def getBars(self, instrument, frequency, timezone=None, fromDateTime=None, toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5], row[6], row[7]))
cursor.close()
return ret
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(
bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5],
row[6], row[7]))
cursor.close()
return ret
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(
datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def onNewValue(self, dateTime, value):
technical.EventWindow.onNewValue(self, dateTime, value)
if value is not None:
timestamp = dt.datetime_to_timestamp(dateTime)
if len(self.__timestamps):
assert (timestamp > self.__timestamps[-1])
self.__timestamps.append(timestamp)
def onNewValue(self, dateTime, value):
technical.EventWindow.onNewValue(self, dateTime, value)
if value is not None:
timestamp = dt.datetime_to_timestamp(dateTime)
if len(self.__timestamps):
assert(timestamp > self.__timestamps[-1])
self.__timestamps.append(timestamp)
def __init__(self, dateTime, frequency):
super(IntraDayRange, self).__init__()
assert isinstance(frequency, int)
assert frequency > 1
assert frequency < bar.Frequency.DAY
ts = int(dt.datetime_to_timestamp(dateTime))
slot = int(ts / frequency)
slotTs = slot * frequency
self.__begin = dt.timestamp_to_datetime(slotTs, not dt.datetime_is_naive(dateTime))
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(seconds=frequency)
def __init__(self, dateTime, frequency):
super(IntraDayRange, self).__init__()
assert isinstance(frequency, int)
assert frequency > 1
assert frequency < bar.Frequency.DAY
ts = int(dt.datetime_to_timestamp(dateTime))
slot = int(ts / frequency)
slotTs = slot * frequency
self.__begin = dt.timestamp_to_datetime(
slotTs, not dt.datetime_is_naive(dateTime))
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(seconds=frequency)
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)
def getValueAt(self, dateTime):
return self.__getValueAtImpl(dt.datetime_to_timestamp(dateTime))
def getValueAt(self, dateTime):
return self.__getValueAtImpl(dt.datetime_to_timestamp(dateTime))