Part II - Trade Signal Generation

By now you know how the database is layed out. In the following parts you will be mostly dealing with AutoIt script which intracts with market data and my database with configurations and watch list.

I will put all of the source code here instead of explaining it in plain english. Since the AutoIt is BASIC like language it easy to understand.





#include <ie.au3>
#include <string.au3>
#include <array.au3>
#Include <date.au3>
#include <sqlite.au3>
#include <sqlite.dll.au3>
#include "myFunctions.au3"
#include <winhttp.au3>


; Set variables (read from database)
$START_TIME = fnFetchConfigs("START_TIME") ; START_TIME
$TICKER_LIST = fnFetchTickerList() ; TICKER_LIST
$REFRESH_INTERVAL = fnFetchConfigs("REFRESH_INTERVAL") ; REFRESH_INTERVAL
$RUN_TIME = fnFetchConfigs("RUN_TIME") ; RUN_TIME
$myStartDateTime = fnFetchConfigs("STARTED_AT") ; STARTED_AT
;-------------------- @YEAR & "/" & @MON &
; "/" & @MDAY & " " & $START_TIME

If _DateTimeFormat( _NowCalc(), 5) > $START_TIME Then

$MinutesSinceStarted = _DateDiff ( 'n', $myStartDateTime, _NowCalc())
WriteToLogFile ("Started capturing quotes.")

Dim $iBasePrc, $chars, $QuoteFileName
Dim $AppEndDateTime, $QuoteString

while ($RUN_TIME - $MinutesSinceStarted) >= 0

;split the $TICKER_LIST and get quotes for all the tickers in the list
$SplitTICKER_LIST = StringSplit($TICKER_LIST, "")

for $i = 1 to UBound($SplitTICKER_LIST, 1)-1

$TICKER = $SplitTICKER_LIST[$i]
;msgbox (0, $i, $SplitTICKER_LIST[$i])

$QuoteString = fnHTTP_GetQuote($SplitTICKER_LIST[$i])

if StringLen($QuoteString) > 10 Then

$QuoteArray = _StringSplit($QuoteString, "")

$CurrentQuote = StringReplace ($QuoteArray[2], ",", "")
$myTime = $QuoteArray[0] & " " & $QuoteArray[1]

$iBasePrc = Number($iBasePrc)
$CurrentQuote = Number($CurrentQuote)

fnWriteToDB ("UPDATE ICICI_WatchList SET &_ CurrentQuote = "& $CurrentQuote &", &_
LocalDateTime = CURRENT_TIMESTAMP WHERE Ticker = '" & $TICKER & "';")
;ConsoleWrite ("Quotes updated.." & @CRLF)

$iBasePrc = ""
$QuoteString=""
$chars = ""

Else

WriteToLogFile ("HTTP Request might have failed!")

EndIf

NEXT ;$i

;interval
sleep ($REFRESH_INTERVAL) ; every 20 seconds..
$MinutesSinceStarted = _DateDiff ( 'n', $myStartDateTime, _NowCalc())
;ConsoleWrite($RUN_TIME - $MinutesSinceStarted & @CRLF)

wend

WriteToLogFile ("End of trading session.")
;Shutdown(32) ; put computer in Sleep mode

Else

WriteToLogFile ("Trading session not yet started.")

EndIf

Exit
;====================================================================================================





Func fnHTTP_GetQuote($Ticker)

Dim $TradeDate, $TradeTime, $LatestQuote

$hw_open = _WinHttpOpen()
$hw_connect = _WinHttpConnect($hw_open, "getquote.icicidirect.com")
$h_openRequest = _WinHttpOpenRequest($hw_connect, "GET", "/trading/equity/trading_stock_quote.asp?Symbol=" & $Ticker)

_WinHttpSendRequest($h_openRequest)
_WinHttpReceiveResponse($h_openRequest)

If _WinHttpQueryDataAvailable($h_openRequest) Then
$data = ""
While 1
$chunk = _WinHttpReadData($h_openRequest, 1)
If Not @extended Then ExitLoop
;ConsoleWrite($chunk & @CRLF)
$data &= $chunk
WEnd

;ConsoleWrite($data & @CRLF)
;msgbox (0, "StringLen($data)", StringLen($data))
;-- error stringLen 7808
;-- good stringLen 12995

If StringLen($data) > 10000 Then ; good request return

;=========== LAST TRDED DATE START ================
;First cut
$mySubString = "DATE"
$StartAt = StringInStr($data, $mySubString)
$TradeDate = StringMid($data, $StartAt, 200)

;Second cut
$mySubString = ""
$StartAt = StringInStr($TradeDate, $mySubString)
$TradeDate = StringMid($TradeDate, $StartAt, 200)

;Third cut
$mySubString = ">"
$StartAt = StringInStr($TradeDate, $mySubString)
$TradeDate = StringMid($TradeDate, $StartAt+1, 200)

;Fourth cut
$mySubString = ""
$EndAt = StringInStr($TradeDate, $mySubString)
$TradeDate = StringMid($TradeDate, 1, $EndAt-1)

;msgbox (0, "Last Trade Date", $TradeDate)
;=========== LAST TRDED DATE ENDS ================


;=========== LAST TRDED TIME START ================
;First cut
$mySubString = "LAST TRADED "
$StartAt = StringInStr($data, $mySubString)
$TradeTime = StringMid($data, $StartAt, 200)

;Second cut
$mySubString = ""
$StartAt = StringInStr($TradeTime, $mySubString)
$TradeTime = StringMid($TradeTime, $StartAt, 200)

;Third cut
$mySubString = ">"
$StartAt = StringInStr($TradeTime, $mySubString)
$TradeTime = StringMid($TradeTime, $StartAt+1, 200)

;Fourth cut
$mySubString = ""
$EndAt = StringInStr($TradeTime, $mySubString)
$TradeTime = StringMid($TradeTime, 1, $EndAt-1)
;msgbox(0, "Latest Trde Time", $TradeTime)
;=========== LAST TRDED TIME ENDS ================


;~ ;=========== LASTEST QUOTES STARTS ================
;First cut
$mySubString = " LAST TRADE "
$StartAt = StringInStr($data, $mySubString)
$LatestQuote = StringMid($data, $StartAt, 200)

;Second cut
$mySubString = ""
$StartAt = StringInStr($LatestQuote, $mySubString)
$LatestQuote = StringMid($LatestQuote, $StartAt, 200)

;Third cut
$mySubString = ">"
$StartAt = StringInStr($LatestQuote, $mySubString)
$LatestQuote = StringMid($LatestQuote, $StartAt+1, 200)

;Fourth cut
$mySubString = ""
$EndAt = StringInStr($LatestQuote, $mySubString)
$LatestQuote = StringMid($LatestQuote, 1, $EndAt-1)
;msgbox(0, "Latest Quoted", $LatestQuote)
;~ ;=========== LASTEST QUOTES ENDS ================
EndIf

EndIf

_WinHttpCloseHandle($h_openRequest)
_WinHttpCloseHandle($hw_connect)
_WinHttpCloseHandle($hw_open)

;ConsoleWrite ($TradeDate & "" & $TradeTime & "" & $LatestQuote & @CRLF)

Return($TradeDate & "" & $TradeTime & "" & $LatestQuote)

EndFunc





This above code is the one which captures the ticker/stock price and writes it to the ICICI_Watchlist >> CurrentQuote column. As soon as the column is updated
with new price the trigger on that table fires up and checks if the price is
closer by the expected target price (QuoteVariance), if yes it will generate
a signal.

Is the signal buy or sell ? - this depends on QuoteVariance. If QuoteVariance
is set as minus that means you are looking for price going lower and lower, so
BUY signal is generated for PreviousClosing-(PreviousClosing*QuoteVariance)

Similarly if the you are looking to sell your holdings if price goes above +5% (QuoteVariance) of previous day closing then SELL signal is generated

In the next part, I will explain how this signal is processed and order is actual placed.

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Posted by Technology Yogi, Sunday, May 31, 2009 7:53 AM

2 Comments:
Hi, so when is the next section of your blog coming? And how is your stock trading automation working out? Thanks!
commented by Blogger tanya, 6:44 PM  
Hi...

Thank you for sharing the code. I wanted to work on this possibility from some time.

Please make time to post the last section.
commented by Blogger rknmys, 7:02 PM  

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