15 min candle capture

vippin_nair

A simple code to capture and trade using a 15 min candle on live data.

from kiteconnect import KiteConnect
from kiteconnect import KiteTicker
import pandas as pd
from datetime import datetime,timedelta,date
import pdb

now = datetime.now()
system_date = date.today()
previous_date = date.today() - timedelta(days=1)
dt = str(system_date).split(" ")
dt = dt[0]
check = dt+" "+"09:15:00"
after = dt+" "+"09:30:00"

trd_portfolio = {12247042 : {'name' : 'BANKNIFTY'}}

ticks_storage = pd.DataFrame()
timeframe = 15
temp = {}


def on_ticks(ws, ticks):
    for single_company in ticks:
        inst_of_single_company = single_company['instrument_token']
        name = trd_portfolio[inst_of_single_company]['name']
        #print(single_company,name)
        temp[single_company['timestamp']] = single_company
        df = pd.DataFrame.from_dict(temp, orient='index')
        ohlc = df['last_price'].resample(str(timeframe)+'Min').ohlc()
        ohlc.index = pd.to_datetime(ohlc.index, unit='s')
        
        #pdb.set_trace()
        try:
            candle1 = ohlc.loc[check]
            candle2 = ohlc.loc[after]
            
            if candle2['high']>candle1['high']:
            	print("sell")
            elif candle2['low']<candle1['low']:
            	print("buy")
            #pdb.set_trace()
        except KeyError:
            print('candle not ready')


subscribe = [12247042]


def on_connect(ws, response):
    ws.subscribe(subscribe)
    ws.set_mode(ws.MODE_FULL, subscribe)


kws.on_ticks = on_ticks
kws.on_connect = on_connect
kws.connect()

lifegreat

Very useful stuff. Appreciate that you are sharing this.

samphel

@VipinNair hi vipin how to do the same for more then one script ,since if i do the resample of more then one script then the ohlc values are all mixed up

RA7526

typically, its not a good idea to put so much code in the on_ticks function. best way is to just put ticks in a queue and then handle the data in main function. I have given a reference implementation for 1min and 15 min candle formation for multiple symbols over here : https://gist.github.com/oldmonkABA/f73f5d67bcf85316ac0470919bf54e17