def translate_tick_record(self, r):
if r.entryType == '2': #TRADE
r = r._replace(
date = qtemporal.from_raw_qtemporal(r.date, qtype.QDATE).astype(datetime),
tradeDate = qtemporal.from_raw_qtemporal(r.tradeDate, qtype.QDATE).astype(datetime),
time = utils.dt64_to_dt_local(qtemporal.from_raw_qtemporal(r.time, qtype.QTIMESTAMP)),
settleDate = qtemporal.from_raw_qtemporal(r.settleDate, qtype.QDATE),
entryTime = utils.dt64_to_dt_local(qtemporal.from_raw_qtemporal(r.entryTime, qtype.QTIMESTAMP)),
priceLevel = 0,
numOrders = 0,
tradingSessionID = 0,
openCloseSettleFlag = 0,
quoteType = 0,
price = float(r.price)
)
elif r.entryType == '0' or r.entryType == '1': #QUOTE
r = r._replace(
date = qtemporal.from_raw_qtemporal(r.date, qtype.QDATE).astype(datetime),
tradeDate = qtemporal.from_raw_qtemporal(r.tradeDate, qtype.QDATE).astype(datetime),
time = utils.dt64_to_dt_local(qtemporal.from_raw_qtemporal(r.time, qtype.QTIMESTAMP)),
settleDate = qtemporal.from_raw_qtemporal(r.settleDate, qtype.QDATE),
entryTime = utils.dt64_to_dt_local(qtemporal.from_raw_qtemporal(r.entryTime, qtype.QTIMESTAMP)),
tickDirection=0,
openCloseSettleFlag=0,
tradeVolume=0,
quoteType=0,
aggressorSide=0,
tradeID=0,
price = float(r.price),
size = int(r.size),
numOrders = int(r.numOrders)
)
return r
def _read_temporal(self, qtype):
try:
fmt = STRUCT_MAP[qtype]
conversion = FROM_Q[qtype]
return from_raw_qtemporal(conversion(self._buffer.get(fmt)), qtype = qtype)
except KeyError:
raise QReaderException('Unable to deserialize q type: %s' % hex(qtype))
def _read_temporal(self, qtype):
try:
fmt = STRUCT_MAP[qtype]
conversion = PY_TYPE[qtype]
temporal = from_raw_qtemporal(conversion(self._buffer.get(fmt)), qtype = qtype)
return temporal if self._options.numpy_temporals else qtemporal(temporal, qtype = qtype)
except KeyError:
raise QReaderException('Unable to deserialize q type: %s' % hex(qtype))
def _read_temporal(self, qtype, options):
try:
fmt = STRUCT_MAP[qtype]
conversion = PY_TYPE[qtype]
temporal = from_raw_qtemporal(conversion(self._buffer.get(fmt)), qtype = qtype)
return temporal if options.numpy_temporals else qtemporal(temporal, qtype = qtype)
except KeyError:
raise QReaderException('Unable to deserialize q type: %s' % hex(qtype))
def init_kdb(stock_id, source, db_name, q):
if db_name =='volume':
for data in source:
query = '`volume insert(`' + str(stock_id) + '; ' + str(from_raw_qtemporal(data[3], qtype=QDATE)).replace('-','.') + '; 0n; 0n; 0n; 0n; 0n; 0n)'
df = q(query)
elif db_name == 'trending':
for data in source:
query = '`trending insert(`' + str(stock_id) + '; ' + str(from_raw_qtemporal(data[3], qtype=QDATE)).replace('-','.') + '; 0n; 0n; 0n; 0n; 0n)'
df = q(query)
elif db_name == 'momentum':
for data in source:
query = '`momentum insert(`' + str(stock_id) + '; ' + str(from_raw_qtemporal(data[3], qtype=QDATE)).replace('-','.') + '; 0n; 0n; 0n)'
df = q(query)
elif db_name == 'resource':
for data in source:
query = '`resource insert(`' + str(stock_id) + '; ' + str(from_raw_qtemporal(data[3], qtype=QDATE)).replace('-','.') + '; 0n; 0n)'
df = q(query)
def __getitem__(self, idx):
return from_raw_qtemporal(numpy.ndarray.__getitem__(self, idx), -abs(self.meta.qtype))
def __getitem__(self, idx):
return qtemporal(from_raw_qtemporal(numpy.ndarray.__getitem__(self, idx), -abs(self.meta.qtype)), qtype = -abs(self.meta.qtype))