Stop loss distance is calculated based on market info from IG API and configurable for controlled risk accounts

Author: ilcardella

config/config.json

@@ -1,7 +1,7 @@
 {
     "general" : {
         "year": 2018,
-        "max_account_usable": 70,
+        "max_account_usable": 50,
         "esma_stocks_margin_perc": 20,
         "debug_log": false,
         "time_zone": "Europe/London",
@@ -10,14 +10,15 @@
     },
     "ig_interface" : {
         "order_type": "MARKET",
-        "order_size": 2,
+        "order_size": 1,
         "order_expiry": "DFB",
         "order_currency": "GBP",
         "order_force_open": true,
         "use_g_stop": true,
-        "api_key": "YOUR API KEY",
-        "account_id": "YOUR SPREAD BETTING ACCOUNT ID",
-        "use_demo_account": true
+        "api_key": "",
+        "account_id": "",
+        "use_demo_account": true,
+        "controlled_risk": true
     },
     "strategies": {
         "faig": {

scripts/IGInterface.py

@@ -100,17 +100,12 @@ def get_open_positions(self):
         logging.debug("Current position summary: {}".format(positionMap))
         return positionMap
 
-    def get_market_price(self, epic_id):
+
+    def get_market_info(self, epic_id):
         base_url = self.apiBaseURL + '/markets/' + str(epic_id)
         auth_r = requests.get(base_url, headers=self.authenticated_headers)
-        d = json.loads(auth_r.text)
-        bid = None
-        offer = None
-        if 'snapshot' in d:
-            bid = d['snapshot']['bid']
-            offer = d['snapshot']['offer']
-            logging.debug("Market prices of {} are: bid={}, offer={}".format(epic_id,bid,offer))
-        return bid, offer
+        return json.loads(auth_r.text)
+
 
     def get_prices(self, epic_id, resolution, range):
         # Price resolution (MINUTE, MINUTE_2, MINUTE_3, MINUTE_5,

scripts/Strategies/SimpleMACD.py

@@ -18,6 +18,7 @@ def __init__(self, config):
 
     def read_configuration(self, config):
         self.interval = config['strategies']['simple_macd']['interval']
+        self.controlledRisk = config['ig_interface']['controlled_risk']
         self.timeout = 1
 
     # TODO make as generic as possible and move in Strategy class
@@ -81,13 +82,17 @@ def find_trade_signal(self, broker, epic_id):
         limit = None
         stop = None
 
+        # Collect data from the broker interface
         prices = broker.get_prices(epic_id, self.interval, 30)
-        current_bid, current_offer = broker.get_market_price(epic_id)
+        market = broker.get_market_info(epic_id)
 
-        if prices is None or current_bid is None or current_offer is None or 'prices' not in prices:
+        # Safety checks before processing the epic
+        if (prices is None or 'prices' not in prices
+            or market is None or 'markets' in market):
             logging.warn('Strategy can`t process {}'.format(epic_id))
             return TradeDirection.NONE, None, None
 
+        # Create a list of close prices
         data = []
         prevBid = 0
         for p in prices['prices']:
@@ -97,6 +102,7 @@ def find_trade_signal(self, broker, epic_id):
                 data.append(p['closePrice']['bid'])
             prevBid = p['closePrice']['bid']
 
+        # Calculate the MACD indicator and find signals where macd cross its sma(9) average
         px = pd.DataFrame({'close': data})
         px['26_ema'] = pd.DataFrame.ewm(px['close'], span=26).mean()
         px['12_ema'] = pd.DataFrame.ewm(px['close'], span=12).mean()
@@ -106,16 +112,24 @@ def find_trade_signal(self, broker, epic_id):
         px['positions'][9:]=np.where(px['macd'][9:]>=px['macd_signal'][9:],1,0)
         px['signals']=px['positions'].diff()
 
+        # Identify the trade direction looking at the last signal
         if len(px['signals']) > 0 and px['signals'].iloc[-1] > 0:
             tradeDirection = TradeDirection.BUY
         elif len(px['signals']) > 0 and px['signals'].iloc[-1] < 0:
             tradeDirection = TradeDirection.SELL
         else:
             tradeDirection = TradeDirection.NONE
 
+        # Extract market data to calculate stop and limit values
+        key = 'minNormalStopOrLimitDistance'
+        if self.controlledRisk:
+            key = 'minControlledRiskStopDistance'
+        stop_perc = market['dealingRules'][key]['value'] + 1 # +1 to avoid rejection
+        current_bid = market['snapshot']['bid']
         limit = current_bid + percentage_of(10, current_bid)
-        stop = current_bid - percentage_of(10, current_bid)
+        stop = current_bid - percentage_of(stop_perc, current_bid)
 
+        # Log only tradable epics
         if tradeDirection is not TradeDirection.NONE:
             logging.info("SimpleMACD says: {} {}".format(tradeDirection, epic_id))