'''backtest
start: 2020-01-01 00:00:00
end: 2020-04-01 00:00:00
period: 15m
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
'''
import pandas as pd
import time
def main():
exchange.SetContractType("quarter")
preTime = 0
Log(exchange.GetAccount())
while True:
records = exchange.GetRecords(PERIOD_M15)
if records and records[-2].Time > preTime:
preTime = records[-2].Time
doTicker(records[:-1])
Sleep(1000 *60)
'''
while True:
a=time.localtime(Unix())
if(14<a.tm_min<16):
Log(a)
if(a.tm_min==0 or a.tm_min==15 or a.tm_min==30 or a.tm_min==45):
doTicker()
Sleep(1000 *60)
'''
def doTicker(records):
#Log('onTick',exchange.GetTicker())
M15 = pd.DataFrame(records)
#Factor=3
#Pd=7
M15.columns = ['time','open','high','low','close','volume','OpenInterest']
#HL2
M15['hl2']=(M15['high']+M15['low'])/2
#ATR(PD)
length=Pd
M15['prev_close']=M15['close'].shift(1)
ranges= [M15['high'] - M15['low'],M15['high']-M15['prev_close'],M15['low']-M15['prev_close']]
M15['tr'] = pd.DataFrame(ranges).T.abs().max(axis=1)
alpha = (1.0 / length) if length > 0 else 0.5
M15['atr']=M15['tr'].ewm(alpha=alpha, min_periods=length).mean()
M15['Up']=M15['hl2']-(Factor*M15['atr'])
M15['Dn']=M15['hl2']+(Factor*M15['atr'])
M15['TrendUp']=0.0
M15['TrendDown']=0.0
M15['Trend']=1
M15['Tsl']=0.0
M15['linecolor']='Homily'
M15 = M15.fillna(0)
for x in range(len(M15)):
M15['TrendUp'].values[x] = max(M15['Up'].values[x],M15['TrendUp'].values[x-1]) if (M15['close'].values[x-1]>M15['TrendUp'].values[x-1]) else M15['Up'].values[x]
M15['TrendDown'].values[x] = min(M15['Dn'].values[x],M15['TrendDown'].values[x-1]) if (M15['close'].values[x-1]<M15['TrendDown'].values[x-1]) else M15['Dn'].values[x]
M15['Trend'].values[x] = 1 if (M15['close'].values[x] > M15['TrendDown'].values[x-1]) else ( -1 if (M15['close'].values[x]< M15['TrendUp'].values[x-1])else M15['Trend'].values[x-1] )
M15['Tsl'].values[x] = M15['TrendUp'].values[x] if (M15['Trend'].values[x]==1) else M15['TrendDown'].values[x]
M15['linecolor'].values[x]= 'Long' if ( M15['Trend'].values[x]==1) else 'Short'
linecolor=M15['linecolor'].values[-2]
close=M15['close'].values[-2]
Tsl=M15['Tsl'].values[-2]
if(M15['Trend'].values[-1] == 1 and M15['Trend'].values[-2] == -1):
Log('SuperTrend V.1 Alert Long','Create Order Buy')
Log('Tsl=',Tsl)
position = exchange.GetPosition()
if len(position) > 0:
Amount=position[0]["Amount"]
exchange.SetDirection("closesell")
exchange.Buy(_C(exchange.GetTicker).Sell*1.01, Amount);
exchange.SetDirection("buy")
exchange.Buy(_C(exchange.GetTicker).Sell*1.01, vol);
if(M15['Trend'].values[-1] == -1 and M15['Trend'].values[-2] == 1):
Log('SuperTrend V.1 Alert Long','Create Order Sell')
Log('Tsl=',Tsl)
position = exchange.GetPosition()
if len(position) > 0:
Amount=position[0]["Amount"]
exchange.SetDirection("closebuy")
exchange.Sell(_C(exchange.GetTicker).Buy*0.99,Amount);
exchange.SetDirection("sell")
exchange.Sell(_C(exchange.GetTicker).Buy*0.99, vol*2);
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