def process_ticks(lines,decimalboost):
################
bs = float(rpInd.strip1value(lines,5))* float(decimalboost) ##raw close price
bshighs = rpInd.strip1value(lines,3)
bslows = rpInd.strip1value(lines,4)
timestamparray = rpInd.strip1value(lines,1)
lenbs = len(bs)
tailstart = lenbs - 50
print tailstart,'tailstart'
########################
sma21 = rpInd.mvavgToArray(bs,21)
sma9 = rpInd.mvavgToArray(bs,9)
ema21 = rpInd.EMAmvavgToArray(bs,21)
ema9 = rpInd.EMAmvavgToArray(bs,9)
sma50 = rpInd.EMAmvavgToArray(bs,50)
sma12 = rpInd.EMAmvavgToArray(bs,12)
################ MACD ##########
macddiff = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,12),rpInd.EMAmvavgToArray(bs,26))## macd is the mvavg9 on this diff
macdavg = rpInd.EMAmvavgToArray(macddiff,9)
macddiverg = rpInd.difftwoarrays(macddiff,macdavg)
########## RSI #######
RSIgain = rpInd.RSIGainLoss(bs,'gain')
RSIloss = rpInd.RSIGainLoss(bs,'loss')
rsiavggain = rpInd.RSImvavgToArray(RSIgain,14)
rsiavgloss = rpInd.RSImvavgToArray(RSIloss,14)
RSratios = rpInd.ratiotwoarrays(rsiavggain,rsiavgloss) ## rsi = 100 - ( 100 / (1 + RS))
rsiArray =[]
for ratio in RSratios:
rsi = min(100,(100 - ( 100 / (1 + ratio))))
rsiArray.append(rsi)
#################
tenkan = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,9)
kijunSen = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,26)
diff = rpInd.difftwoarrays(tenkan,kijunSen)
#######################
MA9CROSS21 = rpInd.difftwoarrays(sma9,sma21)
######################
signbs = rpInd.show_sign(bs,'price')
slopebs = rpInd.show_slope(bs,'price')
signmcd = rpInd.show_sign(macddiverg,'mcd')
crossesmcd = rpInd.show_crossover(signmcd,'mcd')
slopemcd = rpInd.show_slope(macddiverg,'macddiverg')
CLVarr = rpInd.CLV_Value(bs,bslows,bshighs)## CLVarr = CLV_Value(Carray,Larray,Harray)
print len(bslows)
MDarray = rpInd.makearrayJust2(timestamparray,slopebs,signbs,bs,macddiverg,crossesmcd,slopemcd)
macdcrosses = rpInd.show_macd_low_lines(MDarray,'Slope','Slope',3,.001,4)#(arrayin,texttosell,texttobuy,pricefnum,macdtestval,macdfnum)
ma = rpu_rp.grep_array_to_array(macdcrosses,'up')
rpInd.format_lines(ma)
## CrossMAarray = rpInd.join_8arrays_to_1_array(timestamparray,slope,sign,bs,sma21,MA9CROSS21,CLVarr,kijunSen,'3strings')
## rpInd.show_test_lines(CrossMAarray,'negnegcross','posposcross',3,(1.0/decimalboost))
## CLVarray = rpInd.join_8arrays_to_1_array(timestamparray,slope,sign,bs,sma21,CLVarr,CLVarr,kijunSen,'3strings')
## rpInd.show_test_lines(CLVarray,'negnegcross','posposcross',3,(1.0/decimalboost))
print 'timestamparray,slope,sign,bs,sma21,CLVarr,CLVarr,kijunSen,'
def process_ticks(lines, decimalboost):
################
bs = rpInd.strip1float(lines, 5, decimalboost) ##raw close price
bshighs = rpInd.strip1float(lines, 3, decimalboost)
bslows = rpInd.strip1float(lines, 4, decimalboost)
timestamparray = rpInd.strip1string(lines, 1)
lenbs = len(bs)
tailstart = lenbs - 50
print tailstart, 'tailstart'
########################
## sma21 = rpInd.mvavgToArray(bs,21)
## sma9 = rpInd.mvavgToArray(bs,9)
## ema21 = rpInd.EMAmvavgToArray(bs,21)
## ema9 = rpInd.EMAmvavgToArray(bs,9)
## sma50 = rpInd.EMAmvavgToArray(bs,50)
## sma12 = rpInd.EMAmvavgToArray(bs,12)
## ################ MACD ##########
## macddiff = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,12),rpInd.EMAmvavgToArray(bs,26))## macd is the mvavg9 on this diff
## macdavg = rpInd.EMAmvavgToArray(macddiff,9)
## macddiverg = rpInd.difftwoarrays(macddiff,macdavg)
########## RSI #######
## RSIgain = rpInd.RSIGainLoss(bs,'gain')
## RSIloss = rpInd.RSIGainLoss(bs,'loss')
## rsiavggain = rpInd.RSImvavgToArray(RSIgain,14)
## rsiavgloss = rpInd.RSImvavgToArray(RSIloss,14)
## RSratios = rpInd.ratiotwoarrays(rsiavggain,rsiavgloss) ## rsi = 100 - ( 100 / (1 + RS))
## rsiArray =[]
## for ratio in RSratios:
## rsi = min(100,(100 - ( 100 / (1 + ratio))))
## rsiArray.append(rsi)
#################
## tenkan = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,9)
## kijunSen = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,26)
## diff = rpInd.difftwoarrays(tenkan,kijunSen)
#######################
## MA9CROSS21 = rpInd.difftwoarrays(sma9,sma21)
######################
signbs = rpInd.show_sign(bs, 'price')
slopebs = rpInd.show_slope(bs, 'price')
## signmcd = rpInd.show_sign(macddiverg,'mcd')
## crossesmcd = rpInd.show_crossover(signmcd,'mcd')
## slopemcd = rpInd.show_slope(macddiverg,'macddiverg')
##### MA Cross ##
macrossval = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs, 9),
rpInd.EMAmvavgToArray(bs, 21))
signmcd = rpInd.show_sign(macrossval, 'mcd')
crossesmcd = rpInd.show_crossover(signmcd, 'mcd')
slopemcd = rpInd.show_slope(macrossval, 'mcd')
print len(signmcd), len(macrossval), len(crossesmcd)
MDarray = rpInd.makearrayJust2(timestamparray, slopebs, signbs, bs,
macrossval, crossesmcd, signmcd)
## macdcrosses = rpInd.show_macd_low_lines(MDarray,'Slope','Slope',3,.001,4)#(arrayin,texttosell,texttobuy,pricefnum,macdtestval,macdfnum)
ma = rpu_rp.grep_array_to_array(MDarray, 'cross')
rpInd.format_lines(ma, 5) #tailamount
def process_ticks(lines,decimalboost):
################
bs = rpInd.strip1float(lines,5,decimalboost) ##raw close price
bshighs = rpInd.strip1float(lines,3,decimalboost)
bslows = rpInd.strip1float(lines,4,decimalboost)
timestamparray = rpInd.strip1string(lines,1)
lenbs = len(bs)
tailstart = lenbs - 50
print tailstart,'tailstart'
########################
## sma21 = rpInd.mvavgToArray(bs,21)
## sma9 = rpInd.mvavgToArray(bs,9)
## ema21 = rpInd.EMAmvavgToArray(bs,21)
## ema9 = rpInd.EMAmvavgToArray(bs,9)
## sma50 = rpInd.EMAmvavgToArray(bs,50)
## sma12 = rpInd.EMAmvavgToArray(bs,12)
## ################ MACD ##########
## macddiff = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,12),rpInd.EMAmvavgToArray(bs,26))## macd is the mvavg9 on this diff
## macdavg = rpInd.EMAmvavgToArray(macddiff,9)
## macddiverg = rpInd.difftwoarrays(macddiff,macdavg)
########## RSI #######
## RSIgain = rpInd.RSIGainLoss(bs,'gain')
## RSIloss = rpInd.RSIGainLoss(bs,'loss')
## rsiavggain = rpInd.RSImvavgToArray(RSIgain,14)
## rsiavgloss = rpInd.RSImvavgToArray(RSIloss,14)
## RSratios = rpInd.ratiotwoarrays(rsiavggain,rsiavgloss) ## rsi = 100 - ( 100 / (1 + RS))
## rsiArray =[]
## for ratio in RSratios:
## rsi = min(100,(100 - ( 100 / (1 + ratio))))
## rsiArray.append(rsi)
#################
## tenkan = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,9)
## kijunSen = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,26)
## diff = rpInd.difftwoarrays(tenkan,kijunSen)
#######################
## MA9CROSS21 = rpInd.difftwoarrays(sma9,sma21)
######################
signbs = rpInd.show_sign(bs,'price')
slopebs = rpInd.show_slope(bs,'price')
## signmcd = rpInd.show_sign(macddiverg,'mcd')
## crossesmcd = rpInd.show_crossover(signmcd,'mcd')
## slopemcd = rpInd.show_slope(macddiverg,'macddiverg')
##### MA Cross ##
macrossval = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,9),rpInd.EMAmvavgToArray(bs,21))
signmcd = rpInd.show_sign(macrossval,'mcd')
crossesmcd = rpInd.show_crossover(signmcd,'mcd')
slopemcd = rpInd.show_slope(macrossval,'mcd')
print len(signmcd),len(macrossval),len(crossesmcd)
MDarray = rpInd.makearrayJust2(timestamparray,slopebs,signbs,bs,macrossval,crossesmcd,signmcd)
## macdcrosses = rpInd.show_macd_low_lines(MDarray,'Slope','Slope',3,.001,4)#(arrayin,texttosell,texttobuy,pricefnum,macdtestval,macdfnum)
ma = rpu_rp.grep_array_to_array(MDarray,'cross')
rpInd.format_lines(ma,5) #tailamount
def process_ticks(lines, decimalboost):
################
bs = rpInd.strip1value(lines, 5) ##raw close price
lenbs = len(bs)
tailstart = lenbs - 50
print tailstart, 'tailstart'
###############
bsshort = bs[0:1000000]
bshighs = rpInd.strip1value(lines, 3)
bslows = rpInd.strip1value(lines, 4)
timestamparray = rpInd.strip1value(lines, 1)
########################
sma26 = rpInd.EMAmvavgToArray(bs, 26)
sma12 = rpInd.EMAmvavgToArray(bs, 12)
sma50 = rpInd.EMAmvavgToArray(bs, 50)
macddiff = rpInd.difftwoarrays(sma12, sma26)
## macd is the mvavg9 on this diff
macdavg = rpInd.EMAmvavgToArray(macddiff, 9)
macddiverg = rpInd.difftwoarrays(macddiff, macdavg)
##########
RSIgain = rpInd.RSIGainLoss(bs, 'gain')
RSIloss = rpInd.RSIGainLoss(bs, 'loss')
rsiavggain = rpInd.RSImvavgToArray(RSIgain, 14)
rsiavgloss = rpInd.RSImvavgToArray(RSIloss, 14)
## print rsiavgloss
RS = rpInd.ratiotwoarrays(rsiavggain, rsiavgloss)
## rsi = 100 - ( 100 / (1 + RS))
rsiArray = []
for ratio in RS:
rsi = min(100, (100 - (100 / (1 + ratio))))
rsiArray.append(rsi)
#################
tenkan = rpInd.TenkanSenmvavgToArray(bs, bshighs, bslows, 9)
kijunSen = rpInd.TenkanSenmvavgToArray(bs, bshighs, bslows, 26)
#######################
smacrossdiff = rpInd.difftwoarrays(sma50, bs)
diff = rpInd.difftwoarrays(tenkan, kijunSen)
slope50 = rpInd.show_slope(sma50)
sign50 = rpInd.show_sign_and_crosses(macddiverg)
## newarray = rpInd.join_8arrays_to_1_array(timestamparray,bs,sma26,sma12,sma50,macddiverg,tenkan,kijunSen,'mode')
newarray = rpInd.join_8arrays_to_1_array(timestamparray, slope50, sign50,
bs, sma50, macddiverg, tenkan,
kijunSen, '3strings')
## farray = rpInd.format_arrays(newarray,3)
##backtest_sigs(arrayin,texttosell,texttobuy,pricefnum)
## rpInd.backtest_sigs(newarray[0:600000],'negcross','poscross',3)
## rpInd.backtest_sigs(newarray[tailstart:600000],'slope','slope',3)
## rpInd.show_test_lines(newarray[tailstart:600000],'negnegcross','posposcross',3)
## rpInd.show_macd_low_lines(newarray[tailstart:600000],'negnegcross','posposcross',3,(0.005/decimalboost))
smiarray = rpInd.join_8arrays_to_1_array(timestamparray, slope50, sign50,
bs, sma50, smacrossdiff, tenkan,
kijunSen, '3strings')
rpInd.show_macd_low_lines(smiarray[tailstart:600000], 'negnegcrossxxx',
'posposcrossxxx', 3, (1.0 / decimalboost))
def process_ticks(lines,decimalboost):
################
bs = rpInd.strip1value(lines,5) ##raw close price
lenbs = len(bs)
tailstart = lenbs - 50
print tailstart,'tailstart'
###############
bsshort = bs[0:1000000]
bshighs = rpInd.strip1value(lines,3)
bslows = rpInd.strip1value(lines,4)
timestamparray = rpInd.strip1value(lines,1)
########################
sma26 = rpInd.EMAmvavgToArray(bs,26)
sma12 = rpInd.EMAmvavgToArray(bs,12)
sma50 = rpInd.EMAmvavgToArray(bs,50)
macddiff = rpInd.difftwoarrays(sma12,sma26)
## macd is the mvavg9 on this diff
macdavg = rpInd.EMAmvavgToArray(macddiff,9)
macddiverg = rpInd.difftwoarrays(macddiff,macdavg)
##########
RSIgain = rpInd.RSIGainLoss(bs,'gain')
RSIloss = rpInd.RSIGainLoss(bs,'loss')
rsiavggain = rpInd.RSImvavgToArray(RSIgain,14)
rsiavgloss = rpInd.RSImvavgToArray(RSIloss,14)
## print rsiavgloss
RS = rpInd.ratiotwoarrays(rsiavggain,rsiavgloss)
## rsi = 100 - ( 100 / (1 + RS))
rsiArray =[]
for ratio in RS:
rsi = min(100,(100 - ( 100 / (1 + ratio))))
rsiArray.append(rsi)
#################
tenkan = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,9)
kijunSen = rpInd.TenkanSenmvavgToArray(bs,bshighs,bslows,26)
#######################
smacrossdiff = rpInd.difftwoarrays(sma50,bs)
diff = rpInd.difftwoarrays(tenkan,kijunSen)
slope50 = rpInd.show_slope(sma50)
sign50 = rpInd.show_sign_and_crosses(macddiverg)
## newarray = rpInd.join_8arrays_to_1_array(timestamparray,bs,sma26,sma12,sma50,macddiverg,tenkan,kijunSen,'mode')
newarray = rpInd.join_8arrays_to_1_array(timestamparray,slope50,sign50,bs,sma50,macddiverg,tenkan,kijunSen,'3strings')
## farray = rpInd.format_arrays(newarray,3)
##backtest_sigs(arrayin,texttosell,texttobuy,pricefnum)
## rpInd.backtest_sigs(newarray[0:600000],'negcross','poscross',3)
## rpInd.backtest_sigs(newarray[tailstart:600000],'slope','slope',3)
## rpInd.show_test_lines(newarray[tailstart:600000],'negnegcross','posposcross',3)
## rpInd.show_macd_low_lines(newarray[tailstart:600000],'negnegcross','posposcross',3,(0.005/decimalboost))
smiarray = rpInd.join_8arrays_to_1_array(timestamparray,slope50,sign50,bs,sma50,smacrossdiff,tenkan,kijunSen,'3strings')
rpInd.show_macd_low_lines(smiarray[tailstart:600000],'negnegcrossxxx','posposcrossxxx',3,(1.0/decimalboost))
def process_ticks(lines,decimalboost,dur):
################
bs = rpInd.strip1float(lines,5,decimalboost) ##raw close price
bshighs = rpInd.strip1float(lines,3,decimalboost)
bslows = rpInd.strip1float(lines,4,decimalboost)
timestamparray = rpInd.strip1string(lines,1)
symarray = rpInd.strip1string(lines,0)
sym = symarray[1]
durarray = []
for b in symarray:
durarray.append(dur)
lenbs = len(bs)
tailstart = lenbs - 50
## print tailstart,'tailstart'
########################
## sma21 = rpInd.mvavgToArray(bs,21)
######################
### create pivots rs and ss ###
## def pivotpoint(a1,a2,a3):
## c=0
## arrayout =[]
## arrayout.append(a1[0])
## while c < len(a1):
## c+=1
## piv = a1[c-1] + a2[c-1] + a3[c-1]
## arrayout.append(piv)
## return arrayout
######################
## piv = pivotpoint(bs,bshighs,bslows)
## ######################
## def R1(a1,a2): ## S1 is the same but with lows
## c=0
## arrayout =[]
## arrayout.append(a1[0])
## while c < len(a1): #a1 is pivotpoint array
## c+=1
## S1 = (2*a1[c]) - a2[c-1]#prevhiarray
## arrayout.append(S1)
## return arrayout
######################
## R1 = R1(piv,bshighs)
#### ppoint = (prevbarHi + prevbarlo +prevclose)/3
########################################
signbs = rpInd.show_sign(bs,'price')
slopebs = rpInd.show_slope(bs,'price')
##### MA Cross ##
macrossval = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,9),rpInd.EMAmvavgToArray(bs,21))
signmcd = rpInd.show_sign(macrossval,'mcd')
crossesmcd = rpInd.show_crossover(signmcd,'mcd')
slopemcd = rpInd.show_slope(macrossval,'mcd')
MDarray = rpInd.makearrayJust2(timestamparray,symarray,durarray,bs,macrossval,crossesmcd,signmcd)
ma = rpu_rp.grep_array_to_array(MDarray,'cross')
rpu_rp.WriteArrayToCsvfileAppend(sym+'.sigs.csv', ma)
## recents = rpu_rp.grep_array_to_array(ma,'0')
##############################
from datetime import datetime
current_time = datetime.now()## timenow = float(current_time.isoformat().replace(':',''))
prevt = 0
numsigs = len(ma)
signum =0
timex = current_time.isoformat()
import datetime as dt
time_format = "%H:%M:%S"
now = datetime.strftime(current_time,time_format)
now_dt = dt.datetime.strptime(now, time_format)
prevbart_dt = now_dt
for l in ma:
signum +=1
if len(l[0].split()) == 2: ## time = l[0].split()[1].replace(':','')
currentbar = l[0].split()[1]
else:
currentbar = (l[0].split()[0])
htime_format = '%H'
currentbar_dt = dt.datetime.strptime(currentbar, time_format)
hour = dt.datetime.strftime(currentbar_dt, htime_format)
now_dt = dt.datetime.strptime(now, time_format)
barToNow = (now_dt - currentbar_dt).seconds
barToPrev = (currentbar_dt - prevbart_dt).seconds
alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
prevbart_dt = currentbar_dt
## print signum,numsigs,barToNow
##['21:52:21', 'USD.JPY', '30 secs', 125.6075, 0.00011005009737630189, 'poscrossmcd', 'posposmcd'
if barToNow < 20 and signum == numsigs:
rpu_rp.WriteArrayToCsvfile('sigs.csv',ma)
## Mbox('Trade Alert', alerttxt, 1)
rpInd.format_lines(ma,1) #tailamount
def process_ticks(lines,decimalboost,dur):
################
##read variables from the control panel file
cpfile = EXE + 'signalcreator.controlpanel.csv'
paramlines = rpu_rp.CsvToLines(cpfile)
varstrings = ['TimeLimitRecentSigs','SignalsToShow','DurationToShow']
var = {}
for varstring in varstrings:
for line in paramlines:
if len(line) > 0:
if line[0] == varstring:
var[varstring] = line[1]
bs = rpInd.strip1float(lines,5,decimalboost) ##raw close price
bshighs = rpInd.strip1float(lines,3,decimalboost)
bslows = rpInd.strip1float(lines,4,decimalboost)
timestamparray = rpInd.strip1string(lines,1)
symarray = rpInd.strip1string(lines,0)
sym = symarray[1]
durarray = []
for b in symarray:
durarray.append(dur)
### create pivots rs and ss ###
piv = rpInd.pivotpoint(bs,bshighs,bslows)
R1 = rpInd.R1(piv,bshighs)
########################################
signbs = rpInd.show_sign(bs,'price')
slopebs = rpInd.show_slope(bs,'price')
##### MA Cross ##
macrossval = rpInd.difftwoarrays(rpInd.EMAmvavgToArray(bs,9),rpInd.EMAmvavgToArray(bs,21))
signmcd = rpInd.show_sign(macrossval,'mcd')
crossesmcd = rpInd.show_crossover(signmcd,'mcd')
slopemcd = rpInd.show_slope(macrossval,'mcd')
MDarray = rpInd.makearrayJust2(timestamparray,symarray,durarray,bs,macrossval,crossesmcd,signmcd)
ma = rpu_rp.grep_array_to_array(MDarray,'cross')
rpu_rp.WriteArrayToCsvfileAppend(sigarea +sym+'.sigs.csv', ma)
##############################
from datetime import datetime
prevt = 0
numsigs = len(ma)
signum =0
import datetime as dt
now = datetime.strftime(datetime.now(),time_format)
now_dt = dt.datetime.strptime(now, time_format)
prevbart_dt = now_dt
for l in ma:
sym = l[1] #.split()[0])
sigprice = float(l[3]) #.split()[0])
## print l
signum +=1
if len(l[0].split()) == 2:
currentbar = l[0].split()[1]
else:
currentbar = (l[0].split()[0])
currentbar_dt = dt.datetime.strptime(currentbar, time_format)
now_dt = dt.datetime.strptime(now, time_format)
barToNow = (now_dt - currentbar_dt).seconds
barToPrev = (currentbar_dt - prevbart_dt).seconds
alerttxt = l[1] + '|' + str(barToNow) + '|' + str(barToPrev)+ '|' +str(l)
prevbart_dt = currentbar_dt
recentlimit = int(var['TimeLimitRecentSigs'])
if barToNow < recentlimit and signum == numsigs:
rpu_rp.WriteArrayToCsvfile(sigarea +'sigs.csv',ma)
onesig = ma[len(ma)-1]
Snaptickfile = DataDown + today + '.' + sym + '.ticksnaps.csv'
rpu_rp.tail_to_txtfile(Snaptickfile,2,'lasttick')
a5 = rpu_rp.CsvToLines('lasttick')
a6= a5[0]
bid = a6[1]
ask = a6[3]
bsize = a6[2]
asize = a6[4]
side =onesig[5]
rside = 'BUY'
if side == 'negcrossmcd':
rside = 'SELL'
sym =onesig[1]
sigdur =onesig[2]
pricedrift = round((sigprice / float(decimalboost)) - float(ask),4)
timedrift = barToNow
## print barToPrev,'second lastsig..bid/ask',bid, ask,a6[2],'X',a6[4],
print timedrift, pricedrift, sym, rside,sigdur, sigprice,bid,ask,bsize,asize,barToPrev
print '=========='