OANDA APIでトレードのログ（トランザクション）を取得

2020.07.10
スポンサーリンク
スポンサーリンク

はじめに

使用するライブラリ

接続までの箇所は、接続ページとほぼ同じですが、import oandapyV20.endpoints.transactions as transをインポートして使用します。

トレードのログ（トランザクション）をストリーミングで取得

仕様の説明

新たなトレードのログ（トランザクション）をリアルタイムに取得します。

res = trans.TransactionsStream(accountID=accountID)
api.request(res)

for Transactions in res.response:
    print(json.dumps(Transactions, indent=4), ",")

trans.TransactionsStreamにaccountIDを渡すだけです。
res.responseに逐次新たなログ（トランザクション）が受け渡されます。なお無限ループになります。

返り値について

typeとreasonによって、そのログのアクションを読み取ることができます。

  • type：種類
    • HEARTBEAT：何も変化がない。
    • MARKET_ORDER：成り行き注文を実行した。
    • ORDER_FILL：注文が確約した。
    • その他・・・
  • reason：理由
    • type = MARKET_ORDER
      • CLIENT_ORDER：自身による注文
      • TRADE_CLOSE：決済
      • その他・・・
    • type = ORDER_FILL
      • MARKET_ORDER：成行
      • MARKET_ORDER_TRADE_CLOSE：決済
      • その他・・・

システム例

import oandapyV20.endpoints.transactions as trans

# APIに接続
api = API(environment="practice", access_token=access_token)

res = trans.TransactionsStream(accountID=accountID)
api.request(res)

for Transactions in res.response:
    print(json.dumps(Transactions, indent=4), ",")
    
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23808",
#     "time": "2020-07-10T01:01:21.117466675Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23808",
#     "time": "2020-07-10T01:01:26.156492373Z"
# } ,
# {
#     "type": "MARKET_ORDER",
#     "instrument": "USD_JPY",
#     "units": "1000",
#     "timeInForce": "FOK",
#     "positionFill": "DEFAULT",
#     "reason": "CLIENT_ORDER",
#     "id": "23809",
#     "accountID": "",
#     "userID": ,
#     "batchID": "23809",
#     "requestID": "60730354280635712",
#     "time": "2020-07-10T01:01:27.370946549Z"
# } ,
# {
#     "type": "ORDER_FILL",
#     "orderID": "23809",
#     "instrument": "USD_JPY",
#     "units": "1000",
#     "requestedUnits": "1000",
#     "price": "107.077",
#     "pl": "0.0000",
#     "financing": "0.0000",
#     "commission": "0.0000",
#     "accountBalance": "3123369.6517",
#     "gainQuoteHomeConversionFactor": "1",
#     "lossQuoteHomeConversionFactor": "1",
#     "guaranteedExecutionFee": "0.0000",
#     "halfSpreadCost": "2.0000",
#     "fullVWAP": "107.077",
#     "reason": "MARKET_ORDER",
#     "tradeOpened": {
#         "price": "107.077",
#         "tradeID": "23810",
#         "units": "1000",
#         "guaranteedExecutionFee": "0.0000",
#         "halfSpreadCost": "2.0000",
#         "initialMarginRequired": "4283.0000"
#     },
#     "fullPrice": {
#         "closeoutBid": "107.066",
#         "closeoutAsk": "107.084",
#         "timestamp": "2020-07-10T01:01:23.686445408Z",
#         "bids": [
#             {
#                 "price": "107.073",
#                 "liquidity": "250000"
#             }
#         ],
#         "asks": [
#             {
#                 "price": "107.077",
#                 "liquidity": "250000"
#             }
#         ]
#     },
#     "id": "23810",
#     "accountID": "",
#     "userID":,
#     "batchID": "23809",
#     "requestID": "60730354280635712",
#     "time": "2020-07-10T01:01:27.370946549Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23810",
#     "time": "2020-07-10T01:01:31.213494977Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23810",
#     "time": "2020-07-10T01:01:36.223801172Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23810",
#     "time": "2020-07-10T01:01:41.287440968Z"
# } ,
# {
#     "type": "MARKET_ORDER",
#     "instrument": "USD_JPY",
#     "units": "-1000",
#     "timeInForce": "FOK",
#     "positionFill": "REDUCE_ONLY",
#     "reason": "TRADE_CLOSE",
#     "tradeClose": {
#         "units": "1000",
#         "tradeID": "23810"
#     },
#     "id": "23811",
#     "accountID": "",
#     "userID":,
#     "batchID": "23811",
#     "requestID": "60730354343580892",
#     "time": "2020-07-10T01:01:42.282680258Z"
# } ,
# {
#     "type": "ORDER_FILL",
#     "orderID": "23811",
#     "instrument": "USD_JPY",
#     "units": "-1000",
#     "requestedUnits": "-1000",
#     "price": "107.062",
#     "pl": "-15.0000",
#     "financing": "0.0000",
#     "commission": "0.0000",
#     "accountBalance": "3123354.6517",
#     "gainQuoteHomeConversionFactor": "1",
#     "lossQuoteHomeConversionFactor": "1",
#     "guaranteedExecutionFee": "0.0000",
#     "halfSpreadCost": "2.0000",
#     "fullVWAP": "107.062",
#     "reason": "MARKET_ORDER_TRADE_CLOSE",
#     "tradesClosed": [
#         {
#             "tradeID": "23810",
#             "units": "-1000",
#             "realizedPL": "-15.0000",
#             "financing": "0.0000",
#             "price": "107.062",
#             "guaranteedExecutionFee": "0.0000",
#             "halfSpreadCost": "2.0000"
#         }
#     ],
#     "fullPrice": {
#         "closeoutBid": "107.055",
#         "closeoutAsk": "107.073",
#         "timestamp": "2020-07-10T01:01:39.103933136Z",
#         "bids": [
#             {
#                 "price": "107.062",
#                 "liquidity": "250000"
#             }
#         ],
#         "asks": [
#             {
#                 "price": "107.066",
#                 "liquidity": "250000"
#             }
#         ]
#     },
#     "id": "23812",
#     "accountID": "",
#     "userID":,
#     "batchID": "23811",
#     "requestID": "60730354343580892",
#     "time": "2020-07-10T01:01:42.282680258Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23812",
#     "time": "2020-07-10T01:01:46.288542506Z"
# } ,
# {
#     "type": "HEARTBEAT",
#     "lastTransactionID": "23812",
#     "time": "2020-07-10T01:01:51.296286157Z"
# } ,

ログの詳細を取得

res = trans.TransactionDetails(accountID=accountID, transactionID=12345)
api.request(res)

trans.TransactionDetailsにaccountIDとtransactionID（ログID）を渡すだけです。

orders.OrderDetailsとの大きな違いは以下の通りです。

  • reasonを取得できる。
  • typeの値に_ORDERが追加され、TAKE_PROFITではなく、TAKE_PROFIT_ORDERとなる。
  • orders.OrderClientExtensionsでオーダーに設定したクライアント拡張機能の値を取得できない。

システム例

出力結果はログのトレードのタイプにより異なります。

transactionID = 23809
res = trans.TransactionDetails(accountID=accountID, transactionID=transactionID)
api.request(res)

print(json.dumps(res.response, indent=4), ",")

# {
#     "transaction": {
#         "type": "MARKET_ORDER",
#         "instrument": "USD_JPY",
#         "units": "1000",
#         "timeInForce": "FOK",
#         "positionFill": "DEFAULT",
#         "reason": "CLIENT_ORDER",
#         "id": "23809",
#         "accountID": "",
#         "userID": ,
#         "batchID": "23809",
#         "requestID": "60730354280635712",
#         "time": "2020-07-10T01:01:27.370946549Z"
#     },
#     "lastTransactionID": "24600"
# } ,

指定したログIDからログ一覧を取得

仕様の説明

指定したログID以降のログ（トランザクションを）を取得します。

params = {
    "id": 23809
}

res = trans.TransactionsSinceID(accountID=accountID, params=params)
api.request(res)

print(json.dumps(res.response, indent=4), ",")

trans.TransactionsSinceIDにaccountIDとログIDを指定したparamsを渡します。

システム例

params = {
    "id": 23809
}

res = trans.TransactionsSinceID(accountID=accountID, params=params)
api.request(res)

print(json.dumps(res.response, indent=4), ",")
# {
#     "transactions": [
#         {
#             "type": "ORDER_FILL",
#             "orderID": "23809",
#             "instrument": "USD_JPY",
#             "units": "1000",
#             "requestedUnits": "1000",
#             "price": "107.077",
#             "pl": "0.0000",
#             "financing": "0.0000",
#             "commission": "0.0000",
#             "accountBalance": "3123369.6517",
#             "gainQuoteHomeConversionFactor": "1",
#             "lossQuoteHomeConversionFactor": "1",
#             "guaranteedExecutionFee": "0.0000",
#             "halfSpreadCost": "2.0000",
#             "fullVWAP": "107.077",
#             "reason": "MARKET_ORDER",
#             "tradeOpened": {
#                 "price": "107.077",
#                 "tradeID": "23810",
#                 "units": "1000",
#                 "guaranteedExecutionFee": "0.0000",
#                 "halfSpreadCost": "2.0000",
#                 "initialMarginRequired": "4283.0000"
#             },
#             "fullPrice": {
#                 "closeoutBid": "107.066",
#                 "closeoutAsk": "107.084",
#                 "timestamp": "2020-07-10T01:01:23.686445408Z",
#                 "bids": [
#                     {
#                         "price": "107.073",
#                         "liquidity": "250000"
#                     }
#                 ],
#                 "asks": [
#                     {
#                         "price": "107.077",
#                         "liquidity": "250000"
#                     }
#                 ]
#             },
#             "id": "23810",
#             "accountID": "",
#             "userID":,
#             "batchID": "23809",
#             "requestID": "60730354280635712",
#             "time": "2020-07-10T01:01:27.370946549Z"
#         },
#         {
#             "type": "MARKET_ORDER",
#             "instrument": "USD_JPY",
#             "units": "-1000",
#             "timeInForce": "FOK",
#             "positionFill": "REDUCE_ONLY",
#             "reason": "TRADE_CLOSE",
#             "tradeClose": {
#                 "units": "1000",
#                 "tradeID": "23810"
#             },
#             "id": "23811",
#             "accountID": "",
#             "userID":,
#             "batchID": "23811",
#             "requestID": "60730354343580892",
#             "time": "2020-07-10T01:01:42.282680258Z"
#         },
#         {
#             "type": "ORDER_FILL",
#             "orderID": "23811",
#             "instrument": "USD_JPY",
#             "units": "-1000",
#             "requestedUnits": "-1000",
#             "price": "107.062",
#             "pl": "-15.0000",
#             "financing": "0.0000",
#             "commission": "0.0000",
#             "accountBalance": "3123354.6517",
#             "gainQuoteHomeConversionFactor": "1",
#             "lossQuoteHomeConversionFactor": "1",
#             "guaranteedExecutionFee": "0.0000",
#             "halfSpreadCost": "2.0000",
#             "fullVWAP": "107.062",
#             "reason": "MARKET_ORDER_TRADE_CLOSE",
#             "tradesClosed": [
#                 {
#                     "tradeID": "23810",
#                     "units": "-1000",
#                     "realizedPL": "-15.0000",
#                     "financing": "0.0000",
#                     "price": "107.062",
#                     "guaranteedExecutionFee": "0.0000",
#                     "halfSpreadCost": "2.0000"
#                 }
#             ],
#             "fullPrice": {
#                 "closeoutBid": "107.055",
#                 "closeoutAsk": "107.073",
#                 "timestamp": "2020-07-10T01:01:39.103933136Z",
#                 "bids": [
#                     {
#                         "price": "107.062",
#                         "liquidity": "250000"
#                     }
#                 ],
#                 "asks": [
#                     {
#                         "price": "107.066",
#                         "liquidity": "250000"
#                     }
#                 ]
#             },
#             "id": "23812",
#             "accountID": "",
#             "userID":,
#             "batchID": "23811",
#             "requestID": "60730354343580892",
#             "time": "2020-07-10T01:01:42.282680258Z"
#         }
#     ],
#     "lastTransactionID": "23812"
# } ,

決済ログからどの新規注文かを判別する方法

OANDA JAPANのAPIには残念ながら遡る仕様はありません。
以下のような流れであれば新規注文のログを取得することができます。

  1. 決済が確定したログ（type = ORDER_FILL）を取得します。
  2. その取得したログにあるorderIDを取得します。このorderIDは決済注文のログIDになります。
  3. その決済注文のorderIDを用いて、決済注文のログを取得します。
  4. その取得したログにある以下のtradeIDを取得します。
    2が無ければ1を取得という形でも良いと思います。

    1. 成行の場合：tradeClose->tradeID
    2. 指値の場合：tradeID
  5. その決済注文のtradeIDを用いて、新規注文が確定したログ（type = ORDER_FILL）を取得します。
  6. その取得したログにあるorderIDを取得します。このorderIDは新規注文したログのIDになります。
  7. その決済注文のorderIDを用いて、新規注文のログを取得します。

システム例

transactionID = 23812

res = trans.TransactionDetails(accountID=accountID, transactionID=transactionID)
api.request(res)

print(json.dumps(res.response, indent=4), ",")

transactionID = res.response["transaction"]["orderID"]
print(transactionID)

res = trans.TransactionDetails(accountID=accountID, transactionID=transactionID)
api.request(res)

print(json.dumps(res.response, indent=4), ",")


transactionID = res.response["transaction"]["tradeClose"]["tradeID"]
print(transactionID)

res = trans.TransactionDetails(accountID=accountID, transactionID=transactionID)
api.request(res)

print(json.dumps(res.response, indent=4), ",")

transactionID = res.response["transaction"]["orderID"]
print(transactionID)

res = trans.TransactionDetails(accountID=accountID, transactionID=transactionID)
api.request(res)

print(json.dumps(res.response, indent=4), ",")

# {
#     "transaction": {
#         "type": "ORDER_FILL",
#         "orderID": "23811",
#         "instrument": "USD_JPY",
#         "units": "-1000",
#         "requestedUnits": "-1000",
#         "price": "107.062",
#         "pl": "-15.0000",
#         "financing": "0.0000",
#         "commission": "0.0000",
#         "accountBalance": "3123354.6517",
#         "gainQuoteHomeConversionFactor": "1",
#         "lossQuoteHomeConversionFactor": "1",
#         "guaranteedExecutionFee": "0.0000",
#         "halfSpreadCost": "2.0000",
#         "fullVWAP": "107.062",
#         "reason": "MARKET_ORDER_TRADE_CLOSE",
#         "tradesClosed": [
#             {
#                 "tradeID": "23810",
#                 "units": "-1000",
#                 "realizedPL": "-15.0000",
#                 "financing": "0.0000",
#                 "price": "107.062",
#                 "guaranteedExecutionFee": "0.0000",
#                 "halfSpreadCost": "2.0000"
#             }
#         ],
#         "fullPrice": {
#             "closeoutBid": "107.055",
#             "closeoutAsk": "107.073",
#             "timestamp": "2020-07-10T01:01:39.103933136Z",
#             "bids": [
#                 {
#                     "price": "107.062",
#                     "liquidity": "250000"
#                 }
#             ],
#             "asks": [
#                 {
#                     "price": "107.066",
#                     "liquidity": "250000"
#                 }
#             ]
#         },
#         "id": "23812",
#         "accountID": "",
#         "userID": ,
#         "batchID": "23811",
#         "requestID": "60730354343580892",
#         "time": "2020-07-10T01:01:42.282680258Z"
#     },
#     "lastTransactionID": "24596"
# } ,
# 23811
# {
#     "transaction": {
#         "type": "MARKET_ORDER",
#         "instrument": "USD_JPY",
#         "units": "-1000",
#         "timeInForce": "FOK",
#         "positionFill": "REDUCE_ONLY",
#         "reason": "TRADE_CLOSE",
#         "tradeClose": {
#             "units": "1000",
#             "tradeID": "23810"
#         },
#         "id": "23811",
#         "accountID": "",
#         "userID": ,
#         "batchID": "23811",
#         "requestID": "60730354343580892",
#         "time": "2020-07-10T01:01:42.282680258Z"
#     },
#     "lastTransactionID": "24596"
# } ,
# 23810
# {
#     "transaction": {
#         "type": "ORDER_FILL",
#         "orderID": "23809",
#         "instrument": "USD_JPY",
#         "units": "1000",
#         "requestedUnits": "1000",
#         "price": "107.077",
#         "pl": "0.0000",
#         "financing": "0.0000",
#         "commission": "0.0000",
#         "accountBalance": "3123369.6517",
#         "gainQuoteHomeConversionFactor": "1",
#         "lossQuoteHomeConversionFactor": "1",
#         "guaranteedExecutionFee": "0.0000",
#         "halfSpreadCost": "2.0000",
#         "fullVWAP": "107.077",
#         "reason": "MARKET_ORDER",
#         "tradeOpened": {
#             "price": "107.077",
#             "tradeID": "23810",
#             "units": "1000",
#             "guaranteedExecutionFee": "0.0000",
#             "halfSpreadCost": "2.0000",
#             "initialMarginRequired": "4283.0000"
#         },
#         "fullPrice": {
#             "closeoutBid": "107.066",
#             "closeoutAsk": "107.084",
#             "timestamp": "2020-07-10T01:01:23.686445408Z",
#             "bids": [
#                 {
#                     "price": "107.073",
#                     "liquidity": "250000"
#                 }
#             ],
#             "asks": [
#                 {
#                     "price": "107.077",
#                     "liquidity": "250000"
#                 }
#             ]
#         },
#         "id": "23810",
#         "accountID": "",
#         "userID": ,
#         "batchID": "23809",
#         "requestID": "60730354280635712",
#         "time": "2020-07-10T01:01:27.370946549Z"
#     },
#     "lastTransactionID": "24596"
# } ,
# 23809
# {
#     "transaction": {
#         "type": "MARKET_ORDER",
#         "instrument": "USD_JPY",
#         "units": "1000",
#         "timeInForce": "FOK",
#         "positionFill": "DEFAULT",
#         "reason": "CLIENT_ORDER",
#         "id": "23809",
#         "accountID": "",
#         "userID": ,
#         "batchID": "23809",
#         "requestID": "60730354280635712",
#         "time": "2020-07-10T01:01:27.370946549Z"
#     },
#     "lastTransactionID": "24596"
# } ,

 

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