def get_and_check_prices_for_frequency(data,
log,
contract_object,
frequency="D"):
broker_data = dataBroker(data)
price_data = diagPrices(data)
price_updater = updatePrices(data)
try:
old_prices = price_data.get_prices_for_contract_object(contract_object)
ib_prices = broker_data.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(ib_prices) == 0:
raise Exception("No IB prices found for %s nothing to check" %
str(contract_object))
print("\n\n Manually checking prices for %s \n\n" %
str(contract_object))
new_prices_checked = manual_price_checker(
old_prices,
ib_prices,
column_to_check='FINAL',
delta_columns=['OPEN', 'HIGH', 'LOW'],
type_new_data=futuresContractPrices)
result = price_updater.update_prices_for_contract(
contract_object, new_prices_checked, check_for_spike=False)
return result
except Exception as e:
log.warn(
"Exception %s when getting or checking data at frequency %s for %s"
% (e, frequency, str(contract_object)))
return failure
def update_prices(self) -> updatePrices:
update_prices = getattr(self, "_update_prices", None)
if update_prices is None:
update_prices = updatePrices(self.data)
self._update_prices = update_prices
return update_prices
def get_and_check_prices_for_frequency(data: dataBlob,
contract_object: futuresContract,
frequency="D"):
broker_data = dataBroker(data)
price_data = diagPrices(data)
price_updater = updatePrices(data)
old_prices = price_data.get_prices_for_contract_object(contract_object)
broker_prices = broker_data.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(broker_prices) == 0:
print("No broker prices found for %s nothing to check" %
str(contract_object))
return failure
print("\n\n Manually checking prices for %s \n\n" % str(contract_object))
new_prices_checked = manual_price_checker(
old_prices,
broker_prices,
column_to_check="FINAL",
delta_columns=["OPEN", "HIGH", "LOW"],
type_new_data=futuresContractPrices,
)
price_updater.update_prices_for_contract(contract_object,
new_prices_checked,
check_for_spike=False)
def get_and_add_prices_for_frequency(data,
log,
contract_object,
frequency="D"):
broker_data_source = dataBroker(data)
db_futures_prices = updatePrices(data)
try:
ib_prices = broker_data_source.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
rows_added = db_futures_prices.update_prices_for_contract(
contract_object, ib_prices, check_for_spike=True)
if rows_added is data_error:
## SPIKE
## Need to email user about this as will need manually checking
msg = "Spike found in prices for %s: need to manually check by running update_manual_check_historical_prices" % str(
contract_object)
log.warn(msg)
try:
send_mail_msg(msg, "Price Spike")
except:
log.warn("Couldn't send email about price spike for %s" %
str(contract_object))
return failure
log.msg("Added %d rows at frequency %s for %s" %
(rows_added, frequency, str(contract_object)))
return success
except Exception as e:
log.warn("Exception %s when getting data at frequency %s for %s" %
(e, frequency, str(contract_object)))
return failure
def get_and_add_prices_for_frequency(
data: dataBlob,
contract_object: futuresContract,
frequency: Frequency = DAILY_PRICE_FREQ,
):
broker_data_source = dataBroker(data)
db_futures_prices = updatePrices(data)
broker_prices = broker_data_source.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(broker_prices) == 0:
data.log.msg("No prices from broker for %s" % str(contract_object))
return failure
error_or_rows_added = db_futures_prices.update_prices_for_contract(
contract_object, broker_prices, check_for_spike=True)
if error_or_rows_added is spike_in_data:
report_price_spike(data, contract_object)
return failure
data.log.msg("Added %d rows at frequency %s for %s" %
(error_or_rows_added, frequency, str(contract_object)))
return success
def get_and_add_prices_for_frequency(data,
log,
contract_object,
frequency="D"):
broker_data_source = dataBroker(data)
db_futures_prices = updatePrices(data)
ib_prices = broker_data_source.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(ib_prices) == 0:
log.msg("No prices from broker for %s" % str(contract_object))
return failure
rows_added = db_futures_prices.update_prices_for_contract(
contract_object, ib_prices, check_for_spike=True)
if rows_added is data_error:
# SPIKE
# Need to email user about this as will need manually checking
msg = (
"Spike found in prices for %s: need to manually check by running interactive_manual_check_historical_prices"
% str(contract_object))
log.warn(msg)
try:
send_production_mail_msg(
data, msg, "Price Spike %s" % contract_object.instrument_code)
except BaseException:
log.warn("Couldn't send email about price spike for %s" %
str(contract_object))
return failure
log.msg("Added %d rows at frequency %s for %s" %
(rows_added, frequency, str(contract_object)))
return success
def write_new_rolled_data(self):
# Apparently good let's try and write rolled data
price_updater = updatePrices(self.data)
price_updater.add_multiple_prices(self.instrument_code,
self.updated_multiple_prices,
ignore_duplication=True)
price_updater.add_adjusted_prices(self.instrument_code,
self.new_adjusted_prices,
ignore_duplication=True)
def _roll_adjusted_and_multiple_prices(data, instrument_code):
"""
Roll multiple and adjusted prices
THE POSITION MUST BE ZERO IN THE PRICED CONTRACT! WE DON'T CHECK THIS HERE
:param data: dataBlob
:param instrument_code: str
:return:
"""
print(landing_strip(80))
print("")
print("Rolling adjusted prices!")
print("")
diag_prices = diagPrices(data)
current_multiple_prices = diag_prices.get_multiple_prices(instrument_code)
# Only required for potential rollback
current_adjusted_prices = diag_prices.get_adjusted_prices(instrument_code)
try:
updated_multiple_prices = update_multiple_prices_on_roll(data, current_multiple_prices, instrument_code)
new_adj_prices = futuresAdjustedPrices.stich_multiple_prices(updated_multiple_prices)
except Exception as e:
data.log.warn("%s : went wrong when rolling: No roll has happened" % e)
return failure
# We want user input before we do anything
compare_old_and_new_prices([current_multiple_prices, updated_multiple_prices,
current_adjusted_prices, new_adj_prices],
["Current multiple prices", "New multiple prices",
"Current adjusted prices", "New adjusted prices"])
print("")
confirm_roll = input("Confirm roll adjusted prices for %s are you sure y/n:" % instrument_code)
if confirm_roll!="y":
print("\nUSER DID NOT WANT TO ROLL: Setting roll status back to previous state")
return failure
try:
# Apparently good let's try and write rolled data
price_updater = updatePrices(data)
price_updater.add_adjusted_prices(instrument_code, new_adj_prices,
ignore_duplication=True)
price_updater.add_multiple_prices(instrument_code, updated_multiple_prices,
ignore_duplication=True)
except Exception as e:
data.log.warn("%s went wrong when rolling: Going to roll-back to original multiple/adjusted prices" % e)
rollback_adjustment(data, instrument_code, current_adjusted_prices, current_multiple_prices)
return failure
return success
def update_with_new_prices(data, instrument_code: str,
updated_multiple_prices: futuresMultiplePrices,
updated_adjusted_prices: futuresAdjustedPrices):
update_prices = updatePrices(data)
update_prices.add_multiple_prices(instrument_code,
updated_multiple_prices,
ignore_duplication=True)
update_prices.add_adjusted_prices(instrument_code,
updated_adjusted_prices,
ignore_duplication=True)
def rollback_adjustment(data, instrument_code, current_adjusted_prices, current_multiple_prices):
price_updater = updatePrices(data)
try:
price_updater.add_adjusted_prices(instrument_code, current_adjusted_prices,
ignore_duplication=True)
price_updater.add_multiple_prices(instrument_code, current_multiple_prices,
ignore_duplication=True)
except Exception as e:
data.log.warn("***** ROLLBACK FAILED! %s!You may need to rebuild your data! Check before trading!! *****" % e)
return failure
return success
def update_multiple_adjusted_prices_for_instrument(instrument_code, data):
"""
Update for multiple and adjusted prices for a given instrument
:param instrument_code:
:param data: dataBlob
:param log: logger
:return: None
"""
log = data.log.setup(instrument_code=instrument_code)
diag_prices = diagPrices(data)
update_prices = updatePrices(data)
# update multiple prices with new prices
# (method in multiple prices object and possible in data socket)
existing_adjusted_prices = diag_prices.get_adjusted_prices(instrument_code)
existing_multiple_prices = diag_prices.get_multiple_prices(instrument_code)
relevant_contracts = existing_multiple_prices.current_contract_dict()
new_prices_dict = get_dict_of_new_prices_and_contractid(
instrument_code, relevant_contracts, data
)
updated_multiple_prices = existing_multiple_prices.update_multiple_prices_with_dict(
new_prices_dict)
updated_adjusted_prices = (
existing_adjusted_prices.update_with_multiple_prices_no_roll(
updated_multiple_prices
)
)
if updated_adjusted_prices is no_update_roll_has_occured:
log.critical(
"Can't update adjusted prices for %s as roll has occured but not registered properly" %
instrument_code)
raise Exception()
update_prices.add_multiple_prices(
instrument_code, updated_multiple_prices, ignore_duplication=True
)
update_prices.add_adjusted_prices(
instrument_code, updated_adjusted_prices, ignore_duplication=True
)
return success
def price_updating_or_errors(
data: dataBlob,
contract_object: futuresContract,
new_prices_checked: futuresContractPrices,
check_for_spike: bool = True,
cleaning_config: priceFilterConfig = arg_not_supplied):
price_updater = updatePrices(data)
error_or_rows_added = price_updater.update_prices_for_contract(
contract_object,
new_prices_checked,
check_for_spike=check_for_spike,
max_price_spike=cleaning_config.max_price_spike)
if error_or_rows_added is spike_in_data:
report_price_spike(data, contract_object)
return failure
if error_or_rows_added is failure:
data.log.warn("Something went wrong when adding rows")
return failure
return error_or_rows_added
