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August 20, 2020 05:41
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Implementation of ticks to 1min and 15 mins candles in zerodha kiteconnect using python queues. This code is modified version of the code given in http://ezeetrading.in/Articles/Candles_formation_from_tick_data_zerodha.html. The difference is that in on_ticks functions the only action performed is that the ticks are place in a event queue. This …
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| ################## Ticks to candles in kiteconnect python #################### | |
| # Author : Arun B | |
| # 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 | |
| import datetime | |
| from copy import copy | |
| import queue | |
| import os | |
| import pandas as pd | |
| import json | |
| 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) | |
| # Enter the user api_key and the access_token generated for that day | |
| credentials={'api_key': " ", 'access_token': " "} | |
| # Initialise | |
| kws = KiteTicker(credentials["api_key"], credentials["access_token"]) | |
| token_dict = {1001:'NIFTY 50',1016:'NIFTY BANK'} #you can put any F&O tokens here | |
| # Creation of 1min and 15 min candles | |
| candles_1={} | |
| candles_15={} | |
| EventQ = queue.Queue() | |
| def on_ticks(ws, ticks): | |
| # Callback to receive 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) | |
| kws.on_ticks = on_ticks | |
| 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(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_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 | |
| if tick["tradable"]: # for F & O | |
| candles_1[instrument][ltt_min_1]["volume"] = tick["volume"] | |
| candles_1[instrument][ltt_min_1]["oi"] = tick['oi'] | |
| candles_1[instrument][ltt_min_1]["atp"] = tick['average_price'] | |
| if ltt_min_2 in candles_1[instrument]: | |
| candles_1[instrument][ltt_min_1]["vol"] = tick["volume"] -candles_1[instrument][ltt_min_2][ | |
| "volume"] # 3.5 | |
| else: | |
| candles_1[instrument][ltt_min_1]["volume"] = 0 | |
| candles_1[instrument][ltt_min_1]["oi"] = 0 | |
| candles_1[instrument][ltt_min_1]["atp"] = 0 | |
| 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"]) | |
| candles_1[instrument][ltt_min_1]["volume"] = 0 | |
| candles_1[instrument][ltt_min_1]["vol"] = 0 | |
| candles_1[instrument][ltt_min_1]["oi"] = 0 | |
| candles_1[instrument][ltt_min_1]["atp"] = 0 | |
| 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"], | |
| "volume": candles_1[instrument][ltt_min_2]["vol"], | |
| "oi": candles_1[instrument][ltt_min_2]["oi"], | |
| 'atp': candles_1[instrument][ltt_min_2]['atp'] | |
| } | |
| candleevent = CandleEvent(instrument, candle) | |
| EventQ.put(candleevent) | |
| else: | |
| candles_1[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 | |
| if tick["tradable"]: | |
| candles_15[instrument][ltt_min_15]["volume"] = tick["volume"] | |
| candles_15[instrument][ltt_min_15]["oi"] = tick['oi'] | |
| candles_15[instrument][ltt_min_15]["atp"] = tick['average_price'] | |
| if ltt_min_215 in candles_15[instrument]: | |
| candles_15[instrument][ltt_min_15]["vol"] = tick["volume"] -candles_15[instrument][ltt_min_215][ | |
| "volume"] # 3.5 | |
| else: | |
| candles_15[instrument][ltt_min_15]["volume"] = 0 | |
| candles_15[instrument][ltt_min_15]["oi"] = 0 | |
| candles_15[instrument][ltt_min_15]["atp"] = 0 | |
| 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"]) | |
| candles_15[instrument][ltt_min_15]["volume"] = 0 | |
| candles_15[instrument][ltt_min_15]["vol"] = 0 | |
| candles_15[instrument][ltt_min_15]["oi"] = 0 | |
| candles_15[instrument][ltt_min_15]["atp"] = 0 | |
| 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"], | |
| "volume": candles_15[instrument][ltt_min_215]["vol"], | |
| "oi": candles_15[instrument][ltt_min_215]["oi"], | |
| 'atp': candles_15[instrument][ltt_min_215]['atp'] | |
| } | |
| 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]) | |
| 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]) | |
| # print(df) | |
| print(df) | |
| #print('\n') | |
| if __name__ == "__main__": | |
| main() |
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