Michael Halls-Moore
81 lines
3.2 KiB
Python
81 lines
3.2 KiB
Python
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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