Sample strateries in Python using UpstoxAPI

README.md

UpstoxAPI Samples Strategies (using Python)

Requirements:

• Python v2.7+
• Pip

Installation:

pip install upstox

API-MasterList.txt

class Session:
    __init__(api_key)
    set_api_secret(api_secret)
    set_redirect_uri(redirect_uri)
    set_code(code)
    get_login_url(self)
    retrieve_access_token(self)


class Upstox:
    _on_data(ws, message, data_type, continue_flag)
    _on_error (ws, error)
    _on_close (ws)
    __init__(api_key, access_token)
    
    get_socket_params()
    start_websocket(run_in_background=False)
    set_on_order_update(event_handler)
    set_on_quote_update(event_handler)
    set_on_trade_update(event_handler)
    set_on_disconnect(event_handler)
    set_on_error(event_handler)
    get_profile()
    get_balance()
    get_holdings()
    get_positions()
    get_trade_book()
    get_order_history(order_id=None)
    get_trades(order_id)
    
    logout()
    get_exchanges()
    
    get_instrument_by_symbol(exchange, symbol)
    search_instruments(exchange, symbol)
    get_instrument_by_token(exchange, token)
    get_master_contract(exchange)

    get_live_feed(instrument, live_feed_type)
    get_ohlc(instrument, interval, start_date, end_date, download_as_csv = False)
    subscribe(instrument, live_feed_type)
    unsubscribe(instrument, live_feed_type)
    
    place_order(transaction_type, instrument, quantity, order_type,
                    product_type, price = None, trigger_price = None,
                    disclosed_quantity = None, duration = None, stop_loss = None,
                    square_off = None, trailing_ticks = None)
                    
    modify_order(order_id, quantity = None, order_type = None, price = None,
                     trigger_price = None, disclosed_quantity = None, duration = None)
                     
    cancel_order(order_id)
    cancel_all_orders(self)

    api_call_helper(name, http_method, params, data)
    api_call(url, http_method, data)
    

auth.py

from upstox_api.api import Session

upstoxSession = Session('api key here')

upstoxSession.set_redirect_uri('redirwect url here')
upstoxSession.set_api_secret('api secret here')

print (upstoxSession.get_login_url())

upstoxSession.set_code('access code here')

access_token = upstoxSession.retrieve_access_token()
print ('Received access_token: %s' % access_token)

strategy-realtime.py

from upstox_api.api import Upstox, datetime, OHLCInterval, TransactionType, OrderType, ProductType, DurationType, \
	LiveFeedType

config = {
	'apiKey': '',
	'accessToken': ''
}

# Create the UpstoxAPI object bound to your API key
upstoxAPI = Upstox(config['apiKey'], config['accessToken'])
upstoxAPI.get_master_contract('MCX_FO')

# Scrip details
fut_exchange = "MCX_FO"
fut_contract = "CRUDEOILM18JULFUT"
SCRIP = upstoxAPI.get_instrument_by_symbol(fut_exchange, fut_contract)

LTP_MINIMA = 0
LTP_MAXIMA = 0
LTP_SET_INTERVAL = 60 * 1000
FIRST_FEED_TIMESTAMP = None
IS_MAX_MIN_SET = False

def event_handler_quote_update(message):
	global FIRST_FEED_TIMESTAMP, LTP_MINIMA, LTP_MAXIMA, IS_MAX_MIN_SET, LTP_SET_INTERVAL

	if (FIRST_FEED_TIMESTAMP is None):
		FIRST_FEED_TIMESTAMP = float(message["timestamp"])
		LTP_MINIMA = message["ltp"]
		LTP_MAXIMA = message["ltp"]
		print
		print "Initial Attributes"
		print "Minimum LTP is: %f" % (LTP_MINIMA)
		print "Maximum LTP is: %f" % (LTP_MAXIMA)
		print
		print "Detecting the maxima and minima during the next " + str(LTP_SET_INTERVAL/1000) + "s"
		print

	detectionInterval = FIRST_FEED_TIMESTAMP + LTP_SET_INTERVAL

	if (int(message["timestamp"]) > detectionInterval and not IS_MAX_MIN_SET):
		IS_MAX_MIN_SET = True
		print "Final Attributes: After the detection interval"
		print "Minimum LTP is: %f" % (LTP_MINIMA)
		print "Maximum LTP is: %f" % (LTP_MAXIMA)
		print

	elif int(message["timestamp"]) < detectionInterval:
		if message["ltp"] < LTP_MINIMA:
			LTP_MINIMA = message["ltp"]
		elif message["ltp"] > LTP_MAXIMA:
			LTP_MAXIMA = message["ltp"]

	else:
		print message["ltp"], LTP_MINIMA, LTP_MAXIMA
		if message["ltp"] < LTP_MINIMA:
			print
			print "Buy Signal Generated"
			print "Current Ltp: " + str(message["ltp"])
			print "Ltp Minima: " + str(LTP_MINIMA)
			print
			placeOrder(TransactionType.Buy)
		elif message["ltp"] > LTP_MAXIMA:
			print
			print "Sell Signal Generated"
			print "Current Ltp: " + str(message["ltp"])
			print "Ltp Maxima: " + str(LTP_MAXIMA)
			print
			placeOrder(TransactionType.Sell)


def event_handler_order_update(message):
	print "Order Update:" + str(datetime.now())
	print message
	print


def event_handler_trade_update(message):
	print "Trade Update:" + str(datetime.now())
	print message
	print


def event_handler_error(err):
	print "ERROR" + str(datetime.now())
	print err
	print


def event_handler_socket_disconnect():
	print "SOCKET DISCONNECTED" + str(datetime.now())
	print


def placeOrder(side):
	upstoxAPI.place_order(
		side,  # transaction_type
		SCRIP,  # instrument
		1,  # quantity
		OrderType.Market,  # order_type
		ProductType.Intraday,  # product_type
		0.0,  # price
		None,  # trigger_price
		0,  # disclosed_quantity
		DurationType.DAY,  # duration
		None,  # stop_loss
		None,  # square_off
		None  # trailing_ticks
	)


def socket_connect():
	print "Adding Socket Listeners" 
	upstoxAPI.set_on_quote_update(event_handler_quote_update)
	# upstoxAPI.set_on_order_update(event_handler_order_update)
	# upstoxAPI.set_on_trade_update(event_handler_trade_update)
	upstoxAPI.set_on_error(event_handler_error)
	upstoxAPI.set_on_disconnect(event_handler_socket_disconnect)

	print "Suscribing to: " + SCRIP[4]

	print SCRIP
	upstoxAPI.unsubscribe(SCRIP, LiveFeedType.LTP)
	upstoxAPI.subscribe(SCRIP, LiveFeedType.LTP)

	print "Connecting to Socket"
	upstoxAPI.start_websocket(False)


socket_connect()

strategy.py

from upstox_api.api import Upstox, datetime, OHLCInterval, TransactionType, OrderType, ProductType, DurationType

config = {
	'startDate_yesterday': '02/07/2018',
	'endDate_yesterday': '02/07/2018',
	'startDate_today': '03/07/2018',
	'endDate_today': '03/07/2018',
	'apiKey': '',
	'accessToken': ''
}

# Create the UpstoxAPI object bound to your API key
upstoxAPI = Upstox(config['apiKey'], config['accessToken'])

# get master contract for NSE EQ
upstoxAPI.get_master_contract('NSE_EQ')

# create an array of Nifty50 scrips
nifty50 = (
	"ACC",
	"ADANIPORTS", "AMBUJACEM", "ASIANPAINT",
	"AUROPHARMA", "AXISBANK", "BAJAJ-AUTO", "BANKBARODA",
	"BPCL", "BHARTIARTL", "INFRATEL", "BOSCHLTD",
	"CIPLA", "COALINDIA", "DRREDDY", "EICHERMOT",
	"GAIL", "HCLTECH", "HDFCBANK", "HEROMOTOCO",
	"HINDALCO", "HINDUNILVR", "HDFC", "ITC", "ICICIBANK",
	"IBULHSGFIN", "IOC", "INDUSINDBK", "INFY", "KOTAKBANK",
	"LT", "LUPIN", "M&M", "MARUTI", "NTPC", "ONGC",
	"POWERGRID", "RELIANCE", "SBIN", "SUNPHARMA",
	"TCS", "TATAMTRDVR", "TATAMOTORS", "TATAPOWER",
	"TATASTEEL", "TECHM", "ULTRACEMCO", "VEDL",
	"WIPRO", "YESBANK", "ZEEL"
)

OHLCData_yesterday = {}
OHLCData_today = {}
scripsMaster = {}

def fetchOHLC (_scrip, _startDate, _endDate, _interval):
	start_time = datetime.strptime(_startDate, '%d/%m/%Y').date()
	end_time = datetime.strptime(_endDate, '%d/%m/%Y').date()
	return upstoxAPI.get_ohlc(_scrip, _interval, start_time, end_time)


def placeOrder(symbol, side):
	scrip = scripsMaster[symbol]
	
	upstoxAPI.place_order(
		side,  # transaction_type
		scrip,  # instrument
		1,  # quantity
		OrderType.Market,  # order_type
		ProductType.Intraday,  # product_type
		0.0,  # price
		None,  # trigger_price
		0,  # disclosed_quantity
		DurationType.DAY,  # duration
		None,  # stop_loss
		None,  # square_off
		None  # trailing_ticks
	)


for symbol in nifty50:
	scrip = upstoxAPI.get_instrument_by_symbol('NSE_EQ', symbol)
	scripsMaster[symbol] = scrip
	print "Fetching OHLC for: " + scrip[4]

	_yesterday = fetchOHLC(
		scrip, 
		config['startDate_yesterday'], 
		config['endDate_yesterday'], 
		'1DAY'
	)
	OHLCData_yesterday[symbol] = _yesterday[0]['close']

	_today = fetchOHLC(
		scrip, 
		config['startDate_today'], 
		config['endDate_today'], 
		'30MINUTE'
	)
	OHLCData_today[symbol] = _today[0]['close']

print
print

# print OHLCData_today
# print OHLCData_yesterday

# Check for a gap-up/gap-down of 1%
for symbol in OHLCData_yesterday.keys():
	_today = OHLCData_today[symbol]
	_yesterday = OHLCData_yesterday[symbol]

	_gapPercent = (_today - _yesterday) * 100 /_yesterday

	if (_gapPercent > 1):
		print ("Sell signal: ", symbol, _gapPercent)
		placeOrder(symbol, TransactionType.Sell)
	elif (_gapPercent < -1):
		print ("Buy signal: ", symbol, _gapPercent)
		placeOrder(symbol, TransactionType.Buy)

Utils-MasterList.txt

OHLCInterval.
    Minute_1 = '1MINUTE'
    Minute_5 = '5MINUTE'
    Minute_10 = '10MINUTE'
    Minute_30 = '30MINUTE'
    Minute_60 = '60MINUTE'
    Day_1 = '1DAY'
    Week_1 = '1WEEK'
    Month_1 = '1MONTH'

TransactionType.
    Buy = 'B'
    Sell = 'S'

OrderType.
    Market = 'M'
    Limit = 'L'
    StopLossLimit = 'SL'
    StopLossMarket = 'SL-M'

ProductType.
    Intraday = 'I'
    Delivery = 'D'
    CoverOrder = 'CO'
    OneCancelsOther = 'OCO'

DurationType.
    DAY = 'DAY'
    IOC = 'IOC'

LiveFeedType.
    LTP = 'LTP'
    Full = 'Full'