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[billpwchan]

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[cantona]

Finally install all libraries, but still got error:

$ python3 main.py
/home/test/.local/lib/python3.8/site-packages/pyfolio/pos.py:26: UserWarning: Module "zipline.assets" not found; mutltipliers will not be applied to position notionals.
warnings.warn(
Traceback (most recent call last):
File "main.py", line 169, in
main()
File "main.py", line 135, in main
filter_list = [file_name.split("\")[1][:-3] for file_name in glob.glob(f"./filters/.py") if
File "main.py", line 135, in
filter_list = [file_name.split("\")[1][:-3] for file_name in glob.glob(f"./filters/.py") if
IndexError: list index out of range

[cantona]

something like this to compatible to *nix and windows

from pathlib import Path
import glob
[Path(file).name[:-3] for file in glob.glob("./strategies/.py") if "init" not in file and "Strategies" not in file]
[Path(file).name[:-3] for file in glob.glob("./filters/.py") if "init" not in file and "Filters" not in file]

**removed 'f' as no formatted string here

0001-Fixes-to-deal-with-file-paths-on-Windows-Mac-and-Lin.txt

[billpwchan]

Superb! Updated these in commit d5546c4

[cantona]

Btw, I tried to use MACD_Cross for paper trade today, it seems that is not very practical. Which strategies do you think work the best? If it is possible to share the private strategies? I am very eager to test it.
Do you think some library ie PyAlgoTrade or backtrader will help to improve futu_algo?
Also, does this auto trade work for US market?

[billpwchan]

Yeap definitely. I totally agreed with you, because the MACD is a really simple and basic strategy that solely relies on one simple indicator, and is not effective for high-frequency trading for sure. For the private strategy that I implemented, I haven't backtested them so that I'm really not sure if those are useful strategies or not. Let me share with you once I have fixed my backtesting engine and prove their ROI.

I wasn't aware of libraries you mentioned like PyAlgoTrade and backtrader, but definitely they are useful! For backtesting, I mostly use amibroker instead of actually implementing a backtesting engine in Python from scratch. That's why I am not that engaged in fixing the backtesting bug in this program haha

For US market, sure it works. Just need some tiny modifications following the tutorial on Futu OpenAPI. I believe the key point is to select the correct broker account in your Futu account. in the current code, it directly select the default option, which is the HK market.

[crosstmh]

I dont think people will share winning stategies. It's like ask strangers for tons of money. But we can discuss our private trading logic~~ That might be illuminating. For me , I sell cash secured puts and covered calls with company I have faith in ，like Tesla.

[sreleifs]

Hi, I am a newbie to python. Thanks this is a great project. However I come across some problems which I tried for some time. I could load the environment in conda. I thought I could get the stock list from internet (hkex) and fill it by itself. so I remove "StockList = ["HK.00001", "HK.00002"]" .

Q1. I've got the following errors. I would like to ask ,can I get the stocklist from hkex automatically and update its historical data?

Traceback (most recent call last):
File "C:\Users\nevil\anaconda3\envs\futu_Trade\lib\configparser.py", line 789, in get
value = d[option]
File "C:\Users\nevil\anaconda3\envs\futu_Trade\lib\collections_init_.py", line 898, in getitem
return self.missing(key) # support subclasses that define missing
File "C:\Users\nevil\anaconda3\envs\futu_Trade\lib\collections_init_.py", line 890, in missing
raise KeyError(key)
KeyError: 'stocklist'

Q2. Even if I add back, I've got another error:

Traceback (most recent call last):
File "main_backend.py", line 223, in
main()
File "main_backend.py", line 202, in main
stock_list.remove('Stock_Pool')
ValueError: list.remove(x): x not in list

Many thanks. I couldn't get it run other than a GUI prompt.

[sreleifs]

thanks for your reply. I haven't expected there's still reply. Many thanks. Keep up your good work!

I tried removed that line first. and I've got this error

FileNotFoundError: [Errno 2] No such file or directory: 'C:\Users\nevil\Documents\python projects\futu_algo-master\data\Stock_Pool\ListOfSecurities.csv'

[sreleifs]

python main_backend.py --force_update
←[0;30m2022-07-17 03:09:25,054 | 18424 | [open_context_base.py] _send_init_connect_sync:311: InitConnect ok: conn_id=1, host=127.0.0.1, port=11111, user_id=xxxxxxx←[0m
←[0;30m2022-07-17 03:09:25,068 | 18424 | [open_context_base.py] send_init_connect_sync:311: InitConnect ok: conn_id=2, host=127.0.0.1, port=11111, user_id=xxxxxxx←[0m
Traceback (most recent call last):
File "main_backend.py", line 223, in
main()
File "main_backend.py", line 182, in main
stock_list = json.loads(config.get('TradePreference', 'StockList'))
File "C:\Users\nevil\anaconda3\envs\futu_trade\lib\json_init.py", line 357, in loads
return _default_decoder.decode(s)
File "C:\Users\nevil\anaconda3\envs\futu_trade\lib\json\decoder.py", line 337, in decode
obj, end = self.raw_decode(s, idx=_w(s, 0).end())
File "C:\Users\nevil\anaconda3\envs\futu_trade\lib\json\decoder.py", line 355, in raw_decode
raise JSONDecodeError("Expecting value", s, err.value) from None
json.decoder.JSONDecodeError: Expecting value: line 1 column 2 (char 1)

[billpwchan]

For the stock_list = json.loads(config.get('TradePreference', 'StockList')) issue, it is because you need to have the following content in the config.ini. So once you have the following things in the file, you'll be fine

[TradePreference]
LotSizeMultiplier = 2
MaxPercPerAsset = 10
StockList = ['HK.00002', 'HK.02319', 'HK.00267', 'HK.00386', 'HK.00101', 'HK.01038', 'HK.02331', 'HK.00027', 'HK.01398', 'HK.00003', 'HK.01044', 'HK.00992', 'HK.00012', 'HK.09633', 'HK.00883', 'HK.01109', 'HK.01093', 'HK.03690', 'HK.02020', 'HK.00017', 'HK.01810', 'HK.02628', 'HK.02688', 'HK.09618', 'HK.00669', 'HK.02269', 'HK.02018', 'HK.00241', 'HK.09988', 'HK.06098']

For the FileNotFoundError, may I know which line causes the error? As far as I remembered, this error should not be thrown because the file "ListOfSecurities.xlsx" and "ListOfSecurities.csv" will be created after downloading the data from HKEX.

Just wanna double check, did you have the the following folder structure similar like this?
data
|
-----HK.00001
-----HK.00002
.....
-----Stock Pools
--------ListOfSecurities.xlsx
--------ListOfSecurities.csv

[sreleifs]

Hi,

I tried to move to ubuntu to try. But I got stuck connecting to futu. I need to make sure I can connect to Futu before connecting to your apps. Do you mind if you can give me some ideas? Million thanks.

I ./FutuOpenD -> listening port 11111
2. run my python3 test.py to try

2022-07-24 12:37:06,939 | 37871 | [network_manager.py] _on_packet:647: Recv: conn_id=1; proto_id=1001; serial_no=6215; data_len=0; msg=PacketErr.Timeout;
2022-07-24 12:37:06,940 | 37871 | [open_context_base.py] _send_init_connect_sync:316: InitConnect fail: PacketErr.Timeout

[billpwchan]

Hi,

Though I didn't test Futu OpenD on Ubuntu previously, I think as long as you follow the steps listed on the FutuOpenD website you shall be able to log in and run the service w/o issue.

Website: https://www.futunn.com/hk/download/OpenAPI