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tpqoa

Algorithmic Trading with Oanda

tpqoa is a wrapper class for the Oanda REST API v20 (http://developer.oanda.com/). It makes use of the Python package v20 from Oanda (https://github.com/oanda/v20-python). The package is authored and maintained by The Python Quants GmbH. © Dr. Yves J. Hilpisch. MIT License.

Disclaimer

Trading forex/CFDs on margin carries a high level of risk and may not be suitable for all investors as you could sustain losses in excess of deposits. Leverage can work against you. Due to the certain restrictions imposed by the local law and regulation, German resident retail client(s) could sustain a total loss of deposited funds but are not subject to subsequent payment obligations beyond the deposited funds. Be aware and fully understand all risks associated with the market and trading. Prior to trading any products, carefully consider your financial situation and experience level. Any opinions, news, research, analyses, prices, code examples or other information is provided as general market commentary, and does not constitute investment advice. The Python Quants GmbH will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on such information.

The tpqoa package is intended as a technological illustration only. It comes with no warranties or representations, to the extent permitted by applicable law.

Installation

Installing from source via Git and Github:

git clone https://github.com/yhilpisch/tpqoa
cd tpqoa
python setup.py install

Using pip in combination with Github:

pip install git+git://github.com/yhilpisch/tpqoa

Connection

In order to connect to the API, you need to have at least a practice account with Oanda (https://oanda.com/). Once logged in to you account, you can create an API token and can copy your account number. These are expected to be stored in a configuration file, with name oanda.cfg, for instance, as follows:

[oanda]
account_id = XYZ-ABC-...
access_token = ZYXCAB...
account_type = practice (default) or live

You can then set up an API connection by instantiating a connection object.

import tpqoa

oanda = tpqoa.tpqoa('../../oanda.cfg')  # adjust path as necessary

Available Instruments

The get_instruments() method retrieves all available instruments.

ins = oanda.get_instruments()

ins[:10]

[('AUD/CAD', 'AUD_CAD'),
 ('AUD/CHF', 'AUD_CHF'),
 ('AUD/HKD', 'AUD_HKD'),
 ('AUD/JPY', 'AUD_JPY'),
 ('AUD/NZD', 'AUD_NZD'),
 ('AUD/SGD', 'AUD_SGD'),
 ('AUD/USD', 'AUD_USD'),
 ('Australia 200', 'AU200_AUD'),
 ('Brent Crude Oil', 'BCO_USD'),
 ('Bund', 'DE10YB_EUR')]

Historical Data

The get_history() method retrieves historical data.

help(oanda.get_history)

Help on method get_history in module tpqoa.tpqoa:

get_history(instrument, start, end, granularity, price, localize=True) method of tpqoa.tpqoa.tpqoa instance
    Retrieves historical data for instrument.
    
    Parameters
    ==========
    instrument: string
        valid instrument name
    start, end: datetime, str
        Python datetime or string objects for start and end
    granularity: string
        a string like 'S5', 'M1' or 'D'
    price: string
        one of 'A' (ask), 'B' (bid) or 'M' (middle)
    
    Returns
    =======
    data: pd.DataFrame
        pandas DataFrame object with data

# oanda.get_history??

data = oanda.get_history(instrument='EUR_USD',
                  start='2022-06-15',
                  end='2023-06-15',
                  granularity='D',
                  price='M')

data.info()

<class 'pandas.core.frame.DataFrame'>
DatetimeIndex: 261 entries, 2022-06-14 21:00:00 to 2023-06-14 21:00:00
Data columns (total 6 columns):
 #   Column    Non-Null Count  Dtype  
---  ------    --------------  -----  
 0   o         261 non-null    float64
 1   h         261 non-null    float64
 2   l         261 non-null    float64
 3   c         261 non-null    float64
 4   volume    261 non-null    int64  
 5   complete  261 non-null    bool   
dtypes: bool(1), float64(4), int64(1)
memory usage: 12.5 KB

print(data.head())

                           o        h        l        c  volume  complete
time                                                                     
2022-06-14 21:00:00  1.04114  1.05078  1.03593  1.04466  204826      True
2022-06-15 21:00:00  1.04444  1.06014  1.03809  1.05524  183417      True
2022-06-16 21:00:00  1.05496  1.05612  1.04445  1.04938  156233      True
2022-06-19 21:00:00  1.04841  1.05460  1.04746  1.05112   85713      True
2022-06-20 21:00:00  1.05088  1.05826  1.05086  1.05348  101517      True

Streaming Data

The method stream_data() allows the streaming of real-time data (bid & ask).

oanda.stream_data('EUR_USD', stop=3)

2023-06-27T06:57:58.204324464Z 1.09299 1.09313
2023-06-27T06:57:58.400409926Z 1.09301 1.09315
2023-06-27T06:58:00.348284643Z 1.093 1.09314

By redefining the on_success() method, you can control what happes with the streaming data.

class myOanda(tpqoa.tpqoa):
    def on_success(self, time, bid, ask):
        ''' Method called when new data is retrieved. '''
        print('BID: {:.5f} | ASK: {:.5f}'.format(bid, ask))

my_oanda = myOanda('../../oanda.cfg')

my_oanda.stream_data('EUR_USD', stop=5)

BID: 1.09297 | ASK: 1.09311
BID: 1.09297 | ASK: 1.09310
BID: 1.09297 | ASK: 1.09311
BID: 1.09297 | ASK: 1.09312
BID: 1.09294 | ASK: 1.09309

Placing Orders

help(oanda.create_order)

Help on method create_order in module tpqoa.tpqoa:

create_order(instrument, units, price=None, sl_distance=None, tsl_distance=None, tp_price=None, comment=None, touch=False, suppress=False, ret=False) method of tpqoa.tpqoa.tpqoa instance
    Places order with Oanda.
    
    Parameters
    ==========
    instrument: string
        valid instrument name
    units: int
        number of units of instrument to be bought
        (positive int, eg 'units=50')
        or to be sold (negative int, eg 'units=-100')
    price: float
        limit order price, touch order price
    sl_distance: float
        stop loss distance price, mandatory eg in Germany
    tsl_distance: float
        trailing stop loss distance
    tp_price: float
        take profit price to be used for the trade
    comment: str
        string
    touch: boolean
        market_if_touched order (requires price to be set)
    suppress: boolean
        whether to suppress print out
    ret: boolean
        whether to return the order object

# going long 100 units
# sl_distance of 20 pips
oanda.create_order('EUR_USD', units=100, sl_distance=0.002)

 {'id': '3608', 'time': '2023-06-27T06:58:16.307275954Z', 'userID': 13834683, 'accountID': '101-004-13834683-001', 'batchID': '3607', 'requestID': '61122547747050135', 'type': 'ORDER_FILL', 'orderID': '3607', 'instrument': 'EUR_USD', 'units': '100.0', 'gainQuoteHomeConversionFactor': '0.910326029089', 'lossQuoteHomeConversionFactor': '0.919475034407', 'price': 1.09309, 'fullVWAP': 1.09309, 'fullPrice': {'type': 'PRICE', 'bids': [{'price': 1.09294, 'liquidity': '10000000'}], 'asks': [{'price': 1.09309, 'liquidity': '10000000'}], 'closeoutBid': 1.09294, 'closeoutAsk': 1.09309}, 'reason': 'MARKET_ORDER', 'pl': '0.0', 'financing': '0.0', 'commission': '0.0', 'guaranteedExecutionFee': '0.0', 'accountBalance': '101295.189', 'tradeOpened': {'tradeID': '3608', 'units': '100.0', 'price': 1.09309, 'guaranteedExecutionFee': '0.0', 'halfSpreadCost': '0.0069', 'initialMarginRequired': '3.33'}, 'halfSpreadCost': '0.0069'} 

# closing out the position
oanda.create_order('EUR_USD', units=-100)

 {'id': '3611', 'time': '2023-06-27T06:58:16.523945599Z', 'userID': 13834683, 'accountID': '101-004-13834683-001', 'batchID': '3610', 'requestID': '61122547747050332', 'type': 'ORDER_FILL', 'orderID': '3610', 'instrument': 'EUR_USD', 'units': '-100.0', 'gainQuoteHomeConversionFactor': '0.910326029089', 'lossQuoteHomeConversionFactor': '0.919475034407', 'price': 1.09294, 'fullVWAP': 1.09294, 'fullPrice': {'type': 'PRICE', 'bids': [{'price': 1.09294, 'liquidity': '10000000'}], 'asks': [{'price': 1.09309, 'liquidity': '9999900'}], 'closeoutBid': 1.09294, 'closeoutAsk': 1.09309}, 'reason': 'MARKET_ORDER', 'pl': '-0.0138', 'financing': '0.0', 'commission': '0.0', 'guaranteedExecutionFee': '0.0', 'accountBalance': '101295.1752', 'tradesClosed': [{'tradeID': '3608', 'units': '-100.0', 'price': 1.09294, 'realizedPL': '-0.0138', 'financing': '0.0', 'guaranteedExecutionFee': '0.0', 'halfSpreadCost': '0.0069'}], 'halfSpreadCost': '0.0069'} 

Canceling Orders

order = oanda.create_order('EUR_USD', units=10000, sl_distance=0.01, ret=True)

 {'id': '3614', 'time': '2023-06-27T06:58:33.953341530Z', 'userID': 13834683, 'accountID': '101-004-13834683-001', 'batchID': '3613', 'requestID': '61122547818369950', 'type': 'ORDER_FILL', 'orderID': '3613', 'instrument': 'EUR_USD', 'units': '10000.0', 'gainQuoteHomeConversionFactor': '0.910363508679', 'lossQuoteHomeConversionFactor': '0.919512890676', 'price': 1.09304, 'fullVWAP': 1.09304, 'fullPrice': {'type': 'PRICE', 'bids': [{'price': 1.0929, 'liquidity': '10000000'}], 'asks': [