bbstrader 0.2.97__py3-none-any.whl → 0.2.99__py3-none-any.whl

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@@ -1,9 +1,9 @@
1
1
  import multiprocessing as mp
2
2
  import time
3
- import traceback
4
- from datetime import datetime
3
+ from datetime import date, datetime
5
4
  from typing import Dict, List, Literal, Optional
6
5
 
6
+ import pandas as pd
7
7
  from loguru import logger as log
8
8
 
9
9
  from bbstrader.btengine.strategy import MT5Strategy, Strategy
@@ -18,7 +18,7 @@ except ImportError:
18
18
  import bbstrader.compat # noqa: F401
19
19
 
20
20
 
21
- __all__ = ["MT5ExecutionEngine", "TWSExecutionEngine"]
21
+ __all__ = ["Mt5ExecutionEngine", "RunMt5Engine", "RunMt5Engines", "TWSExecutionEngine"]
22
22
 
23
23
  _TF_MAPPING = {
24
24
  "1m": 1,
@@ -38,6 +38,7 @@ _TF_MAPPING = {
38
38
 
39
39
  TradingDays = ["monday", "tuesday", "wednesday", "thursday", "friday"]
40
40
  WEEK_DAYS = TradingDays + ["saturday", "sunday"]
41
+ FRIDAY = "friday"
41
42
 
42
43
  BUYS = ["BMKT", "BLMT", "BSTP", "BSTPLMT"]
43
44
  SELLS = ["SMKT", "SLMT", "SSTP", "SSTPLMT"]
@@ -92,545 +93,28 @@ log.add(
92
93
  )
93
94
 
94
95
 
95
- def _mt5_execution(
96
- symbol_list,
97
- trades_instances,
98
- strategy_cls,
99
- /,
100
- mm,
101
- optimizer,
102
- trail,
103
- stop_trail,
104
- trail_after_points,
105
- be_plus_points,
106
- show_positions_orders,
107
- iter_time,
108
- use_trade_time,
109
- period,
110
- period_end_action,
111
- closing_pnl,
112
- trading_days,
113
- comment,
114
- **kwargs,
115
- ):
116
- global logger
117
- logger = kwargs.get("logger", log)
118
-
119
- def _print_exc(dm, msg):
120
- traceback.print_exc() if dm else logger.error(msg)
121
-
122
- try:
123
- symbols = symbol_list.copy()
124
- time_frame = kwargs.get("time_frame", "15m")
125
- daily_risk = kwargs.get("daily_risk")
126
- STRATEGY = kwargs.get("strategy_name")
127
- mtrades = kwargs.get("max_trades")
128
- notify = kwargs.get("notify", False)
129
- signal_tickers = kwargs.get("signal_tickers", symbols)
130
- debug_mode = kwargs.get("debug_mode", False)
131
- delay = kwargs.get("delay", 0)
132
- ACCOUNT = kwargs.get("account", "MT5 Account")
133
- if notify:
134
- telegram = kwargs.get("telegram", False)
135
- bot_token = kwargs.get("bot_token")
136
- chat_id = kwargs.get("chat_id")
137
-
138
- expert_ids = kwargs.get("expert_ids")
139
- if expert_ids is None:
140
- expert_ids = list(
141
- set([trade.expert_id for trade in trades_instances.values()])
142
- )
143
- elif isinstance(expert_ids, int):
144
- expert_ids = [expert_ids]
145
-
146
- max_trades = {
147
- symbol: mtrades[symbol]
148
- if mtrades is not None and symbol in mtrades
149
- else trades_instances[symbol].max_trade()
150
- for symbol in symbols
151
- }
152
- if comment is None:
153
- trade = trades_instances[symbols[0]]
154
- comment = f"{trade.expert_name}@{trade.version}"
155
-
156
- if period.lower() == "24/7":
157
- trading_days = WEEK_DAYS
158
- except Exception:
159
- _print_exc(
160
- debug_mode,
161
- f"Initializing Execution Engine, STRATEGY={STRATEGY}, ACCOUNT={ACCOUNT}",
162
- )
163
- return
164
-
165
- def update_risk(weights):
166
- if weights is not None:
167
- for symbol in symbols:
168
- if symbol not in weights:
169
- continue
170
- trade = trades_instances[symbol]
171
- assert daily_risk is not None
172
- dailydd = round(weights[symbol] * daily_risk, 5)
173
- trade.dailydd = dailydd
174
-
175
- def check_retcode(trade: Trade, position):
176
- if len(trade.retcodes) > 0:
177
- for retcode in trade.retcodes:
178
- if retcode in NON_EXEC_RETCODES[position]:
179
- return True
180
- return False
181
-
182
- def _send_notification(signal, symbol):
183
- if symbol in signal_tickers:
184
- send_message(
185
- message=signal,
186
- notify_me=notify,
187
- telegram=telegram,
188
- token=bot_token,
189
- chat_id=chat_id,
190
- )
191
-
192
- def check(buys, sells, symbol):
193
- if not mm:
194
- return
195
- if buys is not None or sells is not None:
196
- trades_instances[symbol].break_even(
197
- mm=mm,
198
- trail=trail,
199
- stop_trail=stop_trail,
200
- trail_after_points=trail_after_points,
201
- be_plus_points=be_plus_points,
202
- )
203
-
204
- try:
205
- check_mt5_connection(**kwargs)
206
- strategy: MT5Strategy = strategy_cls(symbol_list=symbols, mode="live", **kwargs)
207
- except Exception:
208
- _print_exc(
209
- debug_mode, f"Initializing strategy, STRATEGY={STRATEGY}, ACCOUNT={ACCOUNT}"
210
- )
211
- return
212
- logger.info(
213
- f"Running {STRATEGY} Strategy in {time_frame} Interval ..., ACCOUNT={ACCOUNT}"
214
- )
215
-
216
- def run_trade_algorithm(
217
- signal, symbol, id, trade: Trade, price, stoplimit, comment
218
- ):
219
- signal = "BMKT" if signal == "LONG" or signal == "BUY" else signal
220
- signal = "SMKT" if signal == "SHORT" or signal == "SELL" else signal
221
- info = f"SIGNAL = {signal}, SYMBOL={symbol}, STRATEGY={STRATEGY}, TIMEFRAME={time_frame} , ACCOUNT={ACCOUNT}"
222
- account = Account(**kwargs)
223
- symbol_type = account.get_symbol_type(symbol)
224
- desc = account.get_symbol_info(symbol).description
225
- sigmsg = (
226
- f"SIGNAL = {signal}, \nSYMBOL={symbol}, \nTYPE={symbol_type}, \nDESCRIPTION={desc}, "
227
- f"\nPRICE={price}, \nSTOPLIMIT={stoplimit}, \nSTRATEGY={STRATEGY}, \nTIMEFRAME={time_frame},"
228
- f"\nBROKER={account.broker.name}, \nTIMESTAMP={datetime.now().strftime('%Y-%m-%d %H:%M:%S')}"
229
- )
230
- msg = f"Sending {signal} Order ... SYMBOL={symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
231
- tfmsg = f"Time Frame Not completed !!! SYMBOL={symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
232
- riskmsg = f"Risk not allowed !!! SYMBOL={symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
233
- if signal not in EXIT_SIGNAL_ACTIONS:
234
- if signal in NON_EXEC_RETCODES and not check_retcode(trade, signal):
235
- logger.info(info)
236
- elif signal not in NON_EXEC_RETCODES:
237
- logger.info(info)
238
- if signal in EXIT_SIGNAL_ACTIONS:
239
- for exit_signal, actions in EXIT_SIGNAL_ACTIONS.items():
240
- for position_type, order_type in actions.items():
241
- clos_func = getattr(
242
- trades_instances[symbol], f"get_current_{position_type}"
243
- )
244
- if clos_func(id=id) is not None:
245
- if notify:
246
- _send_notification(sigmsg, symbol)
247
- if position_type in POSITIONS_TYPES:
248
- trade.close_positions(
249
- position_type=order_type, id=id, comment=comment
250
- )
251
- else:
252
- trade.close_orders(
253
- order_type=order_type, id=id, comment=comment
254
- )
255
- elif signal in BUYS and not long_market[symbol]:
256
- if use_trade_time:
257
- if time_intervals % trade_time == 0 or buys[symbol] is None:
258
- if notify:
259
- _send_notification(sigmsg, symbol)
260
- if not check_retcode(trade, "BMKT"):
261
- logger.info(msg)
262
- trade.open_buy_position(
263
- action=signal,
264
- price=price,
265
- stoplimit=stoplimit,
266
- id=id,
267
- mm=mm,
268
- trail=trail,
269
- comment=comment,
270
- )
271
- else:
272
- logger.info(tfmsg)
273
- check(buys[symbol], sells[symbol], symbol)
274
- else:
275
- if notify:
276
- _send_notification(sigmsg, symbol)
277
- if not check_retcode(trade, "BMKT"):
278
- logger.info(msg)
279
- trade.open_buy_position(
280
- action=signal,
281
- price=price,
282
- stoplimit=stoplimit,
283
- id=id,
284
- mm=mm,
285
- trail=trail,
286
- comment=comment,
287
- )
288
-
289
- elif signal in BUYS and long_market[symbol]:
290
- logger.info(riskmsg)
291
-
292
- elif signal in SELLS and not short_market[symbol]:
293
- if use_trade_time:
294
- if time_intervals % trade_time == 0 or sells[symbol] is None:
295
- if notify:
296
- _send_notification(sigmsg, symbol)
297
- if not check_retcode(trade, "SMKT"):
298
- logger.info(msg)
299
- trade.open_sell_position(
300
- action=signal,
301
- price=price,
302
- stoplimit=stoplimit,
303
- id=id,
304
- mm=mm,
305
- trail=trail,
306
- comment=comment,
307
- )
308
- else:
309
- logger.info(tfmsg)
310
- check(buys[symbol], sells[symbol], symbol)
311
- else:
312
- if notify:
313
- _send_notification(sigmsg, symbol)
314
- if not check_retcode(trade, "SMKT"):
315
- logger.info(msg)
316
- trade.open_sell_position(
317
- action=signal,
318
- price=price,
319
- stoplimit=stoplimit,
320
- id=id,
321
- mm=mm,
322
- trail=trail,
323
- comment=comment,
324
- )
325
-
326
- elif signal in SELLS and short_market[symbol]:
327
- logger.info(riskmsg)
328
- else:
329
- check(buys[symbol], sells[symbol], symbol)
330
-
331
- num_days = 0
332
- time_intervals = 0
333
- trade_time = _TF_MAPPING[time_frame]
334
-
335
- long_market = {symbol: False for symbol in symbols}
336
- short_market = {symbol: False for symbol in symbols}
337
-
338
- while True:
339
- try:
340
- check_mt5_connection(**kwargs)
341
- current_date = datetime.now()
342
- today = current_date.strftime("%A").lower()
343
- time.sleep(0.5)
344
- positions_orders = {}
345
- for type in POSITIONS_TYPES + ORDERS_TYPES:
346
- positions_orders[type] = {}
347
- for symbol in symbols:
348
- positions_orders[type][symbol] = None
349
- for id in expert_ids:
350
- func = getattr(trades_instances[symbol], f"get_current_{type}")
351
- func_value = func(id=id)
352
- if func_value is not None:
353
- if positions_orders[type][symbol] is None:
354
- positions_orders[type][symbol] = func(id=id)
355
- else:
356
- positions_orders[type][symbol] += func(id=id)
357
- buys = positions_orders["buys"]
358
- sells = positions_orders["sells"]
359
- for symbol in symbols:
360
- for type in POSITIONS_TYPES + ORDERS_TYPES:
361
- if positions_orders[type][symbol] is not None:
362
- if show_positions_orders:
363
- logger.info(
364
- f"Current {type.upper()} SYMBOL={symbol}: \
365
- {positions_orders[type][symbol]}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
366
- )
367
- long_market = {
368
- symbol: buys[symbol] is not None
369
- and len(buys[symbol]) >= max_trades[symbol]
370
- for symbol in symbols
371
- }
372
- short_market = {
373
- symbol: sells[symbol] is not None
374
- and len(sells[symbol]) >= max_trades[symbol]
375
- for symbol in symbols
376
- }
377
- except Exception:
378
- _print_exc(
379
- debug_mode,
380
- f"Checking positions and orders, STRATEGY={STRATEGY}, ACCOUNT={ACCOUNT}",
381
- )
382
- continue
383
- time.sleep(0.5)
384
- try:
385
- check_mt5_connection(**kwargs)
386
- signals = strategy.calculate_signals()
387
- weights = (
388
- strategy.apply_risk_management(optimizer)
389
- if hasattr(strategy, "apply_risk_management")
390
- else None
391
- )
392
- update_risk(weights)
393
- except Exception:
394
- _print_exc(
395
- debug_mode,
396
- f"Calculating Signals, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}",
397
- )
398
- continue
399
- if len(signals) == 0:
400
- for symbol in symbols:
401
- check(buys[symbol], sells[symbol], symbol)
402
- else:
403
- try:
404
- check_mt5_connection(**kwargs)
405
- for signal in signals:
406
- symbol = signal.symbol
407
- trade: Trade = trades_instances[symbol]
408
- if trade.trading_time() and today in trading_days:
409
- if signal.action is not None:
410
- action = (
411
- signal.action.value
412
- if isinstance(signal.action, TradeAction)
413
- else signal.action
414
- )
415
- run_trade_algorithm(
416
- action,
417
- symbol,
418
- signal.id,
419
- trade,
420
- signal.price,
421
- signal.stoplimit,
422
- signal.comment or comment,
423
- )
424
- else:
425
- if len(symbols) >= 10:
426
- if symbol == symbols[-1]:
427
- logger.info(
428
- f"Not trading Time !!!, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
429
- )
430
- else:
431
- logger.info(
432
- f"Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
433
- )
434
- check(buys[symbol], sells[symbol], symbol)
435
-
436
- except Exception:
437
- msg = f"Handling Signals, SYMBOL={symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
438
- _print_exc(debug_mode, msg)
439
- continue
440
-
441
- time.sleep((60 * iter_time) - 1.0)
442
- if iter_time == 1:
443
- time_intervals += 1
444
- elif trade_time % iter_time == 0:
445
- time_intervals += iter_time
446
- else:
447
- if use_trade_time:
448
- raise ValueError(
449
- f"iter_time must be a multiple of the {time_frame} !!!"
450
- f"(e.g., if time_frame is 15m, iter_time must be 1.5, 3, 5, 15 etc)"
451
- )
452
- try:
453
- FRIDAY = "friday"
454
- check_mt5_connection(**kwargs)
455
- day_end = all(trade.days_end() for trade in trades_instances.values())
456
- if closing_pnl is not None:
457
- closing = all(
458
- trade.positive_profit(id=trade.expert_id, th=closing_pnl)
459
- for trade in trades_instances.values()
460
- )
461
- else:
462
- closing = True
463
-
464
- def logmsg(period, symbol):
465
- logger.info(
466
- f"End of the {period} !!! SYMBOL={symbol}, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
467
- )
468
-
469
- def logmsgif(period, symbol):
470
- if len(symbols) <= 10:
471
- logmsg(period, symbol)
472
- elif len(symbols) > 10 and symbol == symbols[-1]:
473
- logger.info(
474
- f"End of the {period} !!! STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
475
- )
476
-
477
- def sleepmsg(sleep_time):
478
- logger.info(f"{ACCOUNT} Sleeping for {sleep_time} minutes ...\n")
479
-
480
- sessionmsg = f"{ACCOUNT} STARTING NEW TRADING SESSION ...\n"
481
- if period.lower() == "24/7": # For Cryptos
482
- for symbol in symbols:
483
- trade = trades_instances[symbol]
484
- if trade.days_end() and closing:
485
- for id in expert_ids:
486
- trade.close_positions(
487
- position_type="all", id=id, comment=comment
488
- )
489
- logmsgif("Day", symbol)
490
- trade.statistics(save=True)
491
- if day_end:
492
- strategy.perform_period_end_checks()
493
- sleep_time = trades_instances[symbols[-1]].sleep_time()
494
- sleepmsg(sleep_time + delay)
495
- time.sleep(60 * sleep_time + delay)
496
- logger.info(sessionmsg)
497
- time_intervals = 0
498
-
499
- elif period.lower() == "day":
500
- for symbol in symbols:
501
- trade = trades_instances[symbol]
502
- if trade.days_end() and closing:
503
- for id in expert_ids:
504
- trade.close_positions(
505
- position_type="all", id=id, comment=comment
506
- )
507
- logmsgif("Day", symbol)
508
- trade.statistics(save=True)
509
-
510
- if day_end:
511
- strategy.perform_period_end_checks()
512
- if period_end_action == "break" and closing:
513
- break
514
- elif (
515
- period_end_action == "sleep" and today != FRIDAY or not closing
516
- ):
517
- sleep_time = trades_instances[symbols[-1]].sleep_time()
518
- sleepmsg(sleep_time + delay)
519
- time.sleep(60 * sleep_time + delay)
520
- logger.info(sessionmsg)
521
- time_intervals = 0
522
- elif period_end_action == "sleep" and today == FRIDAY:
523
- sleep_time = trades_instances[symbols[-1]].sleep_time(
524
- weekend=True
525
- )
526
- sleepmsg(sleep_time + delay)
527
- time.sleep(60 * sleep_time + delay)
528
- logger.info(sessionmsg)
529
- time_intervals = 0
530
-
531
- elif period.lower() == "week":
532
- for symbol in symbols:
533
- trade = trades_instances[symbol]
534
- if trade.days_end() and today != FRIDAY:
535
- logmsgif("Day", symbol)
536
-
537
- elif trade.days_end() and today == FRIDAY and closing:
538
- for id in expert_ids:
539
- trade.close_positions(
540
- position_type="all", id=id, comment=comment
541
- )
542
- logmsgif("Week", symbol)
543
- trade.statistics(save=True)
544
-
545
- if day_end and today != FRIDAY:
546
- sleep_time = trades_instances[symbols[-1]].sleep_time()
547
- sleepmsg(sleep_time + delay)
548
- time.sleep(60 * sleep_time + delay)
549
- logger.info(sessionmsg)
550
- time_intervals = 0
551
- elif day_end and today == FRIDAY:
552
- strategy.perform_period_end_checks()
553
- if period_end_action == "break" and closing:
554
- break
555
- elif period_end_action == "sleep" or not closing:
556
- sleep_time = trades_instances[symbols[-1]].sleep_time(
557
- weekend=True
558
- )
559
- sleepmsg(sleep_time + delay)
560
- time.sleep(60 * sleep_time + delay)
561
- logger.info(sessionmsg)
562
- time_intervals = 0
563
-
564
- elif period.lower() == "month":
565
- for symbol in symbols:
566
- trade = trades_instances[symbol]
567
- if trade.days_end() and today != FRIDAY:
568
- logmsgif("Day", symbol)
569
- elif trade.days_end() and today == FRIDAY:
570
- logmsgif("Week", symbol)
571
- elif (
572
- trade.days_end() and today == FRIDAY and num_days >= 20
573
- ) and closing:
574
- for id in expert_ids:
575
- trade.close_positions(
576
- position_type="all", id=id, comment=comment
577
- )
578
- logmsgif("Month", symbol)
579
- trade.statistics(save=True)
580
- if day_end and today != FRIDAY:
581
- sleep_time = trades_instances[symbols[-1]].sleep_time()
582
- sleepmsg(sleep_time + delay)
583
- time.sleep(60 * sleep_time + delay)
584
- logger.info(sessionmsg)
585
- time_intervals = 0
586
- num_days += 1
587
- elif day_end and today == FRIDAY:
588
- sleep_time = trades_instances[symbols[-1]].sleep_time(weekend=True)
589
- sleepmsg(sleep_time + delay)
590
- time.sleep(60 * sleep_time + delay)
591
- logger.info(sessionmsg)
592
- time_intervals = 0
593
- num_days += 1
594
- elif day_end and today == FRIDAY and num_days >= 20:
595
- strategy.perform_period_end_checks()
596
- break
597
- except Exception:
598
- msg = (
599
- f"Handling period end actions, STRATEGY={STRATEGY} , ACCOUNT={ACCOUNT}"
600
- )
601
- _print_exc(debug_mode, msg)
602
- continue
603
- except KeyboardInterrupt:
604
- logger.info("Stopping the Execution Engine ...")
605
- break
606
-
607
-
608
- def _tws_execution(*args, **kwargs):
609
- raise NotImplementedError("TWS Execution is not yet implemented !!!")
610
-
611
-
612
- class MT5ExecutionEngine:
96
+ class Mt5ExecutionEngine:
613
97
  """
614
- The `MT5ExecutionEngine` class serves as the central hub for executing your trading strategies within the `bbstrader` framework.
98
+ The `Mt5ExecutionEngine` class serves as the central hub for executing your trading strategies within the `bbstrader` framework.
615
99
  It orchestrates the entire trading process, ensuring seamless interaction between your strategies, market data, and your chosen
616
100
  trading platform.
617
101
 
618
102
  Key Features
619
103
  ------------
620
104
 
621
- - **Strategy Execution:** The `MT5ExecutionEngine` is responsible for running your strategy, retrieving signals, and executing trades based on those signals.
105
+ - **Strategy Execution:** The `Mt5ExecutionEngine` is responsible for running your strategy, retrieving signals, and executing trades based on those signals.
622
106
  - **Time Management:** You can define a specific time frame for your trades and set the frequency with which the engine checks for signals and manages trades.
623
107
  - **Trade Period Control:** Define whether your strategy runs for a day, a week, or a month, allowing for flexible trading durations.
624
108
  - **Money Management:** The engine supports optional money management features, allowing you to control risk and optimize your trading performance.
625
109
  - **Trading Day Configuration:** You can customize the days of the week your strategy will execute, providing granular control over your trading schedule.
626
- - **Platform Integration:** The `MT5ExecutionEngine` is currently designed to work with MT5.
110
+ - **Platform Integration:** The `Mt5ExecutionEngine` is currently designed to work with MT5.
627
111
 
628
112
  Examples
629
113
  --------
630
114
 
631
115
  >>> from bbstrader.metatrader import create_trade_instance
632
- >>> from bbstrader.trading.execution import MT5ExecutionEngine
633
- >>> from bbstrader.trading.strategies import StockIndexCFDTrading
116
+ >>> from bbstrader.trading.execution import Mt5ExecutionEngine
117
+ >>> from bbstrader.trading.strategies import StockIndexSTBOTrading
634
118
  >>> from bbstrader.config import config_logger
635
119
  >>>
636
120
  >>> if __name__ == '__main__':
@@ -669,7 +153,7 @@ class MT5ExecutionEngine:
669
153
  ... logger=logger,
670
154
  ... )
671
155
  >>>
672
- >>> engine = MT5ExecutionEngine(
156
+ >>> engine = Mt5ExecutionEngine(
673
157
  ... symbol_list,
674
158
  ... trades_instances,
675
159
  ... StockIndexCFDTrading,
@@ -698,12 +182,12 @@ class MT5ExecutionEngine:
698
182
  show_positions_orders: bool = False,
699
183
  iter_time: int | float = 5,
700
184
  use_trade_time: bool = True,
701
- period: Literal["day", "week", "month"] = "week",
185
+ period: Literal["24/7", "day", "week", "month"] = "week",
702
186
  period_end_action: Literal["break", "sleep"] = "break",
703
187
  closing_pnl: Optional[float] = None,
704
- trading_days: Optional[List[str]] = TradingDays,
188
+ trading_days: Optional[List[str]] = None,
705
189
  comment: Optional[str] = None,
706
- **kwargs,
190
+ **kwargs
707
191
  ):
708
192
  """
709
193
  Args:
@@ -716,8 +200,8 @@ class MT5ExecutionEngine:
716
200
  show_positions_orders : Print open positions and orders. Defaults to False.
717
201
  iter_time : Interval to check for signals and `mm`. Defaults to 5.
718
202
  use_trade_time : Open trades after the time is completed. Defaults to True.
719
- period : Period to trade. Defaults to 'week'.
720
- period_end_action : Action to take at the end of the period. Defaults to 'break',
203
+ period : Period to trade ("24/7", "day", "week", "month"). Defaults to 'week'.
204
+ period_end_action : Action to take at the end of the period ("break", "sleep"). Defaults to 'break',
721
205
  this only applies when period is 'day', 'week'.
722
206
  closing_pnl : Minimum profit in percentage of target profit to close positions. Defaults to -0.001.
723
207
  trading_days : Trading days in a week. Defaults to monday to friday.
@@ -730,11 +214,12 @@ class MT5ExecutionEngine:
730
214
  - telegram (bool): Enable telegram notifications. Defaults to False.
731
215
  - bot_token (str): Telegram bot token. Defaults to None.
732
216
  - chat_id (Union[int, str, List] ): Telegram chat id. Defaults to None.
217
+ - MT5 connection arguments.
733
218
 
734
219
  Note:
735
220
  1. For `trail` , `stop_trail` , `trail_after_points` , `be_plus_points` see `bbstrader.metatrader.trade.Trade.break_even()` .
736
- 2. All Strategies must inherit from `bbstrader.btengine.strategy.Strategy` or `bbstrader.btengine.strategy.MT5Strategy` class
737
- and have a `calculate_signals` method that returns a dictionary of signals for each symbol in symbol_list.
221
+ 2. All Strategies must inherit from `bbstrader.btengine.strategy.MT5Strategy` class
222
+ and have a `calculate_signals` method that returns a List of ``bbstrader.metatrader.trade.TradingSignal``.
738
223
 
739
224
  3. All strategies must have the following arguments in their `__init__` method:
740
225
  - bars (DataHandler): DataHandler instance default to None
@@ -742,7 +227,7 @@ class MT5ExecutionEngine:
742
227
  - symbol_list (List[str]): List of symbols to trade can be none for backtesting
743
228
  - mode (str): Mode of the strategy. Must be either 'live' or 'backtest'
744
229
  - **kwargs: Additional keyword arguments
745
- The keyword arguments are all the additional arguments passed to the `MT5ExecutionEngine` class,
230
+ The keyword arguments are all the additional arguments passed to the `Mt5ExecutionEngine` class,
746
231
  the `Strategy` class, the `DataHandler` class, the `Portfolio` class and the `ExecutionHandler` class.
747
232
  - The `bars` and `events` arguments are used for backtesting only.
748
233
 
@@ -750,7 +235,7 @@ class MT5ExecutionEngine:
750
235
  See the `bbstrader.trading.strategies` module for more information on how to create custom strategies.
751
236
  See `bbstrader.metatrader.account.check_mt5_connection()` for more details on how to connect to MT5 terminal.
752
237
  """
753
- self.symbol_list = symbol_list
238
+ self.symbols = symbol_list.copy()
754
239
  self.trades_instances = trades_instances
755
240
  self.strategy_cls = strategy_cls
756
241
  self.mm = mm
@@ -762,43 +247,678 @@ class MT5ExecutionEngine:
762
247
  self.show_positions_orders = show_positions_orders
763
248
  self.iter_time = iter_time
764
249
  self.use_trade_time = use_trade_time
765
- self.period = period
250
+ self.period = period.strip()
766
251
  self.period_end_action = period_end_action
767
252
  self.closing_pnl = closing_pnl
768
- self.trading_days = trading_days
769
253
  self.comment = comment
770
254
  self.kwargs = kwargs
771
255
 
256
+ self.time_intervals = 0
257
+ self.time_frame = kwargs.get("time_frame", "15m")
258
+ self.trade_time = _TF_MAPPING[self.time_frame]
259
+
260
+ self.long_market = {symbol: False for symbol in self.symbols}
261
+ self.short_market = {symbol: False for symbol in self.symbols}
262
+
263
+ self._initialize_engine(**kwargs)
264
+ self.strategy = self._init_strategy(**kwargs)
265
+
772
266
  def __repr__(self):
773
267
  trades = self.trades_instances.keys()
774
- s = self.strategy_cls.__name__
775
- return f"MT5ExecutionEngine(Symbols={list(trades)}, Strategy={s})"
268
+ strategy = self.strategy_cls.__name__
269
+ return f"Mt5ExecutionEngine(Symbols={list(trades)}, Strategy={strategy})"
776
270
 
777
- def run(self):
778
- check_mt5_connection(**self.kwargs)
779
- _mt5_execution(
780
- self.symbol_list,
781
- self.trades_instances,
782
- self.strategy_cls,
783
- mm=self.mm,
784
- optimizer=self.optimizer,
785
- trail=self.trail,
786
- stop_trail=self.stop_trail,
787
- trail_after_points=self.trail_after_points,
788
- be_plus_points=self.be_plus_points,
789
- show_positions_orders=self.show_positions_orders,
790
- iter_time=self.iter_time,
791
- use_trade_time=self.use_trade_time,
792
- period=self.period,
793
- period_end_action=self.period_end_action,
794
- closing_pnl=self.closing_pnl,
795
- trading_days=self.trading_days,
796
- comment=self.comment,
797
- **self.kwargs,
271
+ def _initialize_engine(self, **kwargs):
272
+ global logger
273
+ logger = kwargs.get("logger", log)
274
+ try:
275
+ self.daily_risk = kwargs.get("daily_risk")
276
+ self.notify = kwargs.get("notify", False)
277
+ self.debug_mode = kwargs.get("debug_mode", False)
278
+ self.delay = kwargs.get("delay", 0)
279
+
280
+ self.STRATEGY = kwargs.get("strategy_name")
281
+ self.ACCOUNT = kwargs.get("account", "MT5 Account")
282
+ self.signal_tickers = kwargs.get("signal_tickers", self.symbols)
283
+
284
+ self.expert_ids = self._expert_ids(kwargs.get("expert_ids"))
285
+ self.max_trades = self._max_trades(kwargs.get("max_trades"))
286
+ if self.comment is None:
287
+ trade = self.trades_instances[self.symbols[0]]
288
+ self.comment = f"{trade.expert_name}@{trade.version}"
289
+ if kwargs.get("trading_days") is None:
290
+ if self.period.lower() == "24/7":
291
+ self.trading_days = WEEK_DAYS
292
+ else:
293
+ self.trading_days = TradingDays
294
+ else:
295
+ self.trading_days = kwargs.get("trading_days")
296
+ except Exception as e:
297
+ self._print_exc(
298
+ f"Initializing Execution Engine, STRATEGY={self.STRATEGY}, ACCOUNT={self.ACCOUNT}",
299
+ e,
300
+ )
301
+ return
302
+
303
+ def _print_exc(self, msg, e: Exception):
304
+ if isinstance(e, KeyboardInterrupt):
305
+ logger.info("Stopping the Execution Engine ...")
306
+ quit()
307
+ if self.debug_mode:
308
+ raise ValueError(msg).with_traceback(e.__traceback__)
309
+ else:
310
+ logger.error(msg)
311
+
312
+ def _max_trades(self, mtrades):
313
+ max_trades = {
314
+ symbol: mtrades[symbol]
315
+ if mtrades is not None and symbol in mtrades
316
+ else self.trades_instances[symbol].max_trade()
317
+ for symbol in self.symbols
318
+ }
319
+ return max_trades
320
+
321
+ def _expert_ids(self, expert_ids):
322
+ if expert_ids is None:
323
+ expert_ids = list(
324
+ set([trade.expert_id for trade in self.trades_instances.values()])
325
+ )
326
+ elif isinstance(expert_ids, int):
327
+ expert_ids = [expert_ids]
328
+ return expert_ids
329
+
330
+ def _init_strategy(self, **kwargs):
331
+ try:
332
+ check_mt5_connection(**kwargs)
333
+ strategy: MT5Strategy = self.strategy_cls(
334
+ symbol_list=self.symbols, mode="live", **kwargs
335
+ )
336
+ except Exception as e:
337
+ self._print_exc(
338
+ f"Initializing strategy, STRATEGY={self.STRATEGY}, ACCOUNT={self.ACCOUNT}",
339
+ e,
340
+ )
341
+ return
342
+ logger.info(
343
+ f"Running {self.STRATEGY} Strategy in {self.time_frame} Interval ..., ACCOUNT={self.ACCOUNT}"
344
+ )
345
+ return strategy
346
+
347
+ def _get_signal_info(self, signal, symbol, price, stoplimit):
348
+ account = Account(**self.kwargs)
349
+ symbol_info = account.get_symbol_info(symbol)
350
+
351
+ common_data = {
352
+ "signal": signal,
353
+ "symbol": symbol,
354
+ "strategy": self.STRATEGY,
355
+ "timeframe": self.time_frame,
356
+ "account": self.ACCOUNT,
357
+ }
358
+
359
+ info = (
360
+ "SIGNAL = {signal}, SYMBOL={symbol}, STRATEGY={strategy}, "
361
+ "TIMEFRAME={timeframe}, ACCOUNT={account}"
362
+ ).format(**common_data)
363
+
364
+ sigmsg = (
365
+ "SIGNAL = {signal},\n"
366
+ "SYMBOL = {symbol},\n"
367
+ "TYPE = {symbol_type},\n"
368
+ "DESCRIPTION = {description},\n"
369
+ "PRICE = {price},\n"
370
+ "STOPLIMIT = {stoplimit},\n"
371
+ "STRATEGY = {strategy},\n"
372
+ "TIMEFRAME = {timeframe},\n"
373
+ "BROKER = {broker},\n"
374
+ "TIMESTAMP = {timestamp}"
375
+ ).format(
376
+ **common_data,
377
+ symbol_type=account.get_symbol_type(symbol),
378
+ description=symbol_info.description,
379
+ price=price,
380
+ stoplimit=stoplimit,
381
+ broker=account.broker.name,
382
+ timestamp=datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
383
+ )
384
+
385
+ msg_template = "SYMBOL = {symbol}, STRATEGY = {strategy}, ACCOUNT = {account}"
386
+ msg = f"Sending {signal} Order ... " + msg_template.format(**common_data)
387
+ tfmsg = "Time Frame Not completed !!! " + msg_template.format(**common_data)
388
+ riskmsg = "Risk not allowed !!! " + msg_template.format(**common_data)
389
+
390
+ return info, sigmsg, msg, tfmsg, riskmsg
391
+
392
+ def _check_retcode(self, trade: Trade, position):
393
+ if len(trade.retcodes) > 0:
394
+ for retcode in trade.retcodes:
395
+ if retcode in NON_EXEC_RETCODES[position]:
396
+ return True
397
+ return False
398
+
399
+ def _check_positions_orders(self):
400
+ positions_orders = {}
401
+ try:
402
+ check_mt5_connection(**self.kwargs)
403
+ for order_type in POSITIONS_TYPES + ORDERS_TYPES:
404
+ positions_orders[order_type] = {}
405
+ for symbol in self.symbols:
406
+ positions_orders[order_type][symbol] = None
407
+ for id in self.expert_ids:
408
+ func = getattr(
409
+ self.trades_instances[symbol], f"get_current_{order_type}"
410
+ )
411
+ func_value = func(id=id)
412
+ if func_value is not None:
413
+ if positions_orders[order_type][symbol] is None:
414
+ positions_orders[order_type][symbol] = func_value
415
+ else:
416
+ positions_orders[order_type][symbol] += func_value
417
+ return positions_orders
418
+ except Exception as e:
419
+ self._print_exc(
420
+ f"Checking positions and orders, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}",
421
+ e,
422
+ )
423
+
424
+ def _long_short_market(self, buys, sells):
425
+ long_market = {
426
+ symbol: buys[symbol] is not None
427
+ and len(buys[symbol]) >= self.max_trades[symbol]
428
+ for symbol in self.symbols
429
+ }
430
+ short_market = {
431
+ symbol: sells[symbol] is not None
432
+ and len(sells[symbol]) >= self.max_trades[symbol]
433
+ for symbol in self.symbols
434
+ }
435
+ return long_market, short_market
436
+
437
+ def _display_positions_orders(self, positions_orders):
438
+ for symbol in self.symbols:
439
+ for order_type in POSITIONS_TYPES + ORDERS_TYPES:
440
+ if positions_orders[order_type][symbol] is not None:
441
+ logger.info(
442
+ f"Current {order_type.upper()} SYMBOL={symbol}: \
443
+ {positions_orders[order_type][symbol]}, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
444
+ )
445
+
446
+ def _send_notification(self, signal, symbol):
447
+ telegram = self.kwargs.get("telegram", False)
448
+ bot_token = self.kwargs.get("bot_token")
449
+ chat_id = self.kwargs.get("chat_id")
450
+ notify = self.kwargs.get("notify", False)
451
+ if symbol in self.signal_tickers:
452
+ send_message(
453
+ message=signal,
454
+ notify_me=notify,
455
+ telegram=telegram,
456
+ token=bot_token,
457
+ chat_id=chat_id,
458
+ )
459
+
460
+ def _logmsg(self, period, symbol):
461
+ logger.info(
462
+ f"End of the {period} !!! SYMBOL={symbol}, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
463
+ )
464
+
465
+ def _logmsgif(self, period, symbol):
466
+ if len(self.symbols) <= 10:
467
+ self._logmsg(period, symbol)
468
+ elif len(self.symbols) > 10 and symbol == self.symbols[-1]:
469
+ logger.info(
470
+ f"End of the {period} !!! STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
471
+ )
472
+
473
+ def _sleepmsg(self, sleep_time):
474
+ logger.info(f"{self.ACCOUNT} Sleeping for {sleep_time} minutes ...\n")
475
+
476
+ def _sleep_over_night(self, sessionmsg):
477
+ sleep_time = self.trades_instances[self.symbols[-1]].sleep_time()
478
+ self._sleepmsg(sleep_time + self.delay)
479
+ time.sleep(60 * sleep_time + self.delay)
480
+ logger.info(sessionmsg)
481
+
482
+ def _sleep_over_weekend(self, sessionmsg):
483
+ sleep_time = self.trades_instances[self.symbols[-1]].sleep_time(weekend=True)
484
+ self._sleepmsg(sleep_time + self.delay)
485
+ time.sleep(60 * sleep_time + self.delay)
486
+ logger.info(sessionmsg)
487
+
488
+ def _check_is_day_ends(self, trade: Trade, symbol, period_type, today, closing):
489
+ if trade.days_end():
490
+ self._logmsgif("Day", symbol) if today != FRIDAY else self._logmsgif(
491
+ "Week", symbol
492
+ )
493
+ if (
494
+ (
495
+ period_type == "month"
496
+ and today == FRIDAY
497
+ and self._is_month_ends()
498
+ and closing
499
+ )
500
+ or (period_type == "week" and today == FRIDAY and closing)
501
+ or (period_type == "day" and closing)
502
+ or (period_type == "24/7" and closing)
503
+ ):
504
+ for id in self.expert_ids:
505
+ trade.close_positions(
506
+ position_type="all", id=id, comment=self.comment
507
+ )
508
+ trade.statistics(save=True)
509
+
510
+ def _is_month_ends(self):
511
+ today = pd.Timestamp(date.today())
512
+ last_business_day = today + pd.tseries.offsets.BMonthEnd(0)
513
+ return today == last_business_day
514
+
515
+ def _daily_end_checks(self, today, closing, sessionmsg):
516
+ self.strategy.perform_period_end_checks()
517
+ if self.period_end_action == "break" and closing:
518
+ exit(0)
519
+ elif self.period_end_action == "sleep" and today != FRIDAY or not closing:
520
+ self._sleep_over_night(sessionmsg)
521
+ elif self.period_end_action == "sleep" and today == FRIDAY:
522
+ self._sleep_over_weekend(sessionmsg)
523
+
524
+ def _weekly_end_checks(self, today, closing, sessionmsg):
525
+ if today != FRIDAY:
526
+ self._sleep_over_night(sessionmsg)
527
+ elif today == FRIDAY:
528
+ self.strategy.perform_period_end_checks()
529
+ if self.period_end_action == "break" and closing:
530
+ exit(0)
531
+ elif self.period_end_action == "sleep" or not closing:
532
+ self._sleep_over_weekend(sessionmsg)
533
+
534
+ def _monthly_end_cheks(self, today, closing, sessionmsg):
535
+ if today != FRIDAY:
536
+ self._sleep_over_night(sessionmsg)
537
+ elif today == FRIDAY and self._is_month_ends() and closing:
538
+ self.strategy.perform_period_end_checks()
539
+ exit(0)
540
+ else:
541
+ self._sleep_over_weekend(sessionmsg)
542
+
543
+ def _perform_period_end_actions(
544
+ self,
545
+ today,
546
+ day_end,
547
+ closing,
548
+ sessionmsg,
549
+ ):
550
+ period = self.period.lower()
551
+ for symbol, trade in self.trades_instances.items():
552
+ self._check_is_day_ends(trade, symbol, period, today, closing)
553
+
554
+ if day_end:
555
+ self.time_intervals = 0
556
+ match period:
557
+ case "24/7":
558
+ self.strategy.perform_period_end_checks()
559
+ self._sleep_over_night(sessionmsg)
560
+
561
+ case "day":
562
+ self._daily_end_checks(today, closing, sessionmsg)
563
+
564
+ case "week":
565
+ self._weekly_end_checks(today, closing, sessionmsg)
566
+
567
+ case "month":
568
+ self._monthly_end_cheks(today, closing, sessionmsg)
569
+ case _:
570
+ raise ValueError(f"Invalid period {period}")
571
+
572
+ def _check(self, buys, sells, symbol):
573
+ if not self.mm:
574
+ return
575
+ if buys is not None or sells is not None:
576
+ self.trades_instances[symbol].break_even(
577
+ mm=self.mm,
578
+ trail=self.trail,
579
+ stop_trail=self.stop_trail,
580
+ trail_after_points=self.trail_after_points,
581
+ be_plus_points=self.be_plus_points,
582
+ )
583
+
584
+ def _get_signals_and_weights(self):
585
+ try:
586
+ check_mt5_connection(**self.kwargs)
587
+ signals = self.strategy.calculate_signals()
588
+ weights = (
589
+ self.strategy.apply_risk_management(self.optimizer)
590
+ if hasattr(self.strategy, "apply_risk_management")
591
+ else None
592
+ )
593
+ return signals, weights
594
+ except Exception as e:
595
+ self._print_exc(
596
+ f"Calculating Signals, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}",
597
+ e,
598
+ )
599
+ pass
600
+
601
+ def _update_risk(self, weights):
602
+ try:
603
+ check_mt5_connection(**self.kwargs)
604
+ if weights is not None:
605
+ for symbol in self.symbols:
606
+ if symbol not in weights:
607
+ continue
608
+ trade = self.trades_instances[symbol]
609
+ assert self.daily_risk is not None
610
+ dailydd = round(weights[symbol] * self.daily_risk, 5)
611
+ trade.dailydd = dailydd
612
+ except Exception as e:
613
+ self._print_exc(
614
+ f"Updating Risk, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}",
615
+ e,
616
+ )
617
+ pass
618
+
619
+ def _open_buy(
620
+ self, signal, symbol, id, trade: Trade, price, stoplimit, sigmsg, msg, comment
621
+ ):
622
+ if self.notify:
623
+ self._send_notification(sigmsg, symbol)
624
+ if not self._check_retcode(trade, "BMKT"):
625
+ logger.info(msg)
626
+ trade.open_buy_position(
627
+ action=signal,
628
+ price=price,
629
+ stoplimit=stoplimit,
630
+ id=id,
631
+ mm=self.mm,
632
+ trail=self.trail,
633
+ comment=comment,
634
+ )
635
+
636
+ def _open_sell(
637
+ self, signal, symbol, id, trade: Trade, price, stoplimit, sigmsg, msg, comment
638
+ ):
639
+ if self.notify:
640
+ self._send_notification(sigmsg, symbol)
641
+ if not self._check_retcode(trade, "SMKT"):
642
+ logger.info(msg)
643
+ trade.open_sell_position(
644
+ action=signal,
645
+ price=price,
646
+ stoplimit=stoplimit,
647
+ id=id,
648
+ mm=self.mm,
649
+ trail=self.trail,
650
+ comment=comment,
651
+ )
652
+
653
+ def _handle_exit_signals(self, signal, symbol, id, trade: Trade, sigmsg, comment):
654
+ for exit_signal, actions in EXIT_SIGNAL_ACTIONS.items():
655
+ if signal == exit_signal:
656
+ for signal_attr, order_type in actions.items():
657
+ clos_func = getattr(
658
+ self.trades_instances[symbol], f"get_current_{signal_attr}"
659
+ )
660
+ if clos_func(id=id) is not None:
661
+ if self.notify:
662
+ self._send_notification(sigmsg, symbol)
663
+ close_method = (
664
+ trade.close_positions
665
+ if signal_attr in POSITIONS_TYPES
666
+ else trade.close_orders
667
+ )
668
+ close_method(order_type, id=id, comment=comment)
669
+
670
+ def _handle_buy_signal(
671
+ self,
672
+ signal,
673
+ symbol,
674
+ id,
675
+ trade,
676
+ price,
677
+ stoplimit,
678
+ buys,
679
+ sells,
680
+ sigmsg,
681
+ msg,
682
+ tfmsg,
683
+ riskmsg,
684
+ comment,
685
+ ):
686
+ if not self.long_market[symbol]:
687
+ if self.use_trade_time:
688
+ if self.time_intervals % self.trade_time == 0 or buys[symbol] is None:
689
+ self._open_buy(
690
+ signal,
691
+ symbol,
692
+ id,
693
+ trade,
694
+ price,
695
+ stoplimit,
696
+ sigmsg,
697
+ msg,
698
+ comment,
699
+ )
700
+ else:
701
+ logger.info(tfmsg)
702
+ self._check(buys[symbol], sells[symbol], symbol)
703
+ else:
704
+ self._open_buy(
705
+ signal, symbol, id, trade, price, stoplimit, sigmsg, msg, comment
706
+ )
707
+ else:
708
+ logger.info(riskmsg)
709
+
710
+ def _handle_sell_signal(
711
+ self,
712
+ signal,
713
+ symbol,
714
+ id,
715
+ trade,
716
+ price,
717
+ stoplimit,
718
+ buys,
719
+ sells,
720
+ sigmsg,
721
+ msg,
722
+ tfmsg,
723
+ riskmsg,
724
+ comment,
725
+ ):
726
+ if not self.short_market[symbol]:
727
+ if self.use_trade_time:
728
+ if self.time_intervals % self.trade_time == 0 or sells[symbol] is None:
729
+ self._open_sell(
730
+ signal,
731
+ symbol,
732
+ id,
733
+ trade,
734
+ price,
735
+ stoplimit,
736
+ sigmsg,
737
+ msg,
738
+ comment,
739
+ )
740
+ else:
741
+ logger.info(tfmsg)
742
+ self._check(buys[symbol], sells[symbol], symbol)
743
+ else:
744
+ self._open_sell(
745
+ signal, symbol, id, trade, price, stoplimit, sigmsg, msg, comment
746
+ )
747
+ else:
748
+ logger.info(riskmsg)
749
+
750
+ def _run_trade_algorithm(
751
+ self,
752
+ signal,
753
+ symbol,
754
+ id,
755
+ trade,
756
+ price,
757
+ stoplimit,
758
+ buys,
759
+ sells,
760
+ comment,
761
+ ):
762
+ signal = {"LONG": "BMKT", "BUY": "BMKT", "SHORT": "SMKT", "SELL": "SMKT"}.get(
763
+ signal, signal
764
+ )
765
+ info, sigmsg, msg, tfmsg, riskmsg = self._get_signal_info(
766
+ signal, symbol, price, stoplimit
798
767
  )
799
768
 
769
+ if signal not in EXIT_SIGNAL_ACTIONS:
770
+ if signal in NON_EXEC_RETCODES and not self._check_retcode(trade, signal):
771
+ logger.info(info)
772
+ elif signal not in NON_EXEC_RETCODES:
773
+ logger.info(info)
774
+
775
+ if signal in EXIT_SIGNAL_ACTIONS:
776
+ self._handle_exit_signals(signal, symbol, id, trade, sigmsg, comment)
777
+ elif signal in BUYS:
778
+ self._handle_buy_signal(
779
+ signal,
780
+ symbol,
781
+ id,
782
+ trade,
783
+ price,
784
+ stoplimit,
785
+ buys,
786
+ sells,
787
+ sigmsg,
788
+ msg,
789
+ tfmsg,
790
+ riskmsg,
791
+ comment,
792
+ )
793
+ elif signal in SELLS:
794
+ self._handle_sell_signal(
795
+ signal,
796
+ symbol,
797
+ id,
798
+ trade,
799
+ price,
800
+ stoplimit,
801
+ buys,
802
+ sells,
803
+ sigmsg,
804
+ msg,
805
+ tfmsg,
806
+ riskmsg,
807
+ comment,
808
+ )
809
+
810
+ def _is_closing(self):
811
+ closing = True
812
+ if self.closing_pnl is not None:
813
+ closing = all(
814
+ trade.positive_profit(id=trade.expert_id, th=self.closing_pnl)
815
+ for trade in self.trades_instances.values()
816
+ )
817
+ return closing
818
+
819
+ def _sleep(self):
820
+ time.sleep((60 * self.iter_time) - 1.0)
821
+ if self.iter_time == 1:
822
+ self.time_intervals += 1
823
+ elif self.trade_time % self.iter_time == 0:
824
+ self.time_intervals += self.iter_time
825
+ else:
826
+ if self.use_trade_time:
827
+ raise ValueError(
828
+ f"iter_time must be a multiple of the {self.time_frame} !!!"
829
+ f"(e.g., if time_frame is 15m, iter_time must be 1.5, 3, 5, 15 etc)"
830
+ )
831
+
832
+ def _handle_signals(self, today, signals, buys, sells):
833
+ try:
834
+ check_mt5_connection(**self.kwargs)
835
+ for signal in signals:
836
+ symbol = signal.symbol
837
+ trade: Trade = self.trades_instances[symbol]
838
+ if trade.trading_time() and today in self.trading_days:
839
+ if signal.action is not None:
840
+ action = (
841
+ signal.action.value
842
+ if isinstance(signal.action, TradeAction)
843
+ else signal.action
844
+ )
845
+ self._run_trade_algorithm(
846
+ action,
847
+ symbol,
848
+ signal.id,
849
+ trade,
850
+ signal.price,
851
+ signal.stoplimit,
852
+ buys,
853
+ sells,
854
+ signal.comment or self.comment,
855
+ )
856
+ else:
857
+ if len(self.symbols) >= 10:
858
+ if symbol == self.symbols[-1]:
859
+ logger.info(
860
+ f"Not trading Time !!!, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
861
+ )
862
+ else:
863
+ logger.info(
864
+ f"Not trading Time !!! SYMBOL={trade.symbol}, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
865
+ )
866
+ self._check(buys[symbol], sells[symbol], symbol)
867
+
868
+ except Exception as e:
869
+ msg = f"Handling Signals, SYMBOL={symbol}, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
870
+ self._print_exc(msg, e)
871
+ pass
872
+
873
+ def _handle_period_end_actions(self, today):
874
+ try:
875
+ check_mt5_connection(**self.kwargs)
876
+ day_end = all(trade.days_end() for trade in self.trades_instances.values())
877
+ closing = self._is_closing()
878
+ sessionmsg = f"{self.ACCOUNT} STARTING NEW TRADING SESSION ...\n"
879
+ self._perform_period_end_actions(
880
+ today,
881
+ day_end,
882
+ closing,
883
+ sessionmsg,
884
+ )
885
+ except Exception as e:
886
+ msg = f"Handling period end actions, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
887
+ self._print_exc(msg, e)
888
+ pass
889
+
890
+ def run(self):
891
+ while True:
892
+ try:
893
+ check_mt5_connection(**self.kwargs)
894
+ positions_orders = self._check_positions_orders()
895
+ if self.show_positions_orders:
896
+ self._display_positions_orders(positions_orders)
897
+ buys = positions_orders.get("buys")
898
+ sells = positions_orders.get("sells")
899
+ self.long_market, self.short_market = self._long_short_market(
900
+ buys, sells
901
+ )
902
+ today = datetime.now().strftime("%A").lower()
903
+ signals, weights = self._get_signals_and_weights()
904
+ if len(signals) == 0:
905
+ for symbol in self.symbols:
906
+ self._check(buys[symbol], sells[symbol], symbol)
907
+ else:
908
+ self._update_risk(weights)
909
+ self._handle_signals(today, signals, buys, sells)
910
+ self._sleep()
911
+ self._handle_period_end_actions(today)
912
+ except KeyboardInterrupt:
913
+ logger.info("Stopping the Execution Engine ...")
914
+ break
915
+ except Exception as e:
916
+ msg = f"Running Execution Engine, STRATEGY={self.STRATEGY} , ACCOUNT={self.ACCOUNT}"
917
+ self._print_exc(msg, e)
918
+ continue
919
+
800
920
 
801
- def mt5_engine(account_id: str, **kwargs):
921
+ def RunMt5Engine(account_id: str, **kwargs):
802
922
  """Starts an MT5 execution engine for a given account.
803
923
  Args:
804
924
  account_id: Account ID to run the execution engine on.
@@ -818,14 +938,14 @@ def mt5_engine(account_id: str, **kwargs):
818
938
  raise ValueError(f"Missing required arguments for account {account_id}")
819
939
 
820
940
  try:
821
- engine = MT5ExecutionEngine(
941
+ engine = Mt5ExecutionEngine(
822
942
  symbol_list, trades_instances, strategy_cls, **kwargs
823
943
  )
824
944
  engine.run()
825
945
  except Exception as e:
826
946
  log.exception(f"Error running execution engine for {account_id}: {e}")
827
947
  finally:
828
- log.info(f"Execution engine for {account_id} completed")
948
+ log.info(f"Execution for {account_id} completed")
829
949
 
830
950
 
831
951
  def RunMt5Engines(accounts: Dict[str, Dict], start_delay: float = 1.0):
@@ -834,7 +954,7 @@ def RunMt5Engines(accounts: Dict[str, Dict], start_delay: float = 1.0):
834
954
  Args:
835
955
  accounts: Dictionary of accounts to run the execution engines on.
836
956
  Keys are the account names or IDs and values are the parameters for the execution engine.
837
- The parameters are the same as the ones passed to the `MT5ExecutionEngine` class.
957
+ The parameters are the same as the ones passed to the `Mt5ExecutionEngine` class.
838
958
  start_delay: Delay in seconds between starting the processes. Defaults to 1.0.
839
959
  """
840
960
 
@@ -842,7 +962,7 @@ def RunMt5Engines(accounts: Dict[str, Dict], start_delay: float = 1.0):
842
962
 
843
963
  for account_id, params in accounts.items():
844
964
  log.info(f"Starting process for {account_id}")
845
- process = mp.Process(target=mt5_engine, args=(account_id,), kwargs=params)
965
+ process = mp.Process(target=RunMt5Engine, args=(account_id,), kwargs=params)
846
966
  process.start()
847
967
  processes[process] = account_id
848
968