def __init__(self):
super(MessageListener, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
self.xmpp.process()
if self.xmpp.connect():
self.logger.info("Done")
else:
self.logger.info("Unable to connect.")
return
def __init__(self):
super(CrossOverMonitor, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
if self.xmpp.connect():
self.xmpp.process(block=False)
print("Done")
else:
print("Unable to connect.")
return
def __init__(self):
super(MessageListener, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
self.xmpp.process()
if self.xmpp.connect():
self.logger.info("Done")
else:
self.logger.info("Unable to connect.")
return
def __init__(self):
super(CrossOverMonitor, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
if self.xmpp.connect():
self.xmpp.process(block=False)
print("Done")
else:
print("Unable to connect.")
return
class MyListener(MessageListener):
upperBoundaries = {}
lowerBoundaries = {}
currentPriceRanges = {}
candlesHourly = {}
candlesMinutely = {}
xmpp = []
aqsPrice = None
xmppListener = None
jid = '*****@*****.**'
password = '******'
targetjid = '*****@*****.**'
def __init__(self):
super(MessageListener, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
self.xmpp.process()
if self.xmpp.connect():
self.logger.info("Done")
else:
self.logger.info("Unable to connect.")
return
def setAqsPrice(self, aqsPrice):
self.aqsPrice = aqsPrice
def serverTime(self, serverTime):
return
# called as soon as the socket got connected to the trading servers.
def connected(self):
# now that we are connected, let's send the login message.
self.aqSocket.login(brokeraqUid, brokeraqPwd, "PRICE")
def init(self, instrumentId):
self.logger.info('Initializing ' + instrumentId)
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candlesHourly[instrumentId] = onlinearchive.history(
instrumentId, 'HOURS_1', startDate, endDate)
length = len(self.candlesHourly[instrumentId])
lastClose = self.candlesHourly[instrumentId]['C'][length - 1]
tradingRange = self.calculateTradingRange(
self.candlesHourly[instrumentId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[instrumentId] = tradingRange
self.upperBoundaries[instrumentId] = lastClose + tradingRange
self.lowerBoundaries[instrumentId] = lastClose - tradingRange
print 'Fetched ', len(
self.candlesHourly[instrumentId]), ' candles from history archive.'
return
def loggedIn(self):
self.logger.info("Breakout watcher ready!")
self.xmpp.outgoingQueue.put(
[self.targetjid, 'Breakout watcher ready!'])
# let's subscribe to all instruments on the server (not many at the moment)
i = 0
members = [
attr for attr in dir(Symbols())
if not callable(attr) and not attr.startswith("__")
]
for s in members:
i = i + 1
symbol = getattr(Symbols(), s)
self.init(symbol)
self.aqSocket.subscribe(symbol, TimeFrames.HOURS_1)
self.aqSocket.subscribe(symbol, TimeFrames.MINUTES_1)
def calculateTradingRange(self, candles):
# length = len(candles)
# oVector = candles['O']
hVector = candles['H']
lVector = candles['L']
# cVector = candles['C']
slotRanges = hVector - lVector
meanRange = slotRanges.mean()
return meanRange
def ohlc(self, ohlc):
self.logger.info('OHLC.')
# mdiId stands for market data instrument ID.
tf = ohlc.timeFrame
# let's check the time frame in minutes ...
if tf == 60:
# ok, hourly candle received.
tempDf = pd.DataFrame(
{
'O': ohlc.open,
'H': ohlc.high,
'L': ohlc.low,
'C': ohlc.close,
'V': ohlc.volume
},
index=[ohlc.timestamp])
tempDf.index = pd.to_datetime(tempDf.index)
# let's append this new candle ...
self.candlesHourly[ohlc.mdiId] = self.candlesHourly[
ohlc.mdiId].append(tempDf)
# now, let's update the uper and lower threshold
length = len(self.candlesHourly[ohlc.mdiId])
# let's calculate the average trading range over the last five hours
tradingRange = self.calculateTradingRange(
self.candlesHourly[ohlc.mdiId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[ohlc.mdiId] = tradingRange
self.upperBoundaries[ohlc.mdiId] = ohlc.close + tradingRange
self.lowerBoundaries[ohlc.mdiId] = ohlc.close - tradingRange
if tf == 1:
if self.currentPriceRanges[ohlc.mdiId] is not None:
# ok, minute candle received.
upperBoundary = self.upperBoundaries[ohlc.mdiId]
lowerBoundary = self.lowerBoundaries[ohlc.mdiId]
percDistUp = (upperBoundary / ohlc.close - 1.0) * 100.0
percDistDown = (lowerBoundary / ohlc.close - 1.0) * 100.0
print datetime.datetime.now(
), "\t", ohlc.mdiId, '\tClose:', ohlc.close, '\tUpper boundary:', upperBoundary, '(', percDistUp, ')\tLower boundary:', lowerBoundary, '(', percDistDown, ')'
if ohlc.close > upperBoundary:
self.logger.info("UPWARDS BREAKOUT %s" % ohlc.mdiId)
# let's also pull up the breakout point
self.upperBoundaries[
ohlc.mdiId] = ohlc.close + self.currentPriceRanges[
ohlc.mdiId]
self.xmpp.outgoingQueue.put(
[self.targetjid, ohlc.mdiId + ' UPWARDS BREAKOUT'])
if ohlc.close < lowerBoundary:
self.logger.info("DOWNWARDS BREAKOUT %s" % ohlc.mdiId)
# let's pull it down ...
self.lowerBoundaries[
ohlc.mdiId] = ohlc.close - self.currentPriceRanges[
ohlc.mdiId]
self.xmpp.outgoingQueue.put(
[self.targetjid, ohlc.mdiId + ' DOWNWARDS BREAKOUT'])
return
class MyListener(MessageListener):
upperBoundaries = {}
lowerBoundaries = {}
currentPriceRanges = {}
candlesHourly = {}
candlesMinutely = {}
xmpp = []
aqsPrice = None
xmppListener = None
jid = '*****@*****.**'
password = '******'
targetjid = '*****@*****.**'
def __init__(self):
super(MessageListener, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
self.xmpp.process()
if self.xmpp.connect():
self.logger.info("Done")
else:
self.logger.info("Unable to connect.")
return
def setAqsPrice(self, aqsPrice):
self.aqsPrice = aqsPrice
def serverTime(self, serverTime):
return
# called as soon as the socket got connected to the trading servers.
def connected(self):
# now that we are connected, let's send the login message.
self.aqSocket.login(brokeraqUid, brokeraqPwd, "PRICE")
def init(self, instrumentId):
self.logger.info('Initializing ' + instrumentId)
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candlesHourly[instrumentId] = onlinearchive.history(instrumentId, 'HOURS_1', startDate, endDate)
length = len(self.candlesHourly[instrumentId])
lastClose = self.candlesHourly[instrumentId]['C'][length - 1]
tradingRange = self.calculateTradingRange(self.candlesHourly[instrumentId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[instrumentId] = tradingRange
self.upperBoundaries[instrumentId] = lastClose + tradingRange
self.lowerBoundaries[instrumentId] = lastClose - tradingRange
print 'Fetched ', len(self.candlesHourly[instrumentId]), ' candles from history archive.'
return
def loggedIn(self):
self.logger.info("Breakout watcher ready!")
self.xmpp.outgoingQueue.put([self.targetjid, 'Breakout watcher ready!'])
# let's subscribe to all instruments on the server (not many at the moment)
i = 0
members = [attr for attr in dir(Symbols()) if not callable(attr) and not attr.startswith("__")]
for s in members:
i = i + 1
symbol = getattr(Symbols(), s)
self.init(symbol)
self.aqSocket.subscribe(symbol, TimeFrames.HOURS_1)
self.aqSocket.subscribe(symbol, TimeFrames.MINUTES_1)
def calculateTradingRange(self, candles):
# length = len(candles)
# oVector = candles['O']
hVector = candles['H']
lVector = candles['L']
# cVector = candles['C']
slotRanges = hVector - lVector
meanRange = slotRanges.mean()
return meanRange
def ohlc(self, ohlc):
self.logger.info('OHLC.')
# mdiId stands for market data instrument ID.
tf = ohlc.timeFrame
# let's check the time frame in minutes ...
if tf == 60:
# ok, hourly candle received.
tempDf = pd.DataFrame({'O': ohlc.open, 'H':ohlc.high, 'L':ohlc.low, 'C':ohlc.close, 'V':ohlc.volume}, index=[ohlc.timestamp])
tempDf.index = pd.to_datetime(tempDf.index)
# let's append this new candle ...
self.candlesHourly[ohlc.mdiId] = self.candlesHourly[ohlc.mdiId].append(tempDf)
# now, let's update the uper and lower threshold
length = len(self.candlesHourly[ohlc.mdiId])
# let's calculate the average trading range over the last five hours
tradingRange = self.calculateTradingRange(self.candlesHourly[ohlc.mdiId][length - 10:length])
# let's store the current price range for later reuse.
self.currentPriceRanges[ohlc.mdiId] = tradingRange
self.upperBoundaries[ohlc.mdiId] = ohlc.close + tradingRange
self.lowerBoundaries[ohlc.mdiId] = ohlc.close - tradingRange
if tf == 1:
if self.currentPriceRanges[ohlc.mdiId] is not None:
# ok, minute candle received.
upperBoundary = self.upperBoundaries[ohlc.mdiId]
lowerBoundary = self.lowerBoundaries[ohlc.mdiId]
percDistUp = (upperBoundary / ohlc.close - 1.0) * 100.0
percDistDown = (lowerBoundary / ohlc.close - 1.0) * 100.0
print datetime.datetime.now(), "\t", ohlc.mdiId, '\tClose:', ohlc.close, '\tUpper boundary:', upperBoundary, '(', percDistUp, ')\tLower boundary:', lowerBoundary, '(', percDistDown, ')'
if ohlc.close > upperBoundary:
self.logger.info("UPWARDS BREAKOUT %s" % ohlc.mdiId)
# let's also pull up the breakout point
self.upperBoundaries[ohlc.mdiId] = ohlc.close + self.currentPriceRanges[ohlc.mdiId]
self.xmpp.outgoingQueue.put([self.targetjid, ohlc.mdiId + ' UPWARDS BREAKOUT'])
if ohlc.close < lowerBoundary:
self.logger.info("DOWNWARDS BREAKOUT %s" % ohlc.mdiId)
# let's pull it down ...
self.lowerBoundaries[ohlc.mdiId] = ohlc.close - self.currentPriceRanges[ohlc.mdiId]
self.xmpp.outgoingQueue.put([self.targetjid, ohlc.mdiId + ' DOWNWARDS BREAKOUT'])
return
class CrossOverMonitor(MessageListener):
currentDirections = {}
candles = {}
xmpp = []
aqsPrice = None
xmppListener = None
jid = '@jabber.org'
password = ''
targetjid = ''
def __init__(self):
super(CrossOverMonitor, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
if self.xmpp.connect():
self.xmpp.process(block=False)
print("Done")
else:
print("Unable to connect.")
return
def setAqsPrice(self, aqsPrice):
self.aqsPrice = aqsPrice
def serverTime(self, serverTime):
return
def connected(self):
self.aqsPrice.login(brokeraqUid, brokeraqPwd, "PRICE")
def init(self, instrumentId):
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candles[instrumentId] = onlinearchive.history(
instrumentId, 'HOURS_1', startDate, endDate)
print 'Fetched ', len(
self.candles[instrumentId]), ' candles from history archive.'
return
def loggedIn(self):
print "Logged in!"
self.xmpp.outgoingQueue.put([self.targetjid, 'Bot is up and running'])
self.init(Symbols.EURUSD)
self.aqsPrice.subscribe(Symbols.EURUSD, TimeFrames.HOURS_1)
self.init(Symbols.OILUSD)
self.aqsPrice.subscribe(Symbols.OILUSD, TimeFrames.HOURS_1)
self.init(Symbols.EURCHF)
self.aqsPrice.subscribe(Symbols.EURCHF, TimeFrames.HOURS_1)
self.init(Symbols.USDCHF)
self.aqsPrice.subscribe(Symbols.USDCHF, TimeFrames.HOURS_1)
self.init(Symbols.XAGUSD)
self.aqsPrice.subscribe(Symbols.XAGUSD, TimeFrames.HOURS_1)
# checks if a series crossed.
def crossing(self, series1, series2):
if len(series1) == len(series2) and len(series1) > 1:
length = len(series1)
if series1[length - 2] > series2[length - 2] and series1[
length - 1] < series2[length - 1]:
print 'SHORT'
return -1
if series1[length - 2] < series2[length - 2] and series1[
length - 1] > series2[length - 1]:
print 'LONG'
return 1
return 0
def ohlc(self, ohlc):
print 'ohlc received for ', ohlc.mdiId, ': ', ohlc.close
tempDf = pd.DataFrame(
{
'O': ohlc.open,
'H': ohlc.high,
'L': ohlc.low,
'C': ohlc.close,
'V': ohlc.volume
},
index=[ohlc.timestamp])
tempDf.index = pd.to_datetime(tempDf.index)
# let's append this new candle ...
self.candles[ohlc.mdiId] = self.candles[ohlc.mdiId].append(tempDf)
# now, let's calculate the ewma values.
ewma20 = pd.ewma(self.candles[ohlc.mdiId]['C'], span=20)
ewma50 = pd.ewma(self.candles[ohlc.mdiId]['C'], span=50)
lastEma20Val = ewma20[len(ewma20) - 1]
lastEma50Val = ewma50[len(ewma50) - 1]
print "EMAs: ", lastEma20Val, " - ", lastEma50Val
if lastEma20Val > lastEma50Val:
self.currentDirections[ohlc.mdiId] = 'LONG'
else:
self.currentDirections[ohlc.mdiId] = 'SHORT'
if self.crossing(ewma20, ewma50) > 0:
# let's trigger some action ...
self.xmpp.outgoingQueue.put([self.targetjid, 'LONG ' + ohlc.mdiId])
return
if self.crossing(ewma20, ewma50) < 0:
# let's trigger some action ...
self.xmpp.outgoingQueue.put(
[self.targetjid, 'SHORT ' + ohlc.mdiId])
return
return
class CrossOverMonitor(MessageListener):
currentDirections = {}
candles = {}
xmpp = []
aqsPrice = None
xmppListener = None
jid = '@jabber.org'
password = ''
targetjid = ''
def __init__(self):
super(CrossOverMonitor, self).__init__()
self.xmppListener = XMPPMessageListener(self)
self.xmpp = XmppBot(self.jid, self.password, self.xmppListener)
if self.xmpp.connect():
self.xmpp.process(block=False)
print("Done")
else:
print("Unable to connect.")
return
def setAqsPrice(self, aqsPrice):
self.aqsPrice = aqsPrice
def serverTime(self, serverTime):
return
def connected(self):
self.aqsPrice.login(brokeraqUid, brokeraqPwd, "PRICE")
def init(self, instrumentId):
# let's fetch ten days of hourly history.
endDate = date.today().strftime('%Y%m%d')
startDate = (date.today() - timedelta(days=10)).strftime('%Y%m%d')
self.candles[instrumentId] = onlinearchive.history(instrumentId, 'HOURS_1', startDate, endDate)
print 'Fetched ', len(self.candles[instrumentId]), ' candles from history archive.'
return
def loggedIn(self):
print "Logged in!"
self.xmpp.outgoingQueue.put([self.targetjid, 'Bot is up and running'])
self.init(Symbols.EURUSD)
self.aqsPrice.subscribe(Symbols.EURUSD, TimeFrames.HOURS_1)
self.init(Symbols.OILUSD)
self.aqsPrice.subscribe(Symbols.OILUSD, TimeFrames.HOURS_1)
self.init(Symbols.EURCHF)
self.aqsPrice.subscribe(Symbols.EURCHF, TimeFrames.HOURS_1)
self.init(Symbols.USDCHF)
self.aqsPrice.subscribe(Symbols.USDCHF, TimeFrames.HOURS_1)
self.init(Symbols.XAGUSD)
self.aqsPrice.subscribe(Symbols.XAGUSD, TimeFrames.HOURS_1)
# checks if a series crossed.
def crossing(self, series1, series2):
if len(series1) == len(series2) and len(series1) > 1:
length = len(series1)
if series1[length - 2] > series2[length - 2] and series1[length - 1] < series2[length - 1]:
print 'SHORT'
return -1
if series1[length - 2] < series2[length - 2] and series1[length - 1] > series2[length - 1]:
print 'LONG'
return 1
return 0
def ohlc(self, ohlc):
print 'ohlc received for ', ohlc.mdiId, ': ', ohlc.close
tempDf = pd.DataFrame({'O': ohlc.open, 'H':ohlc.high, 'L':ohlc.low, 'C':ohlc.close, 'V':ohlc.volume}, index=[ohlc.timestamp])
tempDf.index = pd.to_datetime(tempDf.index)
# let's append this new candle ...
self.candles[ohlc.mdiId] = self.candles[ohlc.mdiId].append(tempDf)
# now, let's calculate the ewma values.
ewma20 = pd.ewma(self.candles[ohlc.mdiId]['C'], span=20)
ewma50 = pd.ewma(self.candles[ohlc.mdiId]['C'], span=50)
lastEma20Val = ewma20[len(ewma20) - 1]
lastEma50Val = ewma50[len(ewma50) - 1]
print "EMAs: ", lastEma20Val, " - ", lastEma50Val
if lastEma20Val > lastEma50Val:
self.currentDirections[ohlc.mdiId] = 'LONG'
else:
self.currentDirections[ohlc.mdiId] = 'SHORT'
if self.crossing(ewma20, ewma50) > 0:
# let's trigger some action ...
self.xmpp.outgoingQueue.put([self.targetjid, 'LONG ' + ohlc.mdiId])
return
if self.crossing(ewma20, ewma50) < 0:
# let's trigger some action ...
self.xmpp.outgoingQueue.put([self.targetjid, 'SHORT ' + ohlc.mdiId])
return
return
