help="One specific dat",
type=int,
default=None)
parser.add_argument('--stock', help="One specific stock", default=None)
parser.add_argument('--istock',
help="Number of stocks to analyze",
type=int,
default=0)
parser.add_argument('--market',
help="Process only market hours",
action='store_true',
default=False)
args = parser.parse_args()
year = args.year
sstocks = Stock(num=args.nstocks)
if 'G' in year:
# lfiles = [f'/S{day}-v50.txt.gz' for day in ITCH_days[year]]
# datapath = datapath + '/GIS/'
analysispath = datapath + '/GIS/Analysis'
else:
# lfiles = [f'{day}.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]
analysispath = datapath + '/Analysis'
if args.day is None:
for day in range(args.init, len(ITCH_days[args.year])):
now()
print(f'DAY: {ITCH_days[args.year][day]}')
for stock in sstocks.get_list_stocks()[args.istock:]:
print(f'STOCK= {stock}')
# parser.add_argument('--year', help="Anyo del analisis", default='')
#
# args = parser.parse_args()
# year = str(args.year)
# sstocks = Stock()
#
# if year == '':
# year = '2017G'
#
# if 'G' in year:
# lfiles = ['/S' + day + '-v50.txt.gz' for day in ITCH_days[year]]
# datapath = datapath + '/GIS/'
# else:
# lfiles = [day + '.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]
sstock = Stock(num=50)
cpny = Company()
for stock in ['YHOO']: #sorted(sstock.get_list_stocks()):
# for day in enumerate(ITCH_days[year]):
lexecutionsS = []
lexecutionsB = []
ltimeOS = []
ltimeOB = []
lpriceOS = []
lpriceOB = []
lsizeOB = []
lsizeOS = []
ldelete = []
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default="")
args = parser.parse_args()
year = str(args.year)
if year == '':
year = '2016'
messages = ['F', 'A', 'E', 'C', 'X', 'D', 'U', 'P']
i_time = time_to_nanoseconds(9, 30)
f_time = time_to_nanoseconds(16)
# st_time = time_to_nanoseconds(0, 10)
sstocks = Stock(fast=True)
cpny = Company()
lcounts = {}
totalcounts = {}
totalcounts = np.zeros(len(ITCH_days[year]), dtype=int)
for stock in sstocks.get_list_stocks():
lcounts[stock] = {}
for m in messages:
lcounts[stock] = np.zeros(len(ITCH_days[year]), dtype=int)
for i, day in enumerate(ITCH_days[year]):
try:
rfile = gzip.open(
datapath + 'Messages/' + day + '-' + stock +
from FSociety.ITCH import ITCHv5, ITCHRecord, ITCHtime
from FSociety.Util import now, hellinger_distance
from FSociety.Data import Stock, OrdersProcessor, Company
from FSociety.Config import datapath, ITCH_days
__author__ = 'bejar'
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default=None)
args = parser.parse_args()
year = str(args.year)
sstocks = Stock()
if year is None:
year = '2015'
sstock = Stock()
cpny = Company()
day = ITCH_days[year][0]
dhistoD = {}
dhistoS = {}
dhistoB = {}
mxhval = 16 # Max possible time interval
lstocks = sorted(sstock.get_list_stocks())
for stock in lstocks:
print(stock)
'-MESSAGES.csv')
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Year of the analysis", default='2017G')
parser.add_argument('--nstocks',
help="Number of stocks to analyze",
type=int,
default=50)
parser.add_argument('--init', help="Initial Day", type=int, default=0)
parser.add_argument('--day', help="Specific Day", type=int, default=None)
args = parser.parse_args()
year = str(args.year)
sstocks = Stock(num=args.nstocks)
print(len(sstocks.sstocks))
if 'G' in year:
lfiles = [f'/S{day}-v50.txt.gz' for day in ITCH_days[year]]
datapath = datapath + '/GIS/'
else:
lfiles = [f'{day}.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]
if args.day is None:
# for filename in [day + '.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]:
for filename, dname in zip(lfiles[args.init:],
ITCH_days[year][args.init:]):
process_messages(filename, dname)
else:
filename = lfiles[args.day]
import argparse
import os
from FSociety.ITCH import ITCHv5, ITCHRecord
from FSociety.Util import now
from FSociety.Data import Stock, OrdersProcessor
from FSociety.Config import datapath, ITCH_days
__author__ = 'bejar'
if __name__ == '__main__':
year = '2017G'
day = ITCH_days[year][0]
#stock = 'GOOGL'
sstocks = Stock(num=50)
filename = f'/S{day}-v50.txt.gz'
dataset = ITCHv5(datapath + '/GIS/'+ filename)
gendata = dataset.records()
print(filename)
i = 0
wfile = open(f'{datapath}/Results/{day}-STOCK-MESSAGES-zzz.csv', 'w')
dorders = {} # Dictionary to store the F/A/U orders to obtain the stock of U orders
record = None
for g in gendata:
order = dataset.to_string(g[0])
if order in ['F', 'A']:
stock = dataset.to_string(g[7]).strip()
if stock in sstocks.sstocks:
record = ITCHRecord(g)
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default="")
args = parser.parse_args()
year = str(args.year)
if year == '':
year = '2016'
i_time = time_to_nanoseconds(9, 30)
f_time = time_to_nanoseconds(16)
sstock = Stock(fast=True)
mgap = 1e+8
detail = {}
for stock in sorted(sstock.get_list_stocks()):
detail[stock] = {}
for day in ITCH_days[year]:
detail[stock][day] = 0
aggrday = {}
for day in ITCH_days[year]:
runlengths = []
runlengthspass = []
runlengthsact = []
runtime = []
print(day)
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default="")
args = parser.parse_args()
year = str(args.year)
if year == '':
year = '2015'
i_time = time_to_nanoseconds(9, 30)
f_time = time_to_nanoseconds(16)
st_time = time_to_nanoseconds(0, 10)
sstocks = Stock()
cpny = Company()
lcounts = {}
counter = 0
for stock in sstocks.get_list_stocks():
lcounts[stock] = []
for day in ITCH_days[year]:
rfile = gzip.open(
datapath + 'Messages/' + day + '-' + stock +
'-MESSAGES.csv.gz', 'rt')
count = np.zeros(39)
for mess in rfile:
data = mess.split(',')
timestamp = ITCHtime(int(data[1].strip()))
order = data[2].strip()
import seaborn as sn
import matplotlib.pyplot as plt
import argparse
import gzip
import numpy as np
__author__ = 'bejar'
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default='')
args = parser.parse_args()
year = str(args.year)
sstocks = Stock()
if year == '':
year = '2017G'
if 'G' in year:
lfiles = ['/S' + day + '-v50.txt.gz' for day in ITCH_days[year]]
datapath = datapath + '/GIS/'
else:
lfiles = [day + '.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]
sstock = Stock(num=50)
cpny = Company()
for stock in sorted(sstock.get_list_stocks()):
for day in ITCH_days[year]:
if 'G' in args.year:
analysispath = datapath + '/GIS/Analysis'
else:
analysispath = datapath + '/Analysis'
if args.day is not None:
itchday = ITCH_days[args.year][args.day]
if args.stock is not None:
statistics = order_statistics(args.year, args.day, args.stock)
log_process(statistics, args.log)
save_statistics(statistics, args.year, args.day, args.stock)
if args.plot:
plot_statistics(statistics)
else:
sstocks = Stock(num=args.nstocks)
for stock in sstocks.get_list_stocks():
statistics = order_statistics(args.year, args.day, stock)
log_process(statistics, args.log)
save_statistics(statistics, args.year, args.day, stock)
else:
for day in range(args.init, len(ITCH_days[args.year])):
now()
print(f'DAY: {ITCH_days[args.year][day]}')
if args.stock is not None:
statistics = order_statistics(args.year, day, args.stock)
log_process(statistics, args.log)
save_statistics(statistics, args.year, day, args.stock)
else:
sstocks = Stock(num=args.nstocks)