Streaming OANDA with python and ZeroMQ

I have been looking at its REST API for OANDA, for potential use with an FX trading system I developed.

The API has two streaming endpoints, one for prices and one for account events such as trades opening and stuff like that.  

Asynchronous IO is always a bit fiddly, and I wanted separate processes for incoming tick data and events. This enables them to be managed separately, and generally makes handling disconnects or other errors a bit cleaner.

If you try and mash your various feeds, trade identification, trade management, logging, accounting etc all into one big process it gets a bit messy and convoluted. Sometimes you don’t have a choice due to the API available, but thankfully in this case it’s easy to separate everything out.

Details

I use the requests library for streaming from OANDA, and ZeroMQ endpoints with the pub/sub pattern for passing data to the client(s).

Conceptually, it looks like this:

The prices feed connects to the OANDA prices endpoint, and publishes what it receives to a ZeroMQ socket. Likewise, the events feed does the same, publishing to another zmq socket.

The client connects to the respective sockets and subscribes to its feeds, and can do whatever is required with the data it receives. You are not limited to one client subscriber either.

I use JSON as the serialization format, as it arrives from OANDA. No real point in deserializing JSON to an object, then immediately serializing that with pickle or something for transport with zeromq. Your needs may differ of course.  

All up, a pretty painless process.

Code

The single file of code (here) is the prices feed, events feed and client that just prints out what it receives. Just run it separately three times, passing either prices, events or client as a single argument. You will also need to fill in your OANDA details as well.

I use a 10 second timeout for the prices feed, and a 20 second timeout for the events feed, as per OANDAs recommendations. The feed streams will print heartbeats but not publish them to clients.

Thanks for reading and let me know how you go.

A quick look at FX realized vol

Much has been said about the decline in volatility. At the moment I am very active in FX spot trading and as a generalization do better the more vol there is.

 I wanted to see how things stood on the crosses I am most active in, namely EUR/USD, GBP/USD and USD/JPY.

 I took hourly data from FxPro (not my broker, nor an endorsement), calculated volatility as the high minus the low, and summed the total for each day. You can think of it as how many pips were on offer if one could correctly call the high and low of each hour of each day.

 All up there is about 90 days of data, so it covers roughly the last four months. I also took the average of the last five days which are the red X’s on the box plots. We are here.

As you can see, vol is below average. It was quiet week overall, bank holidays in the US and parts of Europe, and only a moderate amount of data coming out. Next week should be a bit busier I think.

Since I had all the data I also took at look at the average hourly RV per day.

I don’t want to read too much into this chart but things have been quiet. I read somewhere else fx vol is approaching levels of 2007 which was a very quiet time indeed.

Some R code is up here, data is here.