def _get_generic_data_for_contract(
self,
ibcontract: ibContract,
log: logger = None,
bar_freq: Frequency = DAILY_PRICE_FREQ,
whatToShow: str = "TRADES") -> pd.DataFrame:
"""
Get historical daily data
:param contract_object_with_ib_data: contract where instrument has ib metadata
:param freq: str; one of D, H, 5M, M, 10S, S
:return: futuresContractPriceData
"""
if log is None:
log = self.log
try:
barSizeSetting, durationStr = _get_barsize_and_duration_from_frequency(
bar_freq)
except Exception as exception:
log.warn(exception)
return missing_data
price_data_raw = self._ib_get_historical_data_of_duration_and_barSize(
ibcontract,
durationStr=durationStr,
barSizeSetting=barSizeSetting,
whatToShow=whatToShow,
log=log,
)
price_data_as_df = self._raw_ib_data_to_df(
price_data_raw=price_data_raw, log=log)
return price_data_as_df
def ib_resolve_unique_contract(self,
ibcontract_pattern,
log: logger = None):
"""
Returns the 'resolved' IB contract based on a pattern. We expect a unique contract.
This is used for FX only, since for futures things are potentially funkier
:param ibcontract_pattern: ibContract
:param log: log object
:return: ibContract or missing_contract
"""
if log is None:
log = self.log
contract_chain = self.ib_get_contract_chain(ibcontract_pattern)
if len(contract_chain) > 1:
log.warn(
"Got multiple contracts for %s when only expected a single contract: Check contract date"
% str(ibcontract_pattern))
return missing_contract
if len(contract_chain) == 0:
log.warn("Failed to resolve contract %s" % str(ibcontract_pattern))
return missing_contract
resolved_contract = contract_chain[0]
return resolved_contract
def _raw_ib_data_to_df(
self, price_data_raw: pd.DataFrame, log: logger
) -> pd.DataFrame:
if price_data_raw is None:
log.warn("No price data from IB")
return missing_data
price_data_as_df = price_data_raw[["open", "high", "low", "close", "volume"]]
price_data_as_df.columns = ["OPEN", "HIGH", "LOW", "FINAL", "VOLUME"]
date_index = [
self._ib_timestamp_to_datetime(price_row)
for price_row in price_data_raw["date"]
]
price_data_as_df.index = date_index
return price_data_as_df