def testDownloadAndParseWeekly(self):
with common.TmpDir() as tmpPath:
instrument = "AAPL"
path = os.path.join(tmpPath, "quandl-aapl-weekly-2010.csv")
quandl.download_weekly_bars("WIKI", instrument, 2010, path,
auth_token)
bf = quandlfeed.Feed(frequency=bar.Frequency.WEEK)
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
# Quandl used to report 2010-1-3 as the first week of 2010.
self.assertTrue(bf[instrument][0].getDateTime() in [
datetime.datetime(2010, 1, 3),
datetime.datetime(2010, 1, 10)
])
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 26))
self.assertEquals(bf[instrument][-1].getOpen(), 325.0)
self.assertEquals(bf[instrument][-1].getHigh(), 325.15)
self.assertEquals(bf[instrument][-1].getLow(), 323.17)
self.assertEquals(bf[instrument][-1].getClose(), 323.6)
self.assertEquals(bf[instrument][-1].getVolume(), 7969900)
self.assertEquals(bf[instrument][-1].getPrice(), 323.6)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testDownloadAndParseDailyNoAdjClose(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2013.csv")
quandl.download_daily_bars("GOOG", "NASDAQ_ORCL", 2013, path,
auth_token)
bf = quandlfeed.Feed()
bf.setNoAdjClose()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2013, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 37.94)
self.assertEquals(bf[instrument][-1].getHigh(), 38.34)
self.assertEquals(bf[instrument][-1].getLow(), 37.88)
self.assertEquals(bf[instrument][-1].getClose(), 38.26)
self.assertEquals(bf[instrument][-1].getVolume(), 11747517)
self.assertEquals(bf[instrument][-1].getAdjClose(), None)
self.assertEquals(bf[instrument][-1].getPrice(), 38.26)
def testDownloadAndParseDaily(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path,
auth_token)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getPrice(), 31.3)
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def testDownloadAndParseDaily_UseAdjClose(self):
with common.TmpDir() as tmpPath:
instrument = "ORCL"
path = os.path.join(tmpPath, "quandl-daily-orcl-2010.csv")
quandl.download_daily_bars("WIKI", instrument, 2010, path,
auth_token)
bf = quandlfeed.Feed()
bf.addBarsFromCSV(instrument, path)
# Need to setUseAdjustedValues(True) after loading the file because we
# can't tell in advance if adjusted values are there or not.
bf.setUseAdjustedValues(True)
bf.loadAll()
self.assertEquals(bf[instrument][-1].getDateTime(),
datetime.datetime(2010, 12, 31))
self.assertEquals(bf[instrument][-1].getOpen(), 31.22)
self.assertEquals(bf[instrument][-1].getHigh(), 31.33)
self.assertEquals(bf[instrument][-1].getLow(), 30.93)
self.assertEquals(bf[instrument][-1].getClose(), 31.3)
self.assertEquals(bf[instrument][-1].getVolume(), 11716300)
self.assertEquals(bf[instrument][-1].getPrice(),
bf[instrument][-1].getAdjClose())
# Not checking against a specific value since this is going to change
# as time passes by.
self.assertNotEquals(bf[instrument][-1].getAdjClose(), None)
def build_feed(sourceCode,
tableCodes,
fromYear,
toYear,
storage,
frequency=bar.Frequency.DAY,
timezone=None,
skipErrors=False,
noAdjClose=False,
authToken=None,
columnNames={},
forceDownload=False):
"""Build and load a :class:`engine.barfeed.quandlfeed.Feed` using CSV files downloaded from Quandl.
CSV files are downloaded if they haven't been downloaded before.
:param sourceCode: The dataset source code.
:type sourceCode: string.
:param tableCodes: The dataset table codes.
:type tableCodes: list.
:param fromYear: The first year.
:type fromYear: int.
:param toYear: The last year.
:type toYear: int.
:param storage: The path were the files will be loaded from, or downloaded to.
:type storage: string.
:param frequency: The frequency of the bars. Only **engine.bar.Frequency.DAY** or **engine.bar.Frequency.WEEK**
are supported.
:param timezone: The default timezone to use to localize bars. Check :mod:`engine.marketsession`.
:type timezone: A pytz timezone.
:param skipErrors: True to keep on loading/downloading files in case of errors.
:type skipErrors: boolean.
:param noAdjClose: True if the instruments don't have adjusted close values.
:type noAdjClose: boolean.
:param authToken: Optional. An authentication token needed if you're doing more than 50 calls per day.
:type authToken: string.
:param columnNames: Optional. A dictionary to map column names. Valid key values are:
* datetime
* open
* high
* low
* close
* volume
* adj_close
:type columnNames: dict.
:rtype: :class:`engine.barfeed.quandlfeed.Feed`.
"""
logger = engine.logger.getLogger("quandl")
ret = quandlfeed.Feed(frequency, timezone)
if noAdjClose:
ret.setNoAdjClose()
# Additional column names.
for col, name in columnNames.iteritems():
ret.setColumnName(col, name)
if not os.path.exists(storage):
logger.info("Creating %s directory" % (storage))
os.mkdir(storage)
for year in range(fromYear, toYear + 1):
for tableCode in tableCodes:
fileName = os.path.join(
storage, "%s-%s-%d-quandl.csv" % (sourceCode, tableCode, year))
if not os.path.exists(fileName) or forceDownload:
logger.info("Downloading %s %d to %s" %
(tableCode, year, fileName))
try:
if frequency == bar.Frequency.DAY:
download_daily_bars(sourceCode, tableCode, year,
fileName, authToken)
elif frequency == bar.Frequency.WEEK:
download_weekly_bars(sourceCode, tableCode, year,
fileName, authToken)
else:
raise Exception("Invalid frequency")
except Exception, e:
if skipErrors:
logger.error(str(e))
continue
else:
raise e
ret.addBarsFromCSV(tableCode, fileName)
def testInvalidFrequency(self):
with self.assertRaisesRegexp(Exception, "Invalid frequency.*"):
quandlfeed.Feed(frequency=bar.Frequency.MINUTE)