def plot(self, ax, epochs):
qued = self.eventqueue.dict
for k in qued:
ev = qued[k]
st = ev.startep
ed = ev.endep
if st == ed:
continue
if ed < epochs[0] or st > epochs[-1]:
continue
sti = -1
edi = -1
if ev.side == env.SIDE_BUY:
color = self.buycolor
else:
color = self.sellcolor
for i in range(len(epochs)):
if sti == -1 and st <= epochs[i]:
sti = i
if edi == -1 and ed < epochs[i]:
edi = i - 1
if sti != -1:
ax.scatter(sti,
ev.start_price,
c=color,
marker=">",
s=600,
alpha=0.7)
ax.annotate(
" %d\n %.3f\n %s\n%s" %
(ev.id, ev.start_price,
lib.epoch2str(epochs[sti], "%m-%d\n%H:%M"), ev.desc),
(sti, ev.start_price),
size=30,
color=color,
horizontalalignment="left",
verticalalignment="top")
if edi != -1:
if ev.profit > 0:
marker = "o"
else:
marker = "x"
ax.scatter(edi,
ev.end_price,
c=color,
marker=marker,
s=600,
alpha=0.7)
ax.annotate(" %d\n %.3f\n %s" %
(ev.id, ev.end_price,
lib.epoch2str(epochs[edi], "%m-%d\n%H:%M")),
(edi, ev.end_price),
size=30,
color=color,
horizontalalignment="right",
verticalalignment="bottom")
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 getPrice(self, startep, endep):
errret = ([], [], [], [], [], [])
price = self.priceToGet
endep += 1
candleType = ""
if price == "M":
candleType = "mid"
if price == "B":
candleType = "bid"
if price == "A":
candleType = "ask"
req = InstrumentsCandles(instrument="USD_JPY",
params={
"granularity":
self.granularity,
"from":
lib.epoch2str(startep,
"%Y-%m-%dT%H:%M:%SZ"),
"to":
lib.epoch2str(endep,
"%Y-%m-%dT%H:%M:%SZ"),
"datetime_format":
"UNIX"
})
self.oandaw.request(req)
if req.response == None:
return errret
cdls = req.response.get('candles')
count = len(cdls)
(t, o, h, l, c, v) = self.getIniPriceLists(0, count)
for i in range(count):
cdl = cdls[i]
item = cdl[candleType]
ti = cdl["time"].split(".")[0]
t[i] = lib.str2epoch(ti, "%Y-%m-%dT%H:%M:%S")
v[i] = cdl["volume"]
o[i] = float(item["o"])
h[i] = float(item["h"])
l[i] = float(item["l"])
c[i] = float(item["c"])
return t, o, h, l, c, v
def plot(_id, i):
price = self.peaks.get(_id)
ax.scatter(i, price, c=self.color, marker="_", s=600)
ax.annotate(
" %.3f\n %s" %
(price, lib.epoch2str(self.epochs[_id], "%m-%d\n%H:%M")),
(i, price),
size=30,
color=self.color,
horizontalalignment="center",
verticalalignment=verticalalignment)
def plot(ie, i):
if ie.price >= mdp:
va = "bottom"
else:
va = "top"
price = ie.price
ax.scatter(i, price, c=ie.color, marker=ie.marker, s=600)
ax.annotate(" %.3f\n %s\n %s" %
(price, lib.epoch2str(ie.ep, "%m-%d\n%H:%M"), ie.info),
(i, price),
size=30,
color=ie.color,
horizontalalignment="center",
verticalalignment=va)
def openOrder(self, tickEvent, orderEvent):
_id = orderEvent.id
if not _id in self.orders.keys():
orderEvent.epoch = tickEvent.time
orderEvent.status = env.ESTATUS_ORDER_OPENED
self.orders[_id] = orderEvent
if orderEvent.validep == 0:
validstr = ""
else:
validstr = "valid=%s" % lib.epoch2str(orderEvent.validep)
lib.printMsg(
orderEvent.epoch,
"[%s] Order %d opened. %f side=%d tp=%f sl=%f %s" %
(self.name, _id, orderEvent.price, orderEvent.side,
orderEvent.takeprofit_price, orderEvent.stoploss_price,
validstr))
else:
raise Exception("Order %d already open." % _id)
'''
Created on 2019/11/09
@author: kot
'''
import env
import lib
from index.power import PowerIndex
startep = lib.str2epoch("2019-10-17T20:00:00", env.DATE_FORMAT_NORMAL)
endep = lib.str2epoch("2019-10-20T00:00:00", env.DATE_FORMAT_NORMAL)
p = PowerIndex("USD_JPY", "M5", startep, endep, 12)
(t, o, h, l, c, v) = p.subc.prices
for i in range(len(p.epochs)):
bu = p.bull_totals[i]
be = p.bear_totals[i]
print("%s price=%.3f bull_rate=%.3f bull_change=%.3f bear_change=%.3f" %
(lib.epoch2str(p.epochs[i], env.DATE_FORMAT_NORMAL),
c[i + p.sumspan], bu / (bu + be), p.bull[i] / bu, p.bear[i] / be))
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