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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 = {256265:'NIFTY 50',260105:'NIFTY BANK'} #prev definition is wrong. It has to be nested dictionary | |
| token_dict = {256265:{'Symbol':'NIFTY 50'},260105:{'Symbol':'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() |
Hey, thanks for the code. I have a doubt though about the latency here, if the processing of ticks is slower than the speed of the incoming ticks, then at one point, there will be significant delays and the memory usage will also shoot up. For example , hypothetically if the ticks are coming in at every 1 second, and the tick processing code takes 2 seconds, then after like say 1 hour or so, we would still be processing 30 min ago ticks, also in our queue all these previous 30 min ticks would be stored, waiting to be processed. I chose some arbitrary numbers to only explain my doubt. And I don't have kiteconnect API to test this out. So kindly shed some light on this
why doesn't it work for the stocks only for indices
getting following error:
[4430593]
created dict for 4430593
created dict for 4430593
Traceback (most recent call last):
File "/Users/dhruv/Desktop/Stock-TA/ACML/ticker.py", line 382, in
main()
File "/Users/dhruv/Desktop/Stock-TA/ACML/ticker.py", line 251, in main
candles_1[instrument][ltt_min_1]["high"] = max(candles_1[instrument][ltt_min_1]["high"],
TypeError: max() takes 1 positional argument but 2 were given
Hi @oldmonkABA , does this work in real time candle formation ? Thanks in advance.
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can someone post the output of print(df) for multiple symbols?