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limit price offset implemented
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removed bo_level
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@RajeshSivadasan
RajeshSivadasan authored Nov 9, 2021
1 parent 957d969 commit ae9a08b
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Showing 2 changed files with 36 additions and 42 deletions.
32 changes: 14 additions & 18 deletions ab_options.ini
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,7 @@ chat_id = <Your Telegram Chat ID>
enable_bg_process = 1

[realtime]
trade_nfo = 1
trade_nfo = 0
trade_bank = 1
enablebo2_nifty = 0
enablebo3_nifty = 0
Expand All @@ -21,7 +21,7 @@ enablebo3 = 0
nifty_sl = 30.0
bank_sl = 40.0
mtm_sl = -5000
mtm_target = 60000
mtm_target = 500000
export_data = 0
nifty_bo1_qty = 50
nifty_bo2_qty = 50
Expand All @@ -32,18 +32,14 @@ bank_bo3_qty = 25
sl_buffer = 5
nifty_ord_type = MIS
bank_ord_type = MIS
comment1 = atr * level * 0.5 (lvl = 0->close, -1->Mkt Price, 1,2,3..based on times of atr gap required)
nifty_ord_exec_level1 = 0
nifty_ord_exec_level2 = 0
nifty_ord_exec_level3 = 0
bank_ord_exec_level1 = 0
bank_ord_exec_level2 = 0
bank_ord_exec_level3 = 0
nifty_strike_ce_offset = 200
nifty_strike_pe_offset = 200
nifty_limit_price_offset = -5
bank_limit_price_offset = -10
nifty_strike_ce_offset = 100
nifty_strike_pe_offset = 100
bank_strike_ce_offset = 200
bank_strike_pe_offset = 200


[info]
olhc_duration = 3
nifty_symbol = NIFTY MAY FUT
Expand All @@ -52,11 +48,11 @@ currency_symbol = USDINR MAY FUT
nifty_lot_size = 50
bank_lot_size = 25
nifty_tgt1 = 20.0
nifty_tgt2 = 200.0
nifty_tgt2 = 100.0
nifty_tgt3 = 300.0
bank_tgt1 = 20.0
bank_tgt2 = 200.0
bank_tgt3 = 400.0
bank_tgt3 = 600.0
nifty_tsl = 50
bank_tsl = 50
nifty_sqoff_time = 1515
Expand All @@ -77,8 +73,8 @@ premarket_decline = 33
enable_nfo = 0
enable_bank = 0
premarket_flag = 0
file_nifty = ./data/NIFTY_OPT_20211101_153102.csv
file_nifty_med = ./data/NIFTY_OPT_MED_20211101_153102.csv
file_nifty = ./data/NIFTY_OPT_20211109_153105.csv
file_nifty_med = ./data/NIFTY_OPT_MED_20211109_153105.csv
file_bank =
file_bank_med =
no_of_trades_limit = 4
Expand All @@ -92,10 +88,10 @@ crude_trade_end_time = 2300
nifty_trade_start_time = 920
nifty_trade_end_time = 1440
nifty_no_trade_zones = [(900,925),(1100,1330)]
file_bn = ./data/BN_20211101_153102.csv
file_bn_med = ./data/BN_MED_20211101_153102.csv
file_bn = ./data/BN_20211109_153105.csv
file_bn_med = ./data/BN_MED_20211109_153105.csv
sl_wait_time = 60
nifty_limit_price_low = 50
nifty_limit_price_high = 400
bank_limit_price_low = 50
bank_limit_price_high = 450
bank_limit_price_high = 450
46 changes: 22 additions & 24 deletions ab_options.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -29,6 +29,8 @@
#v7.2.8 Limit price constraint parameterised, updated nifty_buy_opitons. Now nifty options with BO can be enabled
#v7.2.9 Minor logging in procedures, updated TSL logic to include SL
#v7.3.0 Major changes done: ST Medium removed from strategy, purely based on ST low (3min). Signal was comming too late.
#v7.3.1 Bugs, ST_Med related fields removed
#v7.3.2 Implemented nifty_limit_price_offset and bank_limit_price_offset; Removed bo_level parameters as they are not applicable for options

###### STRATEGY / TRADE PLAN #####
# Trading Style : Intraday
Expand Down Expand Up @@ -158,14 +160,9 @@
sl_buffer = int(cfg.get("realtime", "sl_buffer"))
nifty_ord_type = cfg.get("realtime", "nifty_ord_type") # BO / MIS
bank_ord_type = cfg.get("realtime", "bank_ord_type") # MIS / BO
# atr * level * 0.5 (lvl = 0->close, -1->Mkt Price, 1,2,3..based on times of atr gap required)
nifty_ord_exec_level1 = float(cfg.get("realtime", "nifty_ord_exec_level1"))
nifty_ord_exec_level2 = float(cfg.get("realtime", "nifty_ord_exec_level2"))
nifty_ord_exec_level3 = float(cfg.get("realtime", "nifty_ord_exec_level3"))

bank_ord_exec_level1 = float(cfg.get("realtime", "bank_ord_exec_level1"))
bank_ord_exec_level2 = float(cfg.get("realtime", "bank_ord_exec_level2"))
bank_ord_exec_level3 = float(cfg.get("realtime", "bank_ord_exec_level3"))
nifty_limit_price_offset = float(cfg.get("realtime", "nifty_limit_price_offset"))
bank_limit_price_offset = float(cfg.get("realtime", "bank_limit_price_offset"))

nifty_strike_ce_offset = float(cfg.get("realtime", "nifty_strike_ce_offset"))
nifty_strike_pe_offset = float(cfg.get("realtime", "nifty_strike_pe_offset"))
Expand Down Expand Up @@ -287,9 +284,9 @@
def get_realtime_config():
'''This procedure can be called during execution to get realtime values from the .ini file'''

global trade_nfo, trade_bank, enableBO2_bank, enableBO2_nifty, enableBO3_nifty,nifty_ord_exec_level1,bank_ord_exec_level1\
global trade_nfo, trade_bank, enableBO2_bank, enableBO2_nifty, enableBO3_nifty,nifty_limit_price_offset,bank_limit_price_offset\
,mtm_sl,mtm_target, cfg, nifty_sl, bank_sl, export_data, sl_buffer, nifty_ord_type, bank_ord_type\
,nifty_strike_ce_offset, nifty_strike_pe_offset, bank_strike_ce_offset, bank_strike_pe_offset
,nifty_strike_ce_offset, nifty_strike_pe_offset, bank_strike_ce_offset, bank_strike_pe_offset

cfg.read(INI_FILE)

Expand All @@ -307,8 +304,10 @@ def get_realtime_config():
sl_buffer = int(cfg.get("realtime", "sl_buffer"))
nifty_ord_type = cfg.get("realtime", "nifty_ord_type") # BO / MIS
bank_ord_type = cfg.get("realtime", "bank_ord_type") # MIS / BO
nifty_ord_exec_level1 = float(cfg.get("realtime", "nifty_ord_exec_level1"))
bank_ord_exec_level1 = float(cfg.get("realtime", "bank_ord_exec_level1"))

nifty_limit_price_offset = float(cfg.get("realtime", "nifty_limit_price_offset"))
bank_limit_price_offset = float(cfg.get("realtime", "bank_limit_price_offset"))

nifty_strike_ce_offset = float(cfg.get("realtime", "nifty_strike_ce_offset"))
nifty_strike_pe_offset = float(cfg.get("realtime", "nifty_strike_pe_offset"))
bank_strike_ce_offset = float(cfg.get("realtime", "bank_strike_ce_offset"))
Expand Down Expand Up @@ -545,18 +544,17 @@ def buy_nifty_options(strMsg):


# strMsg == NIFTY_CE | NIFTY_PE
lt_price, nifty_sl = get_trade_price_options(strMsg,"BUY",nifty_ord_exec_level1) # Get trade price and SL for BO1
lt_price, nifty_sl = get_trade_price_options(strMsg) # Get trade price and SL for BO1

df_nifty.iat[-1,6] = nifty_sl # v3.7 set sl column value. This is only for BO1; rest BOs will different SLs

# iLog(strMsg) #can be commented later

#Warning: No initialisation done
if strMsg == "NIFTY_CE" :
ins_nifty_opt = ins_nifty_ce
elif strMsg == "NIFTY_PE" :
ins_nifty_opt = ins_nifty_pe


strMsg = strMsg + " Limit Price=" + str(lt_price) + " SL=" + str(nifty_sl)

Expand Down Expand Up @@ -653,7 +651,7 @@ def buy_bank_options(strMsg):


# strMsg == CE | PE
lt_price, bank_sl = get_trade_price_options(strMsg,"BUY",bank_ord_exec_level1) # Get trade price and SL for BO1
lt_price, bank_sl = get_trade_price_options(strMsg) # Get trade price and SL for BO1

df_bank.iat[-1,6] = bank_sl # v3.7 set sl column value. This is only for BO1; rest BOs will different SLs

Expand Down Expand Up @@ -899,7 +897,7 @@ def check_MTM_Limit():

return mtm

def get_trade_price_options(bank_nifty,buy_sell,bo_level=1):
def get_trade_price_options(bank_nifty):
'''Returns the trade price and stop loss abs value for bank/nifty=CRUDE/NIFTY
buy_sell=BUY/SELL, bo_level or Order execution level = 1(default means last close),2,3 and 0 for close -1 for market order
'''
Expand All @@ -919,13 +917,13 @@ def get_trade_price_options(bank_nifty,buy_sell,bo_level=1):

# 1. Set default limit price, below offset can be parameterised
if bank_nifty == "NIFTY_CE" :
lt_price = int(ltp_nifty_ATM_CE) + 2 # Set Default trade price
lt_price = int(ltp_nifty_ATM_CE) + nifty_limit_price_offset # Set Default trade price
elif bank_nifty == "NIFTY_PE" :
lt_price = int(ltp_nifty_ATM_PE) + 2 # Set Default trade price
lt_price = int(ltp_nifty_ATM_PE) + nifty_limit_price_offset # Set Default trade price
elif bank_nifty == "BANK_CE" :
lt_price = int(ltp_bank_ATM_CE) + 5
lt_price = int(ltp_bank_ATM_CE) + bank_limit_price_offset
elif bank_nifty == "BANK_PE" :
lt_price = int(ltp_bank_ATM_PE) + 5
lt_price = int(ltp_bank_ATM_PE) + bank_limit_price_offset
else:
print("get_trade_price_options1",flush=True)

Expand Down Expand Up @@ -1322,7 +1320,7 @@ def close_callback():
df_bank_cnt = df_bank_cnt + 1
# open = df_bank.close.tail(3).head(1) # First value
flg_med_bank = 0
strMsg = strMsg + " " + str(tmp_lst[-1]) #Crude close
strMsg = strMsg + " " + str(round(tmp_lst[-1])) #Crude close

if cur_min % 6 == 0 :
df_bank_med.loc[df_bank_med_cnt,df_cols] = [cur_HHMM, df_bank.open.tail(3).head(1).iloc[0], df_bank.high.tail(3).max(), df_bank.low.tail(3).min(), df_bank.close.iloc[-1], "",0 ]
Expand All @@ -1338,7 +1336,7 @@ def close_callback():
df_nifty.loc[df_nifty_cnt,df_cols] = [cur_HHMM,tmp_lst[0],max(tmp_lst),min(tmp_lst),tmp_lst[-1],"",0]
df_nifty_cnt = df_nifty_cnt + 1
flg_med_nifty = 0
strMsg = strMsg + " " + str(tmp_lst[-1]) #Nifty close
strMsg = strMsg + " " + str(round(tmp_lst[-1])) #Nifty close

if cur_min % 6 == 0 :
df_nifty_med.loc[df_nifty_med_cnt,df_cols] = [cur_HHMM, df_nifty.open.tail(3).head(1).iloc[0], df_nifty.high.tail(3).max(), df_nifty.low.tail(3).min(), df_nifty.close.iloc[-1], "", 0]
Expand All @@ -1364,7 +1362,7 @@ def close_callback():
super_trend_bank = df_bank.STX.values # Get ST values into a list
# SuperTrend(df_bank_med) # Medium level (6min) timeframe calculations

strMsg="BankNifty: #={}, ST_LOW={}, ST_LOW_SL={}, ATR={}, ST_MED={}, ST_MED_SL={}, ltp_bank_ATM_CE={}, ltp_bank_ATM_PE={}".format(df_bank_cnt, super_trend_bank[-1], round(df_bank.ST.iloc[-1]), round(df_bank.ATR.iloc[-1],1), df_bank_med.STX.iloc[-1], round(df_bank_med.ST.iloc[-1]), ltp_bank_ATM_CE, ltp_bank_ATM_PE)
strMsg=f"BankNifty: #={df_bank_cnt}, ST_LOW={super_trend_bank[-1]}, ST_LOW_SL={round(df_bank.ST.iloc[-1])}, ATR={round(df_bank.ATR.iloc[-1],1)}, ltp_bank_ATM_CE={ltp_bank_ATM_CE}, ltp_bank_ATM_PE={ltp_bank_ATM_PE}"
iLog(strMsg)

# -- ST LOW
Expand All @@ -1390,7 +1388,7 @@ def close_callback():
super_trend_nifty = df_nifty.STX.values # Get ST values into a list
# SuperTrend(df_nifty_med) # Medium level (6min) timeframe calculations

strMsg="Nifty: #={}, ST_LOW={}, ST_LOW_SL={}, ATR={}, ST_MED={}, ST_MED_SL={}, ltp_nifty_ATM_CE={}, ltp_nifty_ATM_PE={}".format(df_nifty_cnt, super_trend_nifty[-1], round(df_nifty.ST.iloc[-1]), round(df_nifty.ATR.iloc[-1],1), df_nifty_med.STX.iloc[-1], round(df_nifty_med.ST.iloc[-1]), ltp_nifty_ATM_CE, ltp_nifty_ATM_PE)
strMsg=f"Nifty: #={df_nifty_cnt}, ST_LOW={super_trend_nifty[-1]}, ST_LOW_SL={round(df_nifty.ST.iloc[-1])}, ATR={round(df_nifty.ATR.iloc[-1],1)}, ltp_nifty_ATM_CE={ltp_nifty_ATM_CE}, ltp_nifty_ATM_PE={ltp_nifty_ATM_PE}"
iLog(strMsg)

# -- ST LOW
Expand Down

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