def alert_hourly():
passage = "Generation of Macdstoc Hourly Alert............."
print(passage)
errorMessage = ""
duration = "16 D"
period = "1 hour"
for cur in CURRENCY_PAIR:
symbol = cur.split("/")[0]
currency = cur.split("/")[1]
title = symbol + "/" + currency + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_fx_data(symbol, currency, duration, period)
if (not hist_data):
hist_data = ibkr.get_fx_data(symbol, currency, duration, period)
if (not hist_data):
bot_sender.broadcast("ERROR: No Data returns for %s" % cur, testMode)
return
get_alert(cur, title, hist_data)
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
# Metal Pair
for cur in METAL_PAIR:
symbol = cur
title = symbol + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_metal_data(symbol, duration, period)
get_alert(cur, title, hist_data)
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
# Futures Pair
for cur in HKFE_PAIR:
symbol = cur
current_mth = datetime.datetime.today().strftime('%Y%m')
title = symbol + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_hkfe_data(current_mth, symbol, duration, period)
get_alert(cur, title, hist_data)
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
def main(args):
start_time = time.time()
if (len(args) > 1 and args[1] == "gen_alert"):
gen_alert("MHI")
else:
symbol = "MHI"
#duration = "3 Y"
duration = "6 M"
period = "1 hour"
contract_mth = get_contract_month()
#contract_mth = datetime.datetime.now().strftime('%Y%m')
title = symbol + "@" + period + " (" + contract_mth + ")"
print("Checking on " + title + " ......")
hist_data = ibkr.get_hkfe_data(contract_mth, symbol, duration, period)
run_strat(title, hist_data)
print("Time elapsed: " + "%.3f" % (time.time() - start_time) + "s")
def alert_daily():
passage = "Generation of Macdstoc Hourly Alert............."
print(passage)
errorMessage = ""
duration = "3 M"
period = "1 day"
dsl = []
for cur in CURRENCY_PAIR:
symbol = cur.split("/")[0]
currency = cur.split("/")[1]
title = symbol + "/" + currency + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_fx_data(symbol, currency, duration, period)
historic_df = format_hist_df(hist_data)
signals = gen_signal(historic_df)
print(signals[['sk_slow','sd_slow','xup_positions','xdown_positions','sxup_positions','sxdown_positions']].tail(20).to_string())
dsl.append(update_latest_pos(cur, signals))
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
# Metal Pair
for cur in METAL_PAIR:
symbol = cur
title = symbol + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_metal_data(symbol, duration, period)
historic_df = format_hist_df(hist_data)
signals = gen_signal(historic_df)
dsl.append(update_latest_pos(cur, signals))
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
# Futures Pair
for cur in HKFE_PAIR:
symbol = cur
current_mth = datetime.datetime.today().strftime('%Y%m')
title = symbol + "@" + period
print("Checking on " + title + " ......")
hist_data = ibkr.get_hkfe_data(current_mth, symbol, duration, period)
historic_df = format_hist_df(hist_data)
signals = gen_signal(historic_df)
dsl.append(update_latest_pos(cur, signals))
print("Sleeping for " + str(SLEEP_PERIOD) + " seconds...")
time.sleep(SLEEP_PERIOD)
message = "<b>Daily Macdstoc Signal</b>" + DEL
message = message + EL.join(dsl)
print(message)
if (message):
print(message)
def gen_alert(symbol="MHI"):
duration = "1 M"
period = "1 hour"
current_mth = get_contract_month()
#current_mth = "201802"
title = symbol + "@" + period + " (Contract: " + current_mth + ")"
print("Checking on " + title + " ......")
historic_data = ibkr.get_hkfe_data(current_mth, symbol, duration, period)
if (not historic_data):
print("Historic Data is empty!!!")
return
# Data pre-processing
bars = pd.DataFrame(historic_data, columns=['datetime', 'open', 'high', 'low', 'close', 'volume'])
bars.set_index('datetime', inplace=True)
bars.index = pd.to_datetime(bars.index)
ema_strats = ema_xover_strategy(symbol, bars, 25)
signals = ema_strats.generate_signals()
latest_signal = signals.iloc[-2:].head(1)
lts = latest_signal.index[0]
lrec = latest_signal.iloc[0]
lxup = int(lrec['xup_pos'])
lxdown = int(lrec['xdown_pos'])
lopen = "%.0f" % lrec['open']
lhigh = "%.0f" % lrec['high']
llow = "%.0f" % lrec['low']
lclose = "%.0f" % lrec['close']
lmacd = "%.2f" % lrec['macd']
lemas = "%.2f" % lrec['emaSmooth']
lskslow = "%.2f" % lrec['k_slow']
lsdslow = "%.2f" % lrec['d_slow']
lema25 = "%.2f" % lrec['ema25']
print(signals[['open', 'close', 'nopen', 'ema25', 'xup_pos', 'xdown_pos']].to_string())
print(latest_signal[['open', 'close', 'nopen', 'ema25', 'xup_pos', 'xdown_pos']].to_string())
message_tmpl = "<b>" + u'\U0001F514' + " %s: \nMA Strategy X%s%s</b>\n<i>at %s%s</i>"
message_nil_tmpl = "%s: NO MA Strategy Alert at %s"
signals_list = ["<b>OPEN:</b> " + lopen
, "<b>HIGH:</b> " + lhigh
, "<b>LOW:</b> " + llow
, "<b>CLOSE:</b> " + lclose
, "<b>MA Signal:</b> " + lema25
#, "<b>MACD:</b> " + lmacd
#, "<b>emaSmooth:</b> " + lemas
#, "<b>STOC:</b> " + lskslow + "/" + lsdslow
, "<b>TS:</b> " + datetime.datetime.now().strftime("%H:%M:%S") + "HKT"
, "<b>CH:</b> https://goo.gl/yAtFvH"
]
signals_stmt = EL.join(signals_list)
message = ""
if (lxup):
message = (message_tmpl % (title, "Up", u'\U0001F332', lts, "HKT"))
message = message + DEL + signals_stmt + EL
elif (lxdown):
message = (message_tmpl % (title, "Down", u'\U0001F53B', lts, "HKT"))
message = message + DEL + signals_stmt + EL
else:
print(message_nil_tmpl % (title, lts))
if (message):
print(message)
bot_sender.broadcast_list(message, "telegram-pt")
def trade_monitor_hkfe(json_args):
symbol = json_args['symbol']
duration = json_args['duration']
period = json_args['period']
signal = json_args['signal']
signal_gap = signal['gap']
signal_date = signal['date']
signal_trigger = "%.0f" % signal['trigger']
current_mth = get_contract_month()
#current_mth = "201802"
title = symbol + "@" + period + " (Contract: " + current_mth + ")"
print("Checking on " + title + " ......")
historic_data = ibkr.get_hkfe_data(current_mth, symbol, duration, period)
if (not historic_data):
print("Historic Data is empty!!!")
return
# Data pre-processing
bars = pd.DataFrame(
historic_data,
columns=['datetime', 'open', 'high', 'low', 'close', 'volume'])
bars.set_index('datetime', inplace=True)
bars.index = pd.to_datetime(bars.index)
print(bars.tail())
latest_bar = bars.iloc[-2:].head(1)
lts = str(latest_bar.index[0])
ldt = str(latest_bar.index[0]).split()[0]
lrec = latest_bar.iloc[0]
lopen = "%.0f" % lrec['open']
lhigh = "%.0f" % lrec['high']
llow = "%.0f" % lrec['low']
lclose = "%.0f" % lrec['close']
print("\nSignal:[\n%s]" % signal)
print("\nLast Bar:[\n%s]" % latest_bar)
print("Last Bar Date: [%s]" % ldt)
# Test case {'date': '2018-04-06', 'gap': 'UP', 'trigger': 30064.0}
message = ""
message_tmpl = "<b>" + u'\U0001F514' + " GAP %s Trade Trigger Hit : %s %s %s</b>\n<i>at %s</i>"
if (ldt == signal_date):
print("Signal Date Check Passed [%s / %s]" % (ldt, signal_date))
if (signal_gap == "UP"):
if (lclose < signal_trigger):
print("GAP UP Trade Trigger Hit %s < %s" %
(lclose, signal_trigger))
message = message_tmpl % (signal_gap, lclose, "<",
signal_trigger, lts)
else:
print("GAP UP Trade Trigger NOT Hit %s < %s" %
(lclose, signal_trigger))
elif (signal_gap == "DOWN"):
if (lclose > signal_trigger):
print("GAP DOWN Trade Trigger Hit %s > %s" %
(lclose, signal_trigger))
message = message_tmpl % (signal_gap, lclose, ">",
signal_trigger, lts)
else:
print("GAP DOWN Trade Trigger NOT Hit %s < %s" %
(lclose, signal_trigger))
else:
print("Signal Gap is invalid: [%s]" % signal_gap)
else:
print("Signal Date Check Failed [%s / %s]" % (ldt, signal_date))
if (message):
print(message)
#bot_sender.broadcast_list(message, "telegram-chat-test")
bot_sender.broadcast_list(message, "telegram-pt")
def gen_alert(symbol="MHI"):
duration = "2 M"
period = "5 mins"
contract_mth = get_contract_month()
title = symbol + "@" + period + " (" + contract_mth + ")"
print("Checking on " + title + " ......")
time.sleep(5)
historic_data = ibkr.get_hkfe_data(contract_mth, symbol, duration, period)
if (not historic_data):
print("Historic Data is empty!!!")
return
# Data pre-processing
bars = pd.DataFrame(historic_data, columns=['datetime', 'open', 'high', 'low', 'close', 'volume'])
bars.set_index('datetime', inplace=True)
bars.index = pd.to_datetime(bars.index)
# get today time
now = datetime.datetime.now()
mkt_open_str = now.strftime('%Y-%m-%d 09:20:00')
# test data
#mkt_open_str = '2018-03-29 09:20:00'
# get mkt open bars
mkt_open_bars = (bars.loc[bars.index <= mkt_open_str]).tail(3)
last_bar = mkt_open_bars.tail(1)
last_2nd_bar = mkt_open_bars.tail(2).head(1)
last_3rd_bar = mkt_open_bars.tail(3).head(1)
print(last_bar)
print(last_2nd_bar)
print(last_3rd_bar)
signal_gap = 0
signal_change = 0
signal_price = 0
if (
last_bar.tail(1).index == mkt_open_str
and "09:15" in str(last_2nd_bar.tail(1).index)
and "16:25" in str(last_3rd_bar.tail(1).index)
):
print("Processing Mkt Open bar %s ......" % mkt_open_str )
last_mkt_close = last_3rd_bar.iloc[0]['close']
today_mkt_open = last_2nd_bar.iloc[0]['open']
print("Last Mkt Close %s, Today Mkt Open %s" % (last_mkt_close, today_mkt_open))
signal_gap = today_mkt_open - last_mkt_close
if abs(signal_gap) >= GAP_THRESHOLD:
print("Gap threshold limit satisfied [%s]" % signal_gap)
else:
print("Gap threshold limit NOT satisfied [%s]" % signal_gap)
return
signal_change = last_2nd_bar.iloc[0]['close'] - last_2nd_bar.iloc[0]['open']
if (signal_gap > 0 and signal_change < 0):
print("Upward Gap and Reversal (-ve) identified")
signal_price = last_2nd_bar.iloc[0]['low']
elif (signal_gap < 0 and signal_change > 0):
print("Downward Gap and Reversal (+ve) identified")
signal_price = last_2nd_bar.iloc[0]['high']
else:
print("NOT hitting any reversal scenario!")
return
else:
print("No Mkt Open bar is found, terminate!")
return
message = ""
if (signal_change != 0 and signal_price != 0):
message = "Reversal Strategy Monitor \n@ %s" % mkt_open_str
signals_list = ["<b>Gap:</b> " + str(signal_gap)
, "<b>Mkt Open Change:</b> " + str(signal_change)
, "<b>Reversal Price:</b> " + str(signal_price)
, "<b>TS:</b> " + datetime.datetime.now().strftime("%H:%M:%S") + "HKT"
]
signals_stmt = EL.join(signals_list)
message = message + DEL + signals_stmt + EL
signal_json = {}
signal_json['date'] = now.strftime('%Y-%m-%d')
if (signal_gap > 0):
signal_json['gap'] = 'UP'
else:
signal_json['gap'] = 'DOWN'
signal_json['trigger'] = signal_price
json_data = json.dumps(signal_json)
print(json_data)
redis_pool.setV("MRS:" + symbol, json_data)
# send alert first
if (message):
print(message)
#bot_sender.broadcast_list(message, "telegram-chat-test")
bot_sender.broadcast_list(message, "telegram-pt")
# add to trigger monitor
json_args = {"symbol": "MHI", "duration": "28800 S", "period": "1 min", "signal": signal_json}
print("Json args: [%s]" % json_args)
strat_trade_monitor.strat_scheduler(strat_trade_monitor.trade_monitor_hkfe, json_args, 60.0, 20)