class InstrumentService(object):
logger = logging.getLogger('InstrumentService')
def __init__(self):
self.__instrument_dao = InstrumentDAO()
self.__market_data_dao = MarketDataDAO()
def market_data_model_to_serialized(self, market_data_model):
market_data_serialized = {}
market_data_serialized['id'] = market_data_model.id
market_data_serialized['value'] = market_data_model.value
market_data_serialized['data_type'] = market_data_model.type
data_date = market_data_model.date
market_data_serialized['date'] = datetime(data_date.year, data_date.month, data_date.day)
return market_data_serialized
def instrument_model_to_serialized(self, instrument_model):
# build the serialized object
instrument_serialized = {}
instrument_serialized['id'] = instrument_model.id
instrument_serialized['ticker'] = instrument_model.ticker
instrument_serialized['name'] = instrument_model.name
instrument_serialized['exchange'] = instrument_model.exchange
instrument_serialized['rolling_month'] = instrument_model.rolling_month
instrument_serialized['currency'] = instrument_model.currency
instrument_serialized['point_value'] = instrument_model.point_value
instrument_serialized['transactions_fees'] = instrument_model.transactions_fees
instrument_serialized['asset_class'] = instrument_model.asset_class
instrument_serialized['instrument_type'] = instrument_model.type
instrument_serialized['datas'] = []
return instrument_serialized
def get_date(self, a_date):
# return a date from a datetime if a_date is instance of datetime
if isinstance(a_date, datetime):
return a_date.date()
elif isinstance(a_date, date):
return a_date
# return a date from a XML RPC DateTime else
else:
return datetime.strptime(a_date.value, '%Y%m%dT%H:%M:%S').date()
def get_by_ticker(self, ticker, first_date, last_date):
'''
return an instrument serialized for a given ticker
@param ticker: the ticker
@param first_date: the first time series date
@param last_date: the last time series date
@return: the instrument serialized
'''
try:
self.logger.info('Asking data for %s between %s and %s'%(ticker, first_date, last_date))
# get the model
session = Session()
model = self.__instrument_dao.get_by_ticker(session, ticker)
# convert into serialized object
if model:
instrument = self.instrument_model_to_serialized(model)
# fill data
first_date_converted = self.get_date(first_date)
last_date_converted = self.get_date(last_date)
datas = self.__market_data_dao.get_data_range(session, model, first_date_converted, last_date_converted)
for market_data in datas:
self.logger.debug('Appending data %s at %s for %s'%(market_data.type,market_data.date,ticker))
serialized = self.market_data_model_to_serialized(market_data)
instrument['datas'].append(serialized)
except DataError, e:
self.logger.error(e.message)
raise ServerError(e.message)
finally:
file_name = data_repository + '/FuturesInfo.txt')
# dowload time series zip file
_download_zip(url='http://www.tradingblox.com/Data/DataOnly.zip',
file_name = data_repository + '/DataOnly.zip')
# unzip the time series zip file
_unzip_file(file_name = data_repository + '/DataOnly.zip')
# read the dictionary file and persist instrument field into database
content = csv.reader(open(data_repository + '/FuturesInfo.txt', 'r'))
for row in content:
# load instrument from database if none then no treatment
instrument = instrument_dao.get_by_ticker(session, row[0])
if instrument:
logger.info('Filling %s'%instrument.name)
# the exchange in caps
instrument.exchange = row[4].upper()
# the rolling month chain in caps
instrument.rolling_month = row[5].upper()
# the currency in caps
instrument.currency = row[7].upper()
# the point size manage case where number are given with coma (ex: 1,000.00)
instrument.point_value = float(row[8].replace(',',''))
# type
instrument.type = InstrumentType.FUTURE
# persit and fill instrument model
instrument_dao.save(session, instrument)
logger = logging.getLogger('InstrumentCreatorScript')
if __name__ == "__main__":
logger.info('Starting instrument creation ...')
session = Session()
Base.metadata.create_all()
instrument_dao = InstrumentDAO()
try:
ad = instrument_dao.get_by_ticker(session, 'AD')
if not ad:
ad = Instrument()
ad.ticker = 'AD'
ad.name = 'Australian Dollar'
ad.asset_class = 'Currencies'
ad.transactions_fees = .00005
instrument_dao.save(session, ad)
bo = instrument_dao.get_by_ticker(session, 'BO')
if not bo:
bo = Instrument()
bo.ticker = 'BO'
bo.name = 'Soybean Oil'
bo.asset_class = 'Grains'
bo.transactions_fees = .015
