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Improved readme and added some customisation options in correlation calculation

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This commit is contained in:
Jamie Cash
2021-02-05 12:08:14 +00:00
parent a9b65f95c3
commit 16d8a98609
5 changed files with 152 additions and 37 deletions
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mt5_correlation/mt5.py
+48 -3
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@@ -8,6 +8,29 @@ class MT5:
A class to connect to and interface with MetaTrader 5
"""
# Timeframes
TIMEFRAME_M1 = mt5.TIMEFRAME_M1
TIMEFRAME_M2 = mt5.TIMEFRAME_M2
TIMEFRAME_M3 = mt5.TIMEFRAME_M3
TIMEFRAME_M4 = mt5.TIMEFRAME_M4
TIMEFRAME_M5 = mt5.TIMEFRAME_M5
TIMEFRAME_M6 = mt5.TIMEFRAME_M6
TIMEFRAME_M10 = mt5.TIMEFRAME_M10
TIMEFRAME_M12 = mt5.TIMEFRAME_M10
TIMEFRAME_M15 = mt5.TIMEFRAME_M15
TIMEFRAME_M20 = mt5.TIMEFRAME_M20
TIMEFRAME_M30 = mt5.TIMEFRAME_M30
TIMEFRAME_H1 = mt5.TIMEFRAME_H1
TIMEFRAME_H2 = mt5.TIMEFRAME_H2
TIMEFRAME_H3 = mt5.TIMEFRAME_H3
TIMEFRAME_H4 = mt5.TIMEFRAME_H4
TIMEFRAME_H6 = mt5.TIMEFRAME_H6
TIMEFRAME_H8 = mt5.TIMEFRAME_H8
TIMEFRAME_H12 = mt5.TIMEFRAME_H12
TIMEFRAME_D1 = mt5.TIMEFRAME_D1
TIMEFRAME_W1 = mt5.TIMEFRAME_W1
TIMEFRAME_MN1 = mt5.TIMEFRAME_MN1
def __init__(self):
# Connect to MetaTrader5. Opens if not already open.
@@ -48,16 +71,38 @@ class MT5:
return selected_symbols
def get_prices(self, symbol, from_date, to_date):
def get_prices(self, symbol, from_date, to_date, timeframe):
"""
Gets the 1 weeks of M15 OHLC price data for the specified symbol.
Gets OHLC price data for the specified symbol.
:param symbol: The MT5 symbol to get the price data for
:param from_date: Date from when to retrieve data
:param to_date: Date where to receive data to
:param timeframe: The timeframe for the candes. Possible values are:
TIMEFRAME_M1: 1 minute
TIMEFRAME_M2: 2 minutes
TIMEFRAME_M3: 3 minutes
TIMEFRAME_M4: 4 minutes
TIMEFRAME_M5: 5 minutes
TIMEFRAME_M6: 6 minutes
TIMEFRAME_M10: 10 minutes
TIMEFRAME_M12: 12 minutes
TIMEFRAME_M15: 15 minutes
TIMEFRAME_M20: 20 minutes
TIMEFRAME_M30: 30 minutes
TIMEFRAME_H1: 1 hour
TIMEFRAME_H2: 2 hours
TIMEFRAME_H3: 3 hours
TIMEFRAME_H4: 4 hours
TIMEFRAME_H6: 6 hours
TIMEFRAME_H8: 8 hours
TIMEFRAME_H12: 12 hours
TIMEFRAME_D1: 1 day
TIMEFRAME_W1: 1 week
TIMEFRAME_MN1: 1 month
:return: Price data for symbol as dataframe
"""
# Get prices from MT5
prices = mt5.copy_rates_range(symbol.name, mt5.TIMEFRAME_M15, from_date, to_date)
prices = mt5.copy_rates_range(symbol.name, timeframe, from_date, to_date)
self.log.info(f"{len(prices)} prices retrieved for {symbol.name}.")
# Create dataframe from data and convert time in seconds to datetime format