Em posts recentes, ensinamos diversas técnicas de trading utilizando o Python, bem como também mostramos como utilizar o MetaTrader5 para a importação de dados de ativos financeiros e a realização de requisições de ordem e venda com a linguagem. No post de hoje, estaremos interessados em criar um ambiente automatizado, que pretende criar as requisições de acordo com os sinais de um sistema de trading em tempo real.
O objetivo será criar um ambiente totalmente automatizado, portanto, será necessário usar diversas opções de funções e métodos disponíveis na biblioteca MetaTrader 5 do Python, de forma que atenda os principais requisitos de criação de ordem e venda.
Iremos criar esse ambiente em uma classe definida com diversas funções em um arquivo .py. Após isso, utilizaremos um arquivo .ipnyb para definir o indicador utilizado, no caso, o RSI, para definir as ordens de compra e venda. Os dois arquivos são separados pelos blocos de código abaixo.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 254 255 256 257 258 259 260 261 262 263 264 265 266 267 268 269 270 271 272 273 274 275 276 277 278 279 280 281 282 283 284 285 286 287 288 289 290 291 292 293 294 295 296 297 298 299 300 301 302 303 304 305 306 307 308 309 310 311 312 313 314 315 316 317 318 319 320 321 322 323 324 325 326 327 328 329 330 331 332 333 334 335 336 337 338 339 340 341 342 343 344 345 346 347 348 349 350 351 352 353 | import MetaTrader5 as mt5import pandas as pdimport numpy as npfrom datetime import datetimeclass MT5: max_price = dict() min_price = dict() summary = None def get_ticks(symbol, number_of_data = 10000): # Data e horário atual from_date = datetime.now() # Extrai os ticks (instrumentos financeiros) ticks = mt5.copy_ticks_from(symbol, from_date, number_of_data, mt5.COPY_TICKS_ALL) # Transforma a tupla em data frame df_ticks = pd.DataFrame(ticks) # Converte a data em datetime df_ticks["time"] = pd.to_datetime(df_ticks["time"], unit="s") # Coloca a data no index df_ticks = df_ticks.set_index("time") return df_ticks def get_rates(symbol, number_of_data = 10000, timeframe=mt5.TIMEFRAME_D1): # Cria a data atual from_date = datetime.now() # Extrai os ticks (instrumentos financeiros) rates = mt5.copy_rates_from(symbol, timeframe, from_date, number_of_data) # Transforma a tupla em data frame df_rates = pd.DataFrame(rates) # Converte a data em datetime df_rates["time"] = pd.to_datetime(df_rates["time"], unit="s") # Coloca a data no index df_rates = df_rates.set_index("time") return df_rates def risk_reward_threshold(symbol, buy=True, risk=0.01, reward=0.02): # Extrai o leverage (alavancagem) leverage = mt5.account_info().leverage # Computa o preço price = mt5.symbol_info(symbol).ask # Extrai o número de decimais nb_decimal = str(price)[::-1].find(".") # Computa as variação em porcentagem var_down = risk/leverage var_up = reward/leverage # Acha o limite do TP e SL em preço absoluto if buy: price = mt5.symbol_info(symbol).ask # Computa as variações em preço absoluto price_var_down = var_down*price price_var_up = var_up * price tp = np.round(price + price_var_up, nb_decimal) sl = np.round(price - price_var_down, nb_decimal) else: price = mt5.symbol_info(symbol).bid # Computa as variações em preço absoluto price_var_down = var_down*price price_var_up = var_up * price tp = np.round(price - price_var_up, nb_decimal) sl = np.round(price + price_var_down, nb_decimal) return tp, sl def find_filling_mode(symbol): for i in range(2): request = { "action": mt5.TRADE_ACTION_DEAL, "symbol": symbol, "volume": mt5.symbol_info(symbol).volume_min, "type": mt5.ORDER_TYPE_BUY, "price": mt5.symbol_info_tick(symbol).ask, "type_filling": i, "type_time": mt5.ORDER_TIME_GTC} result = mt5.order_check(request) if result.comment == "Feito": break return i def send_order(symbol, lot, buy, sell, id_position=None, pct_tp=0.02, pct_sl=0.01, comment=" No specific comment", magic=0): # Inicializa o mt5 com o Python mt5.initialize() # Extrai o filling_mode filling_type = MT5.find_filling_mode(symbol) """ ABRE O TRADE """ if buy and id_position==None: tp, sl = MT5.risk_reward_threshold(symbol, buy=True, risk=pct_sl, reward=pct_tp) request = { "action": mt5.TRADE_ACTION_DEAL, "symbol": symbol, "volume": lot, "type": mt5.ORDER_TYPE_BUY, "price": mt5.symbol_info_tick(symbol).ask, "deviation": 10, "tp": tp, "sl": sl, "magic": magic, "comment": comment, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC} result = mt5.order_send(request) print(mt5.symbol_info_tick(symbol).ask, tp, sl) return result if sell and id_position==None: tp, sl = MT5.risk_reward_threshold(symbol, buy=False, risk=pct_sl, reward=pct_tp) request = { "action": mt5.TRADE_ACTION_DEAL, "symbol": symbol, "volume": lot, "type": mt5.ORDER_TYPE_SELL, "price": mt5.symbol_info_tick(symbol).bid, "deviation": 10, "tp": tp, "sl": sl, "magic": magic, "comment": comment, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC} result = mt5.order_send(request) print(mt5.symbol_info_tick(symbol).bid, tp, sl) return result """ FECHA O TRADE """ if buy and id_position!=None: request = { "position": id_position, "action": mt5.TRADE_ACTION_DEAL, "symbol": symbol, "volume": lot, "type": mt5.ORDER_TYPE_SELL, "price": mt5.symbol_info_tick(symbol).bid, "deviation": 10, "magic": magic, "comment": comment, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC} result = mt5.order_send(request) return result if sell and id_position!=None: request = { "position": id_position, "action": mt5.TRADE_ACTION_DEAL, "symbol": symbol, "volume": lot, "type": mt5.ORDER_TYPE_BUY, "price": mt5.symbol_info_tick(symbol).ask, "deviation": 10, "magic": magic, "comment": comment, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC} result = mt5.order_send(request) return result def resume(): """ Retorna as posições atuais. Posição=0 --> Compra """ # Define o nome das colunas que serão criadas colonnes = ["ticket", "position", "symbol", "volume", "magic", "profit", "price", "tp", "sl","trade_size"] # Pega as posições em aberto liste = mt5.positions_get() # Cria um dataframe vazio summary = pd.DataFrame() # Cria o loop para adicionar cada linha no dataframe for element in liste: element_pandas = pd.DataFrame([element.ticket, element.type, element.symbol, element.volume, element.magic, element.profit, element.price_open, element.tp, element.sl, mt5.symbol_info(element.symbol).trade_contract_size], index=colonnes).transpose() summary = pd.concat((summary, element_pandas), axis=0) try: summary["profit %"] = summary.profit / (summary.price * summary.trade_size * summary.volume) summary = summary.reset_index(drop=True) except: pass return summary def trailing_stop_loss(): # Extrai as posições abertas atuais MT5.summary = MT5.resume() # Verificaçã: Tem alguma posição em aberto? if MT5.summary.shape[0] >0: for i in range(MT5.summary.shape[0]): # Extrai as informação row = MT5.summary.iloc[i] symbol = row["symbol"] """ CASO 1: Altera dinâmicamente o stop loss para uma ORDEM DE COMPRA """ # Trailing stop loss para um posição de compra if row["position"] == 0: if symbol not in MT5.max_price.keys(): MT5.max_price[symbol]=row["price"] # Extrai o preço atual current_price = (mt5.symbol_info(symbol).ask + mt5.symbol_info(symbol).bid ) / 2 # Computa a distância entre o preço atual e preço máximo from_sl_to_curent_price = current_price - row["sl"] from_sl_to_max_price = MT5.max_price[symbol] - row["sl"] # Se o preço atual é maior que o preço máximo anterior --> novo preço máximo if current_price > MT5.max_price[symbol]: MT5.max_price[symbol] = current_price # Encontra a diferença entre a diferença do preço menor e máximo if from_sl_to_curent_price > from_sl_to_max_price: difference = from_sl_to_curent_price - from_sl_to_max_price # Seta filling mode filling_type = mt5.symbol_info(symbol).filling_mode # Seta o point point = mt5.symbol_info(symbol).point # Altera o sl request = { "action": mt5.TRADE_ACTION_SLTP, "symbol": symbol, "position": row["ticket"], "volume": row["volume"], "type": mt5.ORDER_TYPE_BUY, "price": row["price"], "sl": row["sl"] + difference, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC, } information = mt5.order_send(request) print(information) """ CASO 2: Altera dinâmicamente o stop loss para uma ORDEM DE VENDA """ # Trailing stop loss para uma ordem de venda if row["position"] == 1: if symbol not in MT5.min_price.keys(): MT5.min_price[symbol]=row["price"] # Extrai o preço atual current_price = (mt5.symbol_info(symbol).ask + mt5.symbol_info(symbol).bid ) / 2 # Computa a distância entre o preço atual e preço máximo from_sl_to_curent_price = row["sl"] - current_price from_sl_to_min_price = row["sl"] - MT5.min_price[symbol] # Se o preço atual é maior que o preço máximo anterior --> novo preço máximo if current_price < MT5.min_price[symbol]: MT5.min_price[symbol] = current_price # Encontra a diferença entre a diferença do preço menor e máximo if from_sl_to_curent_price > from_sl_to_min_price: difference = from_sl_to_curent_price - from_sl_to_min_price # Seta filling mode filling_type = mt5.symbol_info(symbol).filling_mode # Seta o point point = mt5.symbol_info(symbol).point # Altera o sl request = { "action": mt5.TRADE_ACTION_SLTP, "symbol": symbol, "position": row["ticket"], "volume": row["volume"], "type": mt5.ORDER_TYPE_SELL, "price": row["price"], "sl": row["sl"] - difference, "type_filling": filling_type, "type_time": mt5.ORDER_TIME_GTC, } information = mt5.order_send(request) print(information) def verif_tsl(): if len(MT5.summary)>0: buy_open_positions = MT5.summary.loc[MT5.summary["position"]==0]["symbol"] sell_open_positions = MT5.summary.loc[MT5.summary["position"]==0]["symbol"] else: buy_open_positions = [] sell_open_positions = [] """ SE FECHAR UMA DAS POSIÇÃO É NECESSÁRIO DELETAR O PREÇO NO DICIONÁRIO DE PREÇO MAX E MIN """ if len(MT5.max_price) != len(buy_open_positions) and len(buy_open_positions) >0: symbol_to_delete = [] for symbol in MT5.max_price.keys(): if symbol not in list(buy_open_positions): symbol_to_delete.append(symbol) for symbol in symbol_to_delete: del MT5.max_price[symbol] if len(MT5.min_price) != len(sell_open_positions) and len(sell_open_positions) >0: symbol_to_delete = [] for symbol in MT5.min_price.keys(): if symbol not in list(sell_open_positions): symbol_to_delete.append(symbol) for symbol in symbol_to_delete: del MT5.min_price[symbol] if len(buy_open_positions) == 0: MT5.max_price={} if len(sell_open_positions) == 0: MT5.min_price={} def run(symbol, buy, sell, lot, pct_tp=0.02, pct_sl=0.01, comment="", magic=23400): # Inicializa mt5.initialize() # Escolhe o símbolo print("------------------------------------------------------------------") print("Date: ", datetime.now().strftime("%Y-%m-%d %H:%M:%S"), "\tSYMBOL:", symbol) # Inicializa ouvertures = MT5.resume() # Compra ou Vende print(f"BUY: {buy} \t SELL: {sell}") """ Fecha o trade eventualmente """ # Tipo de extração do preço try: position = ouvertures.loc[ouvertures["symbol"] == symbol].values[0][1] identifier = ouvertures.loc[ouvertures["symbol"] == symbol].values[0][0] except: position = None identifier = None if position!=None: print(f"POSITION: {position} \t ID: {identifier}") # Verifica os trades if buy == True and position == 0: buy = False elif buy == False and position == 0: before = mt5.account_info().balance res = MT5.send_order(symbol, lot, True, False, id_position=identifier,pct_tp=pct_tp, pct_sl=pct_sl, comment=" No specific comment", magic=0) after = mt5.account_info().balance print(f"CLOSE BUY POSITION: {res.comment}") pct = np.round(100*(after-before)/before, 3) if res.comment != "Request executed": print("WARNINGS", res.comment) elif sell == True and position == 1: sell = False elif sell == False and position == 1: before = mt5.account_info().balance res = MT5.send_order(symbol, lot, False, True, id_position=identifier,pct_tp=pct_tp, pct_sl=pct_sl, comment=" No specific comment", magic=0) print(f"CLOSE SELL POSITION: {res.comment}") after = mt5.account_info().balance pct = np.round(100*(after-before)/before, 3) if res.comment != "Request executed": print("WARNINGS", res.comment) else: pass """ Compra ou Vende """ if buy == True: res = MT5.send_order(symbol, lot, True, False, id_position=None,pct_tp=pct_tp, pct_sl=pct_sl, comment=" No specific comment", magic=0) print(f"OPEN BUY POSITION: {res.comment}") if res.comment != "Request executed": print("WARNINGS", res.comment) if sell == True: res = MT5.send_order(symbol, lot, False, True, id_position=None,pct_tp=pct_tp, pct_sl=pct_sl, comment=" No specific comment", magic=0) print(f"OPEN SELL POSITION: {res.comment}") if res.comment != "Request executed": print("WARNINGS", res.comment) print("------------------------------------------------------------------")<pre></pre><pre> |
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 | </pre># Importa as bibliotecasimport talib as taimport timefrom datetime import datetimeimport numpy as npimport pandas as pdfrom algo_mt5 import *import MetaTrader5 as mt5mt5.initialize()# Define o indicador (rsi)def rsi(symbol): overbuy = 70 oversell = 30 neutral = 50 df = MT5.get_data(symbol, 3500).dropna() df["rsi"] = ta.RSI(df["close"], timeperiod=14) today = df["rsi"].iloc[-1] # Long buy signal buy = (today > neutral) & (today < overbuy) # Short selling signal sell = (today < neutral) & (today > oversell) return buy, sell# Define os ativos financeirossymbols_list = { "Petrobras": ["PETR4", 1]}# Constrói a mensagemcurrent_account_info = mt5.account_info()print("------------------------------------------------------------------")print(f"Login: {mt5.account_info().login} \tserver: {mt5.account_info().server}")print(f"Date: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")print(f"Balance: {current_account_info.balance} USD, \t Equity: {current_account_info.equity} USD, \t Profit: {current_account_info.profit} USD")print(f"Run time: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}")print("------------------------------------------------------------------")# Em qual dia e horário irá rodar o algortimo?launching = [[0, "00:15:59"], [0, "15:59:50"], [1, "15:59:50"], [2, "15:59:50"], [3, "15:59:50"], [4, "15:59:50"]]# Lança o algoritmowhile True: # TSL MT5.trailing_stop_loss() MT5.verif_tsl() # Verficação para o lançamento current_time = [datetime.now().weekday(), datetime.now().strftime("%H:%M:%S")] if current_time in launching: is_time = True else: is_time = False # is_time=True # Apenas para rodar o trading AGORA if is_time: # Abre os trades for asset in symbols_list.keys(): # Inicializa os inputs symbol = symbols_list[asset][0] lot = symbols_list[asset][1] selected = mt5.symbol_select(symbol) if not selected: print(f"\nERROR - Failed to select '{symbol}' in MetaTrader 5 with error :",mt5.last_error()) else: # Cria os sinais buy, sell = rsi(symbol) # Roda o algoritimo MT5.run(symbol, buy, sell, lot, pct_tp=0.1, pct_sl=0.05) |
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Referências
Inglese, Lucas. Python for Finance and Algorithmic trading (2nd edition): Machine Learning, Deep Learning, Time series Analysis, Risk and Portfolio Management for MetaTrader™5 Live Trading
