housekeeping.py

__author__ = 'ubuntu01'

# this script runs continuously and do some housekeeping
# currently the only task is to record and manipulate spread limits

from time import sleep


program_name = "Housekeeper"

import oandapy
import os
import json
# import pprint
import datetime
import robot_api


spreads = robot_api.read_spreads()

settings_file = 'housekeeping.json'
settings = {}

if os.path.isfile(settings_file):
    with open(settings_file) as data_file:
        settings = json.load(data_file)

accesstoken = robot_api.read_account_token()

print("%s V0.001 started" % program_name)

oanda = oandapy.API(environment=settings['environment'], access_token=accesstoken['access_token'])

instruments = oanda.get_instruments(settings[u'account_id'])
# pprint.pprint(instruments)

for instrument in instruments[u'instruments']:
    instrument_name = instrument[u'instrument']
    if not instrument_name in spreads:
        spreads[instrument_name] = instrument
    else:
        spreads[instrument_name][u'maxTradeUnits'] = instrument[u'maxTradeUnits']  # just to show that i can update


def keep_spread_record(spread_record):
    now = datetime.datetime.now()
    then = robot_api.isoparse(spread_record[u'our_timestamp'])
    later = now + datetime.timedelta(days=-7)
    return then > later


getout = False
while not getout:
    for instrument, instrument_dict in spreads.iteritems():
        #  pprint.pprint(instrument_dict)
        instrument_prices = oanda.get_prices(instruments=instrument)
        prices = instrument_prices[u'prices'][0]
        spread = prices[u'ask'] - prices[u'bid']
        oanda_timestamp = prices[u'time']
        our_timestamp = datetime.datetime.now().isoformat()
        spread_record = {u'oanda_timestamp': oanda_timestamp,
                         u'our_timestamp': our_timestamp,
                         u'spread': spread
        }
        if not u'spread_list' in instrument_dict:
            spreads[instrument][u'spread_list'] = []
            spreads[instrument][u'min_spread'] = 9999999999
            spreads[instrument][u'max_spread'] = 0
        spreads[instrument][u'spread_list'].append(spread_record)

        # at this point all spreads are updated with new spread lines and every instrument has at least one spread

        # here we should remove spreads older than a week to keep the stats for a week only

    for instrument, instrument_dict in spreads.iteritems():
        spread_list = instrument_dict[u'spread_list']
        max_spread = 0
        min_spread = 9999999999
        new_spread_list = []
        for spread_record in spread_list:
            cur_spread = spread_record[u'spread']
            if max_spread < cur_spread:
                max_spread = cur_spread
            if min_spread > cur_spread:
                min_spread = cur_spread
            if keep_spread_record(spread_record):
                new_spread_list.append(spread_record)
        spreads[instrument][u'min_spread'] = min_spread
        spreads[instrument][u'max_spread'] = max_spread
        spreads[instrument][u'spread_list'] = new_spread_list

    robot_api.write_spreads(spreads)

    for instrument, instrument_dict in spreads.iteritems():
        print("{0:10}{1:10}{2:10}".format(instrument, instrument_dict[u'min_spread'], instrument_dict[u'max_spread']))

        # also maintain a stats dict with the lowest and the highest
        # delete old entries (more than 1 week)
        # write out every 15 minutes.
        # then trade system can look up in the stats and use these spreads
        # perhaps also write the individual spreds to a csv file
    sleep(60 * 15)