Michael Halls-Moore
102 lines
3.2 KiB
Python
102 lines
3.2 KiB
Python
import copy
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from decimal import Decimal, getcontext
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import logging
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import logging.config
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try:
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import Queue as queue
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except ImportError:
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import queue
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import threading
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import time
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from qsforex.execution.execution import OANDAExecutionHandler
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from qsforex.portfolio.portfolio import Portfolio
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from qsforex import settings
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from qsforex.strategy.strategy import TestStrategy
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from qsforex.data.streaming import StreamingForexPrices
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def trade(events, strategy, portfolio, execution, heartbeat):
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"""
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Carries out an infinite while loop that polls the
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events queue and directs each event to either the
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strategy component of the execution handler. The
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loop will then pause for "heartbeat" seconds and
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continue.
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"""
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while True:
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try:
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event = events.get(False)
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except queue.Empty:
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pass
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else:
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if event is not None:
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if event.type == 'TICK':
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logger.info("Received new tick event: %s", event)
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strategy.calculate_signals(event)
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portfolio.update_portfolio(event)
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elif event.type == 'SIGNAL':
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logger.info("Received new signal event: %s", event)
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portfolio.execute_signal(event)
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elif event.type == 'ORDER':
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logger.info("Received new order event: %s", event)
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execution.execute_order(event)
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time.sleep(heartbeat)
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if __name__ == "__main__":
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# Set up logging
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logging.config.fileConfig('../logging.conf')
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logger = logging.getLogger('qsforex.trading.trading')
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# Set the number of decimal places to 2
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getcontext().prec = 2
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heartbeat = 0.0 # Time in seconds between polling
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events = queue.Queue()
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equity = settings.EQUITY
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# Pairs to include in streaming data set
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pairs = ["EURUSD", "GBPUSD"]
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# Create the OANDA market price streaming class
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# making sure to provide authentication commands
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prices = StreamingForexPrices(
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settings.STREAM_DOMAIN, settings.ACCESS_TOKEN,
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settings.ACCOUNT_ID, pairs, events
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)
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# Create the strategy/signal generator, passing the
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# instrument and the events queue
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strategy = TestStrategy(pairs, events)
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# Create the portfolio object that will be used to
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# compare the OANDA positions with the local, to
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# ensure backtesting integrity.
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portfolio = Portfolio(
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prices, events, equity=equity, backtest=False
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)
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# Create the execution handler making sure to
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# provide authentication commands
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execution = OANDAExecutionHandler(
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settings.API_DOMAIN,
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settings.ACCESS_TOKEN,
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settings.ACCOUNT_ID
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)
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# Create two separate threads: One for the trading loop
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# and another for the market price streaming class
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trade_thread = threading.Thread(
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target=trade, args=(
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events, strategy, portfolio, execution, heartbeat
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)
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)
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price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
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# Start both threads
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logger.info("Starting trading thread")
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trade_thread.start()
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logger.info("Starting price streaming thread")
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price_thread.start()
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