def test_quotes(self, data_loader):
data_loader.side_effect = load_mktdata_func('HYG-20150302')
start_time = datetime(2015, 3, 2, 0, 0)
end_time = datetime(2015, 3, 2, 23, 59)
expected = [
('2015-03-02 14:30:00.000000', 'BEST_BID', Decimal('89.8952'), 1),
('2015-03-02 14:30:00.000000', 'BEST_ASK', Decimal('89.9934'), 14),
('2015-03-02 14:30:01.000000', 'BEST_ASK', Decimal('89.9934'), 16),
('2015-03-02 14:30:02.000000', 'BEST_BID', Decimal('89.9246'), 2),
('2015-03-02 14:30:02.000000', 'BEST_ASK', Decimal('89.9737'), 12),
('2015-03-02 14:30:03.000000', 'BEST_BID', Decimal('89.9246'), 3),
('2015-03-02 14:30:03.000000', 'BEST_ASK', Decimal('89.9737'), 11),
('2015-03-02 14:30:04.000000', 'BEST_BID', Decimal('89.9246'), 3),
('2015-03-02 14:30:04.000000', 'BEST_ASK', Decimal('89.9737'), 111),
('2015-03-02 14:30:05.000000', 'BEST_ASK', Decimal('89.9737'), 11),
('2015-03-02 14:30:08.000000', 'BEST_BID', Decimal('89.9246'), 2),
('2015-03-02 14:30:08.000000', 'BEST_ASK', Decimal('89.9639'), 12),
('2015-03-02 14:30:09.000000', 'BEST_BID', Decimal('89.8853'), 4),
('2015-03-02 14:30:09.000000', 'BEST_ASK', Decimal('89.9737'), 11),
('2015-03-02 14:30:11.000000', 'BEST_ASK', Decimal('89.9737'), 11),
('2015-03-02 14:30:13.000000', 'BEST_ASK', Decimal('89.9737'), 23),
('2015-03-02 14:30:16.000000', 'BEST_BID', Decimal('89.8853'), 3),
('2015-03-02 14:30:32.000000', 'BEST_ASK', Decimal('89.9737'), 25),
('2015-03-02 14:30:34.000000', 'BEST_BID', Decimal('89.905'), 1),
('2015-03-02 14:30:39.000000', 'BEST_BID', Decimal('89.905'), 3),
('2015-03-02 14:30:40.000000', 'BEST_BID', Decimal('89.905'), 2),
('2015-03-02 14:30:42.000000', 'BEST_BID', Decimal('89.905'), 3),
('2015-03-02 14:30:43.000000', 'BEST_ASK', Decimal('89.9737'), 28),
('2015-03-02 14:30:50.000000', 'BEST_BID', Decimal('89.8853'), 14),
('2015-03-02 14:30:50.000000', 'BEST_ASK', Decimal('89.9345'), 9),
('2015-03-02 14:30:54.000000', 'BEST_ASK', Decimal('89.9345'), 14),
('2015-03-02 14:30:59.000000', 'BEST_ASK', Decimal('89.9345'), 16),
]
ticks_data = _ticks_quotes('HYG US Equity', start_time, end_time)
filtered_ticks_data = _time_filter(ticks_data, '093000', '093100', pytz.timezone('US/Eastern'))
self.maxDiff = None
self.assertEqual(expected, list(filtered_ticks_data))
def test_quotes_dst(self, data_loader):
data_loader.side_effect = load_mktdata_func('HYG-20150402')
start_time = datetime(2015, 4, 2, 0, 0)
end_time = datetime(2015, 4, 2, 23, 59)
expected = [
('2015-04-02 13:30:00.000000', 'BEST_BID', Decimal('90.38'), 2),
('2015-04-02 13:30:00.000000', 'BEST_ASK', Decimal('90.42'), 38),
('2015-04-02 13:30:01.000000', 'BEST_ASK', Decimal('90.42'), 31),
('2015-04-02 13:30:05.000000', 'BEST_ASK', Decimal('90.42'), 2),
('2015-04-02 13:30:06.000000', 'BEST_BID', Decimal('90.35'), 8),
('2015-04-02 13:30:06.000000', 'BEST_ASK', Decimal('90.42'), 2),
('2015-04-02 13:30:09.000000', 'BEST_BID', Decimal('90.35'), 7),
('2015-04-02 13:30:10.000000', 'BEST_BID', Decimal('90.35'), 2),
('2015-04-02 13:30:15.000000', 'BEST_ASK', Decimal('90.42'), 3),
('2015-04-02 13:30:18.000000', 'BEST_ASK', Decimal('90.39'), 2),
('2015-04-02 13:30:19.000000', 'BEST_ASK', Decimal('90.39'), 1),
('2015-04-02 13:30:22.000000', 'BEST_BID', Decimal('90.35'), 2),
('2015-04-02 13:30:22.000000', 'BEST_ASK', Decimal('90.39'), 4),
('2015-04-02 13:30:24.000000', 'BEST_BID', Decimal('90.35'), 3),
('2015-04-02 13:30:28.000000', 'BEST_BID', Decimal('90.35'), 1),
('2015-04-02 13:30:28.000000', 'BEST_ASK', Decimal('90.36'), 1),
('2015-04-02 13:30:30.000000', 'BEST_BID', Decimal('90.35'), 1),
('2015-04-02 13:30:30.000000', 'BEST_ASK', Decimal('90.37'), 1),
('2015-04-02 13:30:32.000000', 'BEST_ASK', Decimal('90.37'), 7),
('2015-04-02 13:30:42.000000', 'BEST_BID', Decimal('90.35'), 2),
('2015-04-02 13:30:42.000000', 'BEST_ASK', Decimal('90.37'), 5),
('2015-04-02 13:30:43.000000', 'BEST_BID', Decimal('90.35'), 3),
('2015-04-02 13:30:45.000000', 'BEST_BID', Decimal('90.35'), 5),
('2015-04-02 13:30:46.000000', 'BEST_BID', Decimal('90.35'), 15),
('2015-04-02 13:30:49.000000', 'BEST_BID', Decimal('90.35'), 5),
('2015-04-02 13:30:59.000000', 'BEST_BID', Decimal('90.35'), 10),
('2015-04-02 13:30:59.000000', 'BEST_ASK', Decimal('90.36'), 1)]
ticks_data = _ticks_quotes('HYG US Equity', start_time, end_time)
filtered_ticks_data = _time_filter(ticks_data, '093000', '093100', pytz.timezone('US/Eastern'))
self.maxDiff = None
self.assertEqual(expected, list(filtered_ticks_data))
from datetime import datetime
import pandas
import pytz
from mktdatadb import ticks_trades, _time_filter
if __name__ == "__main__":
start_time = datetime(2015, 7, 1, 17, 0)
end_time = datetime(2015, 7, 2, 21, 0)
ticks_data = ticks_trades("HYG US Equity", start_time, end_time)
filtered_ticks_data = _time_filter(ticks_data, "093000", "160000", pytz.timezone("US/Eastern"))
df = pandas.DataFrame(filtered_ticks_data, columns=["date", "price", "qty", "type"])
df.set_index("date", inplace=True)
print(df.head())
print(df.tail())
