Metatrader5 and Python

import json
import time
from concurrent.futures.process import ProcessPoolExecutor
from typing import List
import pymt5adapter as mt5
from pymt5adapter import as_dict_all
from pymt5adapter.order import Order
from pymt5adapter.symbol import Symbol

def get_position_map(positions: List[dict]):
    position_map = {}
    for p in positions:
        position_map.setdefault(p['symbol'], {}).setdefault('positions', []).append(p)
        v = -p['volume'] if p['type'] else p['volume']
        inner = position_map[p['symbol']]
        inner['net_volume'] = inner.get('net_volume', 0.0) + v
    return position_map

def match_positions(terminal, positions):
    result_positions = []
    incoming = get_position_map(positions)
    with mt5.connected(**terminal):
        my_pos_map = get_position_map(as_dict_all(mt5.positions_get()))
        for symbol, d in incoming.items():
            if symbol not in my_pos_map:
                volume = d['net_volume']
            else:
                volume = d['net_volume'] - my_pos_map[symbol]['net_volume']
            if volume == 0.0:
                continue
            symbol = Symbol(symbol)
            order = Order.as_buy() if volume > 0.0 else Order.as_sell()
            order(volume=abs(volume), symbol=symbol.name)
            for _ in range(5):
                symbol.refresh_rates()
                price = symbol.ask if volume > 0.0 else symbol.bid
                res = order(price=price).send()
                if res.retcode == mt5.TRADE_RETCODE_DONE:
                    result_positions.append(as_dict_all(res))
                    break
    return result_positions

def main():
    with open('terminal_config.json') as f:
        terminals = json.load(f)
    master = terminals['master']
    slaves = terminals['slaves']
    with mt5.connected(**master), ProcessPoolExecutor() as pool:
        while True:
            positions = [as_dict_all(mt5.positions_get())] * len(slaves)
            results = list(pool.map(match_positions, slaves, positions))
            for result in results:
                for sub in result:
                    if sub:
                        print(sub)
            time.sleep(0.01)

if __name__ == "__main__":
    main()

{
  "master": {
    "path":"C:\\Users\\nicho\\Desktop\\terminal1\\terminal64.exe",
    "portable": true
  },
  "slaves": [
    {
      "path": "C:\\Users\\nicho\\Desktop\\terminal2\\terminal64.exe",
      "portable": true
    },{
      "path": "C:\\Users\\nicho\\Desktop\\terminal3\\terminal64.exe",
      "portable": true
    }
  ]
}

Quoting Nicholishen

Disliked

MetaQuotes is now supporting python integration with its new MT5 builds.

Ignored

Quoting rockit

Disliked

{quote} Do you have an insight into the mechanism ("the ability to integrate with other solutions for processing financial data"), how to use i.e. with c++? Is it any different to using a script/ea to bridge communication to outside?

Ignored

import pymt5adapter as mt5
from time import perf_counter_ns
with mt5.connected():
    count = 100
    begin = perf_counter_ns()
    for i in range(count):
        _ = mt5.symbol_info_tick("EPM20")
    end = perf_counter_ns()
    avg = (end - begin) / count
    print(f"Average time to complete = {round(avg / 1_000, 3)} microseconds")

Quoting Nicholishen

Disliked

{quote} AFAIK, this is the only officially supported direct API access to the terminal itself.

Ignored

Quoting rockit

Disliked

{quote} For me the py script takes on average 60 µs; my (C/C++) solution based on named shared memory and event objects (->no polling)

Ignored

Quoting Nicholishen

Disliked

{quote} How is that achieved? Are you sending a certain chart event to trigger the EA?

Ignored

Quoting braintheboss

Disliked

{quote} I think he is talking about this https://docs.microsoft.com/en-us/win.../event-objects

Ignored

Quoting Nicholishen

Disliked

{quote} How is that achieved? Are you sending a certain chart event to trigger the EA?

Ignored

// mt5 script author: rockit
#include <WinAPI\winapi.mqh>
#define INFINITE                0xFFFFFFFF
#define WAIT_OBJECT_0           0
#define EVENT_ALL_ACCESS        0x1F0003
#define BUFSIZE                 1024
#define INVALID_HANDLE_VALUE    -1
#define PAGE_READWRITE          4
#define FILE_MAP_ALL_ACCESS     983071
#import "kernel32.dll"
    HANDLE CreateEventA(PVOID, uint, uint, const char&[]);
    HANDLE SetEvent(HANDLE);
    uint WaitForSingleObject(HANDLE, uint);
#import "msvcrt.dll"
    int memcpy(PVOID, MqlTick&, uint);
#import
char           event1[];
char           event2[];
const string   nsm = "nsm";
HANDLE         hmapfile = 0;
HANDLE         mt5 = 0;
HANDLE         my = 0;
PVOID          pmem = 0;
MqlTick        tick;
void OnStart()
{
    StringToCharArray("mt5", event1);
    StringToCharArray("my", event2);
    mt5 = CreateEventA(NULL, 0, 0, event1);
    my = CreateEventA(NULL, 0, 0, event2);
    hmapfile = CreateFileMappingW(INVALID_HANDLE_VALUE, NULL, PAGE_READWRITE, 0, BUFSIZE, nsm);
    pmem = MapViewOfFile(hmapfile, FILE_MAP_ALL_ACCESS, 0, 0, BUFSIZE);
    if(mt5 != 0 && my != 0 && hmapfile != 0 && pmem != 0)
    {
        while(!IsStopped())
        {
            uint dwresult = WaitForSingleObject(mt5, INFINITE);
            if(dwresult == WAIT_OBJECT_0)
            {
                SymbolInfoTick(NULL, tick);
                memcpy(pmem, tick, sizeof(MqlTick));
                SetEvent(my);
            }
        }
    }
    UnmapViewOfFile(pmem);
    CloseHandle(hmapfile);
    CloseHandle(mt5);
    CloseHandle(my);
}

#include <windows.h>
#include <stdio.h>
#define BUFSIZE 1024
#define CYCLES 1000
typedef struct MqlTick
{
    ULONGLONG    time;          // Time of the last prices update
    double       bid;           // Current Bid price
    double       ask;           // Current Ask price
    double       last;          // Price of the last deal (Last)
    ULONGLONG    volume;        // Volume for the current Last price
    LONGLONG     time_msc;      // Time of a price last update in milliseconds
    UINT         flags;         // Tick flags
    double       volume_real;   // Volume for the current Last price with greater accuracy
} Tick;
const char  event1[] = "mt5";
const char  event2[] = "my";
const char  nsm[] = "nsm";
HANDLE      hmapfile = 0;
HANDLE      mt5 = 0;
HANDLE      my = 0;
PVOID       pmem = 0;
int main()
{
    mt5 = CreateEventA(NULL, 0, 0, event1);
    my = CreateEventA(NULL, 0, 0, event2);
    hmapfile = CreateFileMappingA(INVALID_HANDLE_VALUE, NULL, PAGE_READWRITE, 0, BUFSIZE, nsm);
    pmem = MapViewOfFile(hmapfile, FILE_MAP_ALL_ACCESS, 0, 0, BUFSIZE);
    if(mt5 != 0 && my != 0 && hmapfile != 0 && pmem != 0)
    {
        ULONGLONG StartingTime, EndingTime, ElapsedMicroseconds;
        ULONGLONG Frequency;
        QueryPerformanceFrequency(&Frequency);
        QueryPerformanceCounter(&StartingTime);
        for(int i = 0; i < CYCLES; ++i)
        {
            SetEvent(mt5);
            unsigned int dwresult = WaitForSingleObject(my, INFINITE);
            if(dwresult == WAIT_OBJECT_0)
            {
                // read data, i.e.:
                // printf("%.5f\n", ((Tick*) pmem)->bid);
            }
        }
        QueryPerformanceCounter(&EndingTime);
        ElapsedMicroseconds = EndingTime - StartingTime;
        // We now have the elapsed number of ticks, along with the
        // number of ticks-per-second. We use these values
        // to convert to the number of elapsed microseconds.
        // To guard against loss-of-precision, we convert
        // to microseconds *before* dividing by ticks-per-second:
        ElapsedMicroseconds *= 1000000;
        ElapsedMicroseconds /= Frequency;
        printf("\nMICROS ELAPSED: %u\n", ElapsedMicroseconds / CYCLES);
    }
    else puts("failed!...");
    UnmapViewOfFile(pmem);
    CloseHandle(hmapfile);
    CloseHandle(my);
    CloseHandle(mt5);
    return 0;
}

Quoting rockit

Disliked

{quote} For me the py script takes on average 60 µs; my (C/C++) solution based on named shared memory and event objects (->no polling) for synchronization takes on average 30 µs. However, the py version is more elgant. I also transfer depth of market data etc.

Ignored

from datetime import datetime
from datetime import timedelta
import pymt5adapter as mt5
from pymt5adapter.calendar import calendar_events
from pymt5adapter.calendar import Currency
from pymt5adapter.calendar import Importance
 
def forex_symbol(s):
    modes = [mt5.SYMBOL_CALC_MODE_FOREX, mt5.SYMBOL_CALC_MODE_FOREX_NO_LEVERAGE]
    return s.trade_calc_mode in modes
 
def main():
    symbol = mt5.symbols_get(function=forex_symbol)[0]
    one_week = timedelta(weeks=1)
    now = datetime.now()
    default_one_week_ahead_all_events = calendar_events()
    filtered_by_callback = calendar_events(function=lambda e: 'fed' in e['event_name'].lower())
    filtered_by_flags = calendar_events(importance=Importance.MEDIUM | Importance.HIGH,
                                        currencies=Currency.USD | Currency.JPY)
    filtered_by_strings = calendar_events(importance='medium high',
                                          currencies='usdjpy')
    filtered_by_iterables = calendar_events(importance=('medium', ' high'),
                                            currencies=('usd', 'jpy'))
    filtered_by_specific_times = calendar_events(time_from=now, time_to=now + one_week)
    filtered_by_timedeltas = calendar_events(time_from=(-one_week), time_to=one_week)
    filtered_by_timedelta_lookback = calendar_events(-one_week)
    calendar_events_in_russian = calendar_events(language='ru')
    employment_events_next_month = calendar_events(
        currencies=Currency.USD,
        importance=Importance.HIGH
        # function=lambda e: 'employment' in (name:=e['event_name'].lower()) or 'payroll' in name
    )
    next_event = employment_events_next_month[0]
    for k, v in next_event.items():
        print(k, v)
 
if __name__ == '__main__':
    with mt5.connected():
        main()

Quoting Nicholishen

Disliked

{quote} I agree, I'd take python plus a few extra microseconds over C++ any day. Although, I wasn't able to replicate the latency you posted. I retested on my ultrabook running in "battery saver mode" and the slowest time it posted was 24 µs -- 15µs avg when running in best performance mode. Python 3.8.2 with terminal build 2375

Ignored

Quoting rockit

Disliked

{quote} What I did not understand so far is - can the mt5 terminal initiate data transfer to the python app ("push data", i.e. incomming ticks), or you need to poll? I think you have to poll data. Also you can only transfer certain data and not arbitrary stuff? Reg. the latency. I use a low-power system (a 4 core [email protected]).. {image}

Ignored

pip install -U pymt5adapter

Quoting Nicholishen

Disliked

{quote} Yes, you have to poll, but one way or another you have to run a script in a loop (python or MQL).

Ignored

Quoting rockit

Disliked

{quote} Ok, yeah, I do not need to poll and so the cpu is not burdened.

Ignored

void OnStart() {
   while(!IsStopped());
}

while True:
    pass

while(!IsStopped()) {
    uint dwresult = WaitForSingleObject(mt5, INFINITE);
    if(dwresult == WAIT_OBJECT_0) {
        SymbolInfoTick(NULL, tick);
        memcpy(pmem, tick, sizeof(MqlTick));
        SetEvent(my);
    }
}

Quote

Disliked

I wonder how Cython would perform.

import functools
import time
import MetaTrader5 as mt5
import pymt5adapter as mta
import talib
from pymt5adapter.symbol import Symbol
 
def timeit(f):
    @functools.wraps(f)
    def timeit_wrapper(*args, **kwargs):
        timed = time.perf_counter_ns()
        res = f(*args, **kwargs)
        timed = time.perf_counter_ns() - timed
        return timed, res
    return timeit_wrapper
 
@timeit
def get_bb(symbol):
    rates = mt5.copy_rates_from_pos(symbol, mt5.TIMEFRAME_H1, 0, 5)
    bb = talib.BBANDS(
        rates['close'],
        timeperiod=5,
        nbdevup=2,
        nbdevdn=2,
        matype=0
    )
    return bb
 
def main():
    symbol = Symbol("EURUSD")
    ttc, bb = get_bb(symbol.name)
    for val, name in zip((b[-1] for b in bb), 'high medium low'.split()):
        print(f"{name} = {symbol.normalize_price(val)}")
    print(f'Time to complete = {ttc / 1000: .3f} µs')
 
if __name__ == '__main__':
    with mta.connected():
        main()

#include <indicators/indicators.mqh>
CiBands* get_bb(string symbol) {
   static CiBands bb;
   if (symbol != bb.Name()) {
      bb.Create(symbol, PERIOD_H1, 5, 0, 2.0, PRICE_CLOSE);
   }
   bb.Refresh();
   return &bb;
}
void OnStart() {
   ulong timed = GetMicrosecondCount();
   CiBands *bb = get_bb("EURUSD");
   timed = GetMicrosecondCount() - timed;
   printf("Time to complete = %.3f", timed);
}

Quoting Nicholishen

Disliked

MetaQuotes is now supporting python integration with its new MT5 builds. MetaTrader5 (pypi) is the official python package for terminal API access. Since metaquotes has implemented the python functions in C, there is a lot of missing "pythonic" constructs (IMO), and to bridge the gap I have made a pythonic adapter package which is also available on pypi named pymt5adapter. In order to avoid continual thread updates and outdated...

Ignored

Quoting newhope

Disliked

{quote} Hi Nicholishen, This is great ... but if i understand it correctly, it is only for MT5 (not MT4), and only works in Windows platform ??

Ignored