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I'm trying to use algo-trading as described in this tutorial:
https://www.oreilly.com/learning/algorithmic-trading-in-less-than-100-lines-of-python-code
class MomentumTrader(opy.Streamer):
def __init__(self, momentum, *args, **kwargs):
opy.Streamer.__init__(self, *args, **kwargs)
self.ticks = 0
self.position = 0
self.df = pd.DataFrame()
self.momentum = momentum
self.units = 100000
def create_order(self, side, units):
order = oanda.create_order(config["oanda"]["account_id"],
instrument="EUR_USD", units=units, side=side,
type="market")
print("\n", order)
def on_success(self, data):
self.ticks += 1
# print(self.ticks, end=", ")
# appends the new tick data to the DataFrame object
self.df = self.df.append(pd.DataFrame(data["tick"],
index=[data["tick"]["time"]]))
# transforms the time information to a DatetimeIndex object
self.df.index = pd.DatetimeIndex(self.df["time"])
# resamples the data set to a new, homogeneous interval
dfr = self.df.resample("5s").last()
# calculates the log returns
dfr["returns"] = np.log(dfr["ask"] / dfr["ask"].shift(1))
# derives the positioning according to the momentum strategy
dfr["position"] = np.sign(dfr["returns"].rolling(
self.momentum).mean())
if dfr["position"].ix[-1] == 1:
# go long
if self.position == 0:
self.create_order("buy", self.units)
elif self.position == -1:
self.create_order("buy", self.units * 2)
self.position = 1
elif dfr["position"].ix[-1] == -1:
# go short
if self.position == 0:
self.create_order("sell", self.units)
elif self.position == 1:
self.create_order("sell", self.units * 2)
self.position = -1
if self.ticks == 250:
# close out the position
if self.position == 1:
self.create_order("sell", self.units)
elif self.position == -1:
self.create_order("buy", self.units)
self.disconnect()
mt = MomentumTrader(momentum=12, environment="practice",
access_token=config["oanda"]["access_token"])
mt.rates(account_id=config["oanda"]["account_id"],
instruments=["DE30_EUR"],
ignore_heartbeat=True)
And I'm getting this error:
JSONDecodeError: Expecting property name enclosed in double quotes: line 1 column 2 (char 1)
I guess I need to use the oandapyv20 but there isn't any cheatsheet to guide me how to migrate these simple code snippets to the new api.
So what should be used instead of "mt.rates"?
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