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October 19, 2020 18:14
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bank nifty index python script form candle
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| ################## Ticks to candles in kiteconnect python #################### | |
| # Author : Ashish (code updated) | |
| # Reference : | |
| # http://ezeetrading.in/Articles/Candles_formation_from_tick_data_zerodha.html | |
| # Purpose : Convert ticks to candles by putting ticks in a queue. This redues | |
| # time wasted in on_ticks function | |
| ################################################################################ | |
| from kiteconnect import KiteTicker | |
| from kiteconnect import KiteConnect | |
| import datetime | |
| from copy import copy | |
| import queue | |
| import os | |
| import pandas as pd | |
| import json | |
| import logging | |
| logging.basicConfig(level=logging.DEBUG) | |
| class Event(object): | |
| """ | |
| Event is base class providing an interface for all subsequent | |
| (inherited) events, that will trigger further events in the | |
| trading infrastructure. | |
| """ | |
| pass | |
| class TickEvent(Event): | |
| """ | |
| Handles the event of receiving a new market ticks | |
| """ | |
| def __init__(self,ticks): | |
| """ | |
| Initialises the MarketEvent. | |
| """ | |
| self.type = 'TICK' | |
| self.data = ticks | |
| class CandleEvent(Event): | |
| """ | |
| Handles the event of receiving a 1min candle | |
| """ | |
| def __init__(self, symbol,candle): | |
| self.type = 'CANDLE' | |
| self.symbol = symbol | |
| self.data = candle | |
| def print_self(self): | |
| print("CANDLE:",self.data) | |
| class CandleEvent15Min(Event): | |
| """ | |
| Handles the event of 15 min candle. | |
| """ | |
| def __init__(self, symbol, candle): | |
| """ | |
| Initialises the 15mincandle event. | |
| """ | |
| self.type = '15MinCANDLE' | |
| self.symbol = symbol | |
| self.data = candle | |
| def print_self(self): | |
| """ | |
| Outputs the values within the Order. | |
| """ | |
| print("CANDLE: = ",self.data) | |
| class CandleEvent5Min(Event): | |
| """ | |
| Handles the event of 5 min candle. | |
| """ | |
| def __init__(self, symbol, candle): | |
| """ | |
| Initialises the 5mincandle event. | |
| """ | |
| self.type = '5MinCANDLE' | |
| self.symbol = symbol | |
| self.data = candle | |
| def print_self(self): | |
| """ | |
| Outputs the values within the Order. | |
| """ | |
| print("CANDLE: = ",self.data) | |
| # Enter the user api_key and the access_token generated for that day | |
| credentials = {'api_key': "my", 'api_secret': "my", 'request_token':"my"} | |
| kite = KiteConnect(credentials["api_key"]) | |
| data = kite.generate_session(credentials["request_token"], api_secret=credentials["api_secret"]) | |
| print(data.get('access_token')) | |
| # test | |
| print(kite.quote('NSE:INFY')) | |
| # test | |
| # Initialise | |
| kws = KiteTicker(credentials["api_key"], data.get('access_token')) | |
| token_dict = {260105:'bank nifty'} #you can put any F&O tokens here | |
| # Creation of 1min , 5min and 15 min candles | |
| candles_1 = {} | |
| candles_15 = {} | |
| candles_5 = {} | |
| EventQ = queue.Queue() | |
| def on_ticks(ws, ticks): | |
| # Callback to receive ticks. | |
| #logging.debug("Ticks: {}".format(ticks)) | |
| tick = TickEvent(ticks) | |
| EventQ.put(tick) | |
| def on_connect(ws, response): | |
| # Callback on successful connect. | |
| # Subscribe to a list of instrument_tokens (RELIANCE and ACC here). | |
| instruments = list(token_dict.keys()) | |
| print(instruments) | |
| #exit() | |
| ws.subscribe(instruments) | |
| # Set tick in `full` mode. | |
| ws.set_mode(ws.MODE_FULL, instruments) | |
| #def on_close(ws, code, reason): | |
| # On connection close stop the main loop | |
| # Reconnection will not happen after executing `ws.stop()` | |
| # ws.stop() | |
| kws.on_ticks = on_ticks | |
| kws.on_connect = on_connect | |
| #kws.on_close = on_close | |
| # Infinite loop on the main thread. Nothing after this will run. | |
| # You have to use the pre-defined callbacks to manage subscriptions. | |
| kws.connect(threaded=True) | |
| def main(): | |
| while True: | |
| try: | |
| event = EventQ.get(False) | |
| #print (ticks) | |
| except queue.Empty: | |
| continue | |
| else: | |
| if event.type == 'TICK': | |
| ticks = event.data | |
| for tick in ticks: | |
| instrument = tick["instrument_token"] | |
| #instrument = token_dict[instrument_token] | |
| #print(instrument_token,instrument) | |
| ltt = tick["timestamp"] | |
| #print(tick) | |
| ltt_min_1 = datetime.datetime(ltt.year, ltt.month, ltt.day, ltt.hour,ltt.minute) | |
| ltt_min_2 = ltt_min_1 - datetime.timedelta(minutes=1) | |
| ltt_min_5 = datetime.datetime(ltt.year, ltt.month, ltt.day, ltt.hour,ltt.minute // 5 * 5) | |
| ltt_min_6 = ltt_min_5 - datetime.timedelta(minutes=5) | |
| ltt_min_15 = datetime.datetime(ltt.year, ltt.month, ltt.day, ltt.hour, ltt.minute // 15 * 15) | |
| ltt_min_215 = ltt_min_15 - datetime.timedelta(minutes=15) | |
| #print(ltt_min_1,end='\r') | |
| #print(ltt_min_15,ltt_min_215) | |
| #exit() | |
| # For any other timeframe. Simply change ltt_min_1 | |
| # variable defination. | |
| # e.g. | |
| # ltt_min_15=datetime.datetime(ltt.year, ltt.month, | |
| # ltt.day, ltt.hour,ltt.minute//15*15) | |
| ### Forming 1 Min Candles... | |
| if instrument in candles_1: | |
| if ltt_min_1 in candles_1[instrument]: | |
| #print(tick) | |
| candles_1[instrument][ltt_min_1]["high"] = max(candles_1[instrument][ltt_min_1]["high"],tick["last_price"]) # 1 | |
| candles_1[instrument][ltt_min_1]["low"] = min(candles_1[instrument][ltt_min_1]["low"],tick["last_price"]) # 2 | |
| candles_1[instrument][ltt_min_1]["close"] = tick["last_price"] # 3 | |
| else: | |
| # print(instrument,str(ltt_min_1),candles_1[instrument][ltt_min_1]) | |
| candles_1[instrument][ltt_min_1] = {} | |
| candles_1[instrument][ltt_min_1]["high"] = copy(tick["last_price"]) # 8 | |
| candles_1[instrument][ltt_min_1]["low"] = copy(tick["last_price"]) | |
| candles_1[instrument][ltt_min_1]["open"] = copy(tick["last_price"]) | |
| candles_1[instrument][ltt_min_1]["close"] = copy(tick["last_price"]) | |
| if ltt_min_2 in candles_1[instrument]: | |
| print(candles_1) | |
| candle = {"token": instrument, "Time": ltt_min_2, | |
| "open": candles_1[instrument][ltt_min_2]["open"], | |
| "high": candles_1[instrument][ltt_min_2]["high"], | |
| "low": candles_1[instrument][ltt_min_2]["low"], | |
| "close": candles_1[instrument][ltt_min_2]["close"] | |
| } | |
| candleevent = CandleEvent(instrument, candle) | |
| EventQ.put(candleevent) | |
| else: | |
| candles_1[instrument] = {} | |
| print("created dict for " + str(instrument)) | |
| ### Forming 5 Min Candles... | |
| if instrument in candles_5: | |
| if ltt_min_5 in candles_5[instrument]: | |
| #print(tick) | |
| candles_5[instrument][ltt_min_5]["high"] = max(candles_5[instrument][ltt_min_5]["high"],tick["last_price"]) # 1 | |
| candles_5[instrument][ltt_min_5]["low"] = min(candles_5[instrument][ltt_min_5]["low"],tick["last_price"]) # 2 | |
| candles_5[instrument][ltt_min_5]["close"] = tick["last_price"] # 3 | |
| else: | |
| #print(instrument,str(ltt_min_5),candles_5[instrument][ltt_min_5]) | |
| candles_5[instrument][ltt_min_5] = {} | |
| candles_5[instrument][ltt_min_5]["high"] = copy(tick["last_price"]) # 8 | |
| candles_5[instrument][ltt_min_5]["low"] = copy(tick["last_price"]) | |
| candles_5[instrument][ltt_min_5]["open"] = copy(tick["last_price"]) | |
| candles_5[instrument][ltt_min_5]["close"] = copy(tick["last_price"]) | |
| if ltt_min_6 in candles_5[instrument]: | |
| print(candles_5) | |
| candle = {"token": instrument, "Time": ltt_min_6, | |
| "open": candles_5[instrument][ltt_min_6]["open"], | |
| "high": candles_5[instrument][ltt_min_6]["high"], | |
| "low": candles_5[instrument][ltt_min_6]["low"], | |
| "close": candles_5[instrument][ltt_min_6]["close"] | |
| } | |
| candleevent = CandleEvent5Min(instrument, candle) | |
| EventQ.put(candleevent) | |
| else: | |
| candles_5[instrument] = {} | |
| print("created dict for " + str(instrument)) | |
| ### Forming 15 Min Candles... | |
| if instrument in candles_15: | |
| if ltt_min_15 in candles_15[instrument]: | |
| #print(tick) | |
| candles_15[instrument][ltt_min_15]["high"] = max(candles_15[instrument][ltt_min_15]["high"],tick["last_price"]) # 1 | |
| candles_15[instrument][ltt_min_15]["low"] = min(candles_15[instrument][ltt_min_15]["low"],tick["last_price"]) # 2 | |
| candles_15[instrument][ltt_min_15]["close"] = tick["last_price"] # 3 | |
| else: | |
| #print(instrument,str(ltt_min_15),candles_15[instrument][ltt_min_15]) | |
| candles_15[instrument][ltt_min_15] = {} | |
| candles_15[instrument][ltt_min_15]["high"] = copy(tick["last_price"]) # 8 | |
| candles_15[instrument][ltt_min_15]["low"] = copy(tick["last_price"]) | |
| candles_15[instrument][ltt_min_15]["open"] = copy(tick["last_price"]) | |
| candles_15[instrument][ltt_min_15]["close"] = copy(tick["last_price"]) | |
| if ltt_min_215 in candles_15[instrument]: | |
| #print(candles_15) | |
| candle = {"token": instrument, "Time": ltt_min_215, | |
| "open": candles_15[instrument][ltt_min_215]["open"], | |
| "high": candles_15[instrument][ltt_min_215]["high"], | |
| "low": candles_15[instrument][ltt_min_215]["low"], | |
| "close": candles_15[instrument][ltt_min_215]["close"] | |
| } | |
| candleevent = CandleEvent15Min(instrument, candle) | |
| EventQ.put(candleevent) | |
| else: | |
| candles_15[instrument] = {} | |
| print("created dict for " + str(instrument)) | |
| elif event.type == "CANDLE": | |
| #print(event.type) | |
| #print(event.symbol,event.data) | |
| event.data.update(token_dict[event.symbol]) | |
| df = pd.DataFrame(event.data,index=[0]) | |
| #logging.debug("1 min Ticks: {}".format(df)) | |
| #print(df) | |
| elif event.type == "15MinCANDLE": | |
| #print(event.symbol, event.data) | |
| event.data.update(token_dict[event.symbol]) | |
| df = pd.DataFrame(event.data, index=[0]) | |
| #logging.debug("15 min Ticks: {}".format(df)) | |
| #print(df) | |
| elif event.type == "5MinCANDLE": | |
| #print(event.symbol, event.data) | |
| event.data.update(token_dict[event.symbol]) | |
| df = pd.DataFrame(event.data, index=[0]) | |
| # logging.debug("5 min Ticks: {}".format(df)) | |
| #print(df) | |
| #print('\n') | |
| if __name__ == "__main__": | |
| main() |
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