def get_news():
"""Exercise NewsConn functionality"""
news_conn = iq.NewsConn("pyiqfeed-example-News-Conn")
news_listener = iq.VerboseIQFeedListener("NewsListener")
news_conn.add_listener(news_listener)
with iq.ConnConnector([news_conn]) as connector:
cfg = news_conn.request_news_config()
print("News Configuration:")
print(cfg)
print("")
print("Latest 10 headlines:")
headlines = news_conn.request_news_headlines(sources=[],
symbols=[],
date=None,
limit=10)
print(headlines)
print("")
story_id = headlines[0].story_id
story = news_conn.request_news_story(story_id)
print("Text of story with story id: %s:" % story_id)
print(story.story)
print("")
today = datetime.date.today()
week_ago = today - datetime.timedelta(days=7)
counts = news_conn.request_story_counts(
symbols=["AAPL", "IBM", "TSLA"], bgn_dt=week_ago, end_dt=today)
print("Number of news stories in last week for AAPL, IBM and TSLA:")
print(counts)
print("")
def get_reference_data():
"""Markets, SecTypes, Trade Conditions etc"""
table_conn = iq.TableConn(name="pyiqfeed-Example-reference-data")
table_listener = iq.VerboseIQFeedListener("Reference Data Listener")
table_conn.add_listener(table_listener)
with iq.ConnConnector([table_conn]) as connector:
table_conn.update_tables()
print("Markets:")
print(table_conn.get_markets())
print("")
print("Security Types:")
print(table_conn.get_security_types())
print("")
print("Trade Conditions:")
print(table_conn.get_trade_conditions())
print("")
print("SIC Codes:")
print(table_conn.get_sic_codes())
print("")
print("NAIC Codes:")
print(table_conn.get_naic_codes())
print("")
table_conn.remove_listener(table_listener)
def test_can_pull_data_from_specific_time_period():
results = pkgutil.get_data("tests.data",
"SPY_20190311_to_20190318.txt").decode("utf-8")
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-historical-bars")
hist_listener = iq.VerboseIQFeedListener("History Bar Listener")
hist_conn.add_listener(hist_listener)
with iq.ConnConnector([hist_conn]) as connector:
data = hist_conn.request_bars_in_period(
ticker="SPY",
interval_len=14400,
interval_type="s",
bgn_prd=datetime.datetime(year=2019,
month=3,
day=11,
hour=9,
minute=30),
end_prd=datetime.datetime(year=2019,
month=3,
day=18,
hour=9,
minute=30))
print(data)
assert results == str(data)
def getOptionData(ticker: str):
toreturn = ""
lookup_conn = iq.LookupConn(name="pyiqfeed-Example-Eq-Option-Chain")
lookup_listener = iq.VerboseIQFeedListener("EqOptionListener")
lookup_conn.add_listener(lookup_listener)
with iq.ConnConnector([lookup_conn]) as connector:
# noinspection PyArgumentEqualDefault
e_opt = lookup_conn.request_equity_option_chain(
symbol=ticker,
opt_type='pc',
month_codes="".join(iq.LookupConn.call_month_letters +
iq.LookupConn.put_month_letters),
near_months=None,
include_binary=True,
filt_type=0,
filt_val_1=None,
filt_val_2=None)
#print("Currently trading options for %s" % ticker)
#print(e_opt)
lookup_conn.remove_listener(lookup_listener)
for i in e_opt['c'][:10]:
fundamentals, summary = getQuoteData(i)
toreturn = toreturn + str(summary)
return toreturn
def get_tickdata(ticker: str, max_ticks: int, num_days: int):
"""Show how to read tick-data"""
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-tickdata")
hist_listener = iq.VerboseIQFeedListener("History Tick Listener")
hist_conn.add_listener(hist_listener)
# Look at conn.py for request_ticks, request_ticks_for_days and
# request_ticks_in_period to see various ways to specify time periods
# etc.
with iq.ConnConnector([hist_conn]) as connector:
# Get the last 10 trades
try:
tick_data = hist_conn.request_ticks(ticker=ticker,
max_ticks=max_ticks)
print(tick_data)
# Get the last num_days days trades between 10AM and 12AM
# Limit to max_ticks ticks else too much will be printed on screen
bgn_flt = datetime.time(hour=10, minute=0, second=0)
end_flt = datetime.time(hour=12, minute=0, second=0)
tick_data = hist_conn.request_ticks_for_days(
ticker=ticker,
num_days=num_days,
bgn_flt=bgn_flt,
end_flt=end_flt,
max_ticks=max_ticks,
)
print(tick_data)
# Get all ticks between 9:30AM 5 days ago and 9:30AM today
# Limit to max_ticks since otherwise too much will be printed on
# screen
today = datetime.date.today()
sdt = today - datetime.timedelta(days=5)
start_tm = datetime.datetime(year=sdt.year,
month=sdt.month,
day=sdt.day,
hour=9,
minute=30)
edt = today
end_tm = datetime.datetime(year=edt.year,
month=edt.month,
day=edt.day,
hour=9,
minute=30)
tick_data = hist_conn.request_ticks_in_period(ticker=ticker,
bgn_prd=start_tm,
end_prd=end_tm,
max_ticks=max_ticks)
print(tick_data)
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
def get_daily_data(ticker: str, num_days: int):
"""Historical Daily Data"""
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-daily-data")
hist_listener = iq.VerboseIQFeedListener("History Bar Listener")
hist_conn.add_listener(hist_listener)
with iq.ConnConnector([hist_conn]) as connector:
try:
daily_data = hist_conn.request_daily_data(ticker, num_days)
print(daily_data)
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
def getFuturesData(ticker: str):
lookup_conn = iq.LookupConn(name="pyiqfeed-Example-Futures-Chain")
lookup_listener = iq.VerboseIQFeedListener("FuturesChainLookupListener")
lookup_conn.add_listener(lookup_listener)
with iq.ConnConnector([lookup_conn]) as connector:
f_syms = lookup_conn.request_futures_chain(
symbol=ticker,
month_codes="".join(iq.LookupConn.futures_month_letters),
years="67",
near_months=None,
timeout=None)
print("Futures symbols with underlying %s" % ticker)
print(f_syms)
lookup_conn.remove_listener(lookup_listener)
def get_fund_summary(security_type: int, group_id: int, eod_date: datetime):
hist_conn = iq.MarketSummaryConn(name="pyiqfeed-Example-mkt-summary-eod")
hist_listener = iq.VerboseIQFeedListener("EOD Summary Listener")
hist_conn.add_listener(hist_listener)
with iq.ConnConnector([hist_conn]) as connector:
try:
daily_data = hist_conn.request_fundamental_summary(
security_type, group_id, eod_date)
print(daily_data.dtype.names)
print(daily_data)
print(f"shape={daily_data.shape}")
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
def get_5ms_summary(security_type: int, group_id: int):
"""Historical Daily Data"""
hist_conn = iq.MarketSummaryConn(name="pyiqfeed-Example-mkt-summary-5ms")
hist_listener = iq.VerboseIQFeedListener("5ms Summary Listener")
hist_conn.add_listener(hist_listener)
with iq.ConnConnector([hist_conn]) as connector:
try:
daily_data = hist_conn.request_5min_summary(
security_type, group_id)
print(daily_data.dtype.names)
print(daily_data)
print(f"shape={daily_data.shape}")
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
def get_futures_options_chain(ticker: str):
"""Futures Option Chain"""
lookup_conn = iq.LookupConn(name="pyiqfeed-Example-Futures-Options-Chain")
lookup_listener = iq.VerboseIQFeedListener("FuturesOptionLookupListener")
lookup_conn.add_listener(lookup_listener)
with iq.ConnConnector([lookup_conn]) as connector:
f_syms = lookup_conn.request_futures_option_chain(
symbol=ticker,
month_codes="".join(iq.LookupConn.futures_month_letters),
years=''.join([str(x) for x in range(0, 10)]),
near_months=None,
timeout=None)
print("Futures Option symbols with underlying %s" % ticker)
print(f_syms)
lookup_conn.remove_listener(lookup_listener)
def get_historical_bar_data(ticker: str, bar_len: int, bar_unit: str,
num_bars: int):
"""Shows how to get interval bars."""
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-historical-bars")
hist_listener = iq.VerboseIQFeedListener("History Bar Listener")
hist_conn.add_listener(hist_listener)
with iq.ConnConnector([hist_conn]) as connector:
# look at conn.py for request_bars, request_bars_for_days and
# request_bars_in_period for other ways to specify time periods etc
try:
bars = hist_conn.request_bars(
ticker=ticker,
interval_len=bar_len,
interval_type=bar_unit,
max_bars=num_bars,
)
print(bars)
today = datetime.date.today()
start_date = today - datetime.timedelta(days=10)
start_time = datetime.datetime(
year=start_date.year,
month=start_date.month,
day=start_date.day,
hour=0,
minute=0,
second=0,
)
end_time = datetime.datetime(
year=today.year,
month=today.month,
day=today.day,
hour=23,
minute=59,
second=59,
)
bars = hist_conn.request_bars_in_period(
ticker=ticker,
interval_len=bar_len,
interval_type=bar_unit,
bgn_prd=start_time,
end_prd=end_time,
)
print(bars)
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
def get_equity_option_chain(ticker: str):
"""Equity Option Chains"""
lookup_conn = iq.LookupConn(name="pyiqfeed-Example-Eq-Option-Chain")
lookup_listener = iq.VerboseIQFeedListener("EqOptionListener")
lookup_conn.add_listener(lookup_listener)
with iq.ConnConnector([lookup_conn]) as connector:
# noinspection PyArgumentEqualDefault
e_opt = lookup_conn.request_equity_option_chain(
symbol=ticker,
opt_type='pc',
month_codes="".join(iq.LookupConn.call_month_letters +
iq.LookupConn.put_month_letters),
near_months=None,
include_binary=True,
filt_type=0, filt_val_1=None, filt_val_2=None)
print("Currently trading options for %s" % ticker)
print(e_opt)
lookup_conn.remove_listener(lookup_listener)
def get_ticker_lookups(ticker: str):
"""Lookup tickers."""
lookup_conn = iq.LookupConn(name="pyiqfeed-Example-Ticker-Lookups")
lookup_listener = iq.VerboseIQFeedListener("TickerLookupListener")
lookup_conn.add_listener(lookup_listener)
with iq.ConnConnector([lookup_conn]) as connector:
syms = lookup_conn.request_symbols_by_filter(search_term=ticker,
search_field='s')
print("Symbols with %s in them" % ticker)
print(syms)
print("")
sic_symbols = lookup_conn.request_symbols_by_sic(83)
print("Symbols in SIC 83:")
print(sic_symbols)
print("")
naic_symbols = lookup_conn.request_symbols_by_naic(10)
print("Symbols in NAIC 10:")
print(naic_symbols)
print("")
lookup_conn.remove_listener(lookup_listener)
def get_historical_bar_to_db(ticker: str, bar_len: int, bar_unit: str,
num_bars: int):
"""Shows how to get interval bars."""
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-historical-bars")
hist_listener = iq.VerboseIQFeedListener("History Bar Listener")
hist_conn.add_listener(hist_listener)
"""Shows how to get interval bars."""
hist_conn = iq.HistoryConn(name="pyiqfeed-Example-historical-bars")
hist_listener = iq.VerboseIQFeedListener("History Bar Listener")
hist_conn.add_listener(hist_listener)
Instrument.init()
Feed.init()
symbol = ticker.upper()
instrument_list = Instrument.search().filter('term', **{
'sym.raw': symbol
}).execute()
if instrument_list and len(instrument_list) > 0:
instrument = instrument_list[0]
else:
instrument = Instrument()
instrument.sym = symbol
instrument.save()
def documents():
with iq.ConnConnector([hist_conn]) as connector:
# look at conn.py for request_bars, request_bars_for_days and
# request_bars_in_period for other ways to specify time periods etc
try:
bars = hist_conn.request_bars(ticker=ticker,
interval_len=bar_len,
interval_type=bar_unit,
max_bars=num_bars)
'''
today = datetime.now()
start_date = today - relativedelta(days=10)
start_time = datetime(year=start_date.year,
month=start_date.month,
day=start_date.day,
hour=0,
minute=0,
second=0)
end_time = datetime(year=today.year,
month=today.month,
day=today.day,
hour=23,
minute=59,
second=59)
bars = hist_conn.request_bars_in_period(ticker=ticker,
interval_len=bar_len,
interval_type=bar_unit,
bgn_prd=start_time,
end_prd=end_time)
print(bars)
'''
for bar in bars:
date = parse(str(bar[0]))
timestamp = int(re.sub('\D', '', str(bar[1])))
sec = timestamp / 1000000
min = int(sec % 3600 / 60)
hour = int(sec / 3600)
sec = int(sec - hour * 3600 - min * 60)
date = datetime(date.year, date.month, date.day, hour, min,
sec)
#print (ticker, date)
frequency = bar_len
feed = {
'instrument_id': instrument.id,
'frequency': frequency,
'date': date,
'high': float(bar[2]),
'low': float(bar[3]),
'open': float(bar[4]),
'close': float(bar[5]),
'volume': float(bar[6])
}
print(ticker, date, timestamp, feed)
bar_list = Feed.search().filter('term', date=date).filter(
'term', instrument_id=instrument.id).filter(
'term', frequency=frequency)
if bar_list and bar_list.count() > 0:
pass #print 'update', symbol
mydoc = bar_list.execute()[0]._id
yield es.update_op(doc=feed,
id=mydoc,
index='beginning',
doc_type='feed',
doc_as_upsert=True)
else:
pass #print 'insert', symbol
yield es.index_op(feed)
#print(bars)
print(len(bars))
print("Last Bar Received")
except (iq.NoDataError, iq.UnauthorizedError) as err:
print("No data returned because {0}".format(err))
for chunk in bulk_chunks(documents(),
docs_per_chunk=500,
bytes_per_chunk=10000):
# We specify a default index and doc type here so we don't
# have to repeat them in every operation:
es.bulk(chunk, doc_type='feed', index='beginning')