自己做量化交易软件(23)小白量化之MetaTrader5自动交易2
上一篇我们介绍了MetaTrader 5关于交易类的函数功能，这篇文章主要介绍行情获取等方面知识。
一、获取MetaTrader 5程序端中所有交易品种的数量。

import HP_mt5 as hmt5 # 建立与MetaTrader 5程序端的连接 if not hmt5.initialize(): print("initialize() failed, error code =",hmt5.last_error()) quit() # 获取交易品种的数量 symbols=hmt5.symbols_total() if symbols>0: print("Total symbols =",symbols) else: print("symbols not found") # 断开与MetaTrader 5程序端的连接 hmt5.shutdown() 

运行结果：

讯享网Total symbols = 260 

二、获取MetaTrader 5程序端中的所有交易品种。

import HP_mt5 as hmt5 # 建立与MetaTrader 5程序端的连接 if not hmt5.initialize(): print("initialize() failed, error code =",hmt5.last_error()) quit() # 获取所有交易品种 symbols=hmt5.symbols_get() print('Symbols: ', len(symbols)) count=0 # 显示前五个交易品种 for s in symbols: count+=1 print("{}. {}".format(count,s.name)) if count==5: break print() # 获取名称中包含RU的交易品种 ru_symbols=hmt5.symbols_get(group="*RU*") print('len(*RU*): ', len(ru_symbols)) for s in ru_symbols: print(s.name) print() # 获取名称中不包含USD、EUR、JPY和GBP的交易品种 group_symbols=hmt5.symbols_get(group="*,!*USD*,!*EUR*,!*JPY*,!*GBP*") print('len(*,!*USD*,!*EUR*,!*JPY*,!*GBP*):', len(group_symbols)) for s in group_symbols: print(s.name,":",s) # 断开与MetaTrader 5程序端的连接 hmt5.shutdown() 

运行结果：

讯享网Symbols: 260 1. EURUSD 2. GBPUSD 3. USDCHF 4. USDJPY 5. USDCAD len(*RU*): 3 EURUSD USDRUB XBRUSD 。。。后面输出信息省略 

三、获取指定交易品种的数据。

import HP_mt5 as hmt5 # 建立与MetaTrader 5程序端的连接 if not hmt5.initialize(): print("initialize() failed, error code =",hmt5.last_error()) quit() # 尝试在市场报价中启用显示EURJPY交易品种 selected=hmt5.symbol_select("EURJPY",True) if not selected: print("Failed to select EURJPY") hmt5.shutdown() quit() # 显示EURJPY交易品种属性 symbol_info=hmt5.symbol_info("EURJPY") if symbol_info!=None: # display the terminal data 'as is' print(symbol_info) print("EURJPY: spread =",symbol_info.spread," digits =",symbol_info.digits) # display symbol properties as a list print("Show symbol_info(\"EURJPY\")._asdict():") symbol_info_dict = hmt5.symbol_info("EURJPY")._asdict() for prop in symbol_info_dict: print(" {}={}".format(prop, symbol_info_dict[prop])) # 断开与MetaTrader 5程序端的连接 hmt5.shutdown() 

运行结果：

SymbolInfo(custom=False, chart_mode=0, select=True, visible=True, session_deals=0, session_buy_orders=0, session_sell_orders=0, volume=0, volumehigh=0, volumelow=0, time=0, digits=3, spread=0, spread_float=True, ticks_bookdepth=10, trade_calc_mode=0, trade_mode=4, start_time=0, expiration_time=0, trade_stops_level=0, trade_freeze_level=0, trade_exemode=2, swap_mode=1, swap_rollover3days=3, margin_hedged_use_leg=False, expiration_mode=15, filling_mode=2, order_mode=127, order_gtc_mode=0, option_mode=0, ...) EURJPY: spread = 0 digits = 3 Show symbol_info("EURJPY")._asdict(): custom=False chart_mode=0 select=True visible=True session_deals=0 session_buy_orders=0 session_sell_orders=0 volume=0 volumehigh=0 volumelow=0 time=0 digits=3 spread=0 spread_float=True ticks_bookdepth=10 trade_calc_mode=0 trade_mode=4 start_time=0 expiration_time=0 trade_stops_level=0 trade_freeze_level=0 trade_exemode=2 swap_mode=1 swap_rollover3days=3 margin_hedged_use_leg=False expiration_mode=15 filling_mode=2 order_mode=127 order_gtc_mode=0 option_mode=0 option_right=0 bid=0.0 bidhigh=0.0 bidlow=0.0 ask=0.0 askhigh=0.0 asklow=0.0 last=0.0 lasthigh=0.0 lastlow=0.0 volume_real=0.0 volumehigh_real=0.0 volumelow_real=0.0 option_strike=0.0 point=0.001 trade_tick_value=0.5044 trade_tick_value_profit=0.5044 trade_tick_value_loss=0.5044 trade_tick_size=0.001 trade_contract_size=.0 trade_accrued_interest=0.0 trade_face_value=0.0 trade_liquidity_rate=0.0 volume_min=0.01 volume_max=100.0 volume_step=0.01 volume_limit=0.0 swap_long=-3.74 swap_short=-1.04 margin_initial=.0 margin_maintenance=0.0 session_volume=0.0 session_turnover=0.0 session_interest=0.0 session_buy_orders_volume=0.0 session_sell_orders_volume=0.0 session_open=0.0 session_close=0.0 session_aw=0.0 session_price_settlement=0.0 session_price_limit_min=0.0 session_price_limit_max=0.0 margin_hedged=0.0 price_change=0.0 price_volatility=0.0 price_theoretical=0.0 price_greeks_delta=0.0 price_greeks_theta=0.0 price_greeks_gamma=0.0 price_greeks_vega=0.0 price_greeks_rho=0.0 price_greeks_omega=0.0 price_sensitivity=0.0 basis= category= currency_base=EUR currency_profit=JPY currency_margin=EUR bank= description=Euro vs Japanese Yen exchange= formula= isin= name=EURJPY page= path=Forex\Minors\EURJPY 

四、获取行情数据及小白量化之仿通达信指标计算

import pandas as pd from HP_formula import * import MetaTrader5 as mt5 import HP_mt5 as hmt5 # 建立与MetaTrader 5程序端的连接 if not hmt5.initialize(): print("initialize() failed, error code =",hmt5.last_error()) quit() ''' TIMEFRAME 是一个包含可能图表周期值的枚举 ID 描述 TIMEFRAME_M1 1分钟 TIMEFRAME_M2 2 分钟 TIMEFRAME_M3 3 分钟 TIMEFRAME_M4 4 分钟 TIMEFRAME_M5 5 分钟 TIMEFRAME_M6 6 分钟 TIMEFRAME_M10 10 分钟 TIMEFRAME_M12 12 分钟 TIMEFRAME_M12 15 分钟 TIMEFRAME_M20 20 分钟 TIMEFRAME_M30 30 分钟 TIMEFRAME_H1 1 小时 TIMEFRAME_H2 2 小时 TIMEFRAME_H3 3 小时values TIMEFRAME_H4 4 小时 TIMEFRAME_H6 6 小时 TIMEFRAME_H8 8 小时 TIMEFRAME_H12 12 小时 TIMEFRAME_D1 1 天 TIMEFRAME_W1 1 周 TIMEFRAME_MON1 1 个月 ''' # 在UTC时区，获取01.10.2020开始的10个EURUSD H4柱形图 rates = hmt5.copy_rates_from_pos("XAUUSD", mt5.TIMEFRAME_H1, 0, 2440) df=hmt5.tohpdata(rates) print(df) #下面是小白仿通达信公式系统计算 #首先要对数据预处理 mydf=df.copy() CLOSE=mydf['close'] LOW=mydf['low'] HIGH=mydf['high'] OPEN=mydf['open'] C=mydf['close'] L=mydf['low'] H=mydf['high'] O=mydf['open'] def RSI(N1=6, N2=12, N3=24): """ RSI 相对强弱指标 """ LC = REF(CLOSE, 1) RSI1 = SMA(MAX(CLOSE - LC, 0), N1, 1) / SMA(ABS(CLOSE - LC), N1, 1) * 100 RSI2 = SMA(MAX(CLOSE - LC, 0), N2, 1) / SMA(ABS(CLOSE - LC), N2, 1) * 100 RSI3 = SMA(MAX(CLOSE - LC, 0), N3, 1) / SMA(ABS(CLOSE - LC), N3, 1) * 100 return RSI1, RSI2, RSI3 #假定我们使用RSI指标 r1,r2,r3=RSI() mydf = mydf.join(pd.Series( r1,name='RSI1')) mydf = mydf.join(pd.Series( r2,name='RSI2')) mydf = mydf.join(pd.Series( r3,name='RSI3')) mydf['S80']=80 #增加上轨80轨迹线 mydf['X20']=20 #增加下轨20轨迹线 mydf=mydf.tail(100) #显示最后100条数据线 #下面是绘线语句 mydf.S80.plot.line() mydf.X20.plot.line() mydf.RSI1.plot.line(legend=True) mydf.RSI2.plot.line(legend=True) mydf.RSI2.plot.line(legend=True) # 断开与MetaTrader 5程序端的连接 hmt5.shutdown() 

运行结果：

 time open high low close tick_volume spread real_volume date 0 2020-01-21 01:00:00 1560.88 1561.49 1559.95 1561.27 1512 2 0 2020-01-21 01:00:00 1 2020-01-21 02:00:00 1561.27 1561.96 1560.36 1560.45 2179 2 0 2020-01-21 02:00:00 2 2020-01-21 03:00:00 1560.46 1567.94 1560.03 1566.67 10579 2 0 2020-01-21 03:00:00 3 2020-01-21 04:00:00 1566.67 1568.63 1564.60 1567.01 7646 2 0 2020-01-21 04:00:00 4 2020-01-21 05:00:00 1567.00 1567.31 1565.53 1566.86 4221 2 0 2020-01-21 05:00:00 5 2020-01-21 06:00:00 1566.87 1567.75 1566.28 1566.60 2179 2 0 2020-01-21 06:00:00 

显示图形如下：

以上文章介绍了MetaTrader5的Python方面的程序开发。MetaTrader5提供了外汇，期货，数字币等行情数据。读者不难结合前面的文章，根据自己策略写出全自动交易程序。
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