def main():
oanda = Broker(API_KEY, ACCOUNT_ID)
position_size = 2000
pairs = ["EUR_USD", "GBP_USD", "USD_CHF", "AUD_USD", "USD_CAD"]
upward_sma_dir = {x: False for x in pairs}
downward_sma_dir = {x: False for x in pairs}
print("trying")
open_trades = oanda.get_open_trades()
curr_ls = []
for i in range(len(open_trades)):
curr_ls.append(open_trades[i]['instrument'])
currencies = [i for i in pairs if i not in curr_ls]
# Look to see if it's a good time to buy a new pair
for currency in currencies:
data = oanda.get_candles(currency)
technicals = Indicators(data)
ohlc_df = technicals.stochastic(data)
ohlc_df = technicals.SMA(ohlc_df)
signal = oanda.trade_signal(
ohlc_df, currency, upward_sma_dir, downward_sma_dir)
if signal == "Buy":
oanda.make_order(currency, position_size,
3*technicals.ATR(ohlc_df))
print("New long position initiated for ", currency)
# Look to see if it's a good time to sell a pair:
for currency in curr_ls:
data = oanda.get_candles(currency)
technicals = Indicators(data)
ohlc_df = technicals.stochastic(data)
ohlc_df = technicals.SMA(ohlc_df)
signal = oanda.trade_signal(
ohlc_df, currency, upward_sma_dir, downward_sma_dir)
if signal == "Sell":
oanda.make_order(currency, -1*position_size,
3*technicals.ATR(ohlc_df))
print("New short position initiated for ", currency)
class Strategy(object):
def __init__(self, length, numsimul):
self.prices = []
self.btcPrices = []
self.trades = []
self.indicators = Indicators()
self.length = length
self.USDpertrade = 100
#binary lists for graphing results
self.buylist = []
self.selllist = []
#profit init
self.coinVolume = 0
self.print = False
self.profit = 0
self.balance = 0
self.balanceList = []
self.numSimul = numsimul
self.maxDiff = 0
self.numtrades=0
#moving average init
self.MAlong = []
self.MAshort = []
#MACD init
self.EMAfast = []
self.EMAslow = []
self.previousEMAfast = None
self.currentEMAfast = None
self.previousEMAslow = None
self.currentEMAslow = None
self.previousEMAmacd = None
self.currentEMAmacd = None
self.MACD = []
self.signal = []
def tick(self, price, btcPrice=None, indicator = None):
self.currentPrice = price
self.currentBTC = btcPrice
self.btcPrices.append(self.currentBTC)
self.prices.append(self.currentPrice)
def movingaverage(self, MAlong, MAshort, count):
if self.currentBTC == None:
self.coinVolume = 1
else:
buy_volume = self.USDpertrade/self.currentBTC
self.coinVolume = buy_volume/self.currentPrice
self.coinVolume = 1
newOpenedTrades = 0
newClosedTrades = 0
openTrades = []
for trade in self.trades:
if trade.status == 'OPEN':
openTrades.append(trade)
self.MAlong.append(self.indicators.SMA(self.prices,MAlong))
self.MAshort.append(self.indicators.SMA(self.prices,MAshort))
if self.MAlong[-1]==None:
pass
else:
if self.print:
print('Price:',self.currentPrice,'\tMAlong:',self.MAlong[-1],
'MAshort:',self.MAshort[-1])
if count > MAlong:
if ((self.MAshort[-1])>self.MAlong[-1]):
if len(openTrades)<self.numSimul:
#need to embed the trade volume into the trade object, otherwise we sell more volume than be buy.
self.trades.append(BotTrade(self.currentPrice,self.coinVolume, self.print))
newOpenedTrades+=1
self.balance -= self.coinVolume*self.trades[-1].entryPrice
for trade in openTrades:
if self.MAshort[-1]<self.MAlong[-1]:# or (self.data[count]/trade.entryPrice)>1.05 or (self.data[count]/trade.entryPrice)<0.95:
newClosedTrades+=1
if count == self.length:
trade.close(self.currentPrice)
else:
trade.close(self.currentPrice)
self.profit+=trade.profit()
self.balance+=trade.volume*trade.exitPrice
self.balanceList.append(self.balance)
if newClosedTrades>0:
self.selllist.append(True)
else:
self.selllist.append(False)
if newOpenedTrades>0:
self.buylist.append(True)
else:
self.buylist.append(False)
def macd(self, slow, fast, signal, count, lengthPrices):
if self.currentBTC == None:
self.coinVolume = self.USDpertrade/self.currentPrice
else:
buy_volume = self.USDpertrade/self.currentBTC
self.coinVolume = buy_volume/self.currentPrice
newOpenedTrades = 0
newClosedTrades = 0
openTrades = []
for trade in self.trades:
if trade.status == 'OPEN':
openTrades.append(trade)
if len(self.prices)>slow:
self.previousEMAslow = self.indicators.EMA(self.prices, slow, self.previousEMAslow)
self.previousEMAfast = self.indicators.EMA(self.prices, fast, self.previousEMAfast)
self.EMAfast.append(self.previousEMAfast)
self.EMAslow.append(self.previousEMAslow)
self.MACD.append(self.EMAfast[-1]-self.EMAslow[-1])
self.previousEMAmacd = self.indicators.EMA(self.MACD, signal, self.previousEMAmacd)
self.signal.append(self.previousEMAmacd)
if len(self.prices)>100:
self.difference(self.signal[-1]-self.MACD[-1])
if (self.MACD[-1]>(self.signal[-1]+self.maxDiff/4)) and (self.MACD[-2]>self.signal[-2]):
if len(openTrades)<self.numSimul:
self.trades.append(BotTrade(self.currentPrice,self.coinVolume, self.print))
newOpenedTrades+=1
self.balance -= self.coinVolume*self.currentPrice
self.numtrades+=1
for trade in openTrades:
if ((self.MACD[-1]<self.signal[-1]) and (self.MACD[-2]>self.signal[-2])) or count == lengthPrices-1:
trade.close(self.currentPrice)
self.balance+=trade.volume*self.currentPrice
self.profit+=trade.profit()
newClosedTrades+=1
#graphing section
self.balanceList.append(self.balance)
if newClosedTrades>0:
self.selllist.append(True)
else:
self.selllist.append(False)
if newOpenedTrades>0:
self.buylist.append(True)
else:
self.buylist.append(False)
def difference(self, new):
if self.maxDiff>abs(new):
pass
else:
self.maxDiff = abs(new)
def returnParam(self):
## return self.profit, self.balance
return self.profit
