├── .gitignore ├── LICENSE ├── README.md ├── examples ├── market_as_module.py ├── market_as_standalone_client.py └── market_as_standalone_server.py ├── extra └── DWX_ZeroMQ_Server_v2.0.1_RC8.mq4 ├── livetrader ├── __init__.py ├── exceptions.py ├── lib │ └── dwx_zeromq_connector.py ├── market │ ├── __init__.py │ ├── base.py │ ├── cache.py │ ├── dwx.py │ └── tdx.py ├── rpc.py ├── trade │ ├── __init__.py │ └── base.py └── utils.py ├── requirements.txt ├── setup.cfg └── setup.py /.gitignore: -------------------------------------------------------------------------------- 1 | .venv 2 | .vscode 3 | build 4 | dist 5 | *.egg-info 6 | __pycache__ -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU General Public License is a free, copyleft license for 11 | software and other kinds of works. 12 | 13 | The licenses for most software and other practical works are designed 14 | to take away your freedom to share and change the works. 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If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | Copyright (C) 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | ## livetrader 2 | 3 | ### 介绍 4 | livetrader 是一个整合了行情和交易接口的工具链。现在已经有很多比较成熟的交易框架了，比方说 [vnpy](https://github.com/vnpy/vnpy)、[quantaxis](https://github.com/QUANTAXIS/QUANTAXIS)、[backtrader](https://github.com/mementum/backtrader)、[zipline](https://github.com/quantopian/zipline)等，但有一个问题是这些框架都没有很好地解决的，那就是：不同框架对实盘行情、实盘交易的支持都不是很完整。 5 | 6 | 比方说 vnpy 的[交易接口](https://www.vnpy.com/docs/cn/gateway.html#id7)主要集中在数字货币、期货上，对于外汇只有 MT5 的接口，对于美股也是只有富途证券。再比方说 quantaxis 也主要集中在 A股和期货之上（[链接](https://doc.yutiansut.com/datafetch)），对于实盘交易接口部分因为了解的不多，所以不做过多评价，但就看文档而言，好似并没有找到实盘的支持。更别说国外的几个框架了 backtrader、zipline 的实盘基本上就只有 盈透(美股)、oanda(外汇) 这两 broker 的支持。 7 | 8 | 这样就会让我们遇到一个问题就是如果我们是一个单策略、多品种的交易模式的话，如果要覆盖所有的可程序化交易的 期货、美股、外汇、数字货币 就需要在不同的平台上维护多份代码，想要交易MT4的，就只能使用 MQL 语言编写策略，想要交易美股盈透证券的，就需要用 backtrader 来写逻辑，而在国内要交易期货的话， vnpy 和 quantaxis 又是两个不一样的选型。 9 | 10 | 所以，这个项目的目标是为了补充这些框架里不足的那一部分，**集中把行情接口、交易接口统一化**，然后再针对现在比较流行的几个交易框架(vnpy、quantaxis、backtrader) 提供相关的接口代码，这样无论之前是在哪个框架下编写的策略，就都可以获取全品种数据、交易全品种了（期货、美股、外汇、数字货币） 11 | 12 | ### 使用方式 13 | 14 | #### 安装 15 | 16 | ```bash 17 | pip install -U livetrader 18 | ``` 19 | 使用：可以参考 examples 目录里的代码 20 | 21 | ```python 22 | # 作为模块启动 23 | import asyncio 24 | 25 | from simpletrader.market import (CachedMarket, DwxMarket, MarketService, 26 | TdxMarket) 27 | 28 | 29 | async def listern_to_latest_kline(kline_queue): 30 | print('get latest kline') 31 | for i in range(5): 32 | (symbol, kline) = await kline_queue.get() 33 | print("%s, %s" % (symbol, kline)) 34 | 35 | 36 | async def get_kline_histories(service): 37 | print('get kline histories') 38 | histories = await service.get_kline_histories('US.BABA', limit=100) 39 | print(len(histories)) 40 | 41 | 42 | async def main(): 43 | market = TdxMarket(host='xx.xx.xx.xx:7727') 44 | service = MarketService(market, ['US.BABA']) 45 | kline_queue = service.start() 46 | await listern_to_latest_kline(kline_queue) 47 | await get_kline_histories(service) 48 | service.stop() 49 | 50 | if __name__ == "__main__": 51 | asyncio.run(main()) 52 | 53 | ``` 54 | 55 | ```python 56 | # 作为服务启动 57 | import logging 58 | 59 | from livetrader.market import CachedMarket, DwxMarket, MarketService, TdxMarket 60 | from livetrader.rpc import Server 61 | 62 | 63 | def create_server(): 64 | market = TdxMarket(host='xx.xx.xx.xx:7727') 65 | service = MarketService(market, ['US.BABA']) 66 | server = Server(service) 67 | server.bind('ipc:///tmp/market') 68 | return server 69 | 70 | 71 | if __name__ == "__main__": 72 | logging.basicConfig(format=' %(name)s :: %(levelname)-8s :: %(message)s') 73 | root_logger = logging.getLogger() 74 | root_logger.setLevel(logging.DEBUG) 75 | server = create_server() 76 | server.run() 77 | 78 | ``` 79 | ```python 80 | # 对应服务的客户端 81 | import asyncio 82 | import logging 83 | 84 | from livetrader.rpc import Client, MarketSubscriber 85 | 86 | 87 | class PrintSubscriber(MarketSubscriber): 88 | 89 | def on_kline(self, kline: dict): 90 | print('recv kline: %s' % kline, flush=True) 91 | 92 | 93 | def subscribe_kline(endpoint: str, symbol: str): 94 | subscriber = PrintSubscriber(symbol) 95 | subscriber.connect('ipc:///tmp/market') 96 | subscriber.run() 97 | return subscriber 98 | 99 | 100 | async def main(): 101 | endpoint = "ipc:///tmp/market" 102 | symbol = 'US.BABA' 103 | subscriber = subscribe_kline(endpoint, symbol) 104 | await asyncio.sleep(5) 105 | subscriber.close() 106 | 107 | client = Client() 108 | client.connect(endpoint) 109 | histories = client.get_kline_histories(symbol, None, 100) 110 | print(len(histories)) 111 | client.close() 112 | 113 | 114 | if __name__ == "__main__": 115 | logging.basicConfig(format=' %(name)s :: %(levelname)-8s :: %(message)s') 116 | root_logger = logging.getLogger() 117 | root_logger.setLevel(logging.DEBUG) 118 | asyncio.run(main()) 119 | 120 | ``` 121 | 122 | ## 程序架构 123 | 124 | 可以参考知乎的文章，知乎上的文章是随着项目开发，把思考过程都记录下来了：[知乎: 从零架构一个交易框架](https://zhuanlan.zhihu.com/p/268036337) 125 | 126 | ### RPC 127 | 因为这个项目的目标是为了服务各种不同的策略、不同和框架，所以基于不同的策略（日内、高频、日间）场景，提供了不一样的调用方式，而实现的方式主要基于 zeromq 来做的。 128 | 129 | 如果需要低延迟的话，可以以模块的方式加载服务，或者使用 zeromq 提供的 inproc 连接模式 130 | 131 | 如果需要本地调试方便，可以使用 ipc 的方式连接 132 | 133 | 如果需要分布式部署，可以使用 tcp 的方式连接 134 | 135 | 只要我们使用的不是模块的方式加载，我们都还会通过 MessagePack 的方式来序列化传输数据。在早期为了快速开发，就直接采用了 [zerorpc](http://www.zerorpc.io/) 来实现，但是 zerorpc 在性能上的问题比较大，所以到后期会重写一个 RPC 模块来替换掉 136 | 137 | ### 行情模块 138 | 139 | 第一个版本主要是做了以下行情的适配： 140 | 141 | 1. 美股：使用 pytdx 获取免费分钟数据 142 | 143 | 2. 外汇MT4：[dwx_zeromq_connector](https://github.com/darwinex/dwx-zeromq-connector) 144 | 145 | 3. 期货：计划采用 tqsdk 获取数据 146 | 147 | 148 | ### 交易模块 149 | 150 | 暂无，计划先做期货或者外汇 151 | 152 | ### 框架适配模块 153 | 154 | 暂无，计划先做 backtrader 的适配 155 | 156 | ## 关于 pytdx 的地址 157 | 158 | 可以参考 quantaxis 里的记录 [美股行情地址](https://github.com/QUANTAXIS/QUANTAXIS/blob/master/QUANTAXIS/QAUtil/QASetting.py#L364-L385) 159 | 160 | ## 关于外汇 MT4 161 | 162 | 因为 MT4 没有提供官方的 Api 接口，想要把里面的行情数据拿出来或者提交下单接口就只有两个方案： 163 | 164 | 1. 像pytdx一样抓包或者反编译 165 | 166 | 2. 用 MQL 语言写一个转发 167 | 168 | 好在现在已经有开源项目完成了后一种做法，这里就直接拿来用了：[dwx_zeromq_connector](https://github.com/darwinex/dwx-zeromq-connector)，具体如何部署可以参考这个项目里面的说明。要注意的是我在原项目上做了一点修改，可以直接使用 extra 目录里的 mq4 代码，然后在 python 这边把原项目的多线程版本改为了 asyncio 的异步版本，可以直接使用。 169 | 170 | ## 其它 171 | 172 | 有什么好的想法和建议欢迎提issue，更新应该比较勤快，欢迎 star 和 fork 这个项目。知乎上也请大家多多支持和关注 [知乎专栏](https://www.zhihu.com/column/c_1177533241622593536) 173 | -------------------------------------------------------------------------------- /examples/market_as_module.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | 3 | from livetrader.market import (CachedMarket, DwxMarket, MarketService, 4 | TdxMarket) 5 | 6 | 7 | async def listern_to_latest_kline(kline_queue): 8 | print('get latest kline') 9 | for i in range(5): 10 | (symbol, kline) = await kline_queue.get() 11 | print("%s, %s" % (symbol, kline)) 12 | 13 | 14 | async def get_kline_histories(service): 15 | print('get kline histories') 16 | histories = await service.get_kline_histories('FOREX.EURUSD', limit=100) 17 | print(len(histories)) 18 | 19 | 20 | async def main(): 21 | # Dwx 为外汇的行情获取，请参考文档设置 MT4 22 | market = DwxMarket(host='192.168.50.113') 23 | service = MarketService(market, ['FOREX.EURUSD']) 24 | kline_queue = service.start() 25 | await listern_to_latest_kline(kline_queue) 26 | await get_kline_histories(service) 27 | service.stop() 28 | 29 | if __name__ == "__main__": 30 | asyncio.run(main()) 31 | -------------------------------------------------------------------------------- /examples/market_as_standalone_client.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | import logging 3 | 4 | from livetrader.rpc import Client, MarketSubscriber 5 | 6 | 7 | class PrintSubscriber(MarketSubscriber): 8 | 9 | def on_kline(self, kline: dict): 10 | print('recv kline: %s' % kline, flush=True) 11 | 12 | 13 | def subscribe_kline(endpoint: str, symbol: str): 14 | subscriber = PrintSubscriber(symbol) 15 | subscriber.connect('ipc:///tmp/market') 16 | subscriber.run() 17 | return subscriber 18 | 19 | 20 | async def main(): 21 | endpoint = "ipc:///tmp/market" 22 | symbol = 'US.BABA' 23 | subscriber = subscribe_kline(endpoint, symbol) 24 | await asyncio.sleep(5) 25 | subscriber.close() 26 | 27 | client = Client() 28 | client.connect(endpoint) 29 | histories = client.get_kline_histories(symbol, None, 100) 30 | print(len(histories)) 31 | client.close() 32 | 33 | 34 | if __name__ == "__main__": 35 | logging.basicConfig(format=' %(name)s :: %(levelname)-8s :: %(message)s') 36 | root_logger = logging.getLogger() 37 | root_logger.setLevel(logging.DEBUG) 38 | asyncio.run(main()) 39 | -------------------------------------------------------------------------------- /examples/market_as_standalone_server.py: -------------------------------------------------------------------------------- 1 | import logging 2 | 3 | from livetrader.market import CachedMarket, DwxMarket, MarketService, TdxMarket 4 | from livetrader.rpc import Server 5 | 6 | 7 | def create_server(): 8 | market = CachedMarket( 9 | TdxMarket( 10 | host='59.175.238.38:7727'), 11 | mongodb_uri='mongodb://root:example@127.0.0.1:27017/?authMechanism=SCRAM-SHA-256') 12 | service = MarketService(market, ['US.BABA']) 13 | server = Server(service) 14 | server.bind('ipc:///tmp/market') 15 | return server 16 | 17 | 18 | if __name__ == "__main__": 19 | logging.basicConfig(format=' %(name)s :: %(levelname)-8s :: %(message)s') 20 | root_logger = logging.getLogger() 21 | root_logger.setLevel(logging.DEBUG) 22 | server = create_server() 23 | server.run() 24 | -------------------------------------------------------------------------------- /extra/DWX_ZeroMQ_Server_v2.0.1_RC8.mq4: -------------------------------------------------------------------------------- 1 | //+--------------------------------------------------------------+ 2 | //| DWX_ZeroMQ_Server_v2.0.1_RC8.mq4 3 | //| @author: Darwinex Labs (www.darwinex.com) 4 | //| 5 | //| Copyright (c) 2017-2020, Darwinex. All rights reserved. 6 | //| 7 | //| Licensed under the BSD 3-Clause License, you may not use this file except 8 | //| in compliance with the License. 9 | //| 10 | //| You may obtain a copy of the License at: 11 | //| https://opensource.org/licenses/BSD-3-Clause 12 | //+--------------------------------------------------------------+ 13 | #property copyright "Copyright 2017-2020, Darwinex Labs." 14 | #property link "https://www.darwinex.com/" 15 | #property version "2.0.1" 16 | #property strict 17 | 18 | // Required: MQL-ZMQ from https://github.com/dingmaotu/mql-zmq 19 | 20 | #include 21 | 22 | extern string PROJECT_NAME = "DWX_ZeroMQ_MT4_Server"; 23 | extern string ZEROMQ_PROTOCOL = "tcp"; 24 | extern string HOSTNAME = "*"; 25 | extern int PUSH_PORT = 32768; 26 | extern int PULL_PORT = 32769; 27 | extern int PUB_PORT = 32770; 28 | extern int MILLISECOND_TIMER = 1; 29 | extern int MILLISECOND_TIMER_PRICES = 500; 30 | 31 | extern string t0 = "--- Trading Parameters ---"; 32 | extern int MaximumOrders = 1; 33 | extern double MaximumLotSize = 0.01; 34 | extern int MaximumSlippage = 3; 35 | extern bool DMA_MODE = true; 36 | 37 | /** Now, MarketData and MarketRates flags can change in real time, according with 38 | * registered symbols and instruments. 39 | */ 40 | //extern string t1 = "--- ZeroMQ Configuration ---"; 41 | bool Publish_MarketData = false; 42 | bool Publish_MarketRates = false; 43 | 44 | long lastUpdateMillis = GetTickCount(); 45 | 46 | 47 | 48 | // Dynamic array initialized at OnInit(). Can be updated by TRACK_PRICES requests from client peers 49 | string Publish_Symbols[]; 50 | string Publish_Symbols_LastTick[]; 51 | 52 | // CREATE ZeroMQ Context 53 | Context context(PROJECT_NAME); 54 | 55 | // CREATE ZMQ_PUSH SOCKET 56 | Socket pushSocket(context, ZMQ_PUSH); 57 | 58 | // CREATE ZMQ_PULL SOCKET 59 | Socket pullSocket(context, ZMQ_PULL); 60 | 61 | // CREATE ZMQ_PUB SOCKET 62 | Socket pubSocket(context, ZMQ_PUB); 63 | 64 | // VARIABLES FOR LATER 65 | uchar _data[]; 66 | ZmqMsg request; 67 | 68 | /** 69 | * Class definition for an specific instrument: the tuple (symbol,timeframe) 70 | */ 71 | class Instrument { 72 | public: 73 | 74 | //-------------------------------------------------------------- 75 | /** Instrument constructor */ 76 | Instrument() { _symbol = ""; _name = ""; _timeframe = PERIOD_CURRENT; _last_pub_rate =0;} 77 | 78 | //-------------------------------------------------------------- 79 | /** Getters */ 80 | string symbol() { return _symbol; } 81 | ENUM_TIMEFRAMES timeframe() { return _timeframe; } 82 | string name() { return _name; } 83 | datetime getLastPublishTimestamp() { return _last_pub_rate; } 84 | /** Setters */ 85 | void setLastPublishTimestamp(datetime tmstmp) { _last_pub_rate = tmstmp; } 86 | 87 | //-------------------------------------------------------------- 88 | /** Setup instrument with symbol and timeframe descriptions 89 | * @param arg_symbol Symbol 90 | * @param arg_timeframe Timeframe 91 | */ 92 | void setup(string arg_symbol, ENUM_TIMEFRAMES arg_timeframe) { 93 | _symbol = arg_symbol; 94 | _timeframe = arg_timeframe; 95 | _name = _symbol + "_" + GetTimeframeText(_timeframe); 96 | _last_pub_rate = 0; 97 | } 98 | 99 | //-------------------------------------------------------------- 100 | /** Get last N MqlRates from this instrument (symbol-timeframe) 101 | * @param rates Receives last 'count' rates 102 | * @param count Number of requested rates 103 | * @return Number of returned rates 104 | */ 105 | int GetRates(MqlRates& rates[], int count) { 106 | // ensures that symbol is setup 107 | if(StringLen(_symbol) > 0) { 108 | return CopyRates(_symbol, _timeframe, 0, count, rates); 109 | } 110 | return 0; 111 | } 112 | 113 | protected: 114 | string _name; //!< Instrument descriptive name 115 | string _symbol; //!< Symbol 116 | ENUM_TIMEFRAMES _timeframe; //!< Timeframe 117 | datetime _last_pub_rate; //!< Timestamp of the last published OHLC rate. Default = 0 (1 Jan 1970) 118 | 119 | }; 120 | 121 | // Array of instruments whose rates will be published if Publish_MarketRates = True. It is initialized at OnInit() and 122 | // can be updated through TRACK_RATES request from client peers. 123 | Instrument Publish_Instruments[]; 124 | 125 | //+------------------------------------------------------------------+ 126 | //| Expert initialization function | 127 | //+------------------------------------------------------------------+ 128 | int OnInit() { 129 | 130 | EventSetMillisecondTimer(MILLISECOND_TIMER); // Set Millisecond Timer to get client socket input 131 | 132 | context.setBlocky(false); 133 | 134 | // Send responses to PULL_PORT that client is listening on. 135 | if(!pushSocket.bind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PULL_PORT))) { 136 | Print("[PUSH] ####ERROR#### Binding MT4 Server to Socket on Port " + IntegerToString(PULL_PORT) + ".."); 137 | return(INIT_FAILED); 138 | } else { 139 | Print("[PUSH] Binding MT4 Server to Socket on Port " + IntegerToString(PULL_PORT) + ".."); 140 | pushSocket.setSendHighWaterMark(1); 141 | pushSocket.setLinger(0); 142 | } 143 | 144 | // Receive commands from PUSH_PORT that client is sending to. 145 | if(!pullSocket.bind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUSH_PORT))) { 146 | Print("[PULL] ####ERROR#### Binding MT4 Server to Socket on Port " + IntegerToString(PUSH_PORT) + ".."); 147 | return(INIT_FAILED); 148 | } else { 149 | Print("[PULL] Binding MT4 Server to Socket on Port " + IntegerToString(PUSH_PORT) + ".."); 150 | pullSocket.setReceiveHighWaterMark(1); 151 | pullSocket.setLinger(0); 152 | } 153 | 154 | // Send new market data to PUB_PORT that client is subscribed to. 155 | if(!pubSocket.bind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUB_PORT))) { 156 | Print("[PUB] ####ERROR#### Binding MT4 Server to Socket on Port " + IntegerToString(PUB_PORT) + ".."); 157 | return(INIT_FAILED); 158 | } else { 159 | Print("[PUB] Binding MT4 Server to Socket on Port " + IntegerToString(PUB_PORT) + ".."); 160 | pubSocket.setSendHighWaterMark(1); 161 | pubSocket.setLinger(0); 162 | } 163 | return(INIT_SUCCEEDED); 164 | } 165 | //+------------------------------------------------------------------+ 166 | //| Expert deinitialization function | 167 | //+------------------------------------------------------------------+ 168 | void OnDeinit(const int reason) { 169 | 170 | Print("[PUSH] Unbinding MT4 Server from Socket on Port " + IntegerToString(PULL_PORT) + ".."); 171 | pushSocket.unbind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PULL_PORT)); 172 | pushSocket.disconnect(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PULL_PORT)); 173 | 174 | Print("[PULL] Unbinding MT4 Server from Socket on Port " + IntegerToString(PUSH_PORT) + ".."); 175 | pullSocket.unbind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUSH_PORT)); 176 | pullSocket.disconnect(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUSH_PORT)); 177 | 178 | if (Publish_MarketData == true || Publish_MarketRates == true) { 179 | Print("[PUB] Unbinding MT4 Server from Socket on Port " + IntegerToString(PUB_PORT) + ".."); 180 | pubSocket.unbind(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUB_PORT)); 181 | pubSocket.disconnect(StringFormat("%s://%s:%d", ZEROMQ_PROTOCOL, HOSTNAME, PUB_PORT)); 182 | } 183 | 184 | // Shutdown ZeroMQ Context 185 | context.shutdown(); 186 | context.destroy(0); 187 | 188 | EventKillTimer(); 189 | } 190 | 191 | //+------------------------------------------------------------------+ 192 | //| Expert tick function | 193 | //+------------------------------------------------------------------+ 194 | void OnTick() { 195 | /* 196 | Use this OnTick() function to send market data to subscribed client. 197 | */ 198 | lastUpdateMillis = GetTickCount(); 199 | 200 | if(CheckServerStatus() == true) { 201 | // Python clients can subscribe to a price feed for each tracked symbol 202 | if(Publish_MarketData == true) { 203 | 204 | for(int s = 0; s < ArraySize(Publish_Symbols); s++) { 205 | 206 | string _tick = GetBidAsk(Publish_Symbols[s]); 207 | // only update if bid or ask changed. 208 | if (StringCompare(Publish_Symbols_LastTick[s], _tick) == 0) continue; 209 | Publish_Symbols_LastTick[s] = _tick; 210 | // publish: topic=symbol msg=tick_data 211 | ZmqMsg reply(StringFormat("%s %s", Publish_Symbols[s], _tick)); 212 | Print("Sending PRICE [" + reply.getData() + "] to PUB Socket"); 213 | if(!pubSocket.send(reply, true)) { 214 | Print("###ERROR### Sending price"); 215 | } 216 | } 217 | } 218 | 219 | // Python clients can also subscribe to a rates feed for each tracked instrument 220 | if(Publish_MarketRates == true) { 221 | for(int s = 0; s < ArraySize(Publish_Instruments); s++) { 222 | MqlRates curr_rate[]; 223 | int count = Publish_Instruments[s].GetRates(curr_rate, 1); 224 | // if last rate is returned and its timestamp is greater than the last published... 225 | if(count > 0 && curr_rate[0].time > Publish_Instruments[s].getLastPublishTimestamp()) { 226 | // then send a new pub message with this new rate 227 | string _rates = StringFormat("%u;%f;%f;%f;%f;%d;%d;%d", 228 | curr_rate[0].time, 229 | curr_rate[0].open, 230 | curr_rate[0].high, 231 | curr_rate[0].low, 232 | curr_rate[0].close, 233 | curr_rate[0].tick_volume, 234 | curr_rate[0].spread, 235 | curr_rate[0].real_volume); 236 | ZmqMsg reply(StringFormat("%s %s", Publish_Instruments[s].name(), _rates)); 237 | Print("Sending Rates @"+TimeToStr(curr_rate[0].time) + " [" + reply.getData() + "] to PUB Socket"); 238 | if(!pubSocket.send(reply, true)) { 239 | Print("###ERROR### Sending rate"); 240 | } 241 | // updates the timestamp 242 | // Publish_Instruments[s].setLastPublishTimestamp(curr_rate[0].time); 243 | 244 | } 245 | } 246 | } 247 | } 248 | } 249 | 250 | //+------------------------------------------------------------------+ 251 | //| Expert timer function | 252 | //+------------------------------------------------------------------+ 253 | void OnTimer() { 254 | 255 | /* 256 | Use this OnTimer() function to get and respond to commands 257 | */ 258 | 259 | if(CheckServerStatus() == true) { 260 | // Get client's response, but don't block. 261 | pullSocket.recv(request, true); 262 | 263 | if (request.size() > 0) { 264 | // Wait 265 | // pullSocket.recv(request,false); 266 | 267 | // MessageHandler() should go here. 268 | ZmqMsg reply = MessageHandler(request); 269 | 270 | // Send response, and block 271 | // pushSocket.send(reply); 272 | 273 | // Send response, but don't block 274 | if(!pushSocket.send(reply, true)) { 275 | Print("###ERROR### Sending message"); 276 | } 277 | } 278 | 279 | // update prices regularly in case there was no tick within X milliseconds (for non-chart symbols). 280 | if (GetTickCount() >= lastUpdateMillis + MILLISECOND_TIMER_PRICES) OnTick(); 281 | } 282 | } 283 | //+------------------------------------------------------------------+ 284 | 285 | ZmqMsg MessageHandler(ZmqMsg &_request) { 286 | 287 | // Output object 288 | ZmqMsg reply; 289 | 290 | // Message components for later. 291 | string components[11]; 292 | 293 | if(_request.size() > 0) { 294 | 295 | // Get data from request 296 | ArrayResize(_data, _request.size()); 297 | _request.getData(_data); 298 | string dataStr = CharArrayToString(_data); 299 | 300 | // Process data 301 | ParseZmqMessage(dataStr, components); 302 | 303 | // Interpret data 304 | InterpretZmqMessage(pushSocket, components); 305 | 306 | } else { 307 | // NO DATA RECEIVED 308 | } 309 | 310 | return(reply); 311 | } 312 | 313 | //+------------------------------------------------------------------+ 314 | // Interpret Zmq Message and perform actions 315 | void InterpretZmqMessage(Socket &pSocket, string &compArray[]) { 316 | 317 | // Message Structures: 318 | 319 | // 1) Trading 320 | // TRADE|ACTION|TYPE|SYMBOL|PRICE|SL|TP|COMMENT|TICKET 321 | // e.g. TRADE|OPEN|1|EURUSD|0|50|50|R-to-MetaTrader4|12345678 322 | 323 | // The 12345678 at the end is the ticket ID, for MODIFY and CLOSE. 324 | 325 | // 2) Data Requests 326 | 327 | // 2.1) RATES|SYMBOL -> Returns Current Bid/Ask 328 | 329 | // 2.2) DATA|SYMBOL|TIMEFRAME|START_DATETIME|END_DATETIME 330 | 331 | // 2.3) HIST|SYMBOL|TIMEFRAME|START_DATETIME|END_DATETIME 332 | 333 | // 3) Instruments configuration 334 | 335 | // 3.1) TRACK_PRICES|SYMBOL_1|SYMBOL_2|...|SYMBOL_N -> List of symbols to receive real-time price updates (bid-ask) 336 | 337 | // 3.2) TRACK_RATES|INSTRUMENT_1|INSTRUMENT_2|...|INSTRUMENT_N -> List of instruments to receive OHLC rates 338 | // Note: Instruments are bilt with format: SYMBOL_TIMEFRAME for example: 339 | // Symbol: EURUSD, Timeframe: PERIOD_M1 ----> Instrument = "EURUSD_M1" 340 | // Symbol: GDAXI, Timeframe: PERIOD_H4 ----> Instrument = "GDAXI_H4" 341 | 342 | // NOTE: datetime has format: D'2015.01.01 00:00' 343 | 344 | /* 345 | compArray[0] = TRADE, HIST, TRACK_PRICES, TRACK_RATES 346 | If HIST, TRACK_PRICES, TRACK_RATES -> compArray[1] = Symbol 347 | 348 | If TRADE -> 349 | compArray[0] = TRADE 350 | compArray[1] = ACTION (e.g. OPEN, MODIFY, CLOSE) 351 | compArray[2] = TYPE (e.g. OP_BUY, OP_SELL, etc - only used when ACTION=OPEN) 352 | 353 | // ORDER TYPES: 354 | // https://docs.mql4.com/constants/tradingconstants/orderproperties 355 | 356 | // OP_BUY = 0 357 | // OP_SELL = 1 358 | // OP_BUYLIMIT = 2 359 | // OP_SELLLIMIT = 3 360 | // OP_BUYSTOP = 4 361 | // OP_SELLSTOP = 5 362 | 363 | compArray[3] = Symbol (e.g. EURUSD, etc.) 364 | compArray[4] = Open/Close Price (ignored if ACTION = MODIFY) 365 | compArray[5] = SL 366 | compArray[6] = TP 367 | compArray[7] = Trade Comment 368 | compArray[8] = Lots 369 | compArray[9] = Magic Number 370 | compArray[10] = Ticket Number (MODIFY/CLOSE) 371 | */ 372 | 373 | int switch_action = 0; 374 | 375 | /* 02-08-2019 10:41 CEST - HEARTBEAT */ 376 | if(compArray[0] == "HEARTBEAT") 377 | InformPullClient(pSocket, "{'_action': 'heartbeat', '_response': 'loud and clear!'}"); 378 | 379 | /* Process Messages */ 380 | if(compArray[0] == "TRADE" && compArray[1] == "OPEN") 381 | switch_action = 1; 382 | if(compArray[0] == "TRADE" && compArray[1] == "MODIFY") 383 | switch_action = 2; 384 | if(compArray[0] == "TRADE" && compArray[1] == "CLOSE") 385 | switch_action = 3; 386 | if(compArray[0] == "TRADE" && compArray[1] == "CLOSE_PARTIAL") 387 | switch_action = 4; 388 | if(compArray[0] == "TRADE" && compArray[1] == "CLOSE_MAGIC") 389 | switch_action = 5; 390 | if(compArray[0] == "TRADE" && compArray[1] == "CLOSE_ALL") 391 | switch_action = 6; 392 | if(compArray[0] == "TRADE" && compArray[1] == "GET_OPEN_TRADES") 393 | switch_action = 7; 394 | if(compArray[0] == "HIST") 395 | switch_action = 8; 396 | if(compArray[0] == "TRACK_PRICES") 397 | switch_action = 9; 398 | if(compArray[0] == "TRACK_RATES") 399 | switch_action = 10; 400 | 401 | // IMPORTANT: when adding new functions, also increase the max switch_action in CheckOpsStatus()! 402 | 403 | /* Setup processing variables */ 404 | string zmq_ret = ""; 405 | string ret = ""; 406 | int ticket = -1; 407 | bool ans = false; 408 | 409 | /**************************** 410 | * PERFORM SOME CHECKS HERE * 411 | ****************************/ 412 | if (CheckOpsStatus(pSocket, switch_action) == true) { 413 | 414 | switch(switch_action) { 415 | case 1: // OPEN TRADE 416 | 417 | zmq_ret = "{"; 418 | 419 | // Function definition: 420 | ticket = DWX_OpenOrder(compArray[3], StrToInteger(compArray[2]), StrToDouble(compArray[8]), StrToDouble(compArray[4]), 421 | StrToInteger(compArray[5]), StrToInteger(compArray[6]), compArray[7], StrToInteger(compArray[9]), zmq_ret); 422 | 423 | // Send TICKET back as JSON 424 | InformPullClient(pSocket, zmq_ret + "}"); 425 | 426 | break; 427 | 428 | 429 | case 2: // MODIFY SL/TP 430 | 431 | zmq_ret = "{'_action': 'MODIFY'"; 432 | 433 | // Function definition: 434 | ans = DWX_ModifyOrder(StrToInteger(compArray[10]), StrToDouble(compArray[4]), StrToDouble(compArray[5]), StrToDouble(compArray[6]), 3, zmq_ret); 435 | 436 | InformPullClient(pSocket, zmq_ret + "}"); 437 | 438 | break; 439 | 440 | case 3: // CLOSE TRADE 441 | 442 | zmq_ret = "{"; 443 | 444 | // IMPLEMENT CLOSE TRADE LOGIC HERE 445 | DWX_CloseOrder_Ticket(StrToInteger(compArray[10]), zmq_ret); 446 | 447 | InformPullClient(pSocket, zmq_ret + "}"); 448 | 449 | break; 450 | 451 | case 4: // CLOSE PARTIAL 452 | 453 | zmq_ret = "{"; 454 | 455 | ans = DWX_ClosePartial(StrToDouble(compArray[8]), zmq_ret, StrToInteger(compArray[10]), true); 456 | 457 | InformPullClient(pSocket, zmq_ret + "}"); 458 | 459 | break; 460 | 461 | case 5: // CLOSE MAGIC 462 | 463 | zmq_ret = "{"; 464 | 465 | DWX_CloseOrder_Magic(StrToInteger(compArray[9]), zmq_ret); 466 | 467 | InformPullClient(pSocket, zmq_ret + "}"); 468 | 469 | break; 470 | 471 | case 6: // CLOSE ALL ORDERS 472 | 473 | zmq_ret = "{"; 474 | 475 | DWX_CloseAllOrders(zmq_ret); 476 | 477 | InformPullClient(pSocket, zmq_ret + "}"); 478 | 479 | break; 480 | 481 | case 7: // GET OPEN ORDERS 482 | 483 | zmq_ret = "{"; 484 | 485 | DWX_GetOpenOrders(zmq_ret); 486 | 487 | InformPullClient(pSocket, zmq_ret + "}"); 488 | 489 | break; 490 | 491 | case 8: // HIST REQUEST 492 | 493 | zmq_ret = "{"; 494 | 495 | DWX_GetHist(compArray, zmq_ret); 496 | 497 | InformPullClient(pSocket, zmq_ret + "}"); 498 | 499 | break; 500 | 501 | case 9: // SETUP LIST OF SYMBOLS TO TRACK PRICES 502 | 503 | zmq_ret = "{"; 504 | 505 | DWX_SetSymbolList(compArray, zmq_ret); 506 | 507 | InformPullClient(pSocket, zmq_ret + "}"); 508 | 509 | break; 510 | 511 | case 10: // SETUP LIST OF INSTRUMENTS TO TRACK RATES 512 | 513 | zmq_ret = "{"; 514 | 515 | DWX_SetInstrumentList(compArray, zmq_ret); 516 | 517 | InformPullClient(pSocket, zmq_ret + "}"); 518 | 519 | break; 520 | 521 | // if a case is added, also change max switch_action in CheckOpsStatus()! 522 | 523 | default: 524 | break; 525 | } 526 | } 527 | } 528 | 529 | // Check if operations are permitted 530 | bool CheckOpsStatus(Socket &pSocket, int switch_action) { 531 | 532 | if (switch_action >= 1 && switch_action <= 10) { 533 | 534 | if (!IsTradeAllowed()) { 535 | InformPullClient(pSocket, "{'_response': 'TRADING_IS_NOT_ALLOWED__ABORTED_COMMAND'}"); 536 | return(false); 537 | } 538 | else if (!IsExpertEnabled()) { 539 | InformPullClient(pSocket, "{'_response': 'EA_IS_DISABLED__ABORTED_COMMAND'}"); 540 | return(false); 541 | } 542 | else if (IsTradeContextBusy()) { 543 | InformPullClient(pSocket, "{'_response': 'TRADE_CONTEXT_BUSY__ABORTED_COMMAND'}"); 544 | return(false); 545 | } 546 | else if (!IsDllsAllowed()) { 547 | InformPullClient(pSocket, "{'_response': 'DLLS_DISABLED__ABORTED_COMMAND'}"); 548 | return(false); 549 | } 550 | else if (!IsLibrariesAllowed()) { 551 | InformPullClient(pSocket, "{'_response': 'LIBS_DISABLED__ABORTED_COMMAND'}"); 552 | return(false); 553 | } 554 | else if (!IsConnected()) { 555 | InformPullClient(pSocket, "{'_response': 'NO_BROKER_CONNECTION__ABORTED_COMMAND'}"); 556 | return(false); 557 | } 558 | } 559 | 560 | return(true); 561 | } 562 | 563 | // Parse Zmq Message 564 | void ParseZmqMessage(string& message, string& retArray[]) { 565 | 566 | //Print("Parsing: " + message); 567 | 568 | string sep = ";"; 569 | ushort u_sep = StringGetCharacter(sep,0); 570 | 571 | int splits = StringSplit(message, u_sep, retArray); 572 | 573 | /* 574 | for(int i = 0; i < splits; i++) { 575 | Print(IntegerToString(i) + ") " + retArray[i]); 576 | } 577 | */ 578 | } 579 | 580 | //+------------------------------------------------------------------+ 581 | // Generate string for Bid/Ask by symbol 582 | string GetBidAsk(string symbol) { 583 | 584 | MqlTick last_tick; 585 | 586 | if(SymbolInfoTick(symbol,last_tick)) { 587 | return(StringFormat("%f;%f", last_tick.bid, last_tick.ask)); 588 | } 589 | 590 | // Default 591 | return ""; 592 | } 593 | 594 | //+------------------------------------------------------------------+ 595 | // Get historic for request datetime range 596 | void DWX_GetHist(string& compArray[], string& zmq_ret) { 597 | 598 | // Format: HIST|SYMBOL|TIMEFRAME|START_DATETIME|END_DATETIME 599 | 600 | string _symbol = compArray[1]; 601 | ENUM_TIMEFRAMES _timeframe = (ENUM_TIMEFRAMES)StrToInteger(compArray[2]); 602 | 603 | MqlRates rates_array[]; 604 | 605 | // Get prices 606 | int rates_count = 0; 607 | 608 | // Handling ERR_HISTORY_WILL_UPDATED (4066) and ERR_NO_HISTORY_DATA (4073) errors. 609 | // For non-chart symbols and time frames MT4 often needs a few requests until the data is available. 610 | // But even after 10 requests it can happen that it is not available. So it is best to have the charts open. 611 | for (int i=0; i<10; i++) { 612 | rates_count = CopyRates(_symbol, 613 | _timeframe, StrToTime(compArray[3]), 614 | StrToTime(compArray[4]), rates_array); 615 | int errorCode = GetLastError(); 616 | // Print("errorCode: ", errorCode); 617 | if (rates_count > 0 || (errorCode != 4066 && errorCode != 4073)) break; 618 | Sleep(200); 619 | } 620 | 621 | zmq_ret = zmq_ret + "'_action': 'HIST', '_symbol': '" + _symbol+ "_" + GetTimeframeText(_timeframe) + "'"; 622 | 623 | // if data then forms response as json: 624 | // {'_action: 'HIST', 625 | // '_data':[{'time': 'YYYY:MM:DD,HH:MM:SS', 'open':0.0, 'high':0.0, 'low':0.0, 'close':0.0, 'tick_volume:0, 'spread':0, 'real_volume':0}, 626 | // {...}, 627 | // ... 628 | // ] 629 | // } 630 | if (rates_count > 0) { 631 | 632 | zmq_ret = zmq_ret + ", '_data': ["; 633 | 634 | // Construct string of rates and send to PULL client. 635 | for(int i = 0; i < rates_count; i++ ) { 636 | 637 | if(i == 0) 638 | zmq_ret = zmq_ret + "{'time':'" + TimeToString(rates_array[i].time) + "', 'open':" + DoubleToString(rates_array[i].open) + ", 'high':" + DoubleToString(rates_array[i].high) + ", 'low':" + DoubleToString(rates_array[i].low) + ", 'close':" + DoubleToString(rates_array[i].close) + ", 'tick_volume':" + IntegerToString(rates_array[i].tick_volume) + ", 'spread':" + IntegerToString(rates_array[i].spread) + ", 'real_volume':" + IntegerToString(rates_array[i].real_volume) + "}"; 639 | else 640 | zmq_ret = zmq_ret + ", {'time':'" + TimeToString(rates_array[i].time) + "', 'open':" + DoubleToString(rates_array[i].open) + ", 'high':" + DoubleToString(rates_array[i].high) + ", 'low':" + DoubleToString(rates_array[i].low) + ", 'close':" + DoubleToString(rates_array[i].close) + ", 'tick_volume':" + IntegerToString(rates_array[i].tick_volume) + ", 'spread':" + IntegerToString(rates_array[i].spread) + ", 'real_volume':" + IntegerToString(rates_array[i].real_volume) + "}"; 641 | 642 | } 643 | 644 | zmq_ret = zmq_ret + "]"; 645 | 646 | } 647 | // if NO data then forms response as json: 648 | // {'_action: 'HIST', 649 | // '_response': 'NOT_AVAILABLE' 650 | // } 651 | else { 652 | zmq_ret = zmq_ret + ", " + "'_response': 'NOT_AVAILABLE'"; 653 | } 654 | } 655 | 656 | //+------------------------------------------------------------------+ 657 | // Set list of symbols to get real-time price data 658 | void DWX_SetSymbolList(string& compArray[], string& zmq_ret) { 659 | 660 | zmq_ret = zmq_ret + "'_action': 'TRACK_PRICES'"; 661 | 662 | // Format: TRACK_PRICES|SYMBOL_1|SYMBOL_2|...|SYMBOL_N 663 | string result = "Tracking PRICES from"; 664 | string errorSymbols = ""; 665 | int _num_symbols = ArraySize(compArray) - 1; 666 | if(_num_symbols > 0) { 667 | for(int s=0; s<_num_symbols; s++) { 668 | if (SymbolSelect(compArray[s+1], true)) { 669 | ArrayResize(Publish_Symbols, s+1); 670 | ArrayResize(Publish_Symbols_LastTick, s+1); 671 | Publish_Symbols[s] = compArray[s+1]; 672 | result += " " + Publish_Symbols[s]; 673 | } else { 674 | errorSymbols += "'" + compArray[s+1] + "', "; 675 | } 676 | } 677 | if (StringLen(errorSymbols) > 0) 678 | errorSymbols = "[" + StringSubstr(errorSymbols, 0, StringLen(errorSymbols)-2) + "]"; 679 | else 680 | errorSymbols = "[]"; 681 | zmq_ret = zmq_ret + ", '_data': {'symbol_count':" + IntegerToString(_num_symbols) + ", 'error_symbols':" + errorSymbols + "}"; 682 | Publish_MarketData = true; 683 | } else { 684 | Publish_MarketData = false; 685 | ArrayResize(Publish_Symbols, 1); 686 | ArrayResize(Publish_Symbols_LastTick, 1); 687 | zmq_ret = zmq_ret + ", '_data': {'symbol_count': 0}"; 688 | result += " NONE"; 689 | } 690 | Print(result); 691 | } 692 | 693 | 694 | //+------------------------------------------------------------------+ 695 | // Set list of instruments to get OHLC rates 696 | void DWX_SetInstrumentList(string& compArray[], string& zmq_ret) { 697 | 698 | zmq_ret = zmq_ret + "'_action': 'TRACK_RATES'"; 699 | 700 | printArray(compArray); 701 | 702 | // Format: TRACK_RATES|SYMBOL_1|TIMEFRAME_1|SYMBOL_2|TIMEFRAME_2|...|SYMBOL_N|TIMEFRAME_N 703 | string result = "Tracking RATES from"; 704 | string errorSymbols = ""; 705 | int _num_instruments = (ArraySize(compArray) - 1)/2; 706 | if(_num_instruments > 0) { 707 | for(int s=0; s<_num_instruments; s++) { 708 | if (SymbolSelect(compArray[(2*s)+1], true)) { 709 | ArrayResize(Publish_Instruments, s+1); 710 | Publish_Instruments[s].setup(compArray[(2*s)+1], (ENUM_TIMEFRAMES)StrToInteger(compArray[(2*s)+2])); 711 | result += " " + Publish_Instruments[s].name(); 712 | } else { 713 | errorSymbols += "'" + compArray[(2*s)+1] + "', "; 714 | } 715 | } 716 | if (StringLen(errorSymbols) > 0) 717 | errorSymbols = "[" + StringSubstr(errorSymbols, 0, StringLen(errorSymbols)-2) + "]"; 718 | else 719 | errorSymbols = "[]"; 720 | zmq_ret = zmq_ret + ", '_data': {'instrument_count':" + IntegerToString(_num_instruments) + ", 'error_symbols':" + errorSymbols + "}"; 721 | Publish_MarketRates = true; 722 | } else { 723 | Publish_MarketRates = false; 724 | ArrayResize(Publish_Instruments, 1); 725 | zmq_ret = zmq_ret + ", '_data': {'instrument_count': 0}"; 726 | result += " NONE"; 727 | } 728 | Print(result); 729 | } 730 | 731 | 732 | //+------------------------------------------------------------------+ 733 | // Get Timeframe from text 734 | string GetTimeframeText(ENUM_TIMEFRAMES tf) { 735 | // Standard timeframes 736 | switch(tf) { 737 | case PERIOD_M1: return "M1"; 738 | case PERIOD_M5: return "M5"; 739 | case PERIOD_M15: return "M15"; 740 | case PERIOD_M30: return "M30"; 741 | case PERIOD_H1: return "H1"; 742 | case PERIOD_H4: return "H4"; 743 | case PERIOD_D1: return "D1"; 744 | case PERIOD_W1: return "W1"; 745 | case PERIOD_MN1: return "MN1"; 746 | default: return "UNKNOWN"; 747 | } 748 | } 749 | 750 | // Inform Client 751 | void InformPullClient(Socket& pSocket, string message) { 752 | 753 | ZmqMsg pushReply(message); 754 | 755 | pSocket.send(pushReply,true); // NON-BLOCKING 756 | 757 | } 758 | 759 | //+------------------------------------------------------------------+ 760 | 761 | // OPEN NEW ORDER 762 | int DWX_OpenOrder(string _symbol, int _type, double _lots, double _price, double _SL, double _TP, string _comment, int _magic, string &zmq_ret) { 763 | 764 | int ticket, error; 765 | 766 | zmq_ret = zmq_ret + "'_action': 'EXECUTION'"; 767 | 768 | if(_lots > MaximumLotSize) { 769 | zmq_ret = zmq_ret + ", " + "'_response': 'LOT_SIZE_ERROR', 'response_value': 'MAX_LOT_SIZE_EXCEEDED'"; 770 | return(-1); 771 | } 772 | 773 | if(OrdersTotal() >= MaximumOrders) { 774 | zmq_ret = zmq_ret + ", " + "'_response': 'NUM_ORDERS_ERROR', 'response_value': 'MAX_NUMBER_OF_ORDERS_EXCEEDED'"; 775 | return(-1); 776 | } 777 | 778 | if (_type == OP_BUY) 779 | _price = MarketInfo(_symbol, MODE_ASK); 780 | else if (_type == OP_SELL) 781 | _price = MarketInfo(_symbol, MODE_BID); 782 | 783 | 784 | double sl = 0.0; 785 | double tp = 0.0; 786 | 787 | if(!DMA_MODE) { 788 | int dir_flag = -1; 789 | 790 | if (_type == OP_BUY || _type == OP_BUYLIMIT || _type == OP_BUYSTOP) 791 | dir_flag = 1; 792 | 793 | double vpoint = MarketInfo(_symbol, MODE_POINT); 794 | int vdigits = (int)MarketInfo(_symbol, MODE_DIGITS); 795 | sl = NormalizeDouble(_price-_SL*dir_flag*vpoint, vdigits); 796 | tp = NormalizeDouble(_price+_TP*dir_flag*vpoint, vdigits); 797 | } 798 | 799 | if(_symbol == "NULL") { 800 | ticket = OrderSend(Symbol(), _type, _lots, _price, MaximumSlippage, sl, tp, _comment, _magic); 801 | } else { 802 | ticket = OrderSend(_symbol, _type, _lots, _price, MaximumSlippage, sl, tp, _comment, _magic); 803 | } 804 | if(ticket < 0) { 805 | // Failure 806 | error = GetLastError(); 807 | zmq_ret = zmq_ret + ", " + "'_response': '" + IntegerToString(error) + "', 'response_value': '" + ErrorDescription(error) + "'"; 808 | return(-1*error); 809 | } 810 | 811 | int tmpRet = OrderSelect(ticket, SELECT_BY_TICKET, MODE_TRADES); 812 | 813 | zmq_ret = zmq_ret + ", " + "'_magic': " + IntegerToString(_magic) + ", '_ticket': " + IntegerToString(OrderTicket()) + ", '_open_time': '" + TimeToStr(OrderOpenTime(),TIME_DATE|TIME_SECONDS) + "', '_open_price': " + DoubleToString(OrderOpenPrice()); 814 | 815 | if(DMA_MODE) { 816 | 817 | int retries = 3; 818 | while(true) { 819 | retries--; 820 | if(retries < 0) return(0); 821 | 822 | if((_SL == 0 && _TP == 0) || (OrderStopLoss() == _SL && OrderTakeProfit() == _TP)) { 823 | return(ticket); 824 | } 825 | 826 | if(DWX_IsTradeAllowed(30, zmq_ret) == 1) { 827 | if(DWX_ModifyOrder(ticket, _price, _SL, _TP, retries, zmq_ret)) { 828 | return(ticket); 829 | } 830 | if(retries == 0) { 831 | zmq_ret = zmq_ret + ", '_response': 'ERROR_SETTING_SL_TP'"; 832 | return(-11111); 833 | } 834 | } 835 | 836 | Sleep(MILLISECOND_TIMER); 837 | } 838 | 839 | zmq_ret = zmq_ret + ", '_response': 'ERROR_SETTING_SL_TP'"; 840 | zmq_ret = zmq_ret + "}"; 841 | return(-1); 842 | } 843 | 844 | // Send zmq_ret to Python Client 845 | zmq_ret = zmq_ret + "}"; 846 | 847 | return(ticket); 848 | } 849 | 850 | //+------------------------------------------------------------------+ 851 | // SET SL/TP 852 | bool DWX_ModifyOrder(int ticket, double _price, double _SL, double _TP, int retries, string &zmq_ret) { 853 | 854 | if (OrderSelect(ticket, SELECT_BY_TICKET) == true) { 855 | 856 | if (OrderType() == OP_BUY || OrderType() == OP_SELL || _price == 0.0) 857 | _price = OrderOpenPrice(); 858 | 859 | int dir_flag = -1; 860 | 861 | if (OrderType() == OP_BUY || OrderType() == OP_BUYLIMIT || OrderType() == OP_BUYSTOP) 862 | dir_flag = 1; 863 | 864 | double vpoint = MarketInfo(OrderSymbol(), MODE_POINT); 865 | int vdigits = (int)MarketInfo(OrderSymbol(), MODE_DIGITS); 866 | double mSL = NormalizeDouble(_price-_SL*dir_flag*vpoint, vdigits); 867 | double mTP = NormalizeDouble(_price+_TP*dir_flag*vpoint, vdigits); 868 | 869 | if(OrderModify(ticket, _price, mSL, mTP, 0, 0)) { 870 | zmq_ret = zmq_ret + ", '_sl': " + DoubleToString(mSL) + ", '_tp': " + DoubleToString(mTP); 871 | return(true); 872 | } else { 873 | int error = GetLastError(); 874 | zmq_ret = zmq_ret + ", '_response': '" + IntegerToString(error) + "', '_response_value': '" + ErrorDescription(error) + "', '_sl_attempted': " + DoubleToString(mSL, vdigits) + ", '_tp_attempted': " + DoubleToString(mTP, vdigits); 875 | 876 | if(retries == 0) { 877 | RefreshRates(); 878 | DWX_CloseAtMarket(-1, zmq_ret); 879 | } 880 | 881 | return(false); 882 | } 883 | } else { 884 | zmq_ret = zmq_ret + ", '_response': 'NOT_FOUND'"; 885 | } 886 | 887 | return(false); 888 | } 889 | 890 | //+------------------------------------------------------------------+ 891 | // CLOSE AT MARKET 892 | bool DWX_CloseAtMarket(double size, string &zmq_ret) { 893 | 894 | int error; 895 | 896 | int retries = 3; 897 | while(true) { 898 | retries--; 899 | if(retries < 0) return(false); 900 | 901 | if(DWX_IsTradeAllowed(30, zmq_ret) == 1) { 902 | if(DWX_ClosePartial(size, zmq_ret)) { 903 | // trade successfuly closed 904 | return(true); 905 | } else { 906 | error = GetLastError(); 907 | zmq_ret = zmq_ret + ", '_response': '" + IntegerToString(error) + "', '_response_value': '" + ErrorDescription(error) + "'"; 908 | } 909 | } 910 | 911 | } 912 | return(false); 913 | } 914 | 915 | //+------------------------------------------------------------------+ 916 | // CLOSE PARTIAL SIZE 917 | bool DWX_ClosePartial(double size, string &zmq_ret, int ticket=0, bool externCall=false) { 918 | 919 | if(OrderType() != OP_BUY && OrderType() != OP_SELL) { 920 | return(true); 921 | } 922 | 923 | int error; 924 | bool close_ret = False; 925 | 926 | // If the function is called directly, setup init() JSON here and get OrderSelect. 927 | if(ticket != 0 || externCall) { 928 | zmq_ret = zmq_ret + "'_action': 'CLOSE', '_ticket': " + IntegerToString(ticket); 929 | 930 | if (OrderSelect(ticket, SELECT_BY_TICKET)) { 931 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_PARTIAL'"; 932 | } else { 933 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_PARTIAL_FAILED'"; 934 | return(false); 935 | } 936 | } 937 | 938 | RefreshRates(); 939 | double priceCP = OrderClosePrice(); 940 | 941 | if(size < 0.01 || size > OrderLots()) { 942 | size = OrderLots(); 943 | } 944 | close_ret = OrderClose(OrderTicket(), size, priceCP, MaximumSlippage); 945 | 946 | if (close_ret == true) { 947 | zmq_ret = zmq_ret + ", '_close_price': " + DoubleToString(priceCP) + ", '_close_lots': " + DoubleToString(size); 948 | } else { 949 | error = GetLastError(); 950 | zmq_ret = zmq_ret + ", '_response': '" + IntegerToString(error) + "', '_response_value': '" + ErrorDescription(error) + "'"; 951 | } 952 | 953 | return(close_ret); 954 | } 955 | 956 | //+------------------------------------------------------------------+ 957 | // CLOSE ORDER (by Magic Number) 958 | void DWX_CloseOrder_Magic(int _magic, string &zmq_ret) { 959 | 960 | bool found = false; 961 | 962 | zmq_ret = zmq_ret + "'_action': 'CLOSE_ALL_MAGIC'"; 963 | zmq_ret = zmq_ret + ", '_magic': " + IntegerToString(_magic); 964 | 965 | zmq_ret = zmq_ret + ", '_responses': {"; 966 | 967 | for(int i=OrdersTotal()-1; i >= 0; i--) { 968 | if (OrderSelect(i,SELECT_BY_POS)==true && OrderMagicNumber() == _magic) { 969 | found = true; 970 | 971 | zmq_ret = zmq_ret + IntegerToString(OrderTicket()) + ": {'_symbol':'" + OrderSymbol() + "'"; 972 | 973 | if(OrderType() == OP_BUY || OrderType() == OP_SELL) { 974 | DWX_CloseAtMarket(-1, zmq_ret); 975 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_MARKET'"; 976 | 977 | if (i != 0) 978 | zmq_ret = zmq_ret + "}, "; 979 | else 980 | zmq_ret = zmq_ret + "}"; 981 | 982 | } else { 983 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_PENDING'"; 984 | 985 | if (i != 0) 986 | zmq_ret = zmq_ret + "}, "; 987 | else 988 | zmq_ret = zmq_ret + "}"; 989 | 990 | int tmpRet = OrderDelete(OrderTicket()); 991 | } 992 | } 993 | } 994 | 995 | zmq_ret = zmq_ret + "}"; 996 | 997 | if(found == false) { 998 | zmq_ret = zmq_ret + ", '_response': 'NOT_FOUND'"; 999 | } 1000 | else { 1001 | zmq_ret = zmq_ret + ", '_response_value': 'SUCCESS'"; 1002 | } 1003 | } 1004 | 1005 | //+------------------------------------------------------------------+ 1006 | // CLOSE ORDER (by Ticket) 1007 | void DWX_CloseOrder_Ticket(int _ticket, string &zmq_ret) { 1008 | 1009 | bool found = false; 1010 | 1011 | zmq_ret = zmq_ret + "'_action': 'CLOSE', '_ticket': " + IntegerToString(_ticket); 1012 | 1013 | for(int i=0; i= 0; i--) { 1046 | if (OrderSelect(i,SELECT_BY_POS)==true) { 1047 | 1048 | found = true; 1049 | 1050 | zmq_ret = zmq_ret + IntegerToString(OrderTicket()) + ": {'_symbol':'" + OrderSymbol() + "', '_magic': " + IntegerToString(OrderMagicNumber()); 1051 | 1052 | if(OrderType() == OP_BUY || OrderType() == OP_SELL) { 1053 | DWX_CloseAtMarket(-1, zmq_ret); 1054 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_MARKET'"; 1055 | 1056 | if (i != 0) 1057 | zmq_ret = zmq_ret + "}, "; 1058 | else 1059 | zmq_ret = zmq_ret + "}"; 1060 | 1061 | } else { 1062 | zmq_ret = zmq_ret + ", '_response': 'CLOSE_PENDING'"; 1063 | 1064 | if (i != 0) 1065 | zmq_ret = zmq_ret + "}, "; 1066 | else 1067 | zmq_ret = zmq_ret + "}"; 1068 | 1069 | int tmpRet = OrderDelete(OrderTicket()); 1070 | } 1071 | } 1072 | } 1073 | 1074 | zmq_ret = zmq_ret + "}"; 1075 | 1076 | if(found == false) { 1077 | zmq_ret = zmq_ret + ", '_response': 'NOT_FOUND'"; 1078 | } 1079 | else { 1080 | zmq_ret = zmq_ret + ", '_response_value': 'SUCCESS'"; 1081 | } 1082 | } 1083 | 1084 | //+------------------------------------------------------------------+ 1085 | // GET OPEN ORDERS 1086 | void DWX_GetOpenOrders(string &zmq_ret) { 1087 | 1088 | bool found = false; 1089 | 1090 | zmq_ret = zmq_ret + "'_action': 'OPEN_TRADES'"; 1091 | zmq_ret = zmq_ret + ", '_trades': {"; 1092 | 1093 | for(int i=OrdersTotal()-1; i>=0; i--) { 1094 | found = true; 1095 | 1096 | if (OrderSelect(i,SELECT_BY_POS)==true) { 1097 | 1098 | zmq_ret = zmq_ret + IntegerToString(OrderTicket()) + ": {"; 1099 | 1100 | zmq_ret = zmq_ret + "'_magic': " + IntegerToString(OrderMagicNumber()) + ", '_symbol': '" + OrderSymbol() + "', '_lots': " + DoubleToString(OrderLots()) + ", '_type': " + IntegerToString(OrderType()) + ", '_open_price': " + DoubleToString(OrderOpenPrice()) + ", '_open_time': '" + TimeToStr(OrderOpenTime(),TIME_DATE|TIME_SECONDS) + "', '_SL': " + DoubleToString(OrderStopLoss()) + ", '_TP': " + DoubleToString(OrderTakeProfit()) + ", '_pnl': " + DoubleToString(OrderProfit()) + ", '_comment': '" + OrderComment() + "'"; 1101 | 1102 | if (i != 0) 1103 | zmq_ret = zmq_ret + "}, "; 1104 | else 1105 | zmq_ret = zmq_ret + "}"; 1106 | } 1107 | } 1108 | zmq_ret = zmq_ret + "}"; 1109 | 1110 | } 1111 | 1112 | //+------------------------------------------------------------------+ 1113 | // counts the number of orders with a given magic number. currently not used. 1114 | int DWX_numOpenOrdersWithMagic(int _magic) { 1115 | int n = 0; 1116 | for(int i=OrdersTotal()-1; i >= 0; i--) { 1117 | if (OrderSelect(i,SELECT_BY_POS)==true && OrderMagicNumber() == _magic) { 1118 | n++; 1119 | } 1120 | } 1121 | return n; 1122 | } 1123 | 1124 | //+------------------------------------------------------------------+ 1125 | // CHECK IF TRADE IS ALLOWED 1126 | int DWX_IsTradeAllowed(int MaxWaiting_sec, string &zmq_ret) { 1127 | 1128 | if(!IsTradeAllowed()) { 1129 | 1130 | int StartWaitingTime = (int)GetTickCount(); 1131 | zmq_ret = zmq_ret + ", " + "'_response': 'TRADE_CONTEXT_BUSY'"; 1132 | 1133 | while(true) { 1134 | 1135 | if(IsStopped()) { 1136 | zmq_ret = zmq_ret + ", " + "'_response_value': 'EA_STOPPED_BY_USER'"; 1137 | return(-1); 1138 | } 1139 | 1140 | int diff = (int)(GetTickCount() - StartWaitingTime); 1141 | if(diff > MaxWaiting_sec * 1000) { 1142 | zmq_ret = zmq_ret + ", '_response': 'WAIT_LIMIT_EXCEEDED', '_response_value': " + IntegerToString(MaxWaiting_sec); 1143 | return(-2); 1144 | } 1145 | // if the trade context has become free, 1146 | if(IsTradeAllowed()) { 1147 | zmq_ret = zmq_ret + ", '_response': 'TRADE_CONTEXT_NOW_FREE'"; 1148 | RefreshRates(); 1149 | return(1); 1150 | } 1151 | 1152 | } 1153 | } else { 1154 | return(1); 1155 | } 1156 | return(1); 1157 | } 1158 | 1159 | bool CheckServerStatus() { 1160 | 1161 | // Is _StopFlag == True, inform the client application 1162 | if (IsStopped()) { 1163 | InformPullClient(pullSocket, "{'_response': 'EA_IS_STOPPED'}"); 1164 | return(false); 1165 | } 1166 | 1167 | // Default 1168 | return(true); 1169 | } 1170 | 1171 | string ErrorDescription(int error_code) { 1172 | string error_string; 1173 | //---- 1174 | switch(error_code) 1175 | { 1176 | //---- codes returned from trade server 1177 | case 0: 1178 | case 1: error_string="no error"; break; 1179 | case 2: error_string="common error"; break; 1180 | case 3: error_string="invalid trade parameters"; break; 1181 | case 4: error_string="trade server is busy"; break; 1182 | case 5: error_string="old version of the client terminal"; break; 1183 | case 6: error_string="no connection with trade server"; break; 1184 | case 7: error_string="not enough rights"; break; 1185 | case 8: error_string="too frequent requests"; break; 1186 | case 9: error_string="malfunctional trade operation (never returned error)"; break; 1187 | case 64: error_string="account disabled"; break; 1188 | case 65: error_string="invalid account"; break; 1189 | case 128: error_string="trade timeout"; break; 1190 | case 129: error_string="invalid price"; break; 1191 | case 130: error_string="invalid stops"; break; 1192 | case 131: error_string="invalid trade volume"; break; 1193 | case 132: error_string="market is closed"; break; 1194 | case 133: error_string="trade is disabled"; break; 1195 | case 134: error_string="not enough money"; break; 1196 | case 135: error_string="price changed"; break; 1197 | case 136: error_string="off quotes"; break; 1198 | case 137: error_string="broker is busy (never returned error)"; break; 1199 | case 138: error_string="requote"; break; 1200 | case 139: error_string="order is locked"; break; 1201 | case 140: error_string="long positions only allowed"; break; 1202 | case 141: error_string="too many requests"; break; 1203 | case 145: error_string="modification denied because order too close to market"; break; 1204 | case 146: error_string="trade context is busy"; break; 1205 | case 147: error_string="expirations are denied by broker"; break; 1206 | case 148: error_string="amount of open and pending orders has reached the limit"; break; 1207 | case 149: error_string="hedging is prohibited"; break; 1208 | case 150: error_string="prohibited by FIFO rules"; break; 1209 | //---- mql4 errors 1210 | case 4000: error_string="no error (never generated code)"; break; 1211 | case 4001: error_string="wrong function pointer"; break; 1212 | case 4002: error_string="array index is out of range"; break; 1213 | case 4003: error_string="no memory for function call stack"; break; 1214 | case 4004: error_string="recursive stack overflow"; break; 1215 | case 4005: error_string="not enough stack for parameter"; break; 1216 | case 4006: error_string="no memory for parameter string"; break; 1217 | case 4007: error_string="no memory for temp string"; break; 1218 | case 4008: error_string="not initialized string"; break; 1219 | case 4009: error_string="not initialized string in array"; break; 1220 | case 4010: error_string="no memory for array\' string"; break; 1221 | case 4011: error_string="too long string"; break; 1222 | case 4012: error_string="remainder from zero divide"; break; 1223 | case 4013: error_string="zero divide"; break; 1224 | case 4014: error_string="unknown command"; break; 1225 | case 4015: error_string="wrong jump (never generated error)"; break; 1226 | case 4016: error_string="not initialized array"; break; 1227 | case 4017: error_string="dll calls are not allowed"; break; 1228 | case 4018: error_string="cannot load library"; break; 1229 | case 4019: error_string="cannot call function"; break; 1230 | case 4020: error_string="expert function calls are not allowed"; break; 1231 | case 4021: error_string="not enough memory for temp string returned from function"; break; 1232 | case 4022: error_string="system is busy (never generated error)"; break; 1233 | case 4050: error_string="invalid function parameters count"; break; 1234 | case 4051: error_string="invalid function parameter value"; break; 1235 | case 4052: error_string="string function internal error"; break; 1236 | case 4053: error_string="some array error"; break; 1237 | case 4054: error_string="incorrect series array using"; break; 1238 | case 4055: error_string="custom indicator error"; break; 1239 | case 4056: error_string="arrays are incompatible"; break; 1240 | case 4057: error_string="global variables processing error"; break; 1241 | case 4058: error_string="global variable not found"; break; 1242 | case 4059: error_string="function is not allowed in testing mode"; break; 1243 | case 4060: error_string="function is not confirmed"; break; 1244 | case 4061: error_string="send mail error"; break; 1245 | case 4062: error_string="string parameter expected"; break; 1246 | case 4063: error_string="integer parameter expected"; break; 1247 | case 4064: error_string="double parameter expected"; break; 1248 | case 4065: error_string="array as parameter expected"; break; 1249 | case 4066: error_string="requested history data in update state"; break; 1250 | case 4099: error_string="end of file"; break; 1251 | case 4100: error_string="some file error"; break; 1252 | case 4101: error_string="wrong file name"; break; 1253 | case 4102: error_string="too many opened files"; break; 1254 | case 4103: error_string="cannot open file"; break; 1255 | case 4104: error_string="incompatible access to a file"; break; 1256 | case 4105: error_string="no order selected"; break; 1257 | case 4106: error_string="unknown symbol"; break; 1258 | case 4107: error_string="invalid price parameter for trade function"; break; 1259 | case 4108: error_string="invalid ticket"; break; 1260 | case 4109: error_string="trade is not allowed in the expert properties"; break; 1261 | case 4110: error_string="longs are not allowed in the expert properties"; break; 1262 | case 4111: error_string="shorts are not allowed in the expert properties"; break; 1263 | case 4200: error_string="object is already exist"; break; 1264 | case 4201: error_string="unknown object property"; break; 1265 | case 4202: error_string="object is not exist"; break; 1266 | case 4203: error_string="unknown object type"; break; 1267 | case 4204: error_string="no object name"; break; 1268 | case 4205: error_string="object coordinates error"; break; 1269 | case 4206: error_string="no specified subwindow"; break; 1270 | default: error_string="unknown error"; 1271 | } 1272 | return(error_string); 1273 | } 1274 | 1275 | //+------------------------------------------------------------------+ 1276 | 1277 | double DWX_GetAsk(string symbol) { 1278 | if(symbol == "NULL") { 1279 | return(Ask); 1280 | } else { 1281 | return(MarketInfo(symbol,MODE_ASK)); 1282 | } 1283 | } 1284 | 1285 | //+------------------------------------------------------------------+ 1286 | 1287 | double DWX_GetBid(string symbol) { 1288 | if(symbol == "NULL") { 1289 | return(Bid); 1290 | } else { 1291 | return(MarketInfo(symbol,MODE_BID)); 1292 | } 1293 | } 1294 | //+------------------------------------------------------------------+ 1295 | 1296 | void printArray(string &arr[]) { 1297 | if (ArraySize(arr) == 0) Print("{}"); 1298 | string printStr = "{"; 1299 | int i; 1300 | for (i=0; i MetaTrader Connector 32 | """ 33 | 34 | def __init__(self, 35 | _ClientID='dwx-zeromq', # Unique ID for this client 36 | _host='localhost', # Host to connect to 37 | _protocol='tcp', # Connection protocol 38 | _PUSH_PORT=32768, # Port for Sending commands 39 | _PULL_PORT=32769, # Port for Receiving responses 40 | _SUB_PORT=32770, # Port for Subscribing for prices 41 | _delimiter=';', 42 | _pulldata_handlers=[], 43 | # Handlers to process data received through PULL port. 44 | _subdata_handlers=[], 45 | # Handlers to process data received through SUB port. 46 | _verbose=True, # String delimiter 47 | _sleep_delay=0.001, # 1 ms for time.sleep() 48 | _monitor=False): # Experimental ZeroMQ Socket Monitoring 49 | 50 | self._logger = logging.getLogger('DWX_CONNECTOR') 51 | ###################################################################### 52 | 53 | # Strategy Status (if this is False, ZeroMQ will not listen for data) 54 | self._ACTIVE = True 55 | 56 | # Client ID 57 | self._ClientID = _ClientID 58 | 59 | # ZeroMQ Host 60 | self._host = _host 61 | 62 | # Connection Protocol 63 | self._protocol = _protocol 64 | 65 | # ZeroMQ Context 66 | self._ZMQ_CONTEXT = zmq.asyncio.Context() 67 | 68 | # TCP Connection URL Template 69 | self._URL = self._protocol + "://" + self._host + ":" 70 | 71 | # Handlers for received data (pull and sub ports) 72 | self._pulldata_handlers = _pulldata_handlers 73 | self._subdata_handlers = _subdata_handlers 74 | 75 | # Ports for PUSH, PULL and SUB sockets respectively 76 | self._PUSH_PORT = _PUSH_PORT 77 | self._PULL_PORT = _PULL_PORT 78 | self._SUB_PORT = _SUB_PORT 79 | 80 | # Create Sockets 81 | self._PUSH_SOCKET = self._ZMQ_CONTEXT.socket(zmq.PUSH) 82 | self._PUSH_SOCKET.setsockopt(zmq.SNDHWM, 1) 83 | self._PUSH_SOCKET_STATUS = {'state': True, 'latest_event': 'N/A'} 84 | 85 | self._PULL_SOCKET = self._ZMQ_CONTEXT.socket(zmq.PULL) 86 | self._PULL_SOCKET.setsockopt(zmq.RCVHWM, 1) 87 | self._PULL_SOCKET_STATUS = {'state': True, 'latest_event': 'N/A'} 88 | 89 | self._SUB_SOCKET = self._ZMQ_CONTEXT.socket(zmq.SUB) 90 | 91 | # Bind PUSH Socket to send commands to MetaTrader 92 | self._PUSH_SOCKET.connect(self._URL + str(self._PUSH_PORT)) 93 | self._logger.info("[INIT] Ready to send commands to METATRADER (PUSH): " + 94 | str(self._PUSH_PORT)) 95 | 96 | # Connect PULL Socket to receive command responses from MetaTrader 97 | self._PULL_SOCKET.connect(self._URL + str(self._PULL_PORT)) 98 | self._logger.info("[INIT] Listening for responses from METATRADER (PULL): " + 99 | str(self._PULL_PORT)) 100 | 101 | # Connect SUB Socket to receive market data from MetaTrader 102 | self._logger.info("[INIT] Listening for market data from METATRADER (SUB): " + 103 | str(self._SUB_PORT)) 104 | self._SUB_SOCKET.connect(self._URL + str(self._SUB_PORT)) 105 | 106 | # Start listening for responses to commands and new market data 107 | self._string_delimiter = _delimiter 108 | 109 | # Market Data Dictionary by Symbol (holds tick data) 110 | self._Market_Data_DB = {} # {SYMBOL: {TIMESTAMP: (BID, ASK)}} 111 | 112 | # History Data Dictionary by Symbol (holds historic data of the last 113 | # HIST request for each symbol) 114 | # {SYMBOL_TF: [{'time': TIME, 'open': OPEN_PRICE, 'high': HIGH_PRICE, 115 | self._History_DB = {} 116 | # 'low': LOW_PRICE, 'close': CLOSE_PRICE, 'tick_volume': TICK_VOLUME, 117 | # 'spread': SPREAD, 'real_volume': REAL_VOLUME}, ...]} 118 | 119 | # Temporary Order STRUCT for convenience wrappers later. 120 | self.temp_order_dict = self._generate_default_order_dict() 121 | 122 | # Verbosity 123 | self._verbose = _verbose 124 | 125 | # Global Sleep Delay 126 | self._sleep_delay = _sleep_delay 127 | 128 | self._tasks = [] 129 | self._tasks.append( 130 | asyncio.get_event_loop().create_task( 131 | self.zmq_pull_data( 132 | self._string_delimiter))) 133 | self._tasks.append( 134 | asyncio.get_event_loop().create_task( 135 | self.zmq_sub_data( 136 | self._string_delimiter))) 137 | # # Begin polling for PULL / SUB data 138 | # self._MarketData_Thread = Thread(target=self._DWX_ZMQ_Poll_Data_, 139 | # args=(self._string_delimiter, 140 | # self._poll_timeout,)) 141 | # self._MarketData_Thread.daemon = True 142 | # self._MarketData_Thread.start() 143 | 144 | ########################################### 145 | # Enable/Disable ZeroMQ Socket Monitoring # 146 | ########################################### 147 | if _monitor == True: 148 | 149 | # ZeroMQ Monitor Event Map 150 | self._MONITOR_EVENT_MAP = {} 151 | 152 | self._logger.info( 153 | "\n[KERNEL] Retrieving ZeroMQ Monitor Event Names:\n") 154 | 155 | for name in dir(zmq): 156 | if name.startswith('EVENT_'): 157 | value = getattr(zmq, name) 158 | self._logger.info(f"{value}\t\t:\t{name}") 159 | self._MONITOR_EVENT_MAP[value] = name 160 | 161 | self._logger.info("\n[KERNEL] Socket Monitoring Config -> DONE!\n") 162 | 163 | # Disable PUSH/PULL sockets and let MONITOR events control them. 164 | self._PUSH_SOCKET_STATUS['state'] = False 165 | self._PULL_SOCKET_STATUS['state'] = False 166 | 167 | # PUSH 168 | self._tasks.append(asyncio.get_event_loop().create_task( 169 | self._DWX_ZMQ_EVENT_MONITOR_( 170 | 'PUSH', self._PUSH_SOCKET.get_monitor_socket()))) 171 | 172 | # PULL 173 | self._tasks.append(asyncio.get_event_loop().create_task( 174 | self._DWX_ZMQ_EVENT_MONITOR_( 175 | 'PULL', self._PULL_SOCKET.get_monitor_socket()))) 176 | 177 | ########################################################################## 178 | 179 | def _DWX_ZMQ_SHUTDOWN_(self): 180 | 181 | # Set INACTIVE 182 | self._ACTIVE = False 183 | 184 | for task in self._tasks: 185 | task.cancel() 186 | 187 | # Terminate context 188 | self._ZMQ_CONTEXT.destroy(0) 189 | self._logger.info( 190 | "\n++ [KERNEL] ZeroMQ Context Terminated.. shut down safely complete! :)") 191 | 192 | ########################################################################## 193 | 194 | """ 195 | Set Status (to enable/disable strategy manually) 196 | """ 197 | 198 | def _setStatus(self, _new_status=False): 199 | 200 | self._ACTIVE = _new_status 201 | self._logger.info( 202 | "\n**\n[KERNEL] Setting Status to {} - Deactivating Threads.. please wait a bit.\n**".format(_new_status)) 203 | 204 | ########################################################################## 205 | 206 | """ 207 | Function to send commands to MetaTrader (PUSH) 208 | """ 209 | 210 | async def remote_send(self, _socket, _data): 211 | 212 | if self._PUSH_SOCKET_STATUS['state'] == True: 213 | try: 214 | await _socket.send_string(_data) 215 | except zmq.error.Again: 216 | self._logger.warn("\nResource timeout.. please try again.") 217 | await sleep(self._sleep_delay) 218 | else: 219 | self._logger.info( 220 | '\n[KERNEL] NO HANDSHAKE ON PUSH SOCKET.. Cannot SEND data') 221 | 222 | ########################################################################## 223 | 224 | """ 225 | Function to retrieve data from MetaTrader (PULL) 226 | """ 227 | 228 | async def remote_recv(self, _socket): 229 | 230 | if self._PULL_SOCKET_STATUS['state'] == True: 231 | try: 232 | msg = await _socket.recv_string() 233 | return msg 234 | except zmq.error.Again: 235 | self._logger.warn("\nResource timeout.. please try again.") 236 | await sleep(self._sleep_delay) 237 | else: 238 | self._logger.info( 239 | '\r[KERNEL] NO HANDSHAKE ON PULL SOCKET.. Cannot READ data', 240 | end='', 241 | flush=True) 242 | 243 | return None 244 | 245 | ########################################################################## 246 | 247 | # Convenience functions to permit easy trading via underlying functions. 248 | 249 | # OPEN ORDER 250 | async def _DWX_MTX_NEW_TRADE_(self, _order=None): 251 | 252 | if _order is None: 253 | _order = self._generate_default_order_dict() 254 | 255 | # Execute 256 | await self._DWX_MTX_SEND_COMMAND_(**_order) 257 | 258 | # MODIFY ORDER 259 | # _SL and _TP given in points. _price is only used for pending orders. 260 | async def _DWX_MTX_MODIFY_TRADE_BY_TICKET_(self, _ticket, _SL, _TP, _price=0): 261 | 262 | try: 263 | self.temp_order_dict['_action'] = 'MODIFY' 264 | self.temp_order_dict['_ticket'] = _ticket 265 | self.temp_order_dict['_SL'] = _SL 266 | self.temp_order_dict['_TP'] = _TP 267 | self.temp_order_dict['_price'] = _price 268 | 269 | # Execute 270 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 271 | 272 | except KeyError: 273 | self._logger.info( 274 | "[ERROR] Order Ticket {} not found!".format(_ticket)) 275 | 276 | # CLOSE ORDER 277 | async def _DWX_MTX_CLOSE_TRADE_BY_TICKET_(self, _ticket): 278 | 279 | try: 280 | self.temp_order_dict['_action'] = 'CLOSE' 281 | self.temp_order_dict['_ticket'] = _ticket 282 | 283 | # Execute 284 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 285 | 286 | except KeyError: 287 | self._logger.info( 288 | "[ERROR] Order Ticket {} not found!".format(_ticket)) 289 | 290 | # CLOSE PARTIAL 291 | async def _DWX_MTX_CLOSE_PARTIAL_BY_TICKET_(self, _ticket, _lots): 292 | 293 | try: 294 | self.temp_order_dict['_action'] = 'CLOSE_PARTIAL' 295 | self.temp_order_dict['_ticket'] = _ticket 296 | self.temp_order_dict['_lots'] = _lots 297 | 298 | # Execute 299 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 300 | 301 | except KeyError: 302 | self._logger.info( 303 | "[ERROR] Order Ticket {} not found!".format(_ticket)) 304 | 305 | # CLOSE MAGIC 306 | async def _DWX_MTX_CLOSE_TRADES_BY_MAGIC_(self, _magic): 307 | 308 | try: 309 | self.temp_order_dict['_action'] = 'CLOSE_MAGIC' 310 | self.temp_order_dict['_magic'] = _magic 311 | 312 | # Execute 313 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 314 | 315 | except KeyError: 316 | pass 317 | 318 | # CLOSE ALL TRADES 319 | async def _DWX_MTX_CLOSE_ALL_TRADES_(self): 320 | 321 | try: 322 | self.temp_order_dict['_action'] = 'CLOSE_ALL' 323 | 324 | # Execute 325 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 326 | 327 | except KeyError: 328 | pass 329 | 330 | # GET OPEN TRADES 331 | async def _DWX_MTX_GET_ALL_OPEN_TRADES_(self): 332 | 333 | try: 334 | self.temp_order_dict['_action'] = 'GET_OPEN_TRADES' 335 | 336 | # Execute 337 | await self._DWX_MTX_SEND_COMMAND_(**self.temp_order_dict) 338 | 339 | except KeyError: 340 | pass 341 | 342 | # DEFAULT ORDER DICT 343 | def _generate_default_order_dict(self): 344 | return({'_action': 'OPEN', 345 | '_type': 0, 346 | '_symbol': 'EURUSD', 347 | '_price': 0.0, 348 | '_SL': 500, # SL/TP in POINTS, not pips. 349 | '_TP': 500, 350 | '_comment': self._ClientID, 351 | '_lots': 0.01, 352 | '_magic': 123456, 353 | '_ticket': 0}) 354 | 355 | ########################################################################## 356 | 357 | """ 358 | Function to construct messages for sending HIST commands to MetaTrader 359 | 360 | Because of broker GMT offset _end time might have to be modified. 361 | """ 362 | 363 | async def _DWX_MTX_SEND_HIST_REQUEST_(self, 364 | _symbol='EURUSD', 365 | _timeframe=1440, 366 | _start='2020.01.01 00:00:00', 367 | _end=Timestamp.now().strftime('%Y.%m.%d %H:%M:00')): 368 | # _end='2019.01.04 17:05:00'): 369 | 370 | _msg = "{};{};{};{};{}".format('HIST', 371 | _symbol, 372 | _timeframe, 373 | _start, 374 | _end) 375 | 376 | # Send via PUSH Socket 377 | await self.remote_send(self._PUSH_SOCKET, _msg) 378 | 379 | ########################################################################## 380 | """ 381 | Function to construct messages for sending TRACK_PRICES commands to 382 | MetaTrader for real-time price updates 383 | """ 384 | 385 | async def _DWX_MTX_SEND_TRACKPRICES_REQUEST_(self, 386 | _symbols=['EURUSD']): 387 | _msg = 'TRACK_PRICES' 388 | for s in _symbols: 389 | _msg = _msg + ";{}".format(s) 390 | 391 | # Send via PUSH Socket 392 | await self.remote_send(self._PUSH_SOCKET, _msg) 393 | 394 | ########################################################################## 395 | """ 396 | Function to construct messages for sending TRACK_RATES commands to 397 | MetaTrader for OHLC 398 | """ 399 | 400 | async def _DWX_MTX_SEND_TRACKRATES_REQUEST_(self, 401 | _instruments=[('EURUSD_M1', 'EURUSD', 1)]): 402 | _msg = 'TRACK_RATES' 403 | for i in _instruments: 404 | _msg = _msg + ";{};{}".format(i[1], i[2]) 405 | 406 | # Send via PUSH Socket 407 | await self.remote_send(self._PUSH_SOCKET, _msg) 408 | 409 | ########################################################################## 410 | 411 | ########################################################################## 412 | """ 413 | Function to construct messages for sending Trade commands to MetaTrader 414 | """ 415 | 416 | async def _DWX_MTX_SEND_COMMAND_(self, _action='OPEN', _type=0, 417 | _symbol='EURUSD', _price=0.0, 418 | _SL=50, _TP=50, _comment="Python-to-MT", 419 | _lots=0.01, _magic=123456, _ticket=0): 420 | 421 | _msg = "{};{};{};{};{};{};{};{};{};{};{}".format('TRADE', _action, _type, 422 | _symbol, _price, 423 | _SL, _TP, _comment, 424 | _lots, _magic, 425 | _ticket) 426 | 427 | # Send via PUSH Socket 428 | await self.remote_send(self._PUSH_SOCKET, _msg) 429 | 430 | """ 431 | compArray[0] = TRADE or DATA 432 | compArray[1] = ACTION (e.g. OPEN, MODIFY, CLOSE) 433 | compArray[2] = TYPE (e.g. OP_BUY, OP_SELL, etc - only used when ACTION=OPEN) 434 | 435 | For compArray[0] == DATA, format is: 436 | DATA|SYMBOL|TIMEFRAME|START_DATETIME|END_DATETIME 437 | 438 | // ORDER TYPES: 439 | // https://docs.mql4.com/constants/tradingconstants/orderproperties 440 | 441 | // OP_BUY = 0 442 | // OP_SELL = 1 443 | // OP_BUYLIMIT = 2 444 | // OP_SELLLIMIT = 3 445 | // OP_BUYSTOP = 4 446 | // OP_SELLSTOP = 5 447 | 448 | compArray[3] = Symbol (e.g. EURUSD, etc.) 449 | compArray[4] = Open/Close Price (ignored if ACTION = MODIFY) 450 | compArray[5] = SL 451 | compArray[6] = TP 452 | compArray[7] = Trade Comment 453 | compArray[8] = Lots 454 | compArray[9] = Magic Number 455 | compArray[10] = Ticket Number (MODIFY/CLOSE) 456 | """ 457 | # pass 458 | 459 | ########################################################################## 460 | 461 | """ 462 | Function to check Poller for new reponses (PULL) and market data (SUB) 463 | """ 464 | 465 | async def zmq_sub_data(self, string_delimiter=';'): 466 | while self._ACTIVE: 467 | await sleep(0) 468 | try: 469 | msg = await self._SUB_SOCKET.recv_string() 470 | if msg != "": 471 | _timestamp = str(Timestamp.now('UTC'))[:-6] 472 | _symbol, _data = msg.split(" ") 473 | if len(_data.split(string_delimiter)) == 2: 474 | _bid, _ask = _data.split(string_delimiter) 475 | 476 | if self._verbose: 477 | self._logger.info( 478 | "\n[" + _symbol + "] " + _timestamp + " (" + _bid + "/" + _ask + ") BID/ASK") 479 | 480 | # Update Market Data DB 481 | if _symbol not in self._Market_Data_DB.keys(): 482 | self._Market_Data_DB[_symbol] = {} 483 | 484 | self._Market_Data_DB[_symbol][_timestamp] = ( 485 | float(_bid), float(_ask)) 486 | 487 | elif len(_data.split(string_delimiter)) == 8: 488 | _time, _open, _high, _low, _close, _tick_vol, _spread, _real_vol = _data.split( 489 | string_delimiter) 490 | if self._verbose: 491 | self._logger.debug( 492 | "[%s] %s (%s/%s/%s/%s/%s/%s/%s/%s) TIME/OPEN/HIGH/LOW/CLOSE/TICKVOL/SPREAD/VOLUME" % 493 | (_symbol, _timestamp, _time, _open, _high, _low, _close, _tick_vol, _spread, _real_vol)) 494 | # Update Market Rate DB 495 | if _symbol not in self._Market_Data_DB.keys(): 496 | self._Market_Data_DB[_symbol] = {} 497 | self._Market_Data_DB[_symbol][_timestamp] = (int(_time), float(_open), float( 498 | _high), float(_low), float(_close), int(_tick_vol), int(_spread), int(_real_vol)) 499 | 500 | # invokes data handlers on sub port 501 | for hnd in self._subdata_handlers: 502 | await hnd.onSubData(msg) 503 | 504 | except zmq.error.Again: 505 | pass # resource temporarily unavailable, nothing to self._logger.info 506 | except ValueError: 507 | pass # No data returned, passing iteration. 508 | except UnboundLocalError: 509 | # _symbol may sometimes get referenced before being 510 | # assigned. 511 | pass 512 | except Exception as e: 513 | self._logger.exception(e) 514 | 515 | async def zmq_pull_data(self, string_delimiter=';'): 516 | while self._ACTIVE: 517 | await sleep(0) 518 | if self._PULL_SOCKET_STATUS['state'] == True: 519 | try: 520 | msg = await self.remote_recv(self._PULL_SOCKET) 521 | # If data is returned, store as pandas Series 522 | if msg != '' and msg is not None: 523 | try: 524 | _data = eval(msg) 525 | if '_action' in _data and _data['_action'] == 'HIST': 526 | _symbol = _data['_symbol'] 527 | if '_data' in _data.keys(): 528 | if _symbol not in self._History_DB.keys(): 529 | self._History_DB[_symbol] = {} 530 | self._History_DB[_symbol] = _data['_data'] 531 | else: 532 | self._logger.info( 533 | 'No data found. MT4 often needs multiple requests when accessing data of symbols without open charts.') 534 | self._logger.info('message: ' + msg) 535 | 536 | # invokes data handlers on pull port 537 | for hnd in self._pulldata_handlers: 538 | await hnd.onPullData(_data) 539 | 540 | if self._verbose: 541 | self._logger.info(_data) # default logic 542 | 543 | except Exception as ex: 544 | _exstr = "Exception Type {0}. Args:\n{1!r}" 545 | _msg = _exstr.format( 546 | type(ex).__name__, ex.args) 547 | self._logger.exception(_msg) 548 | 549 | except zmq.error.Again: 550 | pass # resource temporarily unavailable, nothing to self._logger.info 551 | except ValueError: 552 | pass # No data returned, passing iteration. 553 | except UnboundLocalError: 554 | # _symbol may sometimes get referenced before being 555 | # assigned. 556 | pass 557 | else: 558 | self._logger.info( 559 | '\r[KERNEL] NO HANDSHAKE on PULL SOCKET.. Cannot READ data.', 560 | end='', 561 | flush=True) 562 | 563 | ########################################################################## 564 | 565 | """ 566 | Function to subscribe to given Symbol's BID/ASK feed from MetaTrader 567 | """ 568 | 569 | async def _DWX_MTX_SUBSCRIBE_MARKETDATA_(self, 570 | _symbol='EURUSD', 571 | string_delimiter=';'): 572 | 573 | # Subscribe to SYMBOL first. 574 | self._SUB_SOCKET.setsockopt_string(zmq.SUBSCRIBE, _symbol) 575 | 576 | self._logger.info( 577 | "[KERNEL] Subscribed to {} BID/ASK updates. See self._Market_Data_DB.".format(_symbol)) 578 | 579 | """ 580 | Function to unsubscribe to given Symbol's BID/ASK feed from MetaTrader 581 | """ 582 | 583 | async def _DWX_MTX_UNSUBSCRIBE_MARKETDATA_(self, _symbol): 584 | 585 | self._SUB_SOCKET.setsockopt_string(zmq.UNSUBSCRIBE, _symbol) 586 | self._logger.info( 587 | "\n**\n[KERNEL] Unsubscribing from " + 588 | _symbol + 589 | "\n**\n") 590 | 591 | """ 592 | Function to unsubscribe from ALL MetaTrader Symbols 593 | """ 594 | 595 | async def _DWX_MTX_UNSUBSCRIBE_ALL_MARKETDATA_REQUESTS_(self): 596 | 597 | # 31-07-2019 12:22 CEST 598 | for _symbol in self._Market_Data_DB.keys(): 599 | await self._DWX_MTX_UNSUBSCRIBE_MARKETDATA_(_symbol=_symbol) 600 | 601 | ########################################################################## 602 | 603 | async def _DWX_ZMQ_EVENT_MONITOR_(self, 604 | socket_name, 605 | monitor_socket): 606 | 607 | # 05-08-2019 11:21 CEST 608 | while self._ACTIVE: 609 | 610 | # poll timeout is in ms, sleep() is s. 611 | await sleep(self._sleep_delay) 612 | 613 | # while monitor_socket.poll(): 614 | while monitor_socket.poll(self._poll_timeout): 615 | 616 | try: 617 | evt = recv_monitor_message(monitor_socket) 618 | evt.update( 619 | {'description': self._MONITOR_EVENT_MAP[evt['event']]}) 620 | 621 | # self._logger.info(f"\r[{socket_name} Socket] >> {evt['description']}", end='', flush=True) 622 | self._logger.info( 623 | f"\n[{socket_name} Socket] >> {evt['description']}") 624 | 625 | # Set socket status on HANDSHAKE 626 | if evt['event'] == 4096: # EVENT_HANDSHAKE_SUCCEEDED 627 | 628 | if socket_name == "PUSH": 629 | self._PUSH_SOCKET_STATUS['state'] = True 630 | self._PUSH_SOCKET_STATUS['latest_event'] = 'EVENT_HANDSHAKE_SUCCEEDED' 631 | 632 | elif socket_name == "PULL": 633 | self._PULL_SOCKET_STATUS['state'] = True 634 | self._PULL_SOCKET_STATUS['latest_event'] = 'EVENT_HANDSHAKE_SUCCEEDED' 635 | 636 | # self._logger.info(f"\n[{socket_name} Socket] >> ..ready for action!\n") 637 | 638 | else: 639 | # Update 'latest_event' 640 | if socket_name == "PUSH": 641 | self._PUSH_SOCKET_STATUS['state'] = False 642 | self._PUSH_SOCKET_STATUS['latest_event'] = evt['description'] 643 | 644 | elif socket_name == "PULL": 645 | self._PULL_SOCKET_STATUS['state'] = False 646 | self._PULL_SOCKET_STATUS['latest_event'] = evt['description'] 647 | 648 | if evt['event'] == zmq.EVENT_MONITOR_STOPPED: 649 | 650 | # Reinitialize the socket 651 | if socket_name == "PUSH": 652 | monitor_socket = self._PUSH_SOCKET.get_monitor_socket() 653 | elif socket_name == "PULL": 654 | monitor_socket = self._PULL_SOCKET.get_monitor_socket() 655 | 656 | except Exception as ex: 657 | _exstr = "Exception Type {0}. Args:\n{1!r}" 658 | _msg = _exstr.format(type(ex).__name__, ex.args) 659 | self._logger.info(_msg) 660 | 661 | # Close Monitor Socket 662 | monitor_socket.close() 663 | 664 | self._logger.info( 665 | f"\n++ [KERNEL] {socket_name} _DWX_ZMQ_EVENT_MONITOR_() Signing Out ++") 666 | 667 | ########################################################################## 668 | 669 | async def _DWX_ZMQ_HEARTBEAT_(self): 670 | await self.remote_send(self._PUSH_SOCKET, "HEARTBEAT;") 671 | 672 | ########################################################################## 673 | 674 | ############################################################################## 675 | -------------------------------------------------------------------------------- /livetrader/market/__init__.py: -------------------------------------------------------------------------------- 1 | from .base import * 2 | from .cache import * 3 | from .dwx import * 4 | from .tdx import * 5 | -------------------------------------------------------------------------------- /livetrader/market/base.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | import logging 3 | from datetime import datetime 4 | from typing import List, Optional 5 | 6 | from livetrader.rpc import Method, Publisher 7 | from livetrader.utils import FifoQueue 8 | 9 | 10 | class MarketBase(object): 11 | 12 | __market_name__ = None 13 | __timeframe__ = None 14 | 15 | def connect(self): 16 | raise NotImplementedError() 17 | 18 | def disconnect(self): 19 | raise NotImplementedError() 20 | 21 | @property 22 | def logger(self): 23 | return logging.getLogger(self.__class__.__name__) 24 | 25 | async def watch_klines(self, symbol: str): 26 | raise NotImplementedError() 27 | 28 | async def get_kline_histories(self, symbol: str, from_ts: Optional[int] = None, limit: Optional[int] = None): 29 | raise NotImplementedError() 30 | 31 | 32 | class MarketService(object): 33 | 34 | def __init__(self, market: MarketBase, symbols: List[str]): 35 | self._market = market 36 | self._symbols = symbols 37 | self._tasks = [] 38 | self.__logger__ = logging.getLogger('MarketService') 39 | 40 | async def _publish(self, symbol: str, queue: FifoQueue): 41 | async for kline in self._market.watch_klines(symbol): 42 | await queue.put((symbol, kline)) 43 | 44 | def start(self): 45 | queue = FifoQueue(maxsize=100) 46 | self._market.connect() 47 | for symbol in self._symbols: 48 | self._tasks.append(asyncio.get_event_loop().create_task( 49 | self._publish(symbol, queue))) 50 | return queue 51 | 52 | @Method 53 | async def get_kline_histories( 54 | self, symbol: str, from_ts: Optional[datetime] = None, limit: Optional[int] = None): 55 | return list(await self._market.get_kline_histories(symbol, from_ts, limit)) 56 | 57 | def stop(self): 58 | for task in self._tasks: 59 | task.cancel() 60 | self._market.disconnect() 61 | -------------------------------------------------------------------------------- /livetrader/market/cache.py: -------------------------------------------------------------------------------- 1 | from typing import List, Optional 2 | 3 | from environs import Env 4 | from future.utils import iteritems 5 | from motor.motor_asyncio import AsyncIOMotorClient 6 | from pymongo import ReplaceOne 7 | from livetrader.market import MarketBase 8 | 9 | 10 | class CachedMarket(MarketBase): 11 | 12 | def __init__(self, market: MarketBase, mongodb_uri: Optional[str] = None): 13 | self._env = env = Env() 14 | env.read_env() 15 | self._mongodb_uri = mongodb_uri if mongodb_uri else env.str( 16 | 'MONGODB_URI') 17 | self._market = market 18 | self._mongo_client = AsyncIOMotorClient(self._mongodb_uri) 19 | self._database = self._mongo_client.get_default_database('markets') 20 | self._hist_mongo_client = None 21 | self._initied = False 22 | 23 | def connect(self): 24 | self._market.connect() 25 | 26 | def disconnect(self): 27 | self._mongo_client.close() 28 | self._market.disconnect() 29 | 30 | def _collection(self, symbol: str): 31 | db = self._database 32 | if self._market.__class__.__market_name__ is None or self._market.__class__.__timeframe__ is None: 33 | raise Exception( 34 | 'Initialize market cache error (without market_name or timeframe)') 35 | collection_name = '%s_%s_%s' % ( 36 | self._market.__class__.__market_name__, symbol, self._market.__class__.__timeframe__) 37 | collection = db[collection_name] 38 | return collection 39 | 40 | async def _insert_db(self, symbol: str, klines: List[dict]): 41 | collection = self._collection(symbol) 42 | await collection.bulk_write([ 43 | ReplaceOne({'datetime': kline['datetime']}, kline, upsert=True) 44 | for kline in klines 45 | ]) 46 | 47 | async def _initial_cache(self, symbol: str): 48 | collection = self._collection(symbol) 49 | if await collection.count_documents({}) > 0: 50 | rs = await (collection.find().sort([('datetime', -1)]).limit(1).to_list(1)) 51 | last_kline = rs[0] 52 | history_klines = await self._market.get_kline_histories( 53 | symbol, from_ts=last_kline['datetime']) 54 | else: 55 | await collection.create_index('datetime', unique=True) 56 | history_klines = await self._market.get_kline_histories( 57 | symbol, limit=5000) 58 | await self._insert_db(symbol, history_klines) 59 | 60 | async def watch_klines(self, symbol: str): 61 | if not self._initied: 62 | self.logger.debug('init cache from watch_klines') 63 | await self._initial_cache(symbol) 64 | self._initied = True 65 | self.logger.debug('do watch klines from delegate') 66 | async for kline in self._market.watch_klines(symbol): 67 | await self._insert_db(symbol, [kline]) 68 | yield kline 69 | 70 | async def get_kline_histories(self, symbol: str, from_ts: Optional[int] = None, limit: Optional[int] = None): 71 | if not self._initied: 72 | await self._initial_cache(symbol) 73 | self._initied = True 74 | collection = self._collection(symbol) 75 | criteria = {} 76 | if from_ts: 77 | criteria = {'datetime': {'$gte': from_ts}} 78 | cursor = collection.find(criteria).sort([('datetime', -1)]) 79 | if limit: 80 | cursor = cursor.limit(limit) 81 | count = limit 82 | else: 83 | count = await collection.count_documents(criteria) 84 | return reversed(list(map(lambda x: {k: v for k, v in iteritems(x) if not k.startswith('_')}, await cursor.to_list(count)))) 85 | -------------------------------------------------------------------------------- /livetrader/market/dwx.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | from asyncio import Queue, sleep 3 | from datetime import datetime 4 | from typing import Optional 5 | 6 | import pytz 7 | import tzlocal 8 | from environs import Env 9 | from pandas import Timedelta, Timestamp 10 | from pytz import timezone 11 | from livetrader.lib.dwx_zeromq_connector import DWX_ZeroMQ_Connector 12 | from livetrader.market import MarketBase 13 | 14 | 15 | class DwxMarket(MarketBase): 16 | __market_name__ = 'DWX' 17 | __timeframe__ = '1MIN' 18 | 19 | def __init__(self, host: Optional[str] = None, 20 | push_port: Optional[int] = None, 21 | pull_port: Optional[int] = None, 22 | sub_port: Optional[int] = None, 23 | time_zone: Optional[str] = None): 24 | self._env = env = Env() 25 | env.read_env() 26 | self._host = host if host else env.str('DWX_HOST') 27 | self._push_port = push_port if push_port else env.int( 28 | 'DWX_PUSH_PORT', 32768) 29 | self._pulling_port = pull_port if pull_port else env.int( 30 | 'DWX_PULL_PORT', 32769) 31 | self._subscribe_port = sub_port if sub_port else env.int( 32 | 'DWX_SUB_PORT', 32770) 33 | self._server_tz = timezone( 34 | time_zone if time_zone else env.str( 35 | 'DWX_TIMEZONE', 'EET')) 36 | 37 | def connect(self): 38 | self._kline_resp = {} 39 | self._kline_sub = {} 40 | self._connector = DWX_ZeroMQ_Connector( 41 | _host=self._host, 42 | _PUSH_PORT=self._push_port, 43 | _PULL_PORT=self._pulling_port, 44 | _SUB_PORT=self._subscribe_port, 45 | _subdata_handlers=[self], 46 | _pulldata_handlers=[self]) 47 | 48 | def disconnect(self): 49 | self._connector._DWX_ZMQ_SHUTDOWN_() 50 | 51 | async def onSubData(self, msg): 52 | code, rates = msg.split(' ') 53 | code = code.split('_')[0] 54 | time, open, high, low, close, tick_volume, spread, real_volume = rates.split( 55 | ';') 56 | dt = self._server_tz.localize( 57 | datetime.utcfromtimestamp(int(time))).astimezone(pytz.utc) 58 | kline = { 59 | 'datetime': int(dt.timestamp()) * 1000, 60 | 'open': open, 61 | 'high': high, 62 | 'low': low, 63 | 'close': close, 64 | 'spread': spread, 65 | 'volume': int(tick_volume) 66 | } 67 | await self._kline_sub[code].put(kline) 68 | 69 | async def onPullData(self, msg): 70 | if msg['_action'] and msg['_action'] == 'HIST': 71 | queue = self._kline_resp[msg['_symbol'].split('_')[0]] 72 | await queue.put(msg['_data']) 73 | 74 | async def watch_klines(self, symbol: str): 75 | market, code = symbol.split('.') 76 | if market == 'FOREX': 77 | self._kline_sub[code] = Queue() 78 | await self._connector._DWX_MTX_SUBSCRIBE_MARKETDATA_(code) 79 | await self._connector._DWX_MTX_SEND_TRACKRATES_REQUEST_( 80 | [('%s_M1' % code, code, 1)]) 81 | while True: 82 | kline = await self._kline_sub[code].get() 83 | yield kline 84 | 85 | async def get_kline_histories(self, symbol: str, from_ts: Optional[int] = None, limit: Optional[int] = None): 86 | market, code = symbol.split('.') 87 | if market == 'FOREX': 88 | local_tz = tzlocal.get_localzone() 89 | _end = local_tz.localize(Timestamp.now()) 90 | if from_ts: 91 | _start = local_tz.localize(Timestamp.fromtimestamp( 92 | from_ts / 1000)) 93 | else: 94 | _start = _end - Timedelta(minutes=limit - 1) 95 | if _start >= _end: 96 | return [] 97 | _start = _start.astimezone(self._server_tz) 98 | _end = _end.astimezone(self._server_tz) 99 | self._kline_resp[code] = Queue() 100 | await self._connector._DWX_MTX_SEND_HIST_REQUEST_(_symbol=code, 101 | _timeframe=1, 102 | _start=_start.strftime( 103 | '%Y.%m.%d %H:%M:00'), 104 | _end=_end.strftime('%Y.%m.%d %H:%M:00')) 105 | klines = [self._parse_kline(kline_raw) for kline_raw in await self._kline_resp[code].get()] 106 | del self._kline_resp[code] 107 | return klines 108 | else: 109 | return [] 110 | 111 | def _parse_kline(self, kline_raw: dict) -> dict: 112 | dt = self._server_tz.localize( 113 | datetime.strptime( 114 | kline_raw['time'], 115 | '%Y.%m.%d %H:%M')).astimezone( 116 | pytz.utc) 117 | return { 118 | 'datetime': int(dt.timestamp() * 1000), 119 | 'open': kline_raw['open'], 120 | 'high': kline_raw['high'], 121 | 'low': kline_raw['low'], 122 | 'close': kline_raw['close'], 123 | 'spread': kline_raw['spread'], 124 | 'volume': kline_raw['tick_volume'] 125 | } 126 | -------------------------------------------------------------------------------- /livetrader/market/tdx.py: -------------------------------------------------------------------------------- 1 | from asyncio import Event, sleep 2 | from datetime import datetime 3 | from typing import Optional 4 | 5 | import pytz 6 | from environs import Env 7 | from pytdx.exhq import TdxExHq_API, TDXParams 8 | from pytdx.parser.ex_get_instrument_bars import GetInstrumentBars 9 | from pytz import timezone 10 | from livetrader.exceptions import RemoteError 11 | from livetrader.market import MarketBase 12 | 13 | 14 | class TdxMarket(MarketBase): 15 | __market_name__ = 'TDX' 16 | __timeframe__ = '1MIN' 17 | 18 | def __init__(self, host: Optional[str] = None): 19 | self._env = env = Env() 20 | env.read_env() 21 | tdx_host = host if host else env.str('TDX_HOST') 22 | self._api = TdxExHq_API(heartbeat=True, multithread=True) 23 | self._ip, self._port = tdx_host.split(':') 24 | self._server_tz = timezone('Asia/Shanghai') 25 | self._pill = Event() 26 | self._market_mapping = dict( 27 | zip(["SHFE", "CZCE", "DCE", "CFFEX", "US"], [30, 28, 29, 47, 74])) 28 | 29 | def connect(self): 30 | if not self._api.connect(self._ip, int(self._port)): 31 | raise RemoteError('%s:%s connect error.' % 32 | (self.ip, int(self.port))) 33 | self._market_list = list( 34 | self._api.to_df( 35 | self._api.get_markets()).market) 36 | 37 | async def watch_klines(self, symbol: str): 38 | market, code = symbol.split('.') 39 | last_kline = None 40 | while not self._pill.is_set(): 41 | tdx_klines = self._get_instrument_bars( 42 | TDXParams.KLINE_TYPE_1MIN, self._market_mapping[market], code, 0, 10) 43 | # 这个地方处理的原因在于由于是轮询的，就有可能出现在轮询间隔的时间(这里是1秒)内，有一半时间属于上一根K线，有一半时间属于下一根K线，所以如果我们只看最新的K线的话，前一根K线的一部分数据可能就会丢失，因此这里判断一下前一根K线如果有更新，就先把前一根K线推送了，再推送下一根K线 44 | prev_kline = self._parse_kline(tdx_klines[-2]) 45 | latest_kline = self._parse_kline(tdx_klines[-1]) 46 | if last_kline and prev_kline['datetime'] == last_kline['datetime']: 47 | self.logger.debug('yield prev kline: %s' % prev_kline) 48 | yield prev_kline 49 | if last_kline != latest_kline: 50 | yield latest_kline 51 | self.logger.debug('yield latest kline: %s' % latest_kline) 52 | last_kline = latest_kline 53 | await sleep(1) 54 | 55 | async def get_kline_histories(self, symbol: str, from_ts: Optional[int] = None, limit: Optional[int] = None): 56 | market, code = symbol.split('.') 57 | if self._market_mapping[market] in self._market_list: 58 | bars = [] 59 | if from_ts is not None: 60 | idx = 0 61 | while len(bars) == 0 or bars[-1]['datetime'] >= from_ts: 62 | bars += [ 63 | self._parse_kline(bar) for bar in reversed( 64 | self._get_instrument_bars( 65 | TDXParams.KLINE_TYPE_1MIN, 66 | self._market_mapping[market], 67 | code, idx * 700, 700))] 68 | idx += 1 69 | # 前面都是整700地取，所以有可能取到的数据会超过 from_ts,因此这里再做一次过滤 70 | bars = list(filter(lambda x: x['datetime'] >= from_ts, bars)) 71 | elif limit is not None: 72 | for i in range(limit // 700): 73 | bars += [ 74 | self._parse_kline(bar) for bar in reversed( 75 | self._get_instrument_bars( 76 | TDXParams.KLINE_TYPE_1MIN, 77 | self._market_mapping[market], 78 | code, i * 700, 700))] 79 | bars += [ 80 | self._parse_kline(bar) for bar in reversed( 81 | self._get_instrument_bars( 82 | TDXParams.KLINE_TYPE_1MIN, 83 | self._market_mapping[market], 84 | code, limit // 700 * 700, 85 | limit % 700))] 86 | return reversed(bars) 87 | 88 | def disconnect(self): 89 | self._pill.set() 90 | self._api.disconnect() 91 | 92 | def _get_instrument_bars(self, category, market, code, start=0, count=700): 93 | while True: 94 | try: 95 | cmd = GetInstrumentBars(self._api.client, lock=self._api.lock) 96 | cmd.setParams(category, market, code, start=start, count=count) 97 | return cmd.call_api() 98 | except Exception as e: 99 | pass 100 | 101 | def _parse_kline(self, kline_tdx: dict) -> dict: 102 | dt = self._server_tz.localize( 103 | datetime.strptime( 104 | kline_tdx['datetime'], 105 | '%Y-%m-%d %H:%M')).astimezone(pytz.utc) 106 | return { 107 | 'datetime': int(dt.timestamp() * 1000), 108 | 'open': str(round(kline_tdx['open'], 2)), 109 | 'high': str(round(kline_tdx['high'], 2)), 110 | 'low': str(round(kline_tdx['low'], 2)), 111 | 'close': str(round(kline_tdx['close'], 2)), 112 | 'volume': kline_tdx['trade'], 113 | } 114 | -------------------------------------------------------------------------------- /livetrader/rpc.py: -------------------------------------------------------------------------------- 1 | import asyncio 2 | import functools 3 | import logging 4 | import signal 5 | 6 | import gevent 7 | import zerorpc 8 | from zerorpc import Client as _Client 9 | from zerorpc import Publisher as _Publisher 10 | from zerorpc import Subscriber as _Subscriber 11 | 12 | from livetrader.utils import FifoQueue 13 | 14 | 15 | class Publisher(_Publisher): 16 | pass 17 | 18 | 19 | class Subscriber(_Subscriber): 20 | pass 21 | 22 | 23 | class Client(_Client): 24 | pass 25 | 26 | 27 | class MarketSubscriber(Subscriber): 28 | 29 | def __init__(self, symbol: str): 30 | super().__init__() 31 | self._symbol = symbol 32 | self._pill2kill = asyncio.Event() 33 | 34 | def connect(self, endpoint, resolve=True): 35 | _endpoint = "%s_%s" % (endpoint, self._symbol) 36 | return super().connect(endpoint=_endpoint, resolve=resolve) 37 | 38 | def on_kline(self, kline: dict): 39 | raise NotImplementedError() 40 | 41 | def run(self): 42 | self._gevent_task = gevent.spawn(super().run) 43 | 44 | async def the_loop(): 45 | while not self._pill2kill.is_set(): 46 | await asyncio.sleep(0) 47 | gevent.sleep(0) 48 | self._asyncio_task = asyncio.get_event_loop().create_task(the_loop()) 49 | 50 | def close(self): 51 | self._pill2kill.set() 52 | if self._gevent_task is not None: 53 | self._gevent_task.kill() 54 | if self._asyncio_task is not None: 55 | self._asyncio_task.cancel() 56 | 57 | 58 | class Method(object): 59 | def __init__(self, functor): 60 | self._functor = functor 61 | self.__doc__ = functor.__doc__ 62 | self.__name__ = getattr(functor, "__name__", str(functor)) 63 | functools.update_wrapper(self, functor) 64 | 65 | @property 66 | def coroutine(self): 67 | return asyncio.iscoroutinefunction(self._functor) 68 | 69 | def __get__(self, instance, type_instance=None): 70 | if instance is None: 71 | return self 72 | return self.__class__(self._functor.__get__(instance, type_instance)) 73 | 74 | def __call__(self, *args, **kwargs): 75 | return self._functor(*args, **kwargs) 76 | 77 | 78 | class Server(object): 79 | 80 | def __init__(self, service): 81 | self._service = service 82 | self._publishers = {} 83 | self._logger = logging.getLogger('Server') 84 | methods = dict((k, self._decorate_coroutine_method(getattr(service, k))) for k in dir(service) 85 | if isinstance(getattr(service, k), Method)) 86 | self.s = zerorpc.Server(methods=methods) 87 | self._pill2kill = asyncio.Event() 88 | 89 | def bind(self, endpoint: str): 90 | self._endpoint = endpoint 91 | self.s.bind(endpoint) 92 | 93 | def _decorate_coroutine_method(self, method): 94 | if method.coroutine: 95 | def __deco__(*args, **kwargs): 96 | return asyncio.get_event_loop().run_until_complete(method(*args, **kwargs)) 97 | return __deco__ 98 | else: 99 | return method 100 | 101 | def _publish(self, queue: FifoQueue): 102 | while not self._pill2kill.is_set(): 103 | gevent.sleep(0) 104 | if not queue.empty(): 105 | symbol, kline = queue.get_nowait() 106 | if symbol in self._publishers: 107 | publisher = self._publishers[symbol] 108 | else: 109 | publisher = self._publishers[symbol] = Publisher() 110 | publisher.bind('%s_%s' % (self._endpoint, symbol)) 111 | publisher.on_kline(kline) 112 | 113 | def run(self): 114 | # register shutdown handler 115 | gevent.signal_handler(signal.SIGINT, self.close) 116 | gevent.signal_handler(signal.SIGTERM, self.close) 117 | 118 | queue = self._service.start() 119 | self._publish_task = gevent.spawn(self._publish, (queue)) 120 | self._server_task = gevent.spawn(self.s.run) 121 | 122 | self._logger.info('Server started') 123 | while not self._pill2kill.is_set(): 124 | asyncio.get_event_loop().run_until_complete(asyncio.sleep(0)) 125 | gevent.sleep(0) 126 | 127 | def close(self): 128 | self._logger.info('Server stopping...') 129 | if self._publish_task is not None: 130 | self._publish_task.kill() 131 | self.s.close() 132 | if self._server_task is not None: 133 | self._server_task.kill() 134 | for publisher in self._publishers.values(): 135 | publisher.close() 136 | self._service.stop() 137 | self._logger.info('Server stopped') 138 | self._pill2kill.set() 139 | -------------------------------------------------------------------------------- /livetrader/trade/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/lookis/livetrader/875c6f33906cd8d487daeef6e80c74fbe00be801/livetrader/trade/__init__.py -------------------------------------------------------------------------------- /livetrader/trade/base.py: -------------------------------------------------------------------------------- 1 | 2 | from typing import List, Optional 3 | 4 | from livetrader.rpc import Method, Publisher, Subscriber 5 | 6 | 7 | # 仅用来标识一些常量，具体order对象依旧是 dict 对象 8 | class OrderBase(): 9 | ExecTypes = ['Market', 'Close', 'Limit', 'Stop', 'StopLimit', 'StopTrail', 10 | 'StopTrailLimit', 'Historical'] 11 | 12 | OrdTypes = ['Buy', 'Sell'] 13 | Buy, Sell = range(2) 14 | 15 | Created, Submitted, Accepted, Partial, Completed, \ 16 | Canceled, Expired, Rejected = range(9) 17 | 18 | Cancelled = Canceled # alias 19 | 20 | Status = [ 21 | 'Created', 'Submitted', 'Accepted', 'Partial', 'Completed', 22 | 'Canceled', 'Expired', 'Rejected', 23 | ] 24 | 25 | 26 | # 为了适配不同的交易接口，有些是推送数据（比方说期货）有些是拉数据（比方说数字货币），我们都用TradeBase 来代表，然后用 TradeService 封装出统一接口 27 | # 在 TradeBase 里如果是推送的接口，就直接 yield 出来，如果是拉数据的，就定时 polling，然后缓存在 28 | # TradeService 里（数据库），之后都统一出推送接口和polling 接口，这样TradeBase可以自己控制调用接口的频率，然后 29 | # TradeService 对外就没有调用限制了 30 | 31 | 32 | class TradeBase(): 33 | def connect(self): 34 | raise NotImplementedError() 35 | 36 | def disconnect(self): 37 | raise NotImplementedError() 38 | 39 | async def fetch_balance(self): 40 | """ 41 | balance 里包含字段： 42 | cash：现金 43 | value: 总资产 44 | """ 45 | raise NotImplementedError() 46 | 47 | async def fetch_markets(self): 48 | """ 49 | 获取可交易品种信息 50 | symbol 品种 51 | leverage 杠杆大小 52 | mult 乘数 53 | commission 费率 54 | margin 保证金 55 | shortable 可做空 56 | """ 57 | raise NotImplementedError() 58 | 59 | async def create_order(self, symbol: str, ordtype: int, exectype: int, price: float, size: int, client: Optional[str] = None): 60 | """ 61 | symbol: 标的，SHFE.rb2101 62 | ordtype: OrderBase.OrdTypes 63 | exectype: OrderBase.ExecTypes 64 | price: 价格 65 | size: 正数为 Long 多单, 负数为 Short 空单 66 | client: 客户端的id，调用用来区分是否为自己发起的订单（与成交） 67 | 68 | 返回：多一个 status 属性， OrderBase.Status 69 | 因为不是所有的市场关于定单都是阻塞的，就哪怕是市价单也会通过异步的方式通知订单状态，所以这里定单会有很多不同的状态，参考 OrderBase.Status 70 | """ 71 | raise NotImplementedError() 72 | 73 | async def cancel_order(self, order_id: str): 74 | """ 75 | 这里和 create_order 一样，也是异步调用，返回只能代表交易所收到这个请求，不一定执行成功，有可能会被拒绝，需要 watch_orders 看结果 76 | """ 77 | raise NotImplementedError() 78 | 79 | async def watch_orders(self, symbol: str): 80 | raise NotImplementedError() 81 | 82 | async def fetch_orders(self, symbol: Optional[str] = None): 83 | raise NotImplementedError() 84 | 85 | async def fetch_open_orders(self, symbol: Optional[str] = None): 86 | raise NotImplementedError() 87 | 88 | async def fetch_trades(self, symbol: Optional[str] = None): 89 | raise NotImplementedError() 90 | 91 | async def watch_trades(self, symbol: str): 92 | raise NotImplementedError() 93 | 94 | async def fetch_positions(self, symbol: Optional[str] = None): 95 | raise NotImplementedError() 96 | 97 | 98 | class TradeSubscriber(Subscriber): 99 | 100 | def on_order(self, order: dict): 101 | raise NotImplementedError() 102 | 103 | def on_trade(self, trade: dict): 104 | raise NotImplementedError() 105 | 106 | 107 | class TradeService(): 108 | 109 | def __init__(self): 110 | self._publishers = [] 111 | self._tasks = [] 112 | 113 | async def _publish(self): 114 | raise NotImplementedError() 115 | 116 | def start(self): 117 | # start publish service(polling and push) 118 | raise NotImplementedError() 119 | 120 | @Method 121 | async def get_balance(self): 122 | raise NotImplementedError() 123 | 124 | @Method 125 | async def create_order(self, symbol: str, exectype: str, price: float, size: int): 126 | raise NotImplementedError() 127 | 128 | @Method 129 | async def cancel_order(self, order_id: str): 130 | raise NotImplementedError() 131 | 132 | @Method 133 | async def open_orders(self, symbol: Optional[str] = None): 134 | raise NotImplementedError() 135 | 136 | @Method 137 | async def today_trades(self, symbol: Optional[str] = None): 138 | raise NotImplementedError() 139 | 140 | @Method 141 | async def fetch_position(self, symbol: Optional[str] = None): 142 | raise NotImplementedError() 143 | 144 | def stop(self): 145 | for publisher in self._publishers: 146 | publisher.close() 147 | for task in self._tasks: 148 | task.cancel() 149 | -------------------------------------------------------------------------------- /livetrader/utils.py: -------------------------------------------------------------------------------- 1 | 2 | import asyncio 3 | 4 | 5 | class FifoQueue(asyncio.Queue): 6 | 7 | async def put(self, item): 8 | if self.maxsize > 0 and self.qsize() >= self.maxsize: 9 | await super().get() 10 | await super().put(item) 11 | 12 | def put_nowait(self, item): 13 | if self.maxsize > 0 and self.qsize() >= self.maxsize: 14 | super().get_nowait() 15 | return super().put_nowait(item) 16 | -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | environs 2 | zerorpc 3 | pymongo 4 | motor 5 | click 6 | tzlocal -------------------------------------------------------------------------------- /setup.cfg: -------------------------------------------------------------------------------- 1 | [bdist_wheel] 2 | universal = 1 -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- 1 | import setuptools 2 | 3 | with open("README.md", "r") as fh: 4 | long_description = fh.read() 5 | 6 | setuptools.setup( 7 | name="livetrader", # Replace with your own username 8 | version="0.1", 9 | author='lookis', 10 | author_email="lookisliu@gmail.com", 11 | description="A small and extendable framework for trading", 12 | long_description=long_description, 13 | long_description_content_type="text/markdown", 14 | url="https://github.com/lookis/livetrader", 15 | packages=setuptools.find_packages(), 16 | install_requires=[ 17 | 'click', 18 | 'tzlocal', 19 | 'environs', 20 | 'zerorpc', 21 | 'pymongo', 22 | 'motor', 23 | ], 24 | python_requires='>=3.6', 25 | ) 26 | --------------------------------------------------------------------------------