Moved streaming.py into data directory. Modified how trading.py and backtest.py behave so that the price streaming is fixed.

2015-04-23 12:45:40 +01:00
parent e84512e1e7
commit 8e74edb4f7
6 changed files with 139 additions and 137 deletions
@@ -0,0 +1,80 @@
+from decimal import Decimal, ROUND_HALF_DOWN
+import requests
+import json
+
+from qsforex.event.event import TickEvent
+from qsforex.data.price import PriceHandler
+
+
+class StreamingForexPrices(PriceHandler):
+    def __init__(
+        self, domain, access_token, 
+        account_id, pairs, events_queue
+    ):
+        self.domain = domain
+        self.access_token = access_token
+        self.account_id = account_id
+        self.events_queue = events_queue
+        self.pairs = pairs
+        self.prices = self._set_up_prices_dict()
+
+    def invert_prices(self, pair, bid, ask):
+        """
+        Simply inverts the prices for a particular currency pair.
+        This will turn the bid/ask of "GBPUSD" into bid/ask for
+        "USDGBP" and place them in the prices dictionary.
+        """
+        inv_pair = "%s%s" % (pair[3:], pair[:3])
+        inv_bid = (Decimal("1.0")/bid).quantize(
+            Decimal("0.00001", ROUND_HALF_DOWN)
+        )
+        inv_ask = (Decimal("1.0")/ask).quantize(
+            Decimal("0.00001", ROUND_HALF_DOWN)
+        )
+        return inv_pair, inv_bid, inv_ask
+
+    def connect_to_stream(self):
+        pairs_oanda = ["%s_%s" % (p[:3], p[3:]) for p in self.pairs]
+        try:
+            s = requests.Session()
+            url = "https://" + self.domain + "/v1/prices"
+            headers = {'Authorization' : 'Bearer ' + self.access_token}
+            params = {'instruments' : pairs_oanda, 'accountId' : self.account_id}
+            req = requests.Request('GET', url, headers=headers, params=params)
+            pre = req.prepare()
+            resp = s.send(pre, stream=True, verify=False)
+            return resp
+        except Exception as e:
+            s.close()
+            print "Caught exception when connecting to stream\n" + str(e) 
+
+    def stream_to_queue(self):
+        response = self.connect_to_stream()
+        if response.status_code != 200:
+            return
+        for line in response.iter_lines(1):
+            if line:
+                try:
+                    msg = json.loads(line)
+                except Exception as e:
+                    print "Caught exception when converting message into json\n" + str(e)
+                    return
+                if msg.has_key("instrument") or msg.has_key("tick"):
+                    print msg
+                    instrument = msg["tick"]["instrument"].replace("_", "")
+                    time = msg["tick"]["time"]
+                    bid = Decimal(str(msg["tick"]["bid"])).quantize(
+                        Decimal("0.00001", ROUND_HALF_DOWN)
+                    )
+                    ask = Decimal(str(msg["tick"]["ask"])).quantize(
+                        Decimal("0.00001", ROUND_HALF_DOWN)
+                    )
+                    self.prices[instrument]["bid"] = bid
+                    self.prices[instrument]["ask"] = ask
+                    # Invert the prices (GBP_USD -> USD_GBP)
+                    inv_pair, inv_bid, inv_ask = self.invert_prices(instrument, bid, ask)
+                    self.prices[inv_pair]["bid"] = inv_bid
+                    self.prices[inv_pair]["ask"] = inv_ask
+                    self.prices[inv_pair]["time"] = time
+                    tev = TickEvent(instrument, time, bid, ask)
+                    self.events_queue.put(tev)