def test_parse_realtime_data_single_quote(self):
raw_data = {"Symbol": "ABC", "LastTradePriceOnly": 123.45}
test_date = dates.get_database_timestamp().date()
quotes = stocks._parse_realtime_data(raw_data, TEST_DB_NAME)
self._check_quotes(quotes, "ABC", test_date, 123.45)
self._check_database_quotes("ABC", 1, test_date, 123.45)
def test_fetch_realtime_multiple_quotes(self):
test_date = dates.get_database_timestamp().date()
quotes = stocks.fetch_realtime(["SPX", "VIX", "AAPL"], TEST_DB_NAME)
self.assertGreater(quotes["SPX"].close, 0)
self.assertGreater(quotes["VIX"].close, 0)
self.assertGreater(quotes["AAPL"].close, 0)
self._check_database_quotes("SPX", 1, test_date, None)
self._check_database_quotes("VIX", 1, test_date, None)
self._check_database_quotes("AAPL", 1, test_date, None)
def get_db_date():
"""Get date from request parameters"""
date = request.args.get("date", None, type=str)
current_db_date = dates.get_database_timestamp().date()
if date is not None:
try:
date = datetime.strptime(date, "%Y-%m-%d").date()
date = min(date, current_db_date)
except ValueError:
date = current_db_date
return date
def test_parse_realtime_data(self):
test_data = """<div class="component">
<div class="left">
<a name="VX"></a>
<h3>VX - CBOE S&P 500 Volatility Index (VIX) Futures</h3>
</div>
<div class="table-wrapper">
<table class="table oddeven padvertical padhorizontal inner-cellborders">
<tbody>
<tr>
<td><a href="ssfquote.aspx?ticker=VIX/F6" title="VIX/F6">VIX/F6</a></td>
<td style="text-align:right"><span>01/20/2016</span>
<td style="text-align:right"><span>24.15</span></td>
<td style="text-align:right"><span data-numericcolor="-0.575">-0.575</span></td>
<td style="text-align:right"><span>25.30</span></td>
<td style="text-align:right"><span>24.05</span></td>
<td style="text-align:right"><span>24.72</span></td>
<td style="text-align:right"><span>3344</span></td>
<td style="text-align:right"><span>72413</span></td>
</tr>
<tr>
<td><a href="ssfquote.aspx?ticker=04VX/F6" title="04VX/F6">04VX/F6</a></td>
<td style="text-align:right"><span>01/27/2016</span>
<td style="text-align:right"><span>23.875</span></td>
<td style="text-align:right"><span data-numericcolor="0.0">0.0</span></td>
<td style="text-align:right"><span>0.0</span></td>
<td style="text-align:right"><span>0.0</span></td>
<td style="text-align:right"><span>23.88</span></td>
<td style="text-align:right"><span>0</span></td>
<td style="text-align:right"><span>78</span></td>
</tr>
<tr>
<td><a href="ssfquote.aspx?ticker=VIX/G6" title="VIX/G6">VIX/G6</a></td>
<td style="text-align:right"><span>02/17/2016</span>
<td style="text-align:right"><span>22.56</span></td>
<td style="text-align:right"><span data-numericcolor="-0.565">-0.565</span></td>
<td style="text-align:right"><span>23.47</span></td>
<td style="text-align:right"><span>22.56</span></td>
<td style="text-align:right"><span>23.13</span></td>
<td style="text-align:right"><span>2860</span></td>
<td style="text-align:right"><span>112614</span></td>
</tr>
</tbody>
</table>
</div>
</div>
"""
test_date = dates.get_database_timestamp().date()
quotes = futures._parse_realtime_data('VX', test_data, TEST_DB_NAME)
self._check_quotes(quotes, 'VX', test_date)
self._check_database_quotes('VX', 2, test_date, 2)
def _parse_realtime_data(symbol, data, db_name=None):
"""Parses realtime (delayed) futures quotes from CBOE website and saves
them to database.
Args:
symbol (str): Symbol.
data (str): Raw quotes for the symbol.
db_name (str): Optional database name.
Returns:
list: List of FutureQuote objects.
"""
assert symbol == 'VX'
logger = logging.getLogger(__name__)
timestamp = dates.get_database_timestamp()
date = timestamp.date()
time = timestamp.time()
base_symbol = _future_to_base_symbol(symbol)
quotes = []
with database.connect_db(db_name) as db:
try:
soup = BeautifulSoup(data, 'html5lib')
table = soup.find('a', {'name': symbol}).parent.parent.find('table')
for row in table.find_all('tr'):
cols = row.find_all('td')
if len(cols) != 9:
continue
row_symbol = cols[0].text.strip().split('/')[0]
if row_symbol != base_symbol:
continue
expiration = datetime.strptime(
cols[1].text.strip(), '%m/%d/%Y').date()
last = utils.to_float(cols[2].text.strip())
if last is None:
continue
quote = FutureQuote(symbol, expiration, date, time, last)
save_quote(db, quote)
quotes.append(quote)
except AttributeError:
logger.error('Cannot parse futures quotes from CBOE for %s ...',
symbol)
return quotes
def test_fetch_realtime_vx(self):
test_date = dates.get_database_timestamp().date()
quotes = futures.fetch_realtime('VX', TEST_DB_NAME)
self._check_quotes(quotes, 'VX', test_date)
self._check_database_quotes('VX', len(quotes), test_date, len(quotes))
def test_fetch_realtime_non_existing_quote(self):
test_date = dates.get_database_timestamp().date()
quotes = stocks.fetch_realtime([NON_EXISTING_SYMBOL], TEST_DB_NAME)
self.assertIsNone(quotes[NON_EXISTING_SYMBOL].close)
self._check_database_quotes(NON_EXISTING_SYMBOL, 0, test_date, None)
def test_fetch_realtime_single_quote(self):
test_date = dates.get_database_timestamp().date()
quotes = stocks.fetch_realtime(["SPX"], TEST_DB_NAME)
self._check_quotes(quotes, "SPX", test_date, None)
self._check_database_quotes("SPX", 1, test_date, None)
def test_fetch_realtime_non_existing(self):
test_date = dates.get_database_timestamp().date()
quotes = options.fetch_realtime(NON_EXISTING_SYMBOL, TEST_DB_NAME)
self.assertEquals(len(quotes), 0)
self._check_database_quotes(NON_EXISTING_SYMBOL, 0, test_date, 0, False, None)
def test_get_database_timestamp_at_open(self):
now = datetime(2015, 12, 8, 9, 30)
self.assertEqual(
dates.get_database_timestamp(now), datetime(2015, 12, 8, 9, 30))
def test_get_database_timestamp_before_open(self):
now = datetime(2015, 12, 8, 9, 29)
self.assertEqual(
dates.get_database_timestamp(now), datetime(2015, 12, 8, 9, 29))
def test_parse_data_not_eod(self):
test_date = dates.get_database_timestamp().date()
quotes = options._parse_data("VIX", self.TEST_DATA, False, TEST_DB_NAME)
self._check_quotes(quotes, "VIX", test_date, False, 25.22)
self._check_database_quotes("VIX", 10, test_date, 10, False, 25.22)
def test_query_historical_non_existing(self):
test_date = dates.get_database_timestamp().date()
quotes = options.query_historical(NON_EXISTING_SYMBOL, test_date, TEST_DB_NAME)
self.assertEqual(len(quotes), 0)
def test_query_historical_existing(self):
test_date = dates.get_database_timestamp().date()
options.fetch_historical("VIX", TEST_DB_NAME)
quotes = options.query_historical("VIX", test_date, TEST_DB_NAME)
self._check_quotes(quotes, "VIX", test_date, True, None)
def test_fetch_historical_non_existing(self):
test_date = dates.get_database_timestamp().date()
lines = options.fetch_historical(NON_EXISTING_SYMBOL, TEST_DB_NAME)
self.assertEquals(lines, 0)
self._check_database_quotes(NON_EXISTING_SYMBOL, 0, test_date, 0, True, None)
def test_fetch_historical_existing(self):
test_date = dates.get_database_timestamp().date()
lines = options.fetch_historical("VIX", TEST_DB_NAME)
self.assertGreater(lines, 0)
self._check_database_quotes("VIX", lines, test_date, lines, True, None)
def _parse_data(symbol, data, is_eod, db_name=None, timestamp=None):
"""Parses realtime (delayed) options quotes from CBOE and saves to
database.
Args:
symbol (str): Symbol.
data (str): Raw quotes for the symbol.
is_eod (bool): If True: mark received quotes as EOD (time=None),
if False: store actual time.
db_name (str): Optional database name.
timestamp (datetime): Optional datetime for the data.
Returns:
list: List of OptionQuote objects.
"""
logger = logging.getLogger(__name__)
if timestamp is None:
timestamp = dates.get_database_timestamp()
date = timestamp.date()
time = None if is_eod else timestamp.time()
quotes = []
stock_price = None
expirations = dates.get_expirations(symbol)
with database.connect_db(db_name) as db:
for line in data.splitlines():
values = line.strip().split(',')
if (len(values) == 4) and (stock_price is None):
stock_price = utils.to_float(values[1])
continue
if len(values) != 15:
continue
if values[0] == 'Calls' or values[0].find('-') >= 0:
continue
code_values = values[0].split(' ')
if len(code_values) != 4:
continue
position = code_values[3].find(code_values[0])
if code_values[3][1:position] in SKIP_SYMBOLS:
continue
expiration_year = 2000 + int(code_values[0])
expiration_month = MONTHS[code_values[1]]
expiration_day = int(code_values[3][position + 2:position + 4])
expiration = datetime(expiration_year, expiration_month,
expiration_day).date()
if expiration not in expirations:
continue
strike = utils.to_float(code_values[2])
for type_, bid, ask in [
(consts.CALL, values[3], values[4]),
(consts.PUT, values[10], values[11]),
]:
bid = utils.to_float(bid)
ask = utils.to_float(ask)
quote = OptionQuote(
symbol, type_, expiration, strike, date, time,
bid, ask, stock_price, None, None)
iv_bid = math.calc_iv(quote, bid) * 100
iv_ask = math.calc_iv(quote, ask) * 100
quote = OptionQuote(
symbol, type_, expiration, strike, date, time,
bid, ask, stock_price, iv_bid, iv_ask)
save_quote(db, quote)
quotes.append(quote)
logger.info('... quotes parsed: %d', len(quotes))
return quotes
def test_get_database_timestamp_before_close(self):
now = datetime(2015, 12, 8, 15, 59)
self.assertEqual(
dates.get_database_timestamp(now), datetime(2015, 12, 8, 15, 59))
def test_get_database_timestamp_after_close(self):
now = datetime(2015, 12, 8, 16, 1)
self.assertEqual(
dates.get_database_timestamp(now), datetime(2015, 12, 9, 16, 1))
def test_fetch_realtime_existing(self):
test_date = dates.get_database_timestamp().date()
quotes = options.fetch_realtime("VIX", TEST_DB_NAME)
self._check_quotes(quotes, "VIX", test_date, False, None)
self._check_database_quotes("VIX", len(quotes), test_date, len(quotes), False, None)
