def connectTo(self, connections, **kwargs):
''' Set up allowed data sources '''
tz = kwargs.get('timezone', self.tz)
log = kwargs.get('logger', None)
lvl = kwargs.get('lvl', 'debug')
if 'database' in connections:
db_name = kwargs.get('db_name', str(os.environ['QTRADEDB']))
self.db = QuantSQLite(db_name, timezone=tz, logger=log, lvl=lvl)
self._logger.info('Database location provided, Connected to %s' %
db_name)
self.connected['database'] = True
if 'remote' in connections:
self.remote = Fetcher(timezone=tz, logger=log, lvl=lvl)
self.connected['remote'] = True
if 'csv' in connections:
raise NotImplementedError()
def __init__(self, data, **kwargs):
assert isinstance(data['index'], pd.tseries.index.DatetimeIndex)
self.data = data
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data['tickers'])
self.start = kwargs.get('start', data['index'][0])
self.end = kwargs.get('end', data['index'][-1])
self.fake_index = pd.date_range(self.start,
self.end,
freq=pd.datetools.BDay())
# Hash_value for downstream sorting.
self.arg_string = hash_args(data, **kwargs)
self._raw_data = None
self.remote = Fetcher()
self.feed = DataFeed()
def connectTo(self, connections, **kwargs):
''' Set up allowed data sources '''
tz = kwargs.get('timezone', self.tz)
log = kwargs.get('logger', None)
lvl = kwargs.get('lvl', 'debug')
if 'database' in connections:
db_name = kwargs.get('db_name', str(os.environ['QTRADEDB']))
self.db = QuantSQLite(db_name, timezone=tz, logger=log, lvl=lvl)
self._logger.info('Database location provided, Connected to %s' % db_name)
self.connected['database'] = True
if 'remote' in connections:
self.remote = Fetcher(timezone=tz, logger=log, lvl=lvl)
self.connected['remote'] = True
if 'csv' in connections:
raise NotImplementedError()
def __init__(self, data, **kwargs):
assert isinstance(data['index'], pd.tseries.index.DatetimeIndex)
self.data = data
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data['tickers'])
self.start = kwargs.get('start', data['index'][0])
self.end = kwargs.get('end', data['index'][-1])
self.fake_index = pd.date_range(self.start, self.end, freq=pd.datetools.BDay())
# Hash_value for downstream sorting.
self.arg_string = hash_args(data, **kwargs)
self._raw_data = None
self.remote = Fetcher()
self.feed = DataFeed()
class DataAgent(object):
''' Quote object - fill everything related:
name, code, current value, bought value,
market, actions owned,
and date, open, close, volume, of asked period'''
def __init__(self, sources=None, tz=pytz.utc, logger=None, lvl='debug'):
self.tz = tz
if logger is None:
self._logger = LogSubsystem(DataAgent.__name__, lvl).getLog()
else:
self._logger = logger
self.connected = {'remote': False, 'database': False, 'csv': False}
if isinstance(sources, list):
self.connectTo(sources, lvl=lvl, timezone=tz, logger=logger)
def connectTo(self, connections, **kwargs):
''' Set up allowed data sources '''
tz = kwargs.get('timezone', self.tz)
log = kwargs.get('logger', None)
lvl = kwargs.get('lvl', 'debug')
if 'database' in connections:
db_name = kwargs.get('db_name', str(os.environ['QTRADEDB']))
self.db = QuantSQLite(db_name, timezone=tz, logger=log, lvl=lvl)
self._logger.info('Database location provided, Connected to %s' %
db_name)
self.connected['database'] = True
if 'remote' in connections:
self.remote = Fetcher(timezone=tz, logger=log, lvl=lvl)
self.connected['remote'] = True
if 'csv' in connections:
raise NotImplementedError()
def _makeIndex(self, args):
''' Take getQuotes input and produce suitable index '''
#TODO implement elapse
start_day = args.get('start', None)
end_day = args.get('end', dt.datetime.now(self.tz))
delta = args.get('delta', self._guessResolution(start_day, end_day))
period = args.get('period', None)
if period:
if not start_day:
start_day = end_day - period
if not start_day:
if not delta:
start_day = dt.datetime.now(self.tz).date()
delta = pd.datetools.Minute()
else:
self._logger.error('** No suitable date informations provided')
return None
return pd.date_range(start=start_day, end=end_day, freq=delta)
def _inspectDB(self, ticker, request_idx, fields=Fields.QUOTES):
''' Check available df in db, according to the requested index '''
self._logger.info('Inspecting database.')
assert (isinstance(ticker, str))
assert (isinstance(request_idx, pd.Index))
assert (isinstance(fields, list))
#TODO comparisons are too strics
#TODO identificate NaN columns, that will erase everything at dropna
if not self.connected['database']:
self._logger.info('No database access allowed.')
return DataFrame(), request_idx
db_index = self.db.getDataIndex(ticker, fields, summary=False)
if not isinstance(db_index, pd.Index):
self._logger.info('No quotes stored in database.')
return DataFrame(), request_idx
elif db_index.freq > request_idx.freq and not db_index.freq == request_idx.freq:
self._logger.info('Superior asked frequency,\
dropping and downloading along whole timestamp')
return DataFrame(), request_idx
else:
if db_index[0] > request_idx[0] and db_index[-1] < request_idx[-1]:
return DataFrame(), request_idx
raise NotImplementedError()
#TODO Two different timestamps to download !
#to dl: start_day -> first_db_date and last_db_date -> end_day
else:
#NOTE Intersection and other seemed cool but don't work
if db_index[0].hour != 0:
db_index = pd.date_range(
db_index[0] -
pd.datetools.relativedelta(hours=db_index[0].hour),
db_index[-1] -
pd.datetools.relativedelta(hours=db_index[0].hour),
freq=db_index.freq)
intersect = db_index & request_idx
#start_to_get = intersect[0] - request_idx.freq
#if not start_to_get.tzinfo:
#self.tz.localize(start_to_get)
#idx_to_get = pd.date_range(start_to_get, intersect[-1], freq=request_idx.freq)
idx_to_get = pd.date_range(intersect[0] - request_idx.freq,
intersect[-1],
freq=request_idx.freq)
if idx_to_get is None or idx_to_get.size == 0:
self._logger.info('No quotes available in database.')
return DataFrame(), request_idx
#NOTE try union minus intersect
#TODO getQuotesDB and others take care of dataframe cast and fields cut
if db_index[0] > request_idx[0]:
idx_to_dl = request_idx[request_idx < idx_to_get[0]]
else:
idx_to_dl = request_idx[request_idx > idx_to_get[-1]]
db_df = DataFrame(self.db.getQuotesDB(ticker, idx_to_get),
columns=fields).dropna()
if not db_df.index.tzinfo:
db_df.index.tz_localize(self.tz)
return db_df, idx_to_dl
#TODO each retriever, remote and db, takes care of dropna and columns
def getQuotes(self, tickers, fields=Fields.QUOTES, index=None, **kwargs):
'''
@summary: retrieve google finance data asked while initializing
and store it: Date, open, low, high, close, volume
@param quotes: list of quotes to fetch
@param fields: list of fields to store per quotes
@param index: pandas.Index object, used for dataframes
@param kwargs.start: date or datetime of the first values
kwargs.end: date or datetime of the last value
kwargs.delta: datetime.timedelta object, period of time to fill
kwargs.save: save to database downloaded quotes
kwargs.reverse: reverse companie name and field in panel
kwargs.symbols
kwargs.markets
@return a panel/dataframe/timeserie like close = data['google']['close'][date]
'''
''' ----------------------------------------------------------------------------'''
''' ---------------------------------- Index check and build -----------------'''
#FIXME reversed dataframe could be store in database ?
df = dict()
save = kwargs.get('save', False)
reverse = kwargs.get('reverse', False)
markets = kwargs.get('markets', None)
symbols = kwargs.get('symbols', None)
if not isinstance(index, pd.DatetimeIndex):
index = self._makeIndex(kwargs)
if not isinstance(index, pd.DatetimeIndex):
return None
if not index.tzinfo:
index = index.tz_localize(self.tz)
assert (index.tzinfo)
if self.connected['database']:
symbols, markets = self.db.getTickersCodes(tickers)
elif not symbols or not markets:
self._logger.error('** No database neither informations provided')
return None
for ticker in tickers:
if not ticker in symbols:
self._logger.warning(
'No code availablefor {}, going on'.format(ticker))
continue
self._logger.info('Processing {} stock'.format(ticker))
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Database check ------------'''
db_df, index = self._inspectDB(ticker, index, fields)
assert (index.tzinfo)
if not db_df.empty:
assert (db_df.index.tzinfo)
if index.size == 0:
save = False
df[ticker] = db_df
continue
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Remote retrievers ---------'''
self._logger.info('Downloading missing data, from {} to {}'.format(
index[0], index[-1]))
#FIXME No index.freq for comaprison?
#if (index[1] - index[0]) < pd.datetools.timedelta(days=1):
if index.freq > pd.datetools.BDay():
self._logger.info('Fetching minutely quotes ({})'.format(
index.freq))
#TODO truncate in the method
network_df = DataFrame(
self.remote.getMinutelyQuotes(symbols[ticker],
markets[ticker], index),
columns=fields).truncate(after=index[-1])
else:
network_df = DataFrame(self.remote.getHistoricalQuotes(
symbols[ticker], index),
columns=fields)
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Merging -------------------'''
if not db_df.empty:
self._logger.debug(
'Checking db index ({}) vs network index ({})'.format(
db_df.index, network_df.index))
if db_df.index[0] > network_df.index[0]:
df[ticker] = pd.concat([network_df, db_df])
else:
df[ticker] = pd.concat([db_df, network_df]).sort_index()
else:
df[ticker] = network_df
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Manage final panel --------'''
data = Panel.from_dict(df, intersect=True)
if save:
#TODO: accumulation and compression of data issue, drop always true at the moment
if self.connected['database']:
self.db.updateStockDb(data, Fields.QUOTES, drop=True)
else:
self._logger.warning('! No database connection for saving.')
if reverse:
return Panel.from_dict(df, intersect=True, orient='minor')
#NOTE if data used here, insert every FIELD.QUOTES columns
#NOTE Only return Panel when one ticker and/or one field ?
return Panel.from_dict(df, intersect=True)
def _guessResolution(self, start, end):
if not start or not end:
return None
elapse = end - start
if abs(elapse.days) > 5 and abs(elapse.days) < 30:
delta = pd.datetools.BDay()
elif abs(elapse.days) <= 5 and abs(elapse.days) > 1:
delta = pd.datetools.Hour()
elif abs(elapse.days) >= 30:
delta = pd.datetools.BMonthEnd(round(elapse.days / 30))
else:
delta = pd.datetools.Minute(10)
self._logger.info('Automatic delta fixing: {}'.format(delta))
return delta
def load_from_csv(self, tickers, index, fields=Fields.QUOTES, **kwargs):
''' Return a quote panel '''
#TODO Replace adj_close with actual_close
#TODO Add reindex methods, and start, end, delta parameters
reverse = kwargs.get('reverse', False)
verbose = kwargs.get('verbose', False)
if self.connected['database']:
symbols, markets = self.db.getTickersCodes(tickers)
elif not symbols:
self._logger.error('** No database neither informations provided')
return None
timestamps = du.getNYSEdays(index[0], index[-1],
dt.timedelta(hours=16))
csv = da.DataAccess('Yahoo')
df = csv.get_data(timestamps,
symbols.values(),
fields,
verbose=verbose)
quotes_dict = dict()
for ticker in tickers:
j = 0
quotes_dict[ticker] = dict()
for field in fields:
serie = df[j][symbols[ticker]].groupby(
index.freq.rollforward).aggregate(np.mean)
#TODO add a function parameter to decide what to do about it
clean_serie = serie.fillna(method='pad')
quotes_dict[ticker][field] = clean_serie
j += 1
if reverse:
return Panel.from_dict(quotes_dict, intersect=True, orient='minor')
return Panel.from_dict(quotes_dict, intersect=True)
def help(self, category):
#TODO: stuff to know like fields and functions
print('{} help'.format(category))
class DataLiveSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data, **kwargs):
assert isinstance(data['index'], pd.tseries.index.DatetimeIndex)
self.data = data
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data['tickers'])
self.start = kwargs.get('start', data['index'][0])
self.end = kwargs.get('end', data['index'][-1])
self.fake_index = pd.date_range(self.start, self.end, freq=pd.datetools.BDay())
# Hash_value for downstream sorting.
self.arg_string = hash_args(data, **kwargs)
self._raw_data = None
self.remote = Fetcher()
self.feed = DataFeed()
@property
def mapping(self):
return {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'currency': (str, 'currency'),
'perc_change': (float, 'perc_change'),
'volume': (int, 'volume'),
}
@property
def instance_hash(self):
return self.arg_string
def raw_data_gen(self):
current_dt = datetime.datetime.now()
index = self.data['index']
selector = (index.day > current_dt.day) \
| ((index.day == current_dt.day) & (index.hour > current_dt.hour)) \
| ((index.day == current_dt.day) & (index.hour == current_dt.hour) & (index.minute >= current_dt.minute))
#NOTE Not an equal size issue ?
for fake_dt, dt in zip(self.fake_index, index[selector]):
while (current_dt.minute != dt.minute) or (current_dt.hour != dt.hour) :
time.sleep(15)
current_dt = datetime.datetime.now()
print('Waiting {} / {}'.format(current_dt, dt))
#for fake_dt, dt in zip(self.fake_index, self.data['index']):
for sid in self.data['tickers']:
if sid in self.sids:
symbol = self.feed.guess_name(sid).lower()
#FIXME Erros because no markets specifie, use light=True and add market
#snapshot = self.remote.get_stock_snapshot(symbol, light=False)
snapshot = self.remote.get_stock_snapshot(symbol, light=True)
import ipdb; ipdb.set_trace()
log.debug('Data available:\n{}'.format(json.dumps(snapshot,
sort_keys=True, indent=4, separators=(',', ': '))))
if not snapshot:
log.error('** No data snapshot available, maybe stopped by google ?')
sys.exit(2)
event = {
'dt': fake_dt,
'trade_time': dt,
'sid': sid,
'price': float(snapshot[symbol]['last']),
'currency': snapshot[symbol]['currency'],
'perc_change': float(snapshot[symbol]['perc_change']),
'volume': int(snapshot[symbol]['volume']),
}
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data
class DataLiveSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data, **kwargs):
assert isinstance(data['index'], pd.tseries.index.DatetimeIndex)
self.data = data
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data['tickers'])
self.start = kwargs.get('start', data['index'][0])
self.end = kwargs.get('end', data['index'][-1])
self.fake_index = pd.date_range(self.start,
self.end,
freq=pd.datetools.BDay())
# Hash_value for downstream sorting.
self.arg_string = hash_args(data, **kwargs)
self._raw_data = None
self.remote = Fetcher()
self.feed = DataFeed()
@property
def mapping(self):
return {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'currency': (str, 'currency'),
'perc_change': (float, 'perc_change'),
'volume': (int, 'volume'),
}
@property
def instance_hash(self):
return self.arg_string
def raw_data_gen(self):
current_dt = datetime.datetime.now()
index = self.data['index']
selector = (index.day > current_dt.day) \
| ((index.day == current_dt.day) & (index.hour > current_dt.hour)) \
| ((index.day == current_dt.day) & (index.hour == current_dt.hour) & (index.minute >= current_dt.minute))
#NOTE Not an equal size issue ?
for fake_dt, dt in zip(self.fake_index, index[selector]):
while (current_dt.minute != dt.minute) or (current_dt.hour !=
dt.hour):
time.sleep(15)
current_dt = datetime.datetime.now()
print('Waiting {} / {}'.format(current_dt, dt))
#for fake_dt, dt in zip(self.fake_index, self.data['index']):
for sid in self.data['tickers']:
if sid in self.sids:
symbol = self.feed.guess_name(sid).lower()
#FIXME Erros because no markets specifie, use light=True and add market
#snapshot = self.remote.get_stock_snapshot(symbol, light=False)
snapshot = self.remote.get_stock_snapshot(symbol,
light=True)
import ipdb
ipdb.set_trace()
log.debug('Data available:\n{}'.format(
json.dumps(snapshot,
sort_keys=True,
indent=4,
separators=(',', ': '))))
if not snapshot:
log.error(
'** No data snapshot available, maybe stopped by google ?'
)
sys.exit(2)
event = {
'dt': fake_dt,
'trade_time': dt,
'sid': sid,
'price': float(snapshot[symbol]['last']),
'currency': snapshot[symbol]['currency'],
'perc_change': float(snapshot[symbol]['perc_change']),
'volume': int(snapshot[symbol]['volume']),
}
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data
class DataAgent(object):
''' Quote object - fill everything related:
name, code, current value, bought value,
market, actions owned,
and date, open, close, volume, of asked period'''
def __init__(self, sources=None, tz=pytz.utc, logger=None, lvl='debug'):
self.tz = tz
if logger is None:
self._logger = LogSubsystem(DataAgent.__name__, lvl).getLog()
else:
self._logger = logger
self.connected = {'remote': False, 'database': False, 'csv': False}
if isinstance(sources, list):
self.connectTo(sources, lvl=lvl, timezone=tz, logger=logger)
def connectTo(self, connections, **kwargs):
''' Set up allowed data sources '''
tz = kwargs.get('timezone', self.tz)
log = kwargs.get('logger', None)
lvl = kwargs.get('lvl', 'debug')
if 'database' in connections:
db_name = kwargs.get('db_name', str(os.environ['QTRADEDB']))
self.db = QuantSQLite(db_name, timezone=tz, logger=log, lvl=lvl)
self._logger.info('Database location provided, Connected to %s' % db_name)
self.connected['database'] = True
if 'remote' in connections:
self.remote = Fetcher(timezone=tz, logger=log, lvl=lvl)
self.connected['remote'] = True
if 'csv' in connections:
raise NotImplementedError()
def _makeIndex(self, args):
''' Take getQuotes input and produce suitable index '''
#TODO implement elapse
start_day = args.get('start', None)
end_day = args.get('end', dt.datetime.now(self.tz))
delta = args.get('delta', self._guessResolution(start_day, end_day))
period = args.get('period', None)
if period:
if not start_day:
start_day = end_day - period
if not start_day:
if not delta:
start_day = dt.datetime.now(self.tz).date()
delta = pd.datetools.Minute()
else:
self._logger.error('** No suitable date informations provided')
return None
return pd.date_range(start=start_day, end=end_day, freq=delta)
def _inspectDB(self, ticker, request_idx, fields=Fields.QUOTES):
''' Check available df in db, according to the requested index '''
self._logger.info('Inspecting database.')
assert (isinstance(ticker, str))
assert (isinstance(request_idx, pd.Index))
assert (isinstance(fields, list))
#TODO comparisons are too strics
#TODO identificate NaN columns, that will erase everything at dropna
if not self.connected['database']:
self._logger.info('No database access allowed.')
return DataFrame(), request_idx
db_index = self.db.getDataIndex(ticker, fields, summary=False)
if not isinstance(db_index, pd.Index):
self._logger.info('No quotes stored in database.')
return DataFrame(), request_idx
elif db_index.freq > request_idx.freq and not db_index.freq == request_idx.freq:
self._logger.info('Superior asked frequency,\
dropping and downloading along whole timestamp')
return DataFrame(), request_idx
else:
if db_index[0] > request_idx[0] and db_index[-1] < request_idx[-1]:
return DataFrame(), request_idx
raise NotImplementedError()
#TODO Two different timestamps to download !
#to dl: start_day -> first_db_date and last_db_date -> end_day
else:
#NOTE Intersection and other seemed cool but don't work
if db_index[0].hour != 0:
db_index = pd.date_range(db_index[0] - pd.datetools.relativedelta(hours=db_index[0].hour),
db_index[-1] - pd.datetools.relativedelta(hours=db_index[0].hour), freq=db_index.freq)
intersect = db_index & request_idx
#start_to_get = intersect[0] - request_idx.freq
#if not start_to_get.tzinfo:
#self.tz.localize(start_to_get)
#idx_to_get = pd.date_range(start_to_get, intersect[-1], freq=request_idx.freq)
idx_to_get = pd.date_range(intersect[0] - request_idx.freq,
intersect[-1], freq=request_idx.freq)
if idx_to_get is None or idx_to_get.size == 0:
self._logger.info('No quotes available in database.')
return DataFrame(), request_idx
#NOTE try union minus intersect
#TODO getQuotesDB and others take care of dataframe cast and fields cut
if db_index[0] > request_idx[0]:
idx_to_dl = request_idx[request_idx < idx_to_get[0]]
else:
idx_to_dl = request_idx[request_idx > idx_to_get[-1]]
db_df = DataFrame(self.db.getQuotesDB(ticker, idx_to_get),
columns=fields).dropna()
if not db_df.index.tzinfo:
db_df.index.tz_localize(self.tz)
return db_df, idx_to_dl
#TODO each retriever, remote and db, takes care of dropna and columns
def getQuotes(self, tickers, fields=Fields.QUOTES, index=None, **kwargs):
'''
@summary: retrieve google finance data asked while initializing
and store it: Date, open, low, high, close, volume
@param quotes: list of quotes to fetch
@param fields: list of fields to store per quotes
@param index: pandas.Index object, used for dataframes
@param kwargs.start: date or datetime of the first values
kwargs.end: date or datetime of the last value
kwargs.delta: datetime.timedelta object, period of time to fill
kwargs.save: save to database downloaded quotes
kwargs.reverse: reverse companie name and field in panel
kwargs.symbols
kwargs.markets
@return a panel/dataframe/timeserie like close = data['google']['close'][date]
'''
''' ----------------------------------------------------------------------------'''
''' ---------------------------------- Index check and build -----------------'''
#FIXME reversed dataframe could be store in database ?
df = dict()
save = kwargs.get('save', False)
reverse = kwargs.get('reverse', False)
markets = kwargs.get('markets', None)
symbols = kwargs.get('symbols', None)
if not isinstance(index, pd.DatetimeIndex):
index = self._makeIndex(kwargs)
if not isinstance(index, pd.DatetimeIndex):
return None
if not index.tzinfo:
index = index.tz_localize(self.tz)
assert (index.tzinfo)
if self.connected['database']:
symbols, markets = self.db.getTickersCodes(tickers)
elif not symbols or not markets:
self._logger.error('** No database neither informations provided')
return None
for ticker in tickers:
if not ticker in symbols:
self._logger.warning('No code availablefor {}, going on'.format(ticker))
continue
self._logger.info('Processing {} stock'.format(ticker))
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Database check ------------'''
db_df, index = self._inspectDB(ticker, index, fields)
assert (index.tzinfo)
if not db_df.empty:
assert (db_df.index.tzinfo)
if index.size == 0:
save = False
df[ticker] = db_df
continue
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Remote retrievers ---------'''
self._logger.info('Downloading missing data, from {} to {}'
.format(index[0], index[-1]))
#FIXME No index.freq for comaprison?
#if (index[1] - index[0]) < pd.datetools.timedelta(days=1):
if index.freq > pd.datetools.BDay():
self._logger.info('Fetching minutely quotes ({})'.format(index.freq))
#TODO truncate in the method
network_df = DataFrame(self.remote.getMinutelyQuotes(
symbols[ticker], markets[ticker], index),
columns=fields).truncate(after=index[-1])
else:
network_df = DataFrame(self.remote.getHistoricalQuotes(
symbols[ticker], index), columns=fields)
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Merging -------------------'''
if not db_df.empty:
self._logger.debug('Checking db index ({}) vs network index ({})'
.format(db_df.index, network_df.index))
if db_df.index[0] > network_df.index[0]:
df[ticker] = pd.concat([network_df, db_df])
else:
df[ticker] = pd.concat([db_df, network_df]).sort_index()
else:
df[ticker] = network_df
''' ----------------------------------------------------------------------------'''
''' ---------------------------------------------- Manage final panel --------'''
data = Panel.from_dict(df, intersect=True)
if save:
#TODO: accumulation and compression of data issue, drop always true at the moment
if self.connected['database']:
self.db.updateStockDb(data, Fields.QUOTES, drop=True)
else:
self._logger.warning('! No database connection for saving.')
if reverse:
return Panel.from_dict(df, intersect=True, orient='minor')
#NOTE if data used here, insert every FIELD.QUOTES columns
#NOTE Only return Panel when one ticker and/or one field ?
return Panel.from_dict(df, intersect=True)
def _guessResolution(self, start, end):
if not start or not end:
return None
elapse = end - start
if abs(elapse.days) > 5 and abs(elapse.days) < 30:
delta = pd.datetools.BDay()
elif abs(elapse.days) <= 5 and abs(elapse.days) > 1:
delta = pd.datetools.Hour()
elif abs(elapse.days) >= 30:
delta = pd.datetools.BMonthEnd(round(elapse.days / 30))
else:
delta = pd.datetools.Minute(10)
self._logger.info('Automatic delta fixing: {}'.format(delta))
return delta
def load_from_csv(self, tickers, index, fields=Fields.QUOTES, **kwargs):
''' Return a quote panel '''
#TODO Replace adj_close with actual_close
#TODO Add reindex methods, and start, end, delta parameters
reverse = kwargs.get('reverse', False)
verbose = kwargs.get('verbose', False)
if self.connected['database']:
symbols, markets = self.db.getTickersCodes(tickers)
elif not symbols:
self._logger.error('** No database neither informations provided')
return None
timestamps = du.getNYSEdays(index[0], index[-1], dt.timedelta(hours=16))
csv = da.DataAccess('Yahoo')
df = csv.get_data(timestamps, symbols.values(), fields, verbose=verbose)
quotes_dict = dict()
for ticker in tickers:
j = 0
quotes_dict[ticker] = dict()
for field in fields:
serie = df[j][symbols[ticker]].groupby(index.freq.rollforward).aggregate(np.mean)
#TODO add a function parameter to decide what to do about it
clean_serie = serie.fillna(method='pad')
quotes_dict[ticker][field] = clean_serie
j += 1
if reverse:
return Panel.from_dict(quotes_dict, intersect=True, orient='minor')
return Panel.from_dict(quotes_dict, intersect=True)
def help(self, category):
#TODO: stuff to know like fields and functions
print('{} help'.format(category))
