def GetCandles(self, number_of_last_candles_to_get = 0, size_of_candles_in_minutes = 120):
Candles = []
if number_of_last_candles_to_get <= 0 or size_of_candles_in_minutes <= 0:
return Candles
_granularity = self._getGranularity(size_of_candles_in_minutes)
response = self._oanda.get_history(instrument=self._instrument,
granularity=_granularity,
count=number_of_last_candles_to_get + 1,
candleFormat="midpoint"
)
if not response.has_key("candles"):
return Candles
for item in response["candles"]:
if item["complete"] != True:
continue
close_ts = datetime.datetime.fromtimestamp(
time.mktime(time.strptime(str(item['time']), '%Y-%m-%dT%H:%M:%S.%fZ')))
open_ts = close_ts - datetime.timedelta(minutes = size_of_candles_in_minutes)
c = Candle(open_ts, close_ts)
c.Open = item["openMid"]
c.High = item["highMid"]
c.Low = item["lowMid"]
c.Close = item["closeMid"]
c._is_closed = True
Candles.append(c)
self._oanda_price_streamer.update_necessary = True
return sorted(Candles, key = lambda candle: candle.CloseTime)
def get_candle(self, candle_size):
_, datapoint = self.get_next_line()
open_time = datapoint['now']
close_time = datetime.fromtimestamp(
datapoint['now']) + timedelta(minutes=candle_size)
close_time = time.mktime(close_time.timetuple()) + \
close_time.microsecond * 0.000001
candle = Candle(open_time, close_time)
candle.update(datapoint)
while not candle.seen_enough_data():
_, datapoint = self.get_next_line()
candle.update(datapoint)
return candle
def Update(self, datapoint):
if not isinstance(datapoint, Candle):
if not self._current_candle:
openTime = datapoint["now"]
closeTime = datapoint["now"] + datetime.timedelta(
minutes=self._candle_size)
self._current_candle = Candle(openTime, closeTime)
else:
self._current_candle.Update(datapoint)
self._logging_current_price = datapoint["value"]
else:
self._current_candle = datapoint
self._logging_current_price = datapoint.Close
# Check if it is Friday night and we should seize trading
self._timestop.Update(datapoint)
_state = self._timestop.GetState()
if _state == MarketTrend.STOP_LONG or _state == MarketTrend.STOP_SHORT:
if (self._oanda.CurrentPosition() > 0):
logging.info("Timing Stop fired, TGIF!: " + str(_state) +
" price: " + str(self._logging_current_price))
self.ClosePosition()
return
if not self._current_candle.SeenEnoughData():
return
self._short_ema.Update(self._current_candle)
self._long_ema.Update(self._current_candle)
self._current_candle = None
if (self._short_ema.value > self._long_ema.value):
if (self._oanda.CurrentPosition() > 0) and (
self._oanda.CurrentPositionSide == MarketTrend.ENTER_LONG):
return
else:
self.ClosePosition()
self.Buy()
if (self._long_ema.value > self._short_ema.value):
if (self._oanda.CurrentPosition() >
0) and (self._oanda.CurrentPositionSide
== MarketTrend.ENTER_SHORT):
return
else:
self.ClosePosition()
self.Sell()
def get_candles(self, last_candles=0, size=120):
candles = []
if last_candles <= 0 or size <= 0:
return candles
_granularity = get_granularity(size)
response = self._oanda.get_history(instrument=self._instrument,
granularity=_granularity,
count=last_candles + 1,
candleFormat='midpoint')
if 'candles' not in response:
return candles
for item in response['candles']:
if item['complete'] is not True:
continue
close_ts = dateutil.parser.parse(item['time'])
open_ts = close_ts - \
datetime.timedelta(minutes=size)
close_ts = time.mktime(close_ts.timetuple()) + \
close_ts.microsecond * 0.000001
open_ts = time.mktime(open_ts.timetuple()) + \
open_ts.microsecond * 0.000001
candle = Candle(open_ts, close_ts)
candle.open = item['mid']['o']
candle.high = item['mid']['h']
candle.low = item['mid']['l']
candle.close = item['mid']['c']
candle.set_closed(True)
candles.append(candle)
self._oanda_price_streamer.update_necessary = True
return sorted(candles, key=lambda candle: candle.CloseTime)
def update(self, datapoint):
if not isinstance(datapoint, Candle):
if not self._current_candle or self._current_candle.seen_enough_data(
):
openTime = datapoint["now"]
closeTime = datetime.datetime.fromtimestamp(
datapoint["now"]) + datetime.timedelta(
minutes=self._candle_size)
closeTime = time.mktime(
closeTime.timetuple()) + closeTime.microsecond * 0.000001
self._current_candle = Candle(openTime, closeTime)
self._current_candle.update(datapoint)
else:
self._current_candle.update(datapoint)
self._sl_indicator.update(datapoint)
self._tp_indicator.update(datapoint)
self._logging_current_price = datapoint["value"]
else:
self._current_candle = datapoint
self._logging_current_price = datapoint.close
# Check if it is Friday night and we should seize trading
self._timestop.update(datapoint)
_state = self._timestop.GetState()
if _state == MarketTrend.STOP_LONG or _state == MarketTrend.STOP_SHORT:
if (self._oanda.current_position() != 0):
logging.info("Timing Stop fired, TGIF!: " + str(_state) +
" price: " + str(self._logging_current_price))
self.ClosePosition('short')
self.ClosePosition('long')
return
if not self._current_candle.seen_enough_data():
return
self._macross.update(self._current_candle)
self._sl_indicator.update(self._current_candle)
self._tp_indicator.update(self._current_candle)
sl = self._sl_indicator.GetState()
if sl == MarketTrend.STOP_LONG or sl == MarketTrend.STOP_SHORT:
if self._oanda.current_position() != 0:
self.ClosePosition('both')
logging.info("STOP called @ " +
str(self._logging_current_price))
self._sl_indicator.CancelStop()
return
tp = self._tp_indicator.GetState()
if tp == MarketTrend.STOP_LONG or tp == MarketTrend.STOP_SHORT:
if self._oanda.current_position() != 0:
self.ClosePosition('both')
logging.info("TAKE PROFIT called @ " +
str(self._logging_current_price))
self._tp_indicator.CancelTakeProfit()
return
ma = self._macross.GetState()
if ma == MarketTrend.ENTER_LONG:
if self._oanda.current_position(
) != 0 and self._oanda.current_side() == MarketTrend.ENTER_LONG:
return
else:
self.ClosePosition('short')
self._tp_indicator.SetTakeProfit(
self._logging_current_price - self._take_profit,
MarketTrend.ENTER_LONG)
self._sl_indicator.SetStop(
self._logging_current_price - self._stop_loss,
MarketTrend.ENTER_LONG)
self.Buy()
return
elif ma == MarketTrend.ENTER_SHORT:
if self._oanda.current_position(
) != 0 and self._oanda.current_side() == MarketTrend.ENTER_SHORT:
return
else:
self.ClosePosition('long')
self._tp_indicator.SetTakeProfit(
self._logging_current_price + self._take_profit,
MarketTrend.ENTER_SHORT)
self._sl_indicator.SetStop(
self._logging_current_price - self._stop_loss,
MarketTrend.ENTER_SHORT)
self.Sell()
return
def Update(self, datapoint):
logging.info("StrategyUpdate")
if not isinstance(datapoint, Candle):
if not self._current_candle:
openTime = datapoint["now"]
closeTime = datapoint["now"] + datetime.timedelta(
minutes=self._candle_size)
logging.info("close time test---- put 0300-0330 here")
logging.info(closeTime)
self._current_candle = Candle(openTime, closeTime)
else:
self._current_candle.Update(datapoint)
#update July 8 2019
#round(datapoint["value"],5) fix for invalid precicion error in oanda.py
self._logging_current_price = round(
datapoint["value"], 5) #format(datapoint["value"], '.5f')
else:
self._current_candle = datapoint
self._logging_current_price = round(datapoint.Close, 5)
# Check if it is Friday night and we should seize trading
self._timestop.Update(datapoint)
_state = self._timestop.GetState()
if _state == MarketTrend.STOP_LONG or _state == MarketTrend.STOP_SHORT:
if (self._oanda.CurrentPosition() > 0):
logging.info("Timing Stop fired, TGIF!: " + str(_state) +
" price: " + str(self._logging_current_price))
self.ClosePosition()
return
if not self._current_candle.SeenEnoughData():
return
self._short_ema.Update(self._current_candle)
self._long_ema.Update(self._current_candle)
self._current_candle = None
logging.info("Price: " + str(round(self._logging_current_price, 5)))
logging.info("Long EMA: " + str(round(self._long_ema.value, 5)))
logging.info("short EMA: " + str(round(self._short_ema.value, 5)))
logging.info("TP Price LONG: " +
str(round(self._logging_current_price + self._tp, 5)))
logging.info("TP Price SHORT: " +
str(round(self._logging_current_price - self._tp, 5)))
#Take Profit
if (self._logging_current_price > self.takeProfit):
self.ClosePosition()
#localtime = time.localtime(time.time())
#if (localtime.tm_hour-4 == 3 and localtime.tm_min < 31):
if (self._logging_current_price > self._short_ema.value):
logging.info("PRICE ABOVE EMA STRATEGY TEST")
if (self._oanda.CurrentPosition() > 0):
#if (self._oanda.CurrentPosition() > 0) and (self._oanda.CurrentPositionSide == MarketTrend.ENTER_SHORT):
return
else:
logging.info("PRICE ABOVE EMA STRATEGY TEST")
#self.ClosePosition()
#self.Sell()
#strategy being used
if (self._logging_current_price < self._short_ema.value):
logging.info("PRICE BELOW EMA STRATEGY TEST")
logging.info(self._current_candle)
#Check if current position is open
if (self._oanda.CurrentPosition() > 0):
#if (self._short_ema.value > self._long_ema.value):
#if (self._oanda.CurrentPosition() > 0) and (self._oanda.CurrentPositionSide == MarketTrend.ENTER_LONG):
return
else:
self.ClosePosition()
self.Buy()