How to get outside regular trading hours data? (OpenApiPy)

prenven570
10 Mar 2022, 13:00

RE:

prenven570 said:

I have this code (from jupyter sample):

 

from ctrader_open_api import Client, Protobuf, TcpProtocol, Auth, EndPoints
from ctrader_open_api.messages.OpenApiCommonMessages_pb2 import *
from ctrader_open_api.messages.OpenApiCommonMessages_pb2 import *
from ctrader_open_api.messages.OpenApiMessages_pb2 import *
from ctrader_open_api.messages.OpenApiModelMessages_pb2 import *
from twisted.internet import reactor
import json
import datetime

 

credentialsFile = open("credentials-dev.json")
credentials = json.load(credentialsFile)

 

host = EndPoints.PROTOBUF_LIVE_HOST if credentials["HostType"].lower() == "live" else EndPoints.PROTOBUF_DEMO_HOST
client = Client(host, EndPoints.PROTOBUF_PORT, TcpProtocol)

 

symbolName = "GERMANY 40"

dailyBars = []

def transformTrendbar(trendbar):
    openTime = datetime.datetime.fromtimestamp(trendbar.utcTimestampInMinutes * 60)
    openPrice = (trendbar.low + trendbar.deltaOpen) / 100000.0
    highPrice = (trendbar.low + trendbar.deltaHigh) / 100000.0
    lowPrice = trendbar.low / 100000.0
    closePrice = (trendbar.low + trendbar.deltaClose) / 100000.0
    return [openTime, openPrice, highPrice, lowPrice, closePrice, trendbar.volume]

 

def trendbarsResponseCallback(result):
    print("\nTrendbars received")
    trendbars = Protobuf.extract(result)
    barsData = list(map(transformTrendbar, trendbars.trendbar))
    global dailyBars
    dailyBars.clear()
    dailyBars.extend(barsData)
    print("\ndailyBars length:", len(dailyBars))
    print("\Stopping reactor...")
    reactor.stop()
    
def symbolsResponseCallback(result):
    print("\nSymbols received")
    symbols = Protobuf.extract(result)
    global symbolName
    symbolsFilterResult = list(filter(lambda symbol: symbol.symbolName == symbolName, symbols.symbol))
    if len(symbolsFilterResult) == 0:
        raise Exception(f"There is symbol that matches to your defined symbol name: {symbolName}")
    elif len(symbolsFilterResult) > 1:
        raise Exception(f"More than one symbol matched with your defined symbol name: {symbolName}, match result: {symbolsFilterResult}")
    symbol = symbolsFilterResult[0]
    request = ProtoOAGetTrendbarsReq()
    request.symbolId = symbol.symbolId
    request.ctidTraderAccountId = credentials["AccountId"]
    request.period = ProtoOATrendbarPeriod.H1
    # We set the from/to time stamps to 50 weeks, you can load more data by sending multiple requests
    # Please check the ProtoOAGetTrendbarsReq documentation for more detail
    request.fromTimestamp = int((datetime.datetime.utcnow() - datetime.timedelta(weeks=1)).timestamp()) * 1000
    request.toTimestamp = int(datetime.datetime.utcnow().timestamp()) * 1000
    deferred = client.send(request)
    deferred.addCallbacks(trendbarsResponseCallback, onError)
    
def accountAuthResponseCallback(result):
    print("\nAccount authenticated")
    request = ProtoOASymbolsListReq()
    request.ctidTraderAccountId = credentials["AccountId"]
    request.includeArchivedSymbols = False
    deferred = client.send(request)
    deferred.addCallbacks(symbolsResponseCallback, onError)

 

def applicationAuthResponseCallback(result):
    print("\nApplication authenticated")
    request = ProtoOAAccountAuthReq()
    request.ctidTraderAccountId = credentials["AccountId"]
    request.accessToken = credentials["AccessToken"]
    deferred = client.send(request)
    deferred.addCallbacks(accountAuthResponseCallback, onError)

def onError(client, failure): # Call back for errors
    print("\nMessage Error: ", failure)

def disconnected(client, reason): # Callback for client disconnection
    print("\nDisconnected: ", reason)

def onMessageReceived(client, message): # Callback for receiving all messages
    if message.payloadType in [ProtoHeartbeatEvent().payloadType, ProtoOAAccountAuthRes().payloadType, ProtoOAApplicationAuthRes().payloadType, ProtoOASymbolsListRes().payloadType, ProtoOAGetTrendbarsRes().payloadType]:
        return
    print("\nMessage received: \n", Protobuf.extract(message))
    
def connected(client): # Callback for client connection
    print("\nConnected")
    request = ProtoOAApplicationAuthReq()
    request.clientId = credentials["ClientId"]
    request.clientSecret = credentials["Secret"]
    deferred = client.send(request)
    deferred.addCallbacks(applicationAuthResponseCallback, onError)
    
# Setting optional client callbacks
client.setConnectedCallback(connected)
client.setDisconnectedCallback(disconnected)
client.setMessageReceivedCallback(onMessageReceived)

 

# Starting the client service
client.startService()
# Run Twisted reactor, we imported it earlier
reactor.run()

 

df = pd.DataFrame(np.array(dailyBars),
                   columns=['Time', 'Open', 'High', 'Low', 'Close', 'Volume'])
df["Open"] = pd.to_numeric(df["Open"])
df["High"] = pd.to_numeric(df["High"])
df["Low"] = pd.to_numeric(df["Low"])
df["Close"] = pd.to_numeric(df["Close"])
df["Volume"] = pd.to_numeric(df["Volume"])

 

df 

 

I get values starting with "03:00:00" or "08:00:00", but I need data starting from 00:00:00. How can I get these data?

(solved)

It depends by the broker you use