Converting A List of Trades, Dates and Prices Into EasyLanguage Arrays:
As the old saying goes “a picture is worth a thousand words!” Have you ever been given a list of trades like this:
Sell Short,20010622,1178.50
Buy to Cover,20010626,1159.75
Sell Short,20010801,1150.00
Buy to Cover,20010807,1139.75
Sell Short,20010814,1129.00
Buy to Cover,20010816,1117.25
Sell Short,20011001,976.75
Buy to Cover,20011004,1016.75
Sell Short,20011107,1053.00
Buy to Cover,20011123,1069.50
Sell Short,20011219,1076.25
Buy to Cover,20020102,1075.00
Sell Short,20020129,1067.25
Buy to Cover,20020131,1046.75
Sell Short,20020131,1046.75
Buy to Cover,20020205,1026.75
Sell Short,20020520,1033.25
Buy to Cover,20020522,1011.50
Sell Short,20020731,832.00
Buy to Cover,20020805,792.50
Sell Short,20020812,834.00
Buy to Cover,20020814,811.75
Sell Short,20020911,838.50
Buy to Cover,20020913,816.75
List of Trades : Order, Date, Price
But really wanted to see this:
I have created a small Python script that will take a list of trades like those listed in table above and create the following EasyLanguage:
arrays: DateArr[500](0),TradeArr[500](""),PriceArr[500](0);
DateArr[0]=1010622;TradeArr[0]="SS";PriceArr[0]=1178.5;
DateArr[1]=1010626;TradeArr[1]="SX";PriceArr[1]=1159.75;
DateArr[2]=1010801;TradeArr[2]="SS";PriceArr[2]=1150.0;
DateArr[3]=1010807;TradeArr[3]="SX";PriceArr[3]=1139.75;
DateArr[4]=1010814;TradeArr[4]="SS";PriceArr[4]=1129.0;
DateArr[5]=1010816;TradeArr[5]="SX";PriceArr[5]=1117.25;
DateArr[6]=1011001;TradeArr[6]="SS";PriceArr[6]=976.75;
DateArr[7]=1011004;TradeArr[7]="SX";PriceArr[7]=1016.75;
DateArr[8]=1011107;TradeArr[8]="SS";PriceArr[8]=1053.0;
DateArr[9]=1011123;TradeArr[9]="SX";PriceArr[9]=1069.5;
DateArr[10]=1011219;TradeArr[10]="SS";PriceArr[10]=1076.25;
DateArr[11]=1020102;TradeArr[11]="SX";PriceArr[11]=1075.0;
DateArr[12]=1020129;TradeArr[12]="SS";PriceArr[12]=1067.25;
DateArr[13]=1020131;TradeArr[13]="SX";PriceArr[13]=1046.75;
DateArr[14]=1020131;TradeArr[14]="SS";PriceArr[14]=1046.75;
DateArr[15]=1020205;TradeArr[15]="SX";PriceArr[15]=1026.75;
DateArr[16]=1020520;TradeArr[16]="SS";PriceArr[16]=1033.25;
DateArr[17]=1020522;TradeArr[17]="SX";PriceArr[17]=1011.5;
Converting list of trades to EasyLanguage
This just creates the arrays that you can use to graph the trades on a chart. If you are using exact prices you got to make sure your data aligns with the prices in the list of trades. If you are only entering on the open or the close of the bar then the price array isn’t necessary.
The following Python script will also be helpful if you want to learn how to open a file in csv format, read it into lists, convert it and then save the output to a file.
#-------------------------------------------------------------------------------
# Name: Read csv file via askOpen and save txt file via askSave
# Purpose: Read the trade metrics from a TradeStation csv format
# and build arrays from the information to display on charts in
# TradeStation
# Author: georg
#
# Created: 29/08/2018
# Copyright: (c) georg 2018
#-------------------------------------------------------------------------------
import csv
import tkinter as tk
import os.path
from tkinter.filedialog import askopenfilenames
from tkinter.filedialog import asksaveasfilename
tradeType = list()
tradeDate = list()
tradePrice = list()
def main():
root = tk.Tk()
root.withdraw()
files = askopenfilenames(filetypes=(('CSV files', '*.csv'),
('TXT files', '*.txt')),
title='Select CSV format only!')
fileList = root.tk.splitlist(files)
fileListLen = len(fileList)
# make sure you know the format ahead of time
# I know "Buy",20180828,2745.75
#
cnt = 0
for files in range(0,fileListLen):
head,tail = os.path.split(fileList[files])
with open(fileList[files]) as f:
f_csv = csv.reader(f)
for row in f_csv:
numCols = len(row)
tradeType.append(row[0])
tradeDate.append(int(row[1]))
tradePrice.append(float(row[2]))
cnt += 1
f.close
filename = asksaveasfilename(title="Will Save File with '.txt'",defaultextension=".txt")
# filename = filename + '.txt'
target1 = open(filename,'w')
outString = 'arrays: DateArr[500](0),TradeArr[500](0),PriceArr[500](0);\n'
target1.write(outString)
for x in range(0,cnt):
if tradeType[x] == "Sell Short": tradeType[x] = "SS"
if tradeType[x] == "Buy": tradeType[x] = "B"
if tradeType[x] == "Buy to Cover": tradeType[x] = "SX"
if tradeType[x] == "Sell": tradeType[x] = "LX"
outString = 'DateArr['+str(x)+']='+str(tradeDate[x]-19000000)+';TradeArr['+str(x)+']="'+tradeType[x]+'";PriceArr['+str(x)+']='+str(tradePrice[x])+';\n'
target1.write(outString)
target1.close
if __name__ == '__main__':
main()
Python Script Open, Read, Convert and Write A File Using TK Dialogs
And here is the EasyLanguage code that will step through the arrays and place the trades accordingly. I noticed that sometimes two trades could occur on the same bar, but only two and you will notice in the code where I programmed this occurrence.
vars: cnt(0);
If date of tomorrow = DateArr[cnt] then
Begin
print("Inside: ",d," ",dateArr[cnt]);
If tradeArr[cnt] = "B" then
begin
buy next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "LX" then
begin
sell next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "SS" then
begin
sellShort next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "SX" then
begin
buyToCover next bar at PriceArr[cnt] stop;
end;
cnt = cnt + 1;
If DateArr[cnt] = DateArr[cnt-1] then
Begin
print("two trades same day ",d," ",dateArr[cnt]);
If tradeArr[cnt] = "B" then
begin
buy next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "LX" then
begin
sell next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "SS" then
begin
print("looking to go short at ",PriceArr[cnt]);
sellShort next bar at PriceArr[cnt] stop;
end;
If tradeArr[cnt] = "SX" then
begin
buyToCover next bar at PriceArr[cnt] stop;
end;
cnt = cnt + 1;
end;
end;
EasyLanguage Snippet To Execute Trades Stored in Arrays
