def _get_fx_prices_with_ib_config(
self, currency_code: str,
ib_config_for_code: ibFXConfig) -> fxPrices:
raw_fx_prices_as_series = self._get_raw_fx_prices(ib_config_for_code)
if len(raw_fx_prices_as_series) == 0:
self.log.warn(
"No available IB prices for %s %s" %
(currency_code, str(ib_config_for_code)),
fx_code=currency_code,
)
return fxPrices.create_empty()
if ib_config_for_code.invert:
raw_fx_prices = 1.0 / raw_fx_prices_as_series
else:
raw_fx_prices = raw_fx_prices_as_series
# turn into a fxPrices
fx_prices = fxPrices(raw_fx_prices)
self.log.msg("Downloaded %d prices" % len(fx_prices),
fx_code=currency_code)
return fx_prices
def _get_fx_prices(self, code: str) -> fxPrices:
if not self.is_code_in_data(code):
self.log.warn("Currency %s is missing from list of FX data" % code)
return fxPrices.create_empty()
data = self._get_fx_prices_without_checking(code)
return data
def _get_fx_prices_without_checking(self, currency_code: str) -> fxPrices:
ib_config_for_code = self._get_config_info_for_code(currency_code)
if ib_config_for_code is missing_instrument:
self.warn("Can't get prices as missing IB config for %s" %
currency_code,
fx_code=currency_code)
return fxPrices.create_empty()
data = self._get_fx_prices_with_ib_config(currency_code,
ib_config_for_code)
return data
def _get_fx_prices_without_checking(self, currency_code):
qcode = self._get_qcode(currency_code)
try:
fx_prices = quandl.get(qcode)
except Exception as exception:
self.log.warn("Can't get QUANDL data for %s error %s" %
(qcode, exception))
return fxPrices.create_empty()
fx_prices = fx_prices.Rate
return fxPrices(fx_prices)
def _get_fx_cross(self, fx_code: str) ->fxPrices:
"""
Get a currency cross rate XXXYYY, eg not XXXUSD or USDXXX or XXXXXX
:return: fxPrices
"""
currency1, currency2 = get_fx_tuple_from_code(fx_code)
currency1_vs_default = self._get_fx_prices_vs_default(currency1)
currency2_vs_default = self._get_fx_prices_vs_default(currency2)
if currency1_vs_default.empty or currency2_vs_default.empty:
return fxPrices.create_empty()
(aligned_c1, aligned_c2) = currency1_vs_default.align(
currency2_vs_default, join="outer"
)
fx_rate_series = aligned_c1.ffill() / aligned_c2.ffill()
return fx_rate_series
def _get_fx_prices_without_checking(self, code: str) -> fxPrices:
filename = self._filename_given_fx_code(code)
config = self.config
price_column = config.price_column
date_column = config.date_column
date_format = config.date_format
try:
fx_data = pd_readcsv(
filename, date_format=date_format, date_index_name=date_column
)
except OSError:
self.log.warn("Can't find currency price file %s" % filename, fx_code=code)
return fxPrices.create_empty()
fx_data = pd.Series(fx_data[price_column])
fx_data = fxPrices(fx_data.sort_index())
return fx_data
