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https://github.com/parrondo/mql5-json-api

MQL5-JSON-API server for trading community
https://github.com/parrondo/mql5-json-api

backtrader json-api json-server metaquotes metatrader mql5 mql5-api trading zeromq

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MQL5-JSON-API server for trading community

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README 

        
# Metatrader MQL5 - JSON - API



### Development state: first stable release



Tested on Windows 10.



Working in testing mode on Windows 10.



Still under development.



## Table of Contents

* [About the Project](#about-the-project)

* [Installation](#installation)

* [Documentation](#documentation)

* [Usage](#usage)

* [Live data and streaming events](#live-data-and-streaming-events)

* [Error handling](#error-handling)

* [License](#license)



## About the Project



The initial project was a forked from [Metaquotes MQL5 - JSON - API](https://github.com/khramkov/MQL5-JSON-API.git) (all credit to Khramkov efforts, thank you!), but the actual code and its compatibility is far enought to start a new project.



This project is a server for the Metatrader trading community. It is based on ZeroMQ sockets and uses JSON format to communicate. We usually use it with Python clients, but you can use it with any programming language that has [ZeroMQ binding](http://zeromq.org/bindings:_start).



Backtrader Python client is located here: [Python Metatrader - Backtrader - API ](https://github.com/parrondo/metatrader-backtrader-api)



In development:

* Devitation

* Stop limit orders



## Installation



1. Install ZeroMQ for MQL5 [https://github.com/dingmaotu/mql-zmq](https://github.com/dingmaotu/mql-zmq)

2. Put `include/JsonAPI` from this repo to your MetaEditor `include` folder.

3. Put `experts/JsonAPI.mq5` from this repo to your MetaEditor `experts` folder.

4. Compile JsonAPI.mq5 

5. Check if Metatrader 5 automatic trading is allowed.

6. Attach the script to a chart in Metatrader 5.

7. Allow DLL import in dialog window.

8. Check if the ports are free to use. (default:`15555`,`15556`, `15557`,`15558`)



## Documentation



The script uses four ZeroMQ sockets:



1. `System socket` - receives requests from client and replies 'OK'

2. `Data socket` - pushes data to client depending on the request via System socket.

3. `Live socket` - automatically pushes last candle when it closes.

4. `Streaming socket` - automatically pushes last transaction info every time it happens.



The idea is to send requests via `System socket` and receive results/errors via `Data socket`. Event handlers should be created for `Live socket` and `Streaming socket` because the server sends data to theese sockets automatically. See examples in [Live data and streaming events](#live-data-and-streaming-events) section.



`System socket` request uses default JSON dictionary:



```

{

	"action": null,

	"actionType": null,

	"symbol": null,

	"chartTF": null,

	"fromDate": null,

	"toDate": null,

	"id": null,

	"magic": null,

	"volume": null,

	"price": null,

	"stoploss": null,

	"takeprofit": null,

	"expiration": null,

	"deviation": null,

	"comment": null

}

```

Check out the available combinations of `action` and `actionType`:



action     | actionType           | Description                |

-----------|----------------------|----------------------------|

ACCOUNT    | null                 | Get account settings       |

BALANCE    | null                 | Get current balance        |

POSITIONS  | null                 | Get current open positions |

ORDERS     | null                 | Get current open orders    |

HISTORY    | DATA                 | Get data history           |

HISTORY    | TRADES               | Get trades history         |

TRADE      | ORDER_TYPE_BUY       | Buy market                 |

TRADE      | ORDER_TYPE_SELL      | Sell market                |

TRADE      | ORDER_TYPE_BUY_LIMIT | Buy limit                  |

TRADE      | ORDER_TYPE_SELL_LIMIT| Sell limit                 |

TRADE      | ORDER_TYPE_BUY_STOP  | Buy stop                   |

TRADE      | ORDER_TYPE_SELL_STOP | Sell stop                  |

TRADE      | POSITION_MODIFY      | Position modify            |

TRADE      | POSITION_PARTIAL     | Position close partial     |

TRADE      | POSITION_CLOSE_ID    | Position close by id       |

TRADE      | POSITION_CLOSE_SYMBOL| Positions close by symbol  |

TRADE      | ORDER_MODIFY         | Order modify               |

TRADE      | ORDER_CANCEL         | Order cancel               |



Python 3 API class example:



``` python

import zmq



class MTraderAPI:

    def __init__(self, host=None):

        self.HOST = host or 'localhost'

        self.SYS_PORT = 15555       # REP/REQ port

        self.DATA_PORT = 15556      # PUSH/PULL port

        self.LIVE_PORT = 15557      # PUSH/PULL port

        self.EVENTS_PORT = 15558    # PUSH/PULL port



        # ZeroMQ timeout in seconds

        sys_timeout = 1

        data_timeout = 10



        # initialise ZMQ context

        context = zmq.Context()



        # connect to server sockets

        try:

            self.sys_socket = context.socket(zmq.REQ)

            # set port timeout

            self.sys_socket.RCVTIMEO = sys_timeout * 1000

            self.sys_socket.connect('tcp://{}:{}'.format(self.HOST, self.SYS_PORT))



            self.data_socket = context.socket(zmq.PULL)

            # set port timeout

            self.data_socket.RCVTIMEO = data_timeout * 1000

            self.data_socket.connect('tcp://{}:{}'.format(self.HOST, self.DATA_PORT))

        except zmq.ZMQError:

            raise zmq.ZMQBindError("Binding ports ERROR")



    def _send_request(self, data: dict) -> None:

        """Send request to server via ZeroMQ System socket"""

        try:

            self.sys_socket.send_json(data)

            msg = self.sys_socket.recv_string()

            # terminal received the request

            assert msg == 'OK', 'Something wrong on server side'

        except AssertionError as err:

            raise zmq.NotDone(err)

        except zmq.ZMQError:

            raise zmq.NotDone("Sending request ERROR")



    def _pull_reply(self):

        """Get reply from server via Data socket with timeout"""

        try:

            msg = self.data_socket.recv_json()

        except zmq.ZMQError:

            raise zmq.NotDone('Data socket timeout ERROR')

        return msg



    def live_socket(self, context=None):

        """Connect to socket in a ZMQ context"""

        try:

            context = context or zmq.Context.instance()

            socket = context.socket(zmq.PULL)

            socket.connect('tcp://{}:{}'.format(self.HOST, self.LIVE_PORT))

        except zmq.ZMQError:

            raise zmq.ZMQBindError("Live port connection ERROR")

        return socket



    def streaming_socket(self, context=None):

        """Connect to socket in a ZMQ context"""

        try:

            context = context or zmq.Context.instance()

            socket = context.socket(zmq.PULL)

            socket.connect('tcp://{}:{}'.format(self.HOST, self.EVENTS_PORT))

        except zmq.ZMQError:

            raise zmq.ZMQBindError("Data port connection ERROR")

        return socket



    def construct_and_send(self, **kwargs) -> dict:

        """Construct a request dictionary from default and send it to server"""



        # default dictionary

        request = {

            "action": None,

            "actionType": None,

            "symbol": None,

            "chartTF": None,

            "fromDate": None,

            "toDate": None,

            "id": None,

            "magic": None,

            "volume": None,

            "price": None,

            "stoploss": None,

            "takeprofit": None,

            "expiration": None,

            "deviation": None,

            "comment": None

        }



        # update dict values if exist

        for key, value in kwargs.items():

            if key in request:

                request[key] = value

            else:

                raise KeyError('Unknown key in **kwargs ERROR')



        # send dict to server

        self._send_request(request)



        # return server reply

        return self._pull_reply()

```

## Usage

All examples will be on Python 3. Lets create an instance of MetaTrader API class:



``` python

api = MTraderAPI()

```



First of all we shouldn't configure the script with account parameters because this step is included in the expert parameters.



Get information about the trading account.



``` python

rep = api.construct_and_send(action="ACCOUNT")

print(rep)

```



Get historical data. `fromDate` should be in timestamp format. The data will be loaded to the last candle if `toDate` is `None`. Notice, that the script sends the last unclosed candle too. You should delete it manually.



``` python

rep = api.construct_and_send(action="HISTORY", actionType="DATA", symbol="EURUSD", chartTF="M5", fromDate=1555555555)

print(rep)

```



History data reply example:



```

{'data': [[1560782340, 1.12271, 1.12288, 1.12269, 1.12277, 46.0],[1560782400, 1.12278, 1.12299, 1.12276, 1.12297, 43.0],[1560782460, 1.12296, 1.12302, 1.12293, 1.123, 23.0]]}

```



Buy market order.



``` python

rep = api.construct_and_send(action="TRADE", actionType="ORDER_TYPE_BUY", symbol="EURUSD", "volume"=0.1, "stoploss"=1.1, "takeprofit"=1.3)

print(rep)

```



Sell limit order. Remember to switch SL/TP depending on BUY/SELL, or you will get `invalid stops` error.



- BUY:  	SL < price < TP

- SELL: 	SL > price > TP



``` python

rep = api.construct_and_send(action="TRADE", actionType="ORDER_TYPE_SELL_LIMIT", symbol="EURUSD", "volume"=0.1, "price"=1.2, "stoploss"=1.3, "takeprofit"=1.1)

print(rep)

```

All pending orders are set to `Good till cancel` by default. If you want to set an expiration date, pass the date in timestamp format to `expiration` param.



``` python

rep = api.construct_and_send(action="TRADE", actionType="ORDER_TYPE_SELL_LIMIT", symbol="EURUSD", "volume"=0.1, "price"=1.2, "expiration"=1560782460)

print(rep)

```

## Live data and streaming events



Event handler example for `Live socket` and `Data socket`.

 

``` python

import zmq

import threading



api = MTraderAPI()



def _t_livedata():

    socket = api.live_socket()

    while True:

        try:

            last_candle = socket.recv_json()

        except zmq.ZMQError:

            raise zmq.NotDone("Live data ERROR")

        print(last_candle)



def _t_streaming_events():

    socket = api.streaming_socket()

    while True:

        try:

            trans = socket.recv_json()

            request, reply = trans.values()

        except zmq.ZMQError:

            raise zmq.NotDone("Streaming data ERROR")

        print(request)

        print(reply)



t = threading.Thread(target=_t_livedata, daemon=True)

t.start()



t = threading.Thread(target=_t_streaming_events, daemon=True)

t.start()



while True:

    pass

```



There are only two variants of `Live socket` data. When everything is ok, the script sends data on candle close:



```

{"status":"CONNECTED","data":[1560780120,1.12186,1.12194,1.12186,1.12191,15.00000]}

```



If the terminal has lost connection to the market:



```

{"status":"DISCONNECTED"}

```



When the terminal reconnects to the market, it sends the last closed candle again. So you should update your historical data. Make the `action="HISTORY"` request with `fromDate` equal to your last candle timestamp before disconnect.



`OnTradeTransaction` function is called when a trade transaction event occurs. `Streaming socket` sends `TRADE_TRANSACTION_REQUEST` data every time it happens. Try to create and modify orders in the MQL5 terminal manually and check the expert logging tab for better understanding. Also see [MQL5 docs](https://www.mql5.com/en/docs/event_handlers/ontradetransaction). 



`TRADE_TRANSACTION_REQUEST` request data:



```

{

	'action': 'TRADE_ACTION_DEAL', 

	'order': 501700843, 

	'symbol': 'EURUSD', 

	'volume': 0.1, 

	'price': 1.12181, 

	'stoplimit': 0.0, 

	'sl': 1.1, 

	'tp': 1.13, 

	'deviation': 10, 

	'type': 'ORDER_TYPE_BUY', 

	'type_filling': 'ORDER_FILLING_FOK', 

	'type_time': 'ORDER_TIME_GTC', 

	'expiration': 0, 

	'comment': None, 

	'position': 0, 

	'position_by': 0

}

```

`TRADE_TRANSACTION_REQUEST` result data:



```

{

	'retcode': 10009, 

	'result': 'TRADE_RETCODE_DONE', 

	'deal': 501700843, 

	'order': 501700843, 

	'volume': 0.1, 

	'price': 1.12181, 

	'comment': None, 

	'request_id': 8, 

	'retcode_external': 0

}

```



## Error handling

First of all, when you send a command via `System socket`, you should always receive back `"OK"` message via `System socket`. It means that your command was received and deserialized. 



All data that come through `Data socket` have an `error` param. This param will have `true` key if somethng goes wrong. Also, there will be `description` and `function` params. They will hold information about error and the name of the function with error. 



This information also applies to the trade commands. See [MQL5 docs](https://www.mql5.com/en/docs/constants/errorswarnings/enum_trade_return_codes) for possible server answers.



## License

This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.



This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See `LICENSE` for more information.