ES_CR_Capítulo_07_MT5_Live_Trading.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "566da139",
   "metadata": {},
   "outputs": [],
   "source": [
    "import ta\n",
    "import numpy as np\n",
    "import warnings\n",
    "from datetime import datetime\n",
    "import pandas as pd\n",
    "import MetaTrader5 as mt5\n",
    "warnings.filterwarnings(\"ignore\")\n",
    "mt5.initialize()\n",
    "\n",
    "\n",
    "class MT5:\n",
    "\n",
    "    def get_data(symbol, n, timeframe=mt5.TIMEFRAME_D1):\n",
    "        \"\"\" Function to import the data of the chosen symbol\"\"\"\n",
    "\n",
    "        # Initialize the connection if there is not\n",
    "        mt5.initialize()\n",
    "\n",
    "        # Current date extract\n",
    "        utc_from = datetime.now()\n",
    "\n",
    "        # Import the data into a tuple\n",
    "        rates = mt5.copy_rates_from(symbol, timeframe, utc_from, n)\n",
    "\n",
    "        # Tuple to dataframe\n",
    "        rates_frame = pd.DataFrame(rates)\n",
    "\n",
    "        # Convert time in seconds into the datetime format\n",
    "        rates_frame['time'] = pd.to_datetime(rates_frame['time'], unit='s')\n",
    "\n",
    "        # Convert the column \"time\" in the right format\n",
    "        rates_frame['time'] = pd.to_datetime(rates_frame['time'], format='%Y-%m-%d')\n",
    "\n",
    "        # Set column time as the index of the dataframe\n",
    "        rates_frame = rates_frame.set_index('time')\n",
    "        return rates_frame\n",
    "\n",
    "    def orders(symbol, lot, buy=True, id_position=None):\n",
    "        \"\"\" Send the orders \"\"\"\n",
    "\n",
    "        # Initialize the connection if there is not\n",
    "        if mt5.initialize() == False:\n",
    "            mt5.initialize()\n",
    "\n",
    "        # Get filling mode \n",
    "        filling_mode = mt5.symbol_info(symbol).filling_mode - 1\n",
    "\n",
    "        # Take ask price\n",
    "        ask_price = mt5.symbol_info_tick(symbol).ask\n",
    "\n",
    "        # Take bid price\n",
    "        bid_price = mt5.symbol_info_tick(symbol).bid\n",
    "\n",
    "        # Take the point of the asset\n",
    "        point = mt5.symbol_info(symbol).point\n",
    "\n",
    "        deviation = 20  # mt5.getSlippage(symbol)\n",
    "        # **************************** Open a trade *****************************\n",
    "        if id_position == None:\n",
    "\n",
    "           # Buy order Parameters\n",
    "            if buy:\n",
    "                type_trade = mt5.ORDER_TYPE_BUY\n",
    "                sl = ask_price*(1-0.01)\n",
    "                tp = ask_price*(1+0.01)\n",
    "                price = ask_price\n",
    "\n",
    "           # Sell order Parameters\n",
    "           else:\n",
    "                type_trade = mt5.ORDER_TYPE_SELL\n",
    "                sl = bid_price*(1+0.01)\n",
    "                tp = bid_price*(1-0.01)\n",
    "                price = bid_price\n",
    "\n",
    "           # Open the trade\n",
    "            request = {\n",
    "               \"action\": mt5.TRADE_ACTION_DEAL,\n",
    "               \"symbol\": symbol,\n",
    "               \"volume\": lot,\n",
    "               \"type\": type_trade,\n",
    "               \"price\": price,\n",
    "               \"deviation\": deviation,\n",
    "               \"sl\": sl,\n",
    "               \"tp\": tp,\n",
    "               \"magic\": 234000,\n",
    "               \"comment\": \"python script order\",\n",
    "               \"type_time\": mt5.ORDER_TIME_GTC,\n",
    "               \"type_filling\": filling_mode,\n",
    "            }\n",
    "            # send a trading request\n",
    "            result = mt5.order_send(request)\n",
    "            result_comment = result.comment\n",
    "\n",
    "       # **************************** Close a trade *****************************\n",
    "       else:\n",
    "           # Buy order Parameters\n",
    "           if buy:\n",
    "                type_trade = mt5.ORDER_TYPE_SELL\n",
    "                price = bid_price\n",
    "\n",
    "           # Sell order Parameters\n",
    "           else:\n",
    "                type_trade = mt5.ORDER_TYPE_BUY\n",
    "                price = ask_price\n",
    "\n",
    "           # Close the trade\n",
    "           request = {\n",
    "               \"action\": mt5.TRADE_ACTION_DEAL,\n",
    "               \"symbol\": symbol,\n",
    "               \"volume\": lot,\n",
    "               \"type\": type_trade,\n",
    "               \"position\": id_position,\n",
    "               \"price\": price,\n",
    "               \"deviation\": deviation,\n",
    "               \"magic\": 234000,\n",
    "               \"comment\": \"python script order\",\n",
    "               \"type_time\": mt5.ORDER_TIME_GTC,\n",
    "               \"type_filling\": filling_mode,\n",
    "           }\n",
    "\n",
    "            # send a trading request\n",
    "            result = mt5.order_send(request)\n",
    "            result_comment = result.comment\n",
    "        return result.comment\n",
    "\n",
    "\n",
    "    def resume():\n",
    "        \"\"\" Return the current positions. Position=0 --> Buy \"\"\"\n",
    "        # Initialize the connection if there is not\n",
    "        mt5.initialize()\n",
    "\n",
    "        # Define the name of the columns that we will create\n",
    "        colonnes = [\"ticket\", \"position\", \"symbol\", \"volume\"]\n",
    "\n",
    "        # Go take the current open trades\n",
    "        current = mt5.positions_get()\n",
    "\n",
    "        # Create a empty dataframe\n",
    "        summary = pd.DataFrame()\n",
    "\n",
    "        # Loop to add each row in dataframe\n",
    "        # (Can be ameliorate using of list of list)\n",
    "        for element in current:\n",
    "             element_pandas = pd.DataFrame([element.ticket,\n",
    "                                          element.type,\n",
    "                                          element.symbol,\n",
    "                                          element.volume],\n",
    "                                         index=colonnes).transpose()\n",
    "             summary = pd.concat((summary, element_pandas), axis=0)\n",
    "\n",
    "        return summary\n",
    "\n",
    "\n",
    "    def run(symbol, long, short, lot):\n",
    "\n",
    "        # Initialize the connection if there is not\n",
    "        if mt5.initialize() == False:\n",
    "            mt5.initialize()\n",
    "\n",
    "        # Choose your  symbol\n",
    "        print(\"------------------------------------------------------------------\")\n",
    "        print(\"Date: \", datetime.now().strftime(\"%Y-%m-%d %H:%M:%S\"))\n",
    "        print(\"SYMBOL:\", symbol)\n",
    "\n",
    "        # Initialize the device\n",
    "        current_open_positions = MT5.resume()\n",
    "        # Buy or sell\n",
    "        print(f\"BUY: {long} \\t  SHORT: {short}\")\n",
    "\n",
    "        \"\"\" Close trade eventually \"\"\"\n",
    "        # Extraction type trade\n",
    "        try:\n",
    "            position = current_open_positions.loc[current_open_positions[\"symbol\"]==symbol].values[0][1]\n",
    "\n",
    "            identifier = current_open_positions.loc[current_open_positions[\"symbol\"]==symbol].values[0][0]\n",
    "        except:\n",
    "            position= None\n",
    "            identifier = None\n",
    "\n",
    "        print(f\"POSITION: {position} \\t ID: {identifier}\")\n",
    "\n",
    "        # Close trades\n",
    "        if long==True and position==0:\n",
    "            long=False\n",
    "\n",
    "        elif long==False and position==0:\n",
    "            res = MT5.orders(symbol, lot, buy=True, id_position=identifier)\n",
    "            print(f\"CLOSE LONG TRADE: {res}\")\n",
    "\n",
    "        elif short==True and position ==1:\n",
    "            short=False\n",
    "\n",
    "        elif short == False and position == 1:\n",
    "            res = MT5.orders(symbol, lot, buy=False, id_position=identifier)\n",
    "            print(f\"CLOSE SHORT TRADE: {res}\")\n",
    "\n",
    "        else:\n",
    "            pass\n",
    "\n",
    "\n",
    "        \"\"\" Buy or short \"\"\"\n",
    "        if long==True:\n",
    "\n",
    "            res = MT5.orders(symbol, lot, buy=True, id_position=None)\n",
    "            print(f\"OPEN LONG TRADE: {res}\")\n",
    "\n",
    "        if short==True:\n",
    "            res = MT5.orders(symbol, lot, buy=False, id_position=None)\n",
    "            print(f\"OPEN SHORT TRADE: {res}\")\n",
    "\n",
    "        print(\"------------------------------------------------------------------\")\n",
    "\n",
    "    def close_all_night():\n",
    "        result = MT5.resume()\n",
    "        for i in range(len(result)):\n",
    "            before =  mt5.account_info().balance\n",
    "            row = result.iloc[0+i:1+i,:]\n",
    "            if row[\"position\"][0]==0:\n",
    "                res = MT5.orders(row[\"symbol\"][0], row[\"volume\"][0], buy=True, id_position=row[\"ticket\"][0])\n",
    "\n",
    "            else:\n",
    "                res = MT5.orders(row[\"symbol\"][0], row[\"volume\"][0], buy=False, id_position=row[\"ticket\"][0])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "021d25d0",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "Balance: 10000.0 USD, \tEquity: 9991.28 USD, \tProfit: -8.72 USD\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: BTCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: XMRUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETHUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ZECUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: BTCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: XMRUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETHUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ZECUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: BTCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: XMRUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETHUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ZECUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: BTCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: XMRUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:32\n",
      "SYMBOL: ETHUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:33\n",
      "SYMBOL: ETCUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n",
      "------------------------------------------------------------------\n",
      "Date:  2022-01-14 08:33:33\n",
      "SYMBOL: ZECUSD\n",
      "BUY: False \t  SHORT: False\n",
      "POSITION: None \t ID: None\n",
      "------------------------------------------------------------------\n"
     ]
    },
    {
     "ename": "KeyboardInterrupt",
     "evalue": "",
     "output_type": "error",
     "traceback": [
      "\u001b[1;31m---------------------------------------------------------------------------\u001b[0m",
      "\u001b[1;31mKeyboardInterrupt\u001b[0m                         Traceback (most recent call last)",
      "\u001b[1;32m~\\AppData\\Local\\Temp/ipykernel_5916/4152256203.py\u001b[0m in \u001b[0;36m<module>\u001b[1;34m\u001b[0m\n\u001b[0;32m     72\u001b[0m     \u001b[1;31m# Verfication for launch\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m     73\u001b[0m     \u001b[1;32mif\u001b[0m \u001b[0mdatetime\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mnow\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mweekday\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;32mnot\u001b[0m \u001b[1;32min\u001b[0m \u001b[1;33m(\u001b[0m\u001b[1;36m5\u001b[0m\u001b[1;33m,\u001b[0m\u001b[1;36m6\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m:\u001b[0m \u001b[1;31m# If you want to trade only from Monday to Friday\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[1;32m---> 74\u001b[1;33m         \u001b[0mis_time\u001b[0m \u001b[1;33m=\u001b[0m \u001b[0mdatetime\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mnow\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;33m)\u001b[0m\u001b[1;33m.\u001b[0m\u001b[0mstrftime\u001b[0m\u001b[1;33m(\u001b[0m\u001b[1;34m\"%H:%M:%S\"\u001b[0m\u001b[1;33m)\u001b[0m \u001b[1;33m==\u001b[0m \u001b[0mstart\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0m\u001b[0;32m     75\u001b[0m     \u001b[1;32melse\u001b[0m\u001b[1;33m:\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n\u001b[0;32m     76\u001b[0m         \u001b[0mis_time\u001b[0m \u001b[1;33m=\u001b[0m \u001b[1;32mFalse\u001b[0m\u001b[1;33m\u001b[0m\u001b[1;33m\u001b[0m\u001b[0m\n",
      "\u001b[1;31mKeyboardInterrupt\u001b[0m: "
     ]
    }
   ],
   "source": [
    "import ta\n",
    "import numpy as np\n",
    "import warnings\n",
    "from datetime import datetime\n",
    "import pandas as pd\n",
    "import MetaTrader5 as mt5\n",
    "warnings.filterwarnings(\"ignore\")\n",
    "mt5.initialize()\n",
    "\n",
    "order_duration = 0\n",
    "\n",
    "def breakout(symbol):\n",
    "    global order_duration\n",
    "    \n",
    "    # Importar / Ingeniería de variables\n",
    "    df = MT5.get_data(symbol, 50)\n",
    "    df[\"resistance\"] = df[\"close\"].rolling(30).max().shift(3)\n",
    "\n",
    "    distance = 0.5/100\n",
    "\n",
    "    # Valores de ayer\n",
    "    close_y = df[\"close\"].shift(1).iloc[-1]\n",
    "    resistance_y = df[\"resistance\"].shift(1).iloc[-1]\n",
    "\n",
    "    # Valores de hoy\n",
    "    close = df[\"close\"].iloc[-1]\n",
    "    resistance = df[\"resistance\"].iloc[-1]\n",
    "\n",
    "    # Señal\n",
    "    buy = (close_y < resistance_y) and (close > resistance*(1+distance))\n",
    "    sell = False\n",
    "    \n",
    "    # Modelizamos la posición\n",
    "    if buy:\n",
    "        order_duration = 7\n",
    "    else:\n",
    "        order_duration-=1\n",
    "        \n",
    "    \n",
    "    if order_duration>0:\n",
    "        buy=True\n",
    "        \n",
    "\n",
    "    return buy, sell\n",
    "\n",
    "mt5.initialize()\n",
    "# True = Live Trading and False = Screener\n",
    "live = True\n",
    "\n",
    "if live:\n",
    "    current_account_info = mt5.account_info()\n",
    "    print(\"------------------------------------------------------------------\")\n",
    "    print(\"Date: \", datetime.now().strftime(\"%Y-%m-%d %H:%M:%S\"))\n",
    "    print(f\"Balance: {current_account_info.balance} USD, \\t\"\n",
    "          f\"Equity: {current_account_info.equity} USD, \\t\"\n",
    "          f\"Profit: {current_account_info.profit} USD\")\n",
    "    print(\"------------------------------------------------------------------\")\n",
    "\n",
    "\n",
    "info_order = {\n",
    "    \"Bitcoin\": [\"BTCUSD\", 1.],\n",
    "    \"Monero\": [\"XMRUSD\", 0.1],\n",
    "    \"Ethereum\": [\"ETHUSD\", 0.3],\n",
    "    \"Ethereum Classic\": [\"ETCUSD\", 1.],\n",
    "    \"Zcash\": [\"ZECUSD\", 1.],\n",
    "    \n",
    "}\n",
    "\n",
    "\n",
    "start = datetime.now().strftime(\"%H:%M:%S\") #\"23:59:59\"\n",
    "while True:\n",
    "    # Verfication for launch\n",
    "    if datetime.now().weekday() not in (5,6): # If you want to trade only from Monday to Friday\n",
    "        is_time = datetime.now().strftime(\"%H:%M:%S\") == start \n",
    "    else:\n",
    "        is_time = False\n",
    "\n",
    "    \n",
    "    # Launch the algorithm\n",
    "    if is_time:\n",
    "\n",
    "        # Open the trades\n",
    "        for asset in info_order.keys():\n",
    "\n",
    "            # Initialize the inputs\n",
    "            symbol = info_order[asset][0]\n",
    "            lot = info_order[asset][1]\n",
    "\n",
    "            # Create the signals\n",
    "            buy, sell = breakout(symbol)\n",
    "\n",
    "             # Run the algorithm\n",
    "            if live:\n",
    "                MT5.run(symbol, buy, sell,lot)\n",
    "\n",
    "            else:\n",
    "                print(f\"Symbol: {symbol}\\t\"\n",
    "                     f\"Buy: {buy}\\t\"\n",
    "                     f\"Sell: {sell}\")\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "13fa935d",
   "metadata": {},
   "outputs": [],
   "source": [
    "def breakout(symbol):\n",
    "    global order_duration\n",
    "    \n",
    "    # Import / Features engineering\n",
    "    df = MT5.get_data(\"BTCUSD\", 50)\n",
    "    df[\"resistance\"] = df[\"close\"].rolling(30).max().shift(3)\n",
    "    df[\"support\"] = df[\"close\"].rolling(30).min().shift(3)\n",
    "\n",
    "    distance = 0.5/100\n",
    "\n",
    "    # Yersteday values\n",
    "    close_y = df[\"close\"].shift(1).iloc[-1]\n",
    "    resistance_y = df[\"resistance\"].shift(1).iloc[-1]\n",
    "\n",
    "    # Today values\n",
    "    close = df[\"close\"].iloc[-1]\n",
    "    resistance = df[\"resistance\"].iloc[-1]\n",
    "\n",
    "    # Signal\n",
    "    buy = (close_y < resistance_y) and (close > resistance*(1+distance))\n",
    "    sell = False\n",
    "    \n",
    "    # Position modeling\n",
    "    if buy:\n",
    "        order_duration = 7\n",
    "    else:\n",
    "        order_duration-=1\n",
    "        \n",
    "    \n",
    "    if order_duration>0:\n",
    "        buy=True\n",
    "        \n",
    "\n",
    "    return buy, sell"
   ]
  },
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