Oanda API Rest V20的Python代码问题-无法运行自动代码 [英] Python code issues with Oanda API Rest V20 - Unable to run automatic code

问题描述

这是我在这里的第一篇文章。当遇到某些代码问题时，我通常会找到所需的内容。虽然这是不同的。

This is my first post on here. I usually find what i'm looking for when encountering issues with some codes. This one is different though.

我正在尝试运行自动交易算法，但是我在网上找到的可以帮助我编写此代码的东西要么过时，要么我猜我

I am trying to run an automatic trading algorithm but the stuff I found online to help me with writing this code is either outdated or i guess i'm using it wrong.

因此，这是我的代码。第一部分工作正常。到达 myclass部分时出现麻烦。

Thus, here is my code. The first part works perfectly fine. Trouble comes when arriving at the 'myclass' section.

CODE：

import json
import oandapyV20
from oandapyV20 import API    # the client
import oandapyV20.endpoints.instruments as instruments
import oandapyV20.endpoints.pricing as pricing

access_token = "<ACCESS_TOKEN>"
accountID = "<ACCOUNT_ID>"
client = API(access_token=access_token)

import numpy as np
import pandas as pd
import matplotlib.pyplot as plt

params = {
  "count": 2880,
  "granularity": "M1",
  "from": "2016-12-08"
  }
r = instruments.InstrumentsCandles(instrument="EUR_USD", params=params)
client.request(r)
df = pd.DataFrame(r.response['candles'])
df1 = df['mid']

close_price = []
for i in range(len(df1)):
    close_price.append(df1[i]['c'])
df['close_price'] = close_price
first_algo = df.drop('mid',axis = 1)

test = []
for i in range(len(first_algo)):
    test.append(float(first_algo['close_price'][i]))
first_algo['prices'] = test
algo1 = first_algo.drop('close_price',axis = 1)

algo1['returns'] = np.log(algo1['prices'] / algo1['prices'].shift(1))


algo1['sign15'] = np.sign(algo1['returns'].rolling(15).mean().dropna())
algo1['strat15'] = algo1['sign15'].shift(1) * algo1['returns']
algo1['sign30'] = np.sign(algo1['returns'].rolling(30).mean().dropna())
algo1['strat30'] = algo1['sign30'].shift(1) * algo1['returns']
algo1['sign60'] = np.sign(algo1['returns'].rolling(60).mean().dropna())
algo1['strat60'] = algo1['sign60'].shift(1) * algo1['returns']
algo1['sign120'] = np.sign(algo1['returns'].rolling(120).mean().dropna())
algo1['strat120'] = algo1['sign120'].shift(1) * algo1['returns']

plt.plot(algo1['strat15'].cumsum().apply(np.exp))
plt.plot(algo1['strat30'].cumsum().apply(np.exp))
plt.plot(algo1['strat60'].cumsum().apply(np.exp))
plt.plot(algo1['strat120'].cumsum().apply(np.exp))
plt.plot(algo1['returns'].cumsum().apply(np.exp))
plt.show()

class MyTrader(oandapyV20.Streamer):
    def __init__(self,*args, **kwargs):
    pricing.__init__(self,**kwargs)
    self.ticks = 0
    self.position = 0
    self.df = pd.DataFrame()
    self.momentum = 60
    self.units(100000)
def create_order(self,side,units):

    order = oandapyV20.create_order(client,instrument = "EUR_USD", units = units, side = side, type = 'market')
    print('\n', order)
def on_success(self,data):
    self.ticks += 1
    self.df = self.df.append(pd.DataFrame(data['tick'],index = [data['tick']['time']]))
    self.df.index = pd.DatetimeIndex(self.df['time'])
    dfr = self.dr.resample('5s').last()
    dfr['returns'] = np.log(dfr['ask'] / dfr['ask'].shift(1))
    dfr['position'] = np.sign(dfr['returns'].rolling(self.momentum).mean().dropnap())
    if dfr['position'].ix[-1] == 1:
        if self.position == 0:
            self.create_order('buy',self.units)
        elif self.position == -1:
            self.create_order('buy',self.units * 2)
        self.position = 1
    elif dfr['position'].ix[-1] == -1:

        if self.position == 0:
            self.create_order('sell',self.units)
        elif self.position == 1:
            self.create_order('sell',self.units * 2)
        self.position = -1
    if self.ticks == 250:
        if self.position == 1:
            self.create_order('sell',self.units)
        elif self.position == -1:
            self.create_order('buy',self.units)
        self.disconnect()

mt = MomentumTrader(momentum=12, environment = 'practice', access_token = "1eee52a9fde16174d6d5d61ebaf78f07-d051b5059a8ff624844afeb10ed7a48d" )
mt.rates(account_id = '101-004-8530384-001',instruments=['EUR_USD'],ignore_heartbeat = True)

非常感谢您的帮助，如果有人可以提出解决方案！

Many thanks for your help if anyone can come up with a solution!

推荐答案

我找到了用于创建算法的代码要点的更新版本。该版本可与oanda V20配合使用：

I found an updated version of the gist of the code I used to create the algorithm. That version works fine with oanda V20:

https://gist.github.com/benjaminchodroff/133e9913b37bff5d414bb8e6b71d0141#file-oandamomentumv20-ipynb

享受

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