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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 …
################## 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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