Added remaining trading system around portfolio in order to compare with OANDA.

event/event.py

@@ -0,0 +1,28 @@
+class Event(object):
+    pass
+
+
+class TickEvent(Event):
+    def __init__(self, instrument, time, bid, ask):
+        self.type = 'TICK'
+        self.instrument = instrument
+        self.time = time
+        self.bid = bid
+        self.ask = ask
+
+
+class SignalEvent(Event):
+    def __init__(self, instrument, order_type, side):
+        self.type = 'SIGNAL'
+        self.instrument = instrument
+        self.order_type = order_type
+        self.side = side        
+
+
+class OrderEvent(Event):
+    def __init__(self, instrument, units, order_type, side):
+        self.type = 'ORDER'
+        self.instrument = instrument
+        self.units = units
+        self.order_type = order_type
+        self.side = side        

execution/execution.py

@@ -0,0 +1,33 @@
+import httplib
+import urllib
+
+
+class Execution(object):
+    def __init__(self, domain, access_token, account_id):
+        self.domain = domain
+        self.access_token = access_token
+        self.account_id = account_id
+        self.conn = self.obtain_connection()
+
+    def obtain_connection(self):
+        return httplib.HTTPSConnection(self.domain)
+
+    def execute_order(self, event):
+        headers = {
+            "Content-Type": "application/x-www-form-urlencoded",
+            "Authorization": "Bearer " + self.access_token
+        }
+        params = urllib.urlencode({
+            "instrument" : event.instrument,
+            "units" : event.units,
+            "type" : event.order_type,
+            "side" : event.side
+        })
+        self.conn.request(
+            "POST", 
+            "/v1/accounts/%s/orders" % str(self.account_id), 
+            params, headers
+        )
+        response = self.conn.getresponse().read()
+        print response
+        

portfolio/portfolio.py

@@ -1,20 +1,22 @@
 from copy import deepcopy
 
-from position import Position
+from qsforex.event.event import OrderEvent
+from qsforex.portfolio.position import Position
 
 
 class Portfolio(object):
     def __init__(
-        self, ticker, base="GBP", leverage=20, 
+        self, ticker, events, base="GBP", leverage=20, 
         equity=100000.0, risk_per_trade=0.02
     ):
         self.ticker = ticker
+        self.events = events
         self.base = base
         self.leverage = leverage
         self.equity = equity
         self.balance = deepcopy(self.equity)
         self.risk_per_trade = risk_per_trade
-        self.trade_units = self.calc_risk_position_size()
+        self.trade_units = 100000#self.calc_risk_position_size()
         self.positions = {}
 
     def calc_risk_position_size(self):
@@ -76,16 +78,16 @@ class Portfolio(object):
 
     def execute_signal(self, signal_event):
         side = signal_event.side
-        market = signal_event.market
-        units = self.risk_per_trade
+        market = signal_event.instrument
+        units = int(self.trade_units)
 
         # Check side for correct bid/ask prices
-        if side == "LONG":
-            add_price = self.ticker.cur_ask
-            remove_price = self.ticker.cur_bid
-        else:
-            add_price = self.ticker.cur_bid
-            remove_price = self.ticker.cur_ask
+        #if side == "buy":
+        add_price = self.ticker.cur_ask
+        remove_price = self.ticker.cur_bid
+        #else:
+            #add_price = self.ticker.cur_bid
+            #remove_price = self.ticker.cur_ask
         exposure = float(units)
 
         # If there is no position, create one
@@ -94,10 +96,13 @@ class Portfolio(object):
                 side, market, units, exposure,
                 add_price, remove_price
             )
+            order = OrderEvent(market, units, "market", "buy")
+            self.events.put(order)
         # If a position exists add or remove units
         else:
+            ps = self.positions[market]
             # Check if the sides equal
-            if side == ps[market].side:
+            if side == ps.side:
                 # Add to the position
                 add_position_units(
                     market, units, exposure,
@@ -108,6 +113,8 @@ class Portfolio(object):
                 if units == ps.units:
                     # Close the position
                     self.close_position(market, remove_price)
+                    order = OrderEvent(market, units, "market", "sell")
+                    self.events.put(order)
                 elif units < ps.units:
                     # Remove from the position
                     self.remove_position_units(
@@ -119,12 +126,13 @@ class Portfolio(object):
                     new_units = units - ps.units
                     self.close_position(market, remove_price)
                     
-                    if side == "LONG":
-                        new_side = "SHORT"
+                    if side == "buy":
+                        new_side = "sell"
                     else:
-                        new_side = "LONG"
+                        new_side = "sell"
                     new_exposure = float(units)
                     self.add_new_position(
                         new_side, market, new_units, 
                         new_exposure, add_price, remove_price
                     )
+        print "Balance: %0.2f" % self.balance

settings.py

@@ -0,0 +1,21 @@
+import os
+
+
+ENVIRONMENTS = { 
+    "streaming": {
+        "real": "stream-fxtrade.oanda.com",
+        "practice": "stream-fxpractice.oanda.com",
+        "sandbox": "stream-sandbox.oanda.com"
+    },
+    "api": {
+        "real": "api-fxtrade.oanda.com",
+        "practice": "api-fxpractice.oanda.com",
+        "sandbox": "api-sandbox.oanda.com"
+    }
+}
+
+DOMAIN = "practice"
+STREAM_DOMAIN = ENVIRONMENTS["streaming"][DOMAIN]
+API_DOMAIN = ENVIRONMENTS["api"][DOMAIN]
+ACCESS_TOKEN = os.environ.get('OANDA_API_ACCESS_TOKEN', None)
+ACCOUNT_ID = os.environ.get('OANDA_API_ACCOUNT_ID', None)

strategy/strategy.py

@@ -0,0 +1,18 @@
+from qsforex.event.event import SignalEvent
+
+
+class TestRandomStrategy(object):
+    def __init__(self, instrument, events):
+        self.instrument = instrument
+        self.events = events
+        self.ticks = 0
+
+    def calculate_signals(self, event):
+        if event.type == 'TICK':
+            self.ticks += 1
+            if self.ticks == 2:
+                signal = SignalEvent(self.instrument, "market", "buy")
+                self.events.put(signal)
+            if self.ticks == 10:
+                signal = SignalEvent(self.instrument, "market", "sell")
+                self.events.put(signal)

streaming/streaming.py

@@ -0,0 +1,57 @@
+import requests
+import json
+
+from qsforex.event.event import TickEvent
+
+
+class StreamingForexPrices(object):
+    def __init__(
+        self, domain, access_token, 
+        account_id, instruments, events_queue
+    ):
+        self.domain = domain
+        self.access_token = access_token
+        self.account_id = account_id
+        self.instruments = instruments
+        self.events_queue = events_queue
+        self.cur_bid = None
+        self.cur_ask = None
+
+    def connect_to_stream(self):      
+        try:
+            s = requests.Session()
+            url = "https://" + self.domain + "/v1/prices"
+            headers = {'Authorization' : 'Bearer ' + self.access_token}
+            params = {'instruments' : self.instruments, '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"]
+                    time = msg["tick"]["time"]
+                    bid = msg["tick"]["bid"]
+                    ask = msg["tick"]["ask"]
+                    self.cur_bid = bid
+                    self.cur_ask = ask
+                    tev = TickEvent(instrument, time, bid, ask)
+                    self.events_queue.put(tev)
+
+
+

trading/trading.py

@@ -0,0 +1,75 @@
+import copy
+import Queue
+import threading
+import time
+
+from qsforex.execution.execution import Execution
+from qsforex.portfolio.portfolio import Portfolio
+from qsforex.settings import STREAM_DOMAIN, API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID
+from qsforex.strategy.strategy import TestRandomStrategy
+from qsforex.streaming.streaming import StreamingForexPrices
+
+
+def trade(events, strategy, portfolio, execution):
+    """
+    Carries out an infinite while loop that polls the 
+    events queue and directs each event to either the
+    strategy component of the execution handler. The
+    loop will then pause for "heartbeat" seconds and
+    continue.
+    """
+    while True:
+        try:
+            event = events.get(False)
+        except Queue.Empty:
+            pass
+        else:
+            if event is not None:
+                if event.type == 'TICK':
+                    strategy.calculate_signals(event)
+                elif event.type == 'SIGNAL':
+                    portfolio.execute_signal(event)
+                elif event.type == 'ORDER':
+                    execution.execute_order(event)
+        time.sleep(heartbeat)
+
+
+if __name__ == "__main__":
+    heartbeat = 0.5  # Half a second between polling
+    events = Queue.Queue()
+
+    # Trade "Cable"
+    instrument = "GBP_USD"
+
+    # Create the OANDA market price streaming class
+    # making sure to provide authentication commands
+    prices = StreamingForexPrices(
+        STREAM_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID,
+        instrument, events
+    )
+
+    # Create the strategy/signal generator, passing the 
+    # instrument and the events queue
+    strategy = TestRandomStrategy(instrument, events)
+
+    # Create the portfolio object that will be used to
+    # compare the OANDA positions with the local, to
+    # ensure backtesting integrity.
+    portfolio = Portfolio(prices, events, equity=98505.02)
+
+    # Create the execution handler making sure to
+    # provide authentication commands
+    execution = Execution(API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID)
+    
+    # Create two separate threads: One for the trading loop
+    # and another for the market price streaming class
+    trade_thread = threading.Thread(
+        target=trade, args=(
+            events, strategy, portfolio, execution
+        )
+    )
+    price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
+    
+    # Start both threads
+    trade_thread.start()
+    price_thread.start()