class DataVendor(object):
"""Abstract class for various data source loaders.
"""
def __init__(self):
self.config = ConfigManager().get_instance()
# self.config = None
return
@abc.abstractmethod
def load_ticker(self, market_data_request):
"""Retrieves market data from external data source
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
DataFrame
"""
return
# to be implemented by subclasses
@abc.abstractmethod
def kill_session(self):
return
def construct_vendor_market_data_request(self, market_data_request):
"""Creates a MarketDataRequest with the vendor tickers
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
MarketDataRequest
"""
symbols_vendor = self.translate_to_vendor_ticker(market_data_request)
fields_vendor = self.translate_to_vendor_field(market_data_request)
market_data_request_vendor = MarketDataRequest(
md_request=market_data_request)
market_data_request_vendor.tickers = symbols_vendor
market_data_request_vendor.fields = fields_vendor
return market_data_request_vendor
def translate_to_vendor_field(self, market_data_request):
"""Converts all the fields from findatapy fields to vendor fields
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if market_data_request.vendor_fields is not None:
return market_data_request.vendor_fields
source = market_data_request.data_source
fields_list = market_data_request.fields
if isinstance(fields_list, str):
fields_list = [fields_list]
if self.config is None: return fields_list
fields_converted = []
for field in fields_list:
try:
f = self.config.convert_library_to_vendor_field(source, field)
except:
logger = LoggerManager().getLogger(__name__)
logger.warn(
"Couldn't find field conversion, did you type it correctly: "
+ field)
return
fields_converted.append(f)
return fields_converted
# Translate findatapy ticker to vendor ticker
def translate_to_vendor_ticker(self, market_data_request):
"""Converts all the tickers from findatapy tickers to vendor tickers
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if market_data_request.vendor_tickers is not None:
return market_data_request.vendor_tickers
category = market_data_request.category
source = market_data_request.data_source
freq = market_data_request.freq
cut = market_data_request.cut
tickers_list = market_data_request.tickers
if isinstance(tickers_list, str):
tickers_list = [tickers_list]
if self.config is None: return tickers_list
tickers_list_converted = []
for ticker in tickers_list:
try:
t = self.config.convert_library_to_vendor_ticker(
category, source, freq, cut, ticker)
except:
logger = LoggerManager().getLogger(__name__)
logger.error(
"Couldn't find ticker conversion, did you type it correctly: "
+ ticker)
return
tickers_list_converted.append(t)
return tickers_list_converted
def translate_from_vendor_field(self, vendor_fields_list,
market_data_request):
"""Converts all the fields from vendors fields to findatapy fields
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
data_source = market_data_request.data_source
if isinstance(vendor_fields_list, str):
vendor_fields_list = [vendor_fields_list]
# if self.config is None: return vendor_fields_list
fields_converted = []
# If we haven't set the configuration files for automatic configuration
if market_data_request.vendor_fields is not None:
dictionary = dict(
zip(
self.get_lower_case_list(
market_data_request.vendor_fields),
market_data_request.fields))
for vendor_field in vendor_fields_list:
try:
fields_converted.append(dictionary[vendor_field.lower()])
except:
fields_converted.append(vendor_field)
# Otherwise used stored configuration files (every field needs to be defined!)
else:
for vendor_field in vendor_fields_list:
try:
v = self.config.convert_vendor_to_library_field(
data_source, vendor_field)
except:
logger = LoggerManager().getLogger(__name__)
logger.error(
"Couldn't find field conversion, did you type it correctly: "
+ vendor_field + ", using 'close' as default.")
v = 'close'
fields_converted.append(v)
return fields_converted
# Translate findatapy ticker to vendor ticker
def translate_from_vendor_ticker(self, vendor_tickers_list, md_request):
"""Converts all the fields from vendor tickers to findatapy tickers
Parameters
----------
md_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if md_request.vendor_tickers is not None:
dictionary = dict(
zip(self.get_lower_case_list(md_request.vendor_tickers),
md_request.tickers))
tickers_stuff = []
for vendor_ticker in vendor_tickers_list:
tickers_stuff.append(dictionary[vendor_ticker.lower()])
return tickers_stuff # [item for sublist in tickers_stuff for item in sublist]
# tickers_list = md_request.tickers
if isinstance(vendor_tickers_list, str):
vendor_tickers_list = [vendor_tickers_list]
if self.config is None: return vendor_tickers_list
tickers_converted = []
for vendor_ticker in vendor_tickers_list:
try:
v = self.config.convert_vendor_to_library_ticker(
md_request.category, md_request.data_source,
md_request.freq, md_request.cut, vendor_ticker)
except:
logger = LoggerManager().getLogger(__name__)
logger.error(
"Couldn't find ticker conversion, did you type it correctly: "
+ vendor_ticker)
return
tickers_converted.append(v)
return tickers_converted
def get_lower_case_list(self, lst):
return [k.lower() for k in lst]
class DataVendor(object):
def __init__(self):
self.config = ConfigManager()
# self.config = None
return
@abc.abstractmethod
def load_ticker(self, market_data_request):
"""
load_ticker - Retrieves market data from external data source
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
DataFrame
"""
return
# to be implemented by subclasses
@abc.abstractmethod
def kill_session(self):
return
def construct_vendor_market_data_request(self, market_data_request):
"""
construct_vendor_market_data_request - creates a MarketDataRequest with the vendor tickers
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
MarketDataRequest
"""
symbols_vendor = self.translate_to_vendor_ticker(market_data_request)
fields_vendor = self.translate_to_vendor_field(market_data_request)
market_data_request_vendor = copy.copy(market_data_request)
market_data_request_vendor.tickers = symbols_vendor
market_data_request_vendor.fields = fields_vendor
return market_data_request_vendor
def translate_to_vendor_field(self, market_data_request):
"""
translate_to_vendor_field - Converts all the fields from findatapy fields to vendor fields
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if market_data_request.vendor_fields is not None:
return market_data_request.vendor_fields
source = market_data_request.data_source
fields_list = market_data_request.fields
if isinstance(fields_list, str):
fields_list = [fields_list]
if self.config is None: return fields_list
fields_converted = []
for field in fields_list:
fields_converted.append(
self.config.convert_library_to_vendor_field(source, field))
return fields_converted
# translate findatapy ticker to vendor ticker
def translate_to_vendor_ticker(self, market_data_request):
"""
translate_to_vendor_tickers - Converts all the tickers from findatapy tickers to vendor tickers
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if market_data_request.vendor_tickers is not None:
return market_data_request.vendor_tickers
category = market_data_request.category
source = market_data_request.data_source
freq = market_data_request.freq
cut = market_data_request.cut
tickers_list = market_data_request.tickers
if isinstance(tickers_list, str):
tickers_list = [tickers_list]
if self.config is None: return tickers_list
tickers_list_converted = []
for ticker in tickers_list:
tickers_list_converted.append(
self.config.convert_library_to_vendor_ticker(
category, source, freq, cut, ticker))
return tickers_list_converted
def translate_from_vendor_field(self, vendor_fields_list,
market_data_request):
"""
translate_from_vendor_field - Converts all the fields from vendors fields to findatapy fields
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
data_source = market_data_request.data_source
if isinstance(vendor_fields_list, str):
vendor_fields_list = [vendor_fields_list]
# if self.config is None: return vendor_fields_list
fields_converted = []
# if we haven't set the configuration files for automatic configuration
if market_data_request.vendor_fields is not None:
dictionary = dict(
zip(market_data_request.vendor_fields,
market_data_request.fields))
for vendor_field in vendor_fields_list:
try:
fields_converted.append(dictionary[vendor_field])
except:
fields_converted.append(vendor_field)
# otherwise used stored configuration files (every field needs to be defined!)
else:
for vendor_field in vendor_fields_list:
fields_converted.append(
self.config.convert_vendor_to_library_field(
data_source, vendor_field))
return fields_converted
# translate findatapy ticker to vendor ticker
def translate_from_vendor_ticker(self, vendor_tickers_list,
market_data_request):
"""
translate_from_vendor_ticker - Converts all the fields from vendor tickers to findatapy tickers
Parameters
----------
market_data_request : MarketDataRequest
contains all the various parameters detailing time series start and finish, tickers etc
Returns
-------
List of Strings
"""
if market_data_request.vendor_tickers is not None:
dictionary = dict(
zip(market_data_request.vendor_tickers,
market_data_request.tickers))
tickers_stuff = []
for vendor_ticker in vendor_tickers_list:
tickers_stuff.append(dictionary[vendor_ticker])
return tickers_stuff # [item for sublist in tickers_stuff for item in sublist]
data_source = market_data_request.data_source
# tickers_list = market_data_request.tickers
if isinstance(vendor_tickers_list, str):
vendor_tickers_list = [vendor_tickers_list]
if self.config is None: return vendor_tickers_list
tickers_converted = []
for vendor_ticker in vendor_tickers_list:
tickers_converted.append(
self.config.convert_vendor_to_library_ticker(
data_source, vendor_ticker))
return tickers_converted
