strategy.py

"""
Simple Moving Average implemented using KiteConnect Python library. -- [https://kite.trade](kite.trade)
Rainmatter (c) 2016
License
-------
This GIST is licensed under the MIT License
"""

from kiteconnect import KiteConnect 

# Initialize all the variables we need
api_key = "YOUR API KEY"
access_token = "YOUR ACCESS TOKEN"
client_id = "YOUR CLIENT ID"

# Instrument token of RELIANCE
instrument_token = "738561" 

# Dates between which we need historical data
from_date = "2016-10-01"
to_date = "2016-10-17"

# Interval(minute, day, 3 minute, 5 minute...)
interval = "5minute"

kite = KiteConnect(api_key=api_key)
kite.set_access_token(access_token)

# Gets historical data from Kite Connect
def get_historical_data():
	return kite.historical(instrument_token, from_date, to_date, interval)

"""
	 Implementation of the moving average strategy.
	 We go through the historical records that 
	 we received form Kite Connect, calculate moving average,
	 and place a BUY or SELL order.
"""
def strategy(records):
	total_closing_price = 0
	record_count = 0
	order_placed = False
	last_order_placed = None
	last_order_price = 0
	profit = 0

	for record in records:
		record_count += 1
		total_closing_price += record["close"]
		
		#Moving avearge is calculated for every 5 ticks(records)
		if record_count >= 5:
			moving_average = total_closing_price/5

			# If moving average is greater than last tick, place a buy order
			if record["close"] > moving_average:
				if last_order_placed == "SELL" or last_order_placed is None:
					
					# If last order was sell, exit the stock first
					if last_order_placed == "SELL":
						print "Exit SELL"

						# Calculate profit
						profit += last_order_price - record["close"]
						last_order_price = record["close"]

					# Fresh BUY order
					print "place new BUY order"
					last_order_placed = "BUY"

			# If moving average is lesser than last tick, and there is a position, place a sell order
			elif record["close"] < moving_average:
				if last_order_placed == "BUY":
					
					# As last order was a buy, first let's exit the position
					print "Exit BUY"
					
					# Calculate profit
					profit += record["close"] - last_order_price
					last_order_price = record["close"]
					
					# Fresh SELL order
					print "place new SELL order"
					last_order_placed = "SELL"
					

			
			total_closing_price -= records[record_count-5]["close"]
	print "Gross Profit ", profit
	# PLace the last order 
	place_order(last_order_placed)

# Place an order based upon transaction type(BUY/SELL)
def place_order(transaction_type):
	kite.order_place(tradingsymbol="RELIANCE", exchange="NSE", quantity=1, transaction_type=transaction_type, order_type="MARKET", product="CNC")


def start():
	records = get_historical_data()
	strategy(records)

start()

Hi,

I think this script has a bug. While placing BUY order for the first time, it is not assigning value to element 'last_order_price'. Which leads to incorrect (equal to the price at the time of selling) estimation of profit for the first order.

Hope this is helpful.

Regards,
YY

In Line no 53 moving_average = total_closing_price/5 , it should be moving_average = total_closing_price/record_count