceinsignal / float(dboost)
sig[5] = newprice
tside =sig[1]
dur = '0mins' # sig[8] <<<<<<<<<<<<<<<<<<<<<<<<<<<<<
livesigid = sym+tside+dur+sigtype
sig.append(livesigid)
showflag = look_for_dupe_sig(livesigid,sigtime,delaydupetime) #'notsupress'
sigcount+=1
###### print sym,tside,sigtype,sigtime,elapsed,str(newprice)
## if btmode == 'BACKTEST':
## soundarea = 'gg'
if showflag != 'supress':
if tside == 'SELL':
#### beep(soundarea+'sell')
print sig
#### beep(soundarea+sym)
print '==============='
## Mbox('BuySignal', sig, style)
elif tside == 'BUY':
#### beep(soundarea+'buy')
print sig
#### beep(soundarea+sym)
print '==============='
## Mbox('BuySignal', sig, style)
else:
print 'supressing'
###### RP_Snapshot.snapshot_sym(sym,date)
frsigline=[]
rpu_rp.WriteArrayToCsvfileAppend(sigarea + date +'.recentsigs.csv', [sig])
rpu_rp.WriteArrayToCsvfileAppend(sigarea + date +'.recentsigsexec.csv', [sig])
def loop_one_prepare():
barlist = ['1min', '3mins', '15mins', '1hour', '1day']
## pre prepare ES for compares
startmode = 'initialize'
TicksUtile.prepare_tickfilesto5secBars(
today, 'ES',
startmode) ## merge the 5secddload with 5sec recents > 5sec boths
for dur in barlist:
durinseconds = secdict[dur]
basisdur = '5secs'
basisfile = DataDown + today + '.' + 'ES' + '.' + basisdur + '.both.csv'
TicksUtile.assemble_dur_bars(today, 'ES', dur, startmode, basisfile)
############## end ES prepare
for sym in symbol_list:
startmode = 'initialize'
TicksUtile.prepare_tickfilesto5secBars(
today, sym,
startmode) ## merge the 5secddload with 5sec recents > 5sec boths
for dur in barlist:
## print dur, sym
durinseconds = secdict[dur]
basisdur = '5secs'
basisfile = DataDown + today + '.' + sym + '.' + basisdur + '.both.csv'
TicksUtile.assemble_dur_bars(today, sym, dur, startmode, basisfile)
## indlist = ['StochK','Stoch_CROSS','StochD','pivot', 'R', 'S', 'S2', 'R2','kupper', 'klower',\
## 'kmid','ema','mcross', 'mcd','diffESTXvES','RSI']
indlist = [
'mcross', 'mcd', 'RSI', 'StochK', 'Stoch_CROSS', 'StochD',
'kupper', 'klower', 'kmid', 'diffvES'
]
rpInd.create_states_files(sym, dur.replace(' ', ''), today,
threshold, indlist)
def pnl(tside,tprice,starttime,sym,exitpnl,stoppnl,tickvalue):
dur = '1min'
estarttime = TicksUtile.time_to_epoch(starttime)
barcount =0
sidesign = 1
if tside == 'BUY':
sidesign = (-1)
DurBoth = rpu_rp.CsvToLines( DataDown+ today + '.'+sym+'.' + dur.replace(' ','') + '.both.csv')
triggertime = 'open'
maxpnl = -99999
minpnl = 999999
profittrigger = stoptrigger = endflag ='o'
for line in DurBoth:
if len(line) > 2:
rtpricelow = float(line[4])
rtpricehigh = float(line[3])
rangegap = rtpricehigh - rtpricelow
time = line[1]
baretime = TicksUtile.time_to_epoch(time)
## else:
## rtpricelow = rtpricehigh = 0.0
## baretime = TicksUtile.time_to_epoch(' 2015-08-18 01:54:05')
## time = ' 2015-08-18 01:54:05'
## print estarttime, baretime
if estarttime > baretime:
triggertime = 'tripped'
barcount =0
if triggertime == 'tripped':
barcount +=1
if tside == 'BUY':
priceused = rtpricelow
else:
priceused = rtpricehigh
pnl = ((tprice -priceused)/ tickvalue)*sidesign
maxpnl = max(pnl,maxpnl)
minpnl = min(pnl,minpnl)
if maxpnl > exitpnl:
profittrigger = 't'
pass
if minpnl < stoppnl:
stoptrigger ='t'
if profittrigger == 't' and stoptrigger == 'o' and endflag != 't':
print 'exited for profit'
print sym, time, tprice, tside, pnl,maxpnl,minpnl,priceused,rangegap,barcount,starttime
endflag ='t'
if stoptrigger == 't' and profittrigger == 'o' and endflag != 't':
print 'exited for loss'
endflag ='t'
print sym, time, tprice, tside, pnl,maxpnl,minpnl,priceused,rangegap,barcount,starttime
def make_bars_no_5sec(startmode,durmode):
for sym in symbol_list:
if durmode == 'alldurs':
barlist = barlistAll
elif durmode == '78':
barlist = barlist78
else:
barlist = barlistRecent
for dur in barlist :
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
TicksUtile.assemble_dur_bars(today,sym,dur,startmode,basisdur)
def make_bars_no_5sec(startmode, durmode):
for sym in symbol_list:
if durmode == 'alldurs':
barlist = barlistAll
elif durmode == '78':
barlist = barlist78
else:
barlist = barlistRecent
for dur in barlist:
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
TicksUtile.assemble_dur_bars(today, sym, dur, startmode, basisdur)
def make_bars_no_5sec(startmode,durmode):
for sym in symbol_list:
if durmode == 'alldurs':
barlist = ['1min','3mins', '15mins', '1hour', '1day']
pass
else:
barlist = ['1min', '3mins', '5mins', '15mins']##,'78mins']
for dur in barlist :
## print dur
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
TicksUtile.assemble_dur_bars(today,sym,dur,startmode,basisdur)
def make_bars_no_5sec(startmode, durmode):
for sym in symbol_list:
if durmode == 'alldurs':
barlist = ['1min', '3mins', '15mins', '1hour', '1day']
pass
else:
barlist = ['1min', '3mins', '5mins', '15mins'] ##,'78mins']
for dur in barlist:
## print dur
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
TicksUtile.assemble_dur_bars(today, sym, dur, startmode, basisdur)
def snapshot_sym(sym,today,durslist):
## print 'got her'
text = []
barlist = ['1min', '3mins', '5mins', '15mins', '1hour']
basisfile = DataDown +today+'.'+sym+'.'+'5secs'+'.both.csv'
TicksUtile.assemble_dur_bars(today,sym,'1hour','initial',basisfile)
posstate = rpInd.ShowRecentPositionState(sym)
text.append(posstate + sym )
threshold =0.0
indlist = ['mcross','kupper']
## print posstate,sym,'recentstate age val | lastcrosstime| name USING THRESH ', threshold
textline = 'recentstate age val name USING THRESH ' + str(threshold)
text.append(textline)
for dur in barlist :
## print dur
threshold = 0.0
if dur == '1min':
threshold = 0.1
## print sym,dur
## make_dur_state(sym,dur,threshold,indlist)
basisdur = '5secs'
startmode ='initialize'
basisfile = DataDown +today+'.'+sym+'.'+basisdur+'.both.csv'
TicksUtile.assemble_dur_bars(today,sym,dur,startmode,basisfile)
### this relys on the sig creator to assemble each time
rpInd.create_states_files(sym,dur,today,threshold,indlist)
indlist = ['mcross']
for ind in indlist:
mode = 'noboost'
state = rpInd.ShowRecentState(sym,dur,ind,mode)
stateAge = rpInd.ShowRecentAge(sym,dur,ind,mode)
val = rpInd.ShowRecentStateValue(sym,dur,ind,mode)
crxtime = rpInd.ShowRecentCRXTime(sym,dur,ind,mode)
price = rpInd.ShowRecentClPrice(sym,dur,ind,mode)
if ind == 'mcross':
textline = []
tlist = [state, dur, stateAge,val, price, crxtime, threshold, sym, ind]
for t in tlist:
textline.append(str(t))
text.append(str(textline))
print state, dur, stateAge,val, price, crxtime, threshold, sym, ind
## Triggers = rpInd.Trigger_from_states(sym,dur,'kupper')
## lasttwo = rpu_rp.tail_array_to_array(Triggers,2)
## for l in lasttwo:
## print l[0],l[1],l[7],l[5],l[8],l[11],'kupperflips'
print recenttick(sym)
print '======================='
return text
def look_for_dupe_sig(livesigid, livesigtime):
showflag = 'show'
livesigepoch = TicksUtile.time_to_epoch(livesigtime)
if os.path.isfile(sigarea + today + '.recentsigs.csv'):
tradedsigs = rpu_rp.CsvToLines(sigarea + today + '.recentsigs.csv')
showflag = 'show'
for lin in tradedsigs:
if len(lin) > 3:
sigid = lin[3]
sigtime = lin[4]
sigtimeepoch = TicksUtile.time_to_epoch(sigtime)
timediff = livesigepoch - sigtimeepoch
if sigid == livesigid and timediff < 100:
showflag = 'supress'
return showflag
def look_for_dupe_sig(livesigid,livesigtime):
showflag = 'show'
livesigepoch = TicksUtile.time_to_epoch(livesigtime)
if os.path.isfile(sigarea + today +'.recentsigs.csv'):
tradedsigs= rpu_rp.CsvToLines(sigarea + today +'.recentsigs.csv')
showflag = 'show'
for lin in tradedsigs:
if len(lin) > 3:
sigid = lin[3]
sigtime = lin[4]
sigtimeepoch = TicksUtile.time_to_epoch(sigtime)
timediff = livesigepoch - sigtimeepoch
if sigid == livesigid and timediff < 100:
showflag = 'supress'
return showflag
def show_spots(sym,date,limit,spotfile):
curprice = float(TicksUtile.recenttick(sym,'recent'))
spotlines= rpu_rp.CsvToLines(spotfile)
print 'RangeLineFader is ',limit,' Handles on ',sym, ' Future'
for l in spotlines:
spotp = float(l[0])
if len(l) > 1 :
## print l
spotid = l[1]
pass
else:
spotid=''
distance = abs(spotp-curprice)
if (spotp-curprice) > 0:
underover = 'under'
else:
underover = 'over'
if distance < limit:
## print curprice-spotp,spotp,curprice,sym,'spot prices',limit
if underover == 'under':
print ('SELL at %8.2f %s| %s | %4.2f | %8.2f ...is this pass #1 or #2?' % (spotp,spotid,sym,distance,curprice))
## print 'ready to SELL at ',spotp, 'how manypasses?',curprice,sym,distance
else:
## print 'ready TO BUY at ',spotp, 'how manypasses?',curprice,sym,distance
print ('BUY at %8.2f %s| %s | %4.2f | %8.2f ...is this pass #1 or #2?' % (spotp,spotid,sym,distance,curprice))
def reply_handler(msg):
if msg.typeName == 'realtimeBar':
msgarray = (str(msg)).split()
## print msgarray, 'rawmessg'
reqid = (msgarray[1]).split('=')[1].replace(',', '')
## fieldnum = (msgarray[2]).split('=')[1].replace(',','')
sym = symTickerIddict[reqid]
onerow = (str(msg)).split(',')
## print onerow,'onerow split by comma'
timenow = datetime.now().time().isoformat()
## print msg.typeName, sym, timenow
if msg.typeName == 'realtimeBar':
cleanonerow = TicksUtile.clean_RTTick5secBars(onerow, sym)
rpu_rp.WriteArrayToCsvfileAppend(
DataDown + today + '.' + sym + '.RTticks.csv', [cleanonerow])
rpu_rp.WriteArrayToCsvfile(
DataDown + today + '.' + sym + '.RTtickslastquote.csv',
[cleanonerow])
######## elif msg.typeName == 'tickString' or msg.typeName == 'tickSize' or msg.typeName == 'tickPrice' :
######## onerow.append(timenow)
######## rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.RTtickData.csv',[onerow])
######## elif msg.typeName == 'updateMktDepth':
######## onerow.append(timenow)
######## rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.RTMktDepth.csv',[onerow])
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(TMP + 'replys.RTticks', str(msg))
def verify_bars(barfile):
fileoutname = 'barsout.csv'
lines = rpu_rp.CsvToLines(barfile)
print barfile, 'needs verify'
dur = barfile.split('.')[2]
sym = barfile.split('.')[1]
print dur
durinseconds = int(secdict[dur])
print dur, durinseconds
preve = 0
prevfname = 0
ubars =[]
uubars =[]
diffprev = 1
for l in lines:
if len(l) > 2:
timestring = l[1]
e = TicksUtile.convertTime(timestring,'dashspace','timetoepoch')
diffcur = e - preve
## print diffcur
if diffcur != durinseconds:
print sym,dur,diffcur, durinseconds,l
ubars.append(l)
else:
pass
preve = e
prevline = l
diffprev = diffcur
rpu_rp.WriteArrayToCsvfile(fileoutname, ubars)
## for b in ubars:
## print b
return ubars
def show_hi_lo_bar_range(sym,dur,startbartime,endbartime,date):
hilow = []
prevloprice =99999
prevhiprice = 0.0
lowtime = hitime = closetime ='na'
clsprice =0.0
newbars = show_bar_range(sym,dur,startbartime,endbartime,date)
for bar in newbars:
if len(bar) > 2:
curbartime = TicksUtile.time_to_epoch(bar[1])
lowprice = float(bar[4])
hiprice = float(bar[3])
clsprice = float(bar[5])
closetime = bar[1]
lowtime = hitime ='na'
if lowprice < prevloprice:
prevloprice = lowprice
lowtime = bar[1]
if hiprice > prevhiprice:
prevhiprice = hiprice
hitime = bar[1]
hilow.append(prevloprice)
hilow.append(prevhiprice)
hilow.append(lowtime)
hilow.append(hitime)
hilow.append(clsprice)
hilow.append(closetime)
if len(newbars) == 0:
hilow = ['na','na','na','na','na','na']
return hilow
def show_spots(sym, date, limit, spotfile):
curprice = float(TicksUtile.recenttick(sym, 'recent'))
## print curprice
spotlines = rpu_rp.CsvToLines(spotfile)
print 'RangeLineFader is ', limit, ' Handles on ', sym, ' Future'
for l in spotlines:
spotp = float(l[0])
if len(l) > 1:
## print l
spotid = l[1]
pass
else:
spotid = ''
distance = abs(spotp - curprice)
if (spotp - curprice) > 0:
underover = 'under'
else:
underover = 'over'
if distance < limit:
## print curprice-spotp,spotp,curprice,sym,'spot prices',limit
if underover == 'under':
print(
'SELL at %8.2f %s| %s | %4.2f | %8.2f ...is this pass #1 or #2?'
% (spotp, spotid, sym, distance, curprice))
## print 'ready to SELL at ',spotp, 'how manypasses?',curprice,sym,distance
else:
## print 'ready TO BUY at ',spotp, 'how manypasses?',curprice,sym,distance
print(
'BUY at %8.2f %s| %s | %4.2f | %8.2f ...is this pass #1 or #2?'
% (spotp, spotid, sym, distance, curprice))
def show_spots(sym, date, limit, spotfile):
curprice = float(TicksUtile.recenttick(sym, 'recent'))
spotlines = rpu_rp.CsvToLines(spotfile)
print 'LINEFADES...################'
for l in spotlines:
spotp = float(l[0])
if len(l) > 1:
## print l
spotid = l[1]
pass
else:
spotid = ''
distance = abs(spotp - curprice)
if (spotp - curprice) > 0:
underover = 'under'
else:
underover = 'over'
if distance < limit:
if underover == 'under':
sflag = 'SELL'
else:
sflag = 'BUY'
print(
'>>%4s at %8.2f %s|%s |%4.2f |%8.2f > pass #1 or #2? range=%d'
% (sflag, spotp, spotid, sym, distance, curprice, limit))
def show_hi_lo_bar_range(sym, dur, startbartime, endbartime, date):
hilow = []
prevloprice = 99999
prevhiprice = 0.0
lowtime = hitime = closetime = 'na'
clsprice = 0.0
newbars = show_bar_range(sym, dur, startbartime, endbartime, date)
for bar in newbars:
if len(bar) > 2:
curbartime = TicksUtile.time_to_epoch(bar[1])
lowprice = float(bar[4])
hiprice = float(bar[3])
clsprice = float(bar[5])
closetime = bar[1]
lowtime = hitime = 'na'
if lowprice < prevloprice:
prevloprice = lowprice
lowtime = bar[1]
if hiprice > prevhiprice:
prevhiprice = hiprice
hitime = bar[1]
hilow.append(prevloprice)
hilow.append(prevhiprice)
hilow.append(lowtime)
hilow.append(hitime)
hilow.append(clsprice)
hilow.append(closetime)
if len(newbars) == 0:
hilow = ['na', 'na', 'na', 'na', 'na', 'na']
return hilow
def look_for_dupe_sig(livesigid, livesigtime, delay):
showflag = 'show'
livesigepoch = TicksUtile.time_to_epoch(livesigtime)
if os.path.isfile(sigarea + date + '.recentsigs.csv'):
tradedsigs = rpu_rp.CsvToLines(sigarea + date + '.recentsigs.csv')
showflag = 'show'
for lin in tradedsigs:
## print lin
if len(lin) > 3:
## print lin
sigid = lin[9]
sigtime = lin[3]
## print sigid,sigtime,livesigid,livesigtime
sigtimeepoch = TicksUtile.time_to_epoch(sigtime)
timediff = livesigepoch - sigtimeepoch
if sigid == livesigid and timediff < delay:
showflag = 'supress'
return showflag
def make_states():
startmode = 'bothfile'
startmode = 'initialize'
for sym in symbol_list:
TicksUtile.prepare_tickfilesto5secBars(today,sym,startmode) ## merge the 5secddload with 5sec recents > 5sec boths
###### TicksUtile.prepare_fake_ddlfile(today,sym,'78mins',startmode)
barlist = ['1min', '3mins', '5mins', '15mins']##,'78mins']
for dur in barlist :
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
durinseconds = secdict[dur]
basisfile = DataDown +today+'.'+sym+'.'+basisdur+'.both.csv'
TicksUtile.assemble_dur_bars(today,sym,dur,startmode,basisfile)
## indlist = ['pivot', 'R', 'S', 'S2', 'R2','kupper', 'klower', 'kmid','ema','mcross', 'mcd'] indlist = ['mcross','mcd','diffESTXvES','RSI','STOCH','stochastic_CROSS']
indlist = ['mcross','mcd','RSI','StochK','Stoch_CROSS','StochD']
rpInd.create_states_files(sym,dur,today,threshold,indlist)
def look_for_dupe_sig(livesigid,livesigtime,delay):
showflag = 'show'
livesigepoch = TicksUtile.time_to_epoch(livesigtime)
if os.path.isfile(sigarea + date +'.recentsigs.csv'):
tradedsigs= rpu_rp.CsvToLines(sigarea + date +'.recentsigs.csv')
showflag = 'show'
for lin in tradedsigs:
## print lin
if len(lin) > 3:
## print lin
sigid = lin[9]
sigtime = lin[3]
## print sigid,sigtime,livesigid,livesigtime
sigtimeepoch = TicksUtile.time_to_epoch(sigtime)
timediff = livesigepoch - sigtimeepoch
if sigid == livesigid and timediff < delay:
showflag = 'supress'
return showflag
def look_for_REECNTdupe_sig(livesigid,livesigtime):
livesigepoch = TicksUtile.time_to_epoch(livesigtime)
if os.path.isfile(sigarea + today +'.recentsigs.csv'):
tradedsigs= rpu_rp.CsvToLines(sigarea + today +'.recentsigs.csv')
showflag = 'show'
for lin in tradedsigs:
if len(lin) > 3:
sigid = lin[3]
sigtime = lin[1]
sigtimeepoch = TicksUtile.time_to_epoch(sigtime)
timediff = livesigepoch - sigtimeepoch
if sigid == livesigid and timediff < 200:
showflag = 'supress'
print 'dupe ignored...',sigid, now
else:
showflag = 'show'
return showflag
def RTBar_reply_handler(msg):
if msg.typeName == 'realtimeBar':
reqid=(((str(msg)).split()[1]).split('=')[1]).replace(',','')
sym=symTickerIddict[reqid]
onerow = (str(msg)).split(',')
cleanonerow = TicksUtile.clean_RTTick5secBars(onerow,sym)
rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.RTticks.csv',[cleanonerow])
rpu_rp.WriteArrayToCsvfile(DataDown +today+'.'+sym+ '.RTtickslastquote.csv',[cleanonerow])
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(TMP +'replys.RTticks',str(msg))
def make_states():
startmode = 'bothfile'
startmode = 'initialize'
for sym in symbol_list:
TicksUtile.prepare_tickfilesto5secBars(
today, sym,
startmode) ## merge the 5secddload with 5sec recents > 5sec boths
###### TicksUtile.prepare_fake_ddlfile(today,sym,'78mins',startmode)
barlist = ['1min', '3mins', '5mins', '15mins'] ##,'78mins']
for dur in barlist:
if dur == '1min':
basisdur = '5secs'
else:
basisdur = '1min'
durinseconds = secdict[dur]
basisfile = DataDown + today + '.' + sym + '.' + basisdur + '.both.csv'
TicksUtile.assemble_dur_bars(today, sym, dur, startmode, basisfile)
## indlist = ['pivot', 'R', 'S', 'S2', 'R2','kupper', 'klower', 'kmid','ema','mcross', 'mcd'] indlist = ['mcross','mcd','diffESTXvES','RSI','STOCH','stochastic_CROSS']
indlist = [
'mcross', 'mcd', 'RSI', 'StochK', 'Stoch_CROSS', 'StochD'
]
rpInd.create_states_files(sym, dur, today, threshold, indlist)
def show_bar_range(sym,dur,startbartime,endbartime,date):
## print date
datehyphen = rpu_rp.todaysdatehypens(date)
## print datehyphen
startbartime = TicksUtile.time_to_epoch(datehyphen + startbartime)
endbartime = TicksUtile.time_to_epoch(datehyphen + endbartime)
stem = '.'+dur +'.both.csv'
if dur == 'RTicks':
stem = '.RTticks.csv'
barfile = DataDown + date + '.' + sym + stem
bars = rpu_rp.CsvToLines(barfile)
newbars =[]
for bar in bars:
if len(bar) > 2:
## print bar,'is bar'
curbartime = TicksUtile.time_to_epoch(bar[1])
if curbartime > startbartime and curbartime < endbartime:
newbars.append(bar)
## for b in newbars:
## print b
return newbars
def show_bar_range(sym, dur, startbartime, endbartime, date):
## print date
datehyphen = rpu_rp.todaysdatehypens(date)
## print datehyphen
startbartime = TicksUtile.time_to_epoch(datehyphen + startbartime)
endbartime = TicksUtile.time_to_epoch(datehyphen + endbartime)
stem = '.' + dur + '.both.csv'
if dur == 'RTicks':
stem = '.RTticks.csv'
barfile = DataDown + date + '.' + sym + stem
bars = rpu_rp.CsvToLines(barfile)
newbars = []
for bar in bars:
if len(bar) > 2:
## print bar,'is bar'
curbartime = TicksUtile.time_to_epoch(bar[1])
if curbartime > startbartime and curbartime < endbartime:
newbars.append(bar)
## for b in newbars:
## print b
return newbars
def reply_handler(msg):
if msg.typeName == 'realtimeBar':
reqid=(((str(msg)).split()[1]).split('=')[1]).replace(',','')
sym=symTickerIddict[reqid]
onerow = (str(msg)).split(',')
cleanonerow = TicksUtile.format_RTTickoneline_to_5secBars(onerow,sym)
rpu_rp.WriteArrayToCsvfileAppend(DataDown +today+'.'+sym+ '.RTticks.csv',[cleanonerow])
rpu_rp.WriteArrayToCsvfile(DataDown +today+'.'+sym+ '.RTtickslastquote.csv',[cleanonerow])
else:
if 'connection is OK' in str(msg):
pass
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(replyfname,str(msg))
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 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 run_oneloop(dur,now,sym):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
print '##### ',now, dur, sym,' ####### '
Createlines.create_HAs([sym])
filen = DataDown +date +'.'+sym+'.'+dur + '.both.HA.csv'
perc = .80
maxlines = 4
difflimit = 400
taglist = ['buy','sell']
for tag in taglist:
b = showlines(filen,tag)
print '#############'
print '>>>>>> ',tag.upper(), ' <<<'
lenha = len(b)
c=0
climitlines = int(lenha * perc)
climit = max((lenha-maxlines),climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
if len(lha.split('|')) > 2:
bar_time = (lha.split('|')[3]).replace(' 201','201')
c+=1
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = now_epoch - bar_time_epoch
if c > climit and tdiff < difflimit :
print lha,'>>> ',tdiff #,difflimit
#######
taglist = ['allxx']
for tag in taglist:
b = showlines(filen,tag)
print ' '
print '>>>>>> ',tag,sym,dur,now
lenha = len(b)
c=0
climitlines = int(lenha * perc)
climit = max((lenha-maxlines+2),climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
## if len(lha.split('|')) > 2:
## bar_time = (lha.split('|')[3]).replace(' 201','201')
c+=1
## bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
difflimit = 1800000000
tdiff = bar_time_epoch - now_epoch + difflimit
if c > climit and tdiff > 0 :
print lha
def run_oneloop(dur, now, sym):
now_epoch = int(time.mktime(time.strptime(now, spaceYtime_format)))
print '##### ', now, dur, sym, ' ####### '
Createlines.create_HAs([sym])
filen = DataDown + date + '.' + sym + '.' + dur + '.both.HA.csv'
perc = .80
maxlines = 4
difflimit = 400
taglist = ['buy', 'sell']
for tag in taglist:
b = showlines(filen, tag)
print '#############'
print '>>>>>> ', tag.upper(), ' <<<'
lenha = len(b)
c = 0
climitlines = int(lenha * perc)
climit = max((lenha - maxlines), climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
if len(lha.split('|')) > 2:
bar_time = (lha.split('|')[3]).replace(' 201', '201')
c += 1
bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
tdiff = now_epoch - bar_time_epoch
if c > climit and tdiff < difflimit:
print lha, '>>> ', tdiff #,difflimit
#######
taglist = ['allxx']
for tag in taglist:
b = showlines(filen, tag)
print ' '
print '>>>>>> ', tag, sym, dur, now
lenha = len(b)
c = 0
climitlines = int(lenha * perc)
climit = max((lenha - maxlines + 2), climitlines)
bar_time = ' 2016-02-21 13:16:30'
for lha in b:
## if len(lha.split('|')) > 2:
## bar_time = (lha.split('|')[3]).replace(' 201','201')
c += 1
## bar_time_epoch = TicksUtile.time_to_epoch(bar_time)
difflimit = 1800000000
tdiff = bar_time_epoch - now_epoch + difflimit
if c > climit and tdiff > 0:
print lha
def reply_handler(msg):
if msg.typeName == 'realtimeBar':
reqid = (((str(msg)).split()[1]).split('=')[1]).replace(',', '')
sym = symTickerIddict[reqid]
onerow = (str(msg)).split(',')
cleanonerow = TicksUtile.format_RTTickoneline_to_5secBars(onerow, sym)
rpu_rp.WriteArrayToCsvfileAppend(
DataDown + today + '.' + sym + '.RTticks.csv', [cleanonerow])
rpu_rp.WriteArrayToCsvfile(
DataDown + today + '.' + sym + '.RTtickslastquote.csv',
[cleanonerow])
else:
if 'connection is OK' in str(msg):
pass
else:
print str(msg)
rpu_rp.WriteStringsToFileAppend(replyfname, str(msg))
def show_spots(sym,date,limit):
curprice = float(TicksUtile.recenttick(sym,'recent'))
spotfile = libarea + 'spotlines.' + sym+ '.csv'
spotlines= rpu_rp.CsvToLines(spotfile)
print limit, ' is limit'
for l in spotlines:
spotp = float(l[0])
distance = abs(spotp-curprice)
if (spotp-curprice) > 0:
underover = 'under'
else:
underover = 'over'
if distance < limit:
## print curprice-spotp,spotp,curprice,sym,'spot prices',limit
if underover == 'under':
print 'ready to SELL at ',spotp, 'how manypasses?',curprice,sym,distance
else:
print 'ready TO BUY at ',spotp, 'how manypasses?',curprice,sym,distance
def check_bars(bararray): ### what does this do?
lines = bararray
preve = 0
prevfname = 0
ubars =[]
uubars =[]
diffprev = 1
for l in lines:
if len(l) > 2:
timestring = l[1]
e = TicksUtile.convertTime(timestring,'dashspace','timetoepoch')
diffcur = e - preve
## fname = int(l[7])
fname = str(l[7])
## fnamediff = fname - prevfname
# analyze this bars diff and the previous...
if diffcur == 0 :
print l
'''and diffprev == 0: