Jamie Cash
147 lines
5.1 KiB
Python
147 lines
5.1 KiB
Python
import pandas as pd
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import MetaTrader5
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import logging
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# Timeframes
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TIMEFRAME_M1 = MetaTrader5.TIMEFRAME_M1
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TIMEFRAME_M2 = MetaTrader5.TIMEFRAME_M2
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TIMEFRAME_M3 = MetaTrader5.TIMEFRAME_M3
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TIMEFRAME_M4 = MetaTrader5.TIMEFRAME_M4
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TIMEFRAME_M5 = MetaTrader5.TIMEFRAME_M5
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TIMEFRAME_M6 = MetaTrader5.TIMEFRAME_M6
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TIMEFRAME_M10 = MetaTrader5.TIMEFRAME_M10
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TIMEFRAME_M12 = MetaTrader5.TIMEFRAME_M12
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TIMEFRAME_M15 = MetaTrader5.TIMEFRAME_M15
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TIMEFRAME_M20 = MetaTrader5.TIMEFRAME_M20
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TIMEFRAME_M30 = MetaTrader5.TIMEFRAME_M30
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TIMEFRAME_H1 = MetaTrader5.TIMEFRAME_H1
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TIMEFRAME_H2 = MetaTrader5.TIMEFRAME_H2
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TIMEFRAME_H3 = MetaTrader5.TIMEFRAME_H3
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TIMEFRAME_H4 = MetaTrader5.TIMEFRAME_H4
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TIMEFRAME_H6 = MetaTrader5.TIMEFRAME_H6
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TIMEFRAME_H8 = MetaTrader5.TIMEFRAME_H8
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TIMEFRAME_H12 = MetaTrader5.TIMEFRAME_H12
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TIMEFRAME_D1 = MetaTrader5.TIMEFRAME_D1
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TIMEFRAME_W1 = MetaTrader5.TIMEFRAME_W1
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TIMEFRAME_MN1 = MetaTrader5.TIMEFRAME_MN1
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class MT5:
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"""
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A class to connect to and interface with MetaTrader 5
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"""
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def __init__(self):
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# Connect to MetaTrader5. Opens if not already open.
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# Logger
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self.__log = logging.getLogger(__name__)
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# Open MT5 and log error if it could not open
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if not MetaTrader5.initialize():
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self.__log.error("initialize() failed")
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MetaTrader5.shutdown()
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# Print connection status
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self.__log.debug(MetaTrader5.terminal_info())
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# Print data on MetaTrader 5 version
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self.__log.debug(MetaTrader5.version())
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def __del__(self):
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# shut down connection to the MetaTrader 5 terminal
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MetaTrader5.shutdown()
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def get_symbols(self):
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"""
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Gets list of symbols open in MT5 market watch.
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:return: list of symbol names
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"""
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# Iterate symbols and get those in market watch.
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symbols = MetaTrader5.symbols_get()
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selected_symbols = []
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for symbol in symbols:
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if symbol.visible:
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selected_symbols.append(symbol.name)
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# Log symbol counts
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total_symbols = MetaTrader5.symbols_total()
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num_selected_symbols = len(selected_symbols)
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self.__log.debug(f"{num_selected_symbols} of {total_symbols} available symbols in Market Watch.")
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return selected_symbols
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def get_prices(self, symbol, from_date, to_date, timeframe):
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"""
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Gets OHLC price data for the specified symbol.
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:param symbol: The name of the symbol to get the price data for.
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:param from_date: Date from when to retrieve data
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:param to_date: Date where to receive data to
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:param timeframe: The timeframe for the candes. Possible values are:
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TIMEFRAME_M1: 1 minute
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TIMEFRAME_M2: 2 minutes
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TIMEFRAME_M3: 3 minutes
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TIMEFRAME_M4: 4 minutes
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TIMEFRAME_M5: 5 minutes
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TIMEFRAME_M6: 6 minutes
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TIMEFRAME_M10: 10 minutes
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TIMEFRAME_M12: 12 minutes
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TIMEFRAME_M15: 15 minutes
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TIMEFRAME_M20: 20 minutes
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TIMEFRAME_M30: 30 minutes
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TIMEFRAME_H1: 1 hour
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TIMEFRAME_H2: 2 hours
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TIMEFRAME_H3: 3 hours
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TIMEFRAME_H4: 4 hours
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TIMEFRAME_H6: 6 hours
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TIMEFRAME_H8: 8 hours
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TIMEFRAME_H12: 12 hours
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TIMEFRAME_D1: 1 day
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TIMEFRAME_W1: 1 week
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TIMEFRAME_MN1: 1 month
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:return: Price data for symbol as dataframe
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"""
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prices_dataframe = None
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# Get prices from MT5
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prices = MetaTrader5.copy_rates_range(symbol, timeframe, from_date, to_date)
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if prices is not None:
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self.__log.debug(f"{len(prices)} prices retrieved for {symbol}.")
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# Create dataframe from data and convert time in seconds to datetime format
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prices_dataframe = pd.DataFrame(prices)
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prices_dataframe['time'] = pd.to_datetime(prices_dataframe['time'], unit='s')
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return prices_dataframe
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def get_ticks(self, symbol, from_date, to_date):
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"""
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Gets OHLC price data for the specified symbol.
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:param symbol: The name of the symbol to get the price data for.
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:param from_date: Date from when to retrieve data
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:param to_date: Date where to receive data to
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:return: Tick data for symbol as dataframe
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"""
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ticks_dataframe = None
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# Get ticks from MT5
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ticks = MetaTrader5.copy_ticks_range(symbol, from_date, to_date, MetaTrader5.COPY_TICKS_ALL)
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# If ticks is None, there was an error
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if ticks is None:
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error = MetaTrader5.last_error()
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self.__log.error(f"Error retrieving ticks for {symbol}: {error}")
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else:
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self.__log.debug(f"{len(ticks)} ticks retrieved for {symbol}.")
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# Create dataframe from data and convert time in seconds to datetime format
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try:
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ticks_dataframe = pd.DataFrame(ticks)
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ticks_dataframe['time'] = pd.to_datetime(ticks_dataframe['time'], unit='s')
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except RecursionError:
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self.__log.warning("Error converting ticks to dataframe.")
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return ticks_dataframe
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