Moved streaming.py into data directory. Modified how trading.py and backtest.py behave so that the price streaming is fixed.
This commit is contained in:
Michael Halls-Moore
+53
-75
@@ -1,6 +1,5 @@
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from abc import ABCMeta, abstractmethod
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import datetime
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from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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from decimal import Decimal, ROUND_HALF_DOWN
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import os
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import os.path
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import time
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@@ -26,15 +25,48 @@ class PriceHandler(object):
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backtesting suite.
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"""
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__metaclass__ = ABCMeta
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def _set_up_prices_dict(self):
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"""
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Due to the way that the Position object handles P&L
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calculation, it is necessary to include values for not
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only base/quote currencies but also their reciprocals.
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This means that this class will contain keys for, e.g.
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"GBPUSD" and "USDGBP".
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@abstractmethod
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def stream_to_queue(self):
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At this stage they are calculated in an ad-hoc manner,
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but a future TODO is to modify the following code to
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be more robust and straightforward to follow.
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"""
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Streams a sequence of tick data events (timestamp, bid, ask)
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tuples to the events queue.
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prices_dict = dict(
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(k, v) for k,v in [
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(p, {"bid": None, "ask": None, "time": None}) for p in self.pairs
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]
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)
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inv_prices_dict = dict(
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(k, v) for k,v in [
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(
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"%s%s" % (p[3:], p[:3]),
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{"bid": None, "ask": None, "time": None}
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) for p in self.pairs
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]
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)
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prices_dict.update(inv_prices_dict)
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return prices_dict
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def invert_prices(self, pair, bid, ask):
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"""
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raise NotImplementedError("Should implement stream_to_queue()")
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Simply inverts the prices for a particular currency pair.
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This will turn the bid/ask of "GBPUSD" into bid/ask for
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"USDGBP" and place them in the prices dictionary.
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"""
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inv_pair = "%s%s" % (pair[3:], pair[:3])
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inv_bid = (Decimal("1.0")/bid).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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inv_ask = (Decimal("1.0")/ask).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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return inv_pair, inv_bid, inv_ask
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class HistoricCSVPriceHandler(PriceHandler):
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@@ -65,34 +97,6 @@ class HistoricCSVPriceHandler(PriceHandler):
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self.pair_frames = {}
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self._open_convert_csv_files()
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def _set_up_prices_dict(self):
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"""
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Due to the way that the Position object handles P&L
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calculation, it is necessary to include values for not
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only base/quote currencies but also their reciprocals.
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This means that this class will contain keys for, e.g.
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"GBPUSD" and "USDGBP".
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At this stage they are calculated in an ad-hoc manner,
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but a future TODO is to modify the following code to
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be more robust and straightforward to follow.
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"""
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prices_dict = dict(
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(k, v) for k,v in [
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(p, {"bid": None, "ask": None, "time": None}) for p in self.pairs
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]
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)
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inv_prices_dict = dict(
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(k, v) for k,v in [
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(
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"%s%s" % (p[3:], p[:3]),
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{"bid": None, "ask": None, "time": None}
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) for p in self.pairs
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]
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)
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prices_dict.update(inv_prices_dict)
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return prices_dict
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def _open_convert_csv_files(self):
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"""
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Opens the CSV files from the data directory, converting
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@@ -112,24 +116,6 @@ class HistoricCSVPriceHandler(PriceHandler):
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self.pair_frames[p]["Pair"] = p
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self.all_pairs = pd.concat(self.pair_frames.values()).sort().iterrows()
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def invert_prices(self, row):
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"""
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Simply inverts the prices for a particular currency pair.
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This will turn the bid/ask of "GBPUSD" into bid/ask for
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"USDGBP" and place them in the prices dictionary.
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"""
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pair = row["Pair"]
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bid = row["Bid"]
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ask = row["Ask"]
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inv_pair = "%s%s" % (pair[3:], pair[:3])
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inv_bid = Decimal(str(1.0/bid)).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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inv_ask = Decimal(str(1.0/ask)).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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return inv_pair, inv_bid, inv_ask
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def stream_next_tick(self):
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"""
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The Backtester has now moved over to a single-threaded
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@@ -147,33 +133,25 @@ class HistoricCSVPriceHandler(PriceHandler):
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except StopIteration:
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return
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else:
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self.prices[row["Pair"]]["bid"] = Decimal(str(row["Bid"])).quantize(
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pair = row["Pair"]
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bid = Decimal(str(row["Bid"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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self.prices[row["Pair"]]["ask"] = Decimal(str(row["Ask"])).quantize(
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ask = Decimal(str(row["Ask"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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self.prices[row["Pair"]]["time"] = index
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inv_pair, inv_bid, inv_ask = self.invert_prices(row)
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self.prices[inv_pair]["bid"] = inv_bid
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self.prices[inv_pair]["ask"] = inv_ask
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self.prices[inv_pair]["time"] = index
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tev = TickEvent(row["Pair"], index, row["Bid"], row["Ask"])
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self.events_queue.put(tev)
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def stream_to_queue(self):
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self._open_convert_csv_files()
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for index, row in self.all_pairs:
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self.prices[row["Pair"]]["bid"] = Decimal(str(row["Bid"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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self.prices[row["Pair"]]["ask"] = Decimal(str(row["Ask"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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self.prices[row["Pair"]]["time"] = index
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inv_pair, inv_bid, inv_ask = self.invert_prices(row)
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# Create decimalised prices for traded pair
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self.prices[pair]["bid"] = bid
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self.prices[pair]["ask"] = ask
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self.prices[pair]["time"] = index
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# Create decimalised prices for inverted pair
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inv_pair, inv_bid, inv_ask = self.invert_prices(pair, bid, ask)
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self.prices[inv_pair]["bid"] = inv_bid
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self.prices[inv_pair]["ask"] = inv_ask
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self.prices[inv_pair]["time"] = index
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tev = TickEvent(row["Pair"], index, row["Bid"], row["Ask"])
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# Create the tick event for the queue
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tev = TickEvent(pair, index, bid, ask)
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self.events_queue.put(tev)
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@@ -0,0 +1,80 @@
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from decimal import Decimal, ROUND_HALF_DOWN
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import requests
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import json
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from qsforex.event.event import TickEvent
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from qsforex.data.price import PriceHandler
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class StreamingForexPrices(PriceHandler):
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def __init__(
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self, domain, access_token,
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account_id, pairs, events_queue
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):
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self.domain = domain
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self.access_token = access_token
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self.account_id = account_id
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self.events_queue = events_queue
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self.pairs = pairs
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self.prices = self._set_up_prices_dict()
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def invert_prices(self, pair, bid, ask):
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"""
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Simply inverts the prices for a particular currency pair.
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This will turn the bid/ask of "GBPUSD" into bid/ask for
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"USDGBP" and place them in the prices dictionary.
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"""
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inv_pair = "%s%s" % (pair[3:], pair[:3])
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inv_bid = (Decimal("1.0")/bid).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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inv_ask = (Decimal("1.0")/ask).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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return inv_pair, inv_bid, inv_ask
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def connect_to_stream(self):
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pairs_oanda = ["%s_%s" % (p[:3], p[3:]) for p in self.pairs]
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try:
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s = requests.Session()
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url = "https://" + self.domain + "/v1/prices"
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headers = {'Authorization' : 'Bearer ' + self.access_token}
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params = {'instruments' : pairs_oanda, 'accountId' : self.account_id}
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req = requests.Request('GET', url, headers=headers, params=params)
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pre = req.prepare()
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resp = s.send(pre, stream=True, verify=False)
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return resp
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except Exception as e:
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s.close()
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print "Caught exception when connecting to stream\n" + str(e)
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def stream_to_queue(self):
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response = self.connect_to_stream()
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if response.status_code != 200:
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return
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for line in response.iter_lines(1):
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if line:
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try:
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msg = json.loads(line)
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except Exception as e:
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print "Caught exception when converting message into json\n" + str(e)
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return
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if msg.has_key("instrument") or msg.has_key("tick"):
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print msg
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instrument = msg["tick"]["instrument"].replace("_", "")
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time = msg["tick"]["time"]
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bid = Decimal(str(msg["tick"]["bid"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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ask = Decimal(str(msg["tick"]["ask"])).quantize(
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Decimal("0.00001", ROUND_HALF_DOWN)
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)
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self.prices[instrument]["bid"] = bid
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self.prices[instrument]["ask"] = ask
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# Invert the prices (GBP_USD -> USD_GBP)
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inv_pair, inv_bid, inv_ask = self.invert_prices(instrument, bid, ask)
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self.prices[inv_pair]["bid"] = inv_bid
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self.prices[inv_pair]["ask"] = inv_ask
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self.prices[inv_pair]["time"] = time
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tev = TickEvent(instrument, time, bid, ask)
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self.events_queue.put(tev)
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