PyTrading/tick_data.py at master · backtrader2/PyTrading · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
from kiteconnect import WebSocket
from getter import read_list,get_symbol,get_token
from real_time import check_trigger,make_list,check_latest_trigger_list,get_time
import csv
from datetime import datetime
import json
import pickle
import pandas as pd
import logging
logging.basicConfig()

tick_df = []
subscribtion_list = []

# Callback for tick reception.
def on_tick(tick, ws):
	# print "IN TICK"
	# print "Length of tick is %d\n"%len(tick)
	global tick_df
	for z in range(0,len(tick)):
		frames = []
		# print z
		for x, y in tick[z].iteritems():#try use nonlabel indexes to reduce overhead
			# print "x is ",x,"and y is ",y
			if x=='ohlc' or x=='depth' :
				if(x == 'ohlc'):
					for val,v in y.iteritems():
						if(val == 'high' or val == 'low'):
							frames.append(v)
						# print "value is ",v

				elif(x == 'depth'):
					# print "IN DEPTH NOW"
					for a in range(0,2):
						frames.append(tick[z][x]['sell'][a]['price'])
						frames.append(tick[z][x]['sell'][a]['orders'])
						frames.append(tick[z][x]['sell'][a]['quantity'])

						frames.append(tick[z][x]['sell'][a+5]['price'])
						frames.append(tick[z][x]['sell'][a+5]['orders'])
						frames.append(tick[z][x]['sell'][a+5]['quantity'])
			else:
				# print x
				if(x=='change' or x=='average_price' or x=='mode' or x=='tradeable'):
					continue
				frames.append(y)
		# print "BEFORE CHECK"
		frames.append(get_time('h'))
		if(check_latest_trigger_list(frames)):
			check_trigger(frames)
		tick_df.loc[len(tick_df)] = frames
		# print "OUT TICK"

	# print tick_df
	if (len(tick_df)>110):  	#Total bytes = 164, Bytes used = 68, 8000/68 ~118
		save_ticks(tick_df)
		# print tick_df
		tick_df = tick_df.query('last_price == -1.0')


def save_ticks(df):
	name = "Data/Tick/"+datetime.strftime(datetime.now(),'%d_%m_%Y')+".csv"
	df.to_csv(name,mode='a',header=False , index=False)
	# make_tick_df()

def make_tick_file(x='y'):
	global tick_df
	name = "Data/Tick/"+datetime.strftime(datetime.now(),'%d_%m_%Y')+".csv"
	if x=='y':
		tick_df.to_csv(name,mode='w',index=False)

# Callback for successful connection.
def on_connect(ws):
    global subscription_list
    ws.subscribe(subscription_list)
    print "Subscribed to ",get_symbol(subscription_list)

    ws.set_mode(ws.MODE_FULL, subscription_list)

def make_tick_df():
	global tick_df
# The below is done to set the order of the columns

	tick_df= pd.DataFrame(columns=['last_price', 'volume',
	'sell_quantity', 'last_quantity',
	 'high',
	'low', 'bp1','bo1','bq1','ap1','ao1','aq1',
	'bp2','bo2','bq2','ap2','ao2','aq2',
	 'buy_quantity', 'instrument_token','timestamp'])

def set_subscription_list(x):
	df = read_list("Latest_List",['instrument_token'])
	global subscription_list
	subscription_list = df['instrument_token'].tolist()
	subscription_list = subscription_list[0:x]
	make_list(subscription_list)

def show_data(x):
	df = read_list("Tick/"+get_time(),
		['last_price','volume','bp1','bo1','bq1','ap1','ao1','aq1',
		'bp2','bo2','bq2','ap2','ao2','aq2','instrument_token','timestamp'])
	df = df.query('instrument_token == '+str(x))
	pd.set_option('display.max_rows', len(df))
	print df


def save_instruments(kit):
	csv_dump = kit.instruments()
	csv_columns = ['instrument_token', 'exchange_token', 'tradingsymbol','name',
	 'last_price', 'expiry', 'strike', 'tick_size', 'lot_size', 'instrument_type',
	  'segment', 'exchange']
	with open("Data/Instruments.csv",'w') as ins:
		writer = csv.DictWriter(ins,fieldnames = csv_columns)
		writer.writeheader()
		for row in csv_dump:
			if(row['instrument_type'] == 'EQ' and row['exchange'] == 'NSE'):
				writer.writerow(row)

# Initialise.
def tick_init(api_key, public_token, id):
	kws = WebSocket(api_key, public_token, id)
	make_tick_df()
	#Remove below line before restarting in order to save data
	make_tick_file()
	num = int(input("Enter the number of stocks to subscribe\n"))
	set_subscription_list(num)
	# Assign the callbacks.
	kws.on_tick = on_tick
	kws.on_connect = on_connect

	# Infinite loop on the main thread. Nothing after this will run.
	# You have to use the pre-defined callbacks to manage subscriptions.
	kws.connect(True)