OANDA REST-API based environment serving as a base for futher development of trading tools. Main part is the OANDAd daemon processing the streaming quotes
Project description
The OANDA Trading Environment is built using the OANDA REST-API by making use of the https://github.com/oanda/oandapy API-wrapper.
Streaming Candles
Main part is the OANDAd daemon that parses the streaming quotes in configurable timeframes, by 1 minute, 5 minutes, 15 minutes etc. This makes it produce streaming candles.
Candle data:
{"data": {"instrument": "EUR_JPY", "granularity" : "M1", "start": "2015-09-02 15:36:00" "end": "2015-09-02 15:37:00", "data": {"high": 134.967, "open": 134.962, "last": 134.9565, "low": 134.9475, "volume": 19 }, } }
The larger timeframes can be requested using the API.
Actions
When a timeframe is completed it can be handled by one or more plugins. Plugins have a configfile based on the name of the plugin-file, but in lowercase. The plugins can be found under etc/OANDA/plugins and the plugin configs under etc/OANDA/config/plugins.
Plugins need to be enabled in the config file, see the ‘plugins:’ section in etc/OANDA/config/OANDAd.cfg.
The environment comes with a few plugins:
Publish/Subscribe - plugin
This plugin can be configured to ‘publish’ the candle using a publisher/subscriber mechanism. This is achieved by using the 0MQ library and the python binding for it: pyzmq
Other trading applications can easily subscribe to receive the candle data. See here for a ZMQ subscription example.
This plugin is enabled by default.
Plainfile - plugin
This plugin can be configured to write candle records to a flatfile in a directory structure.
Example:
/tmp/oandadb |-- BCO_USD | |-- M1 | | `-- cache | |-- M15 | | `-- cache | `-- M5 | `-- cache |-- DE30_EUR | |-- M1 | | `-- cache | |-- M15 | | `-- cache | `-- M5 | `-- cache |-- EUR_CHF | |-- M1 | | `-- cache | |-- M15 | | `-- cache | `-- M5 | `-- cache |-- EUR_GBP | |-- M1 | | `-- cache | |-- M15 | | `-- cache | `-- M5 | `-- cache |-- EUR_JPY | |-- M1 | | `-- cache | |-- M15 | | `-- cache | `-- M5 | `-- cache |-- EUR_USD |-- M1 | `-- cache |-- M15 | `-- cache `-- M5 `-- cache
MySQL - plugin
The MySQL plugin can be configured to insert records into a database. This plugin is provided as an example, since it needs details that depend on your databasemodel.
Specs and Prerequisites
To access the OANDA services you will need a token, see https://developer.oanda.com for details.
Install
Git
Install by using a virtual environment and git:
$ cd <somewhere> $ mkdir OANDA $ cd OANDA $ virtualenv venv
Optionally use –system-site-packages to use the standard available packages for the python modules available on your system: pyyaml, pyzmq. Check for the packages on the distribution you use.
$ . ./venv/bin/activate $ git clone https://github.com/hootnot/oanda-trading-environment.git $ cd oanda-trading-environment $ python setup.py install
OANDA has not made the oandapy module pip installable. A hack to get oandapy installed as a standalone module:
$ pip install git+https://github.com/hootnot/oandapy
This will install the latest oandapy using the setup.py from the oandapy fork.
$ pip list | grep oanda oanda-trading-environment (0.0.1) oandapy (0.1)
pip
Install from pypi:
using a virtual environment:
$ cd <somewhere> $ mkdir OANDA $ cd OANDA $ virtualenv [--system-site-packages] venv $ . ./venv/bin/activate $ pip install oanda-trading-environment $ pip install git+https://github.com/hootnot/oandapy
using a system install:
$ sudo pip install oanda-trading-environment $ sudo pip install git+https://github.com/hootnot/oandapy
Configure the OANDAd.cfg config file and start the daemon.
Quick start
After installing you need to configure the environment by editing the config file etc/OANDA/config/OANDAd.cfg. This is a YAML based configfile.
Configure the environment and the token. Alter the list of instruments you want to follow.
The pubsub plugin publishes by default at localhost, port 5550. These can be altered in the ‘pubsub’ config: etc/OANDA/config/plugins/pubsub.cfg.
Controlling OANDAd
OANDAd is built using daemoncle. The ‘start’, ‘status’ and ‘stop’ commands are implemented. The daemon forks itself and the child will process the stream. When there are issues, TIME-OUT for instance, the child will exit and a new child will be spawned.
$ OANDAd start Starting OANDAd ... OK $ OANDAd status OANDAd -- pid: 51931, status: sleeping, uptime: 0m, %cpu: 0.0, %mem: 1.8 $ OANDAd stop Stopping OANDAd ... OK
The daemon will process streaming quotes now and process the timeframes as configured. Timeframes are currently based on the midprice of bid/ask.
Logging
The ticks received from the stream are written to a logfile:
streamdata.<date>
The daemon itself logs to OANDAd.log
Loglevel and the streamdata logfile extension is configurable. Check the OANDAd.cfg file for details.
ZMQ - client
This simple piece of code acts as a subscriber to the daemon. All completed timeframes are written to stdout. Using ZMQ make it easy to program different strategies completely independent from each other. By using ‘topics’ it is possible to subscribe for a certain time granularity like M1, M5 etc. Check the ZMQ for details.
import zmq context = zmq.Context() socket = context.socket( zmq.SUB) socket.connect("tcp://127.0.0.1:5550") socket.setsockopt(zmq.SUBSCRIBE, "") socket.setsockopt( zmq.RCVBUF, 1000) while True: msg = socket.recv() print "GOT: ", msg
This will show candle data like below, every time a timeframe is completed.
GOT: {"data": { "instrument": "EUR_GBP", "granularity": "M1", "start": "2015-09-04 17:45:00", "end": "2015-09-04 17:46:00", "data": { "high": 0.734445, "open": 0.734399, "last": 0.73437, "low": 0.734345, "volume": 16 } } } GOT: {"data": { "instrument": "EUR_JPY", "granularity": "M1", "start": "2015-09-04 17:45:00", "end": "2015-09-04 17:46:00", "data": { "high": 132.629, "open": 132.619, "last": 132.6185, "low": 132.608, "volume": 15 } } } GOT: {"data": { "instrument": "SPX500_USD", "granularity": "M1", "start": "2015-09-04 17:45:00", "end": "2015-09-04 17:46:00", "data": { "high": 1915.35, "open": 1914.75, "last": 1915.25, "low": 1914.75, "volume": 33 } } }
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