def is_month_start_date(date):
if not TradeTime.is_trade_day(date):
return False
# if find any date before this day is trade day, return False.
for i in range(date.day-1):
date_i = date - timedelta(i + 1)
if TradeTime.is_trade_day(date_i):
return False
return True
def is_week_end_date(date):
if not TradeTime.is_trade_day(date):
return False
left_days = 4 - date.weekday()
# if find any date after this day is trade day, return False.
for i in range(left_days):
date_i = date + timedelta(i + 1)
if TradeTime.is_trade_day(date_i):
return False
return True
def is_week_start_date(date):
if not TradeTime.is_trade_day(date):
return False
weekday = date.weekday()
# if find any date before this day is trade day, return False.
for i in range(weekday):
date_i = date - timedelta(i+1)
if TradeTime.is_trade_day(date_i):
return False
return True
def is_month_end_date(date):
if not TradeTime.is_trade_day(date):
return False
next_month = date.replace(day=28) + timedelta(days=4)
last_date = next_month - timedelta(days=next_month.day)
left_days = last_date.day - date.day
# if find any date after this day is trade day, return False.
for i in range(left_days):
date_i = date + timedelta(i + 1)
if TradeTime.is_trade_day(date_i):
return False
return True
def get_following_vix(self, from_date=None, to_date=None):
from_date = from_date or TradeTime.get_latest_trade_date(
) - datetime.timedelta(30)
to_date = to_date or TradeTime.get_latest_trade_date()
#self.logger.info('today=%s, from_date=%s, to_date=%s'%(datetime.datetime.today(), from_date, to_date))
symbols = VIX.get_vix_symbol_list(from_date, to_date, 3)
#records_index = self.get_vix_price_by_symbol('VIY00')
symbol_dic = {}
for symbol in symbols:
symbol_dic[symbol] = list_to_hash(
self.get_vix_price_by_symbol_and_date(symbol, from_date,
to_date))
days = (to_date - from_date).days + 1
records_f1 = []
records_f2 = []
records_f3 = []
for i in range(days):
date = from_date + datetime.timedelta(days=i)
if TradeTime.is_trade_day(date):
symbol_f1 = VIX.get_f1_by_date(date)
symbol_f2 = VIX.get_f2_by_date(date)
symbol_f3 = VIX.get_f3_by_date(date)
records_f1.append(
[date, symbol_dic[symbol_f1].get(date), symbol_f1])
records_f2.append(
[date, symbol_dic[symbol_f2].get(date), symbol_f2])
records_f3.append(
[date, symbol_dic[symbol_f3].get(date), symbol_f3])
# self.logger.info([records_f1[-1], records_f2[-1]], records_f3[-1]])
return (records_f1, records_f2, records_f3)
def get_vix_price_by_symbol(self, symbol, remove_invalid_date=True):
query_template = """select dailyDate1dAgo, dailyLastPrice from vix where symbol = '{}' order by dailyDate1dAgo"""
query = BaseDAO.mysql_format(query_template, symbol)
rows = self.select(query)
if remove_invalid_date:
rows = filter(lambda x: TradeTime.is_trade_day(x[0]), rows)
return rows
def offset_days(current_date, days_offset):
count = 0
date = current_date
while count < abs(days_offset):
if days_offset > 0:
date += timedelta(days=1)
else:
date -= timedelta(days=1)
if TradeTime.is_trade_day(date):
count += 1
return date
def validate(self, dt):
if TradeTime.is_trade_day(dt.date()):
if TradeTime.is_half_trade_day(dt.date()) and self.hours * 60 + self.minutes >= 3*60 + 30:
return False
else:
passed_minutes = dt.hour * 60 + dt.minute - (9*60 + 30)
if passed_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
return False
def clear_invalid_date_records(self):
query = """select distinct TradeDate from yahoo_equity"""
remove_invalid_query_template = """delete from yahoo_equity where TradeDate = '{}'"""
rows = self.select(query)
dates = map(lambda x: x[0], rows)
for date in dates:
if not TradeTime.is_trade_day(date):
query = remove_invalid_query_template.format(date)
print date
print query
self.execute_query(query)
def get_date_values(self):
expiration_date = self.get_expiration_date()
latest_date = min(TradeTime.get_latest_trade_date(), expiration_date)
days = (latest_date - self.start_date).days
for i in range(days + 1):
date = self.start_date + datetime.timedelta(days=i)
if TradeTime.is_trade_day(date):
value = DataProvider.get_price_by_date(self.option_symbol,
date)
#print 'date=%s,value=%s'%(date,value)
if value is not None:
if self.long_short.lower() == 'short':
value = -value
yield [date, self.quantity * value]
def get_vix_price_by_symbol_and_date(self,
symbol,
from_date=datetime.datetime(
1993, 1, 1),
to_date=None,
remove_invalid_date=True):
to_date = to_date or TradeTime.get_latest_trade_date()
query_template = """select dailyDate1dAgo, dailyLastPrice from vix where symbol = '{}' and dailyDate1dAgo >= str_to_date('{}', '%Y-%m-%d') and dailyDate1dAgo <= str_to_date('{}', '%Y-%m-%d') order by dailyDate1dAgo"""
query = BaseDAO.mysql_format(query_template, symbol,
from_date.strftime('%Y-%m-%d'),
to_date.strftime('%Y-%m-%d'))
rows = self.select(query)
if remove_invalid_date:
rows = filter(lambda x: TradeTime.is_trade_day(x[0]), rows)
return rows
def add_missing_data_in_real_time(
self,
symbol='SVXY',
):
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour,
us_dt.minute, us_dt.second)
if TradeTime.is_trade_day(now.date()):
default_start_time = datetime.datetime(now.year, now.month,
now.day, 9, 30, 0)
start_time = max(
default_start_time,
datetime.datetime(now.year, now.month, now.day, now.hour - 1,
now.minute, 0))
if now > start_time:
if TradeTime.is_half_trade_day(now.date()):
default_end_time = datetime.datetime(
now.year, now.month, now.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(
now.year, now.month, now.day, 16, 0, 0)
end_time = min(now, default_end_time)
if end_time > start_time:
minutes_count = range((end_time - start_time).seconds /
60 + 1)
trade_minutes = map(
lambda x: start_time + datetime.timedelta(minutes=x),
minutes_count)
# print trade_minutes
rows = self.get_time_and_price(symbol, start_time,
end_time)
# print rows
j = 0
missing_records = []
for i, time in enumerate(trade_minutes):
if rows[j][0] > time:
if j > 0:
price = rows[j - 1][1]
else:
price = rows[0][1]
missing_records.append(
Equity(symbol, time, price, price, price,
price, 0, 0))
else:
j = j + 1
if len(missing_records) > 0:
self.insert(missing_records)
return len(missing_records)
def insert(self, symbol, df):
query_template = """insert into yahoo_equity (symbol,tradeDate,openPrice,highPrice,lowPrice,closePrice,adjClosePrice,volume) values ('{}','{}',{},{},{},{},{},{})"""
conn = BaseDAO.get_connection()
cursor = conn.cursor()
for index, row in df.iterrows():
if TradeTime.is_trade_day(
datetime.datetime.strptime(row['Date'], '%Y-%m-%d')):
query = BaseDAO.mysql_format(query_template, symbol,
row['Date'], row['Open'],
row['High'], row['Low'],
row['Close'], row['Adj Close'],
row['Volume'])
self.execute_query(query, cursor)
conn.commit()
conn.close()
def validate(self, dt):
if TradeTime.is_trade_day(dt.date()):
if TradeTime.is_half_trade_day(dt.date()):
if self.hours * 60 + self.minutes >= 3.5 * 60:
return False
else:
left_minutes = 13 * 60 - (dt.hour * 60 + dt.minute)
if left_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
else:
left_minutes = 16 * 60 - (dt.hour * 60 + dt.minute)
if left_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
return False
def add_missing_data_in_real_time(self, symbol='SVXY', ):
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour, us_dt.minute, us_dt.second)
if TradeTime.is_trade_day(now.date()):
default_start_time = datetime.datetime(now.year, now.month, now.day, 9, 30, 0)
start_time = max(default_start_time, datetime.datetime(now.year, now.month, now.day, now.hour-1, now.minute, 0))
if now > start_time:
if TradeTime.is_half_trade_day(now.date()):
default_end_time = datetime.datetime(now.year, now.month, now.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(now.year, now.month, now.day, 16, 0, 0)
end_time = min(now, default_end_time)
if end_time > start_time:
minutes_count = range((end_time - start_time).seconds/60 + 1)
trade_minutes = map(lambda x: start_time + datetime.timedelta(minutes=x), minutes_count)
# print trade_minutes
rows = self.get_min_time_and_price(symbol, start_time, end_time)
# print rows
j = 0
missing_records = []
# self.logger.info('rows = %s, \n trade_minutes = %s' %(rows[-2:], trade_minutes[-2:]))
for i, time in enumerate(trade_minutes):
if j >= len(rows):
break # rows length may less than trade_minutes for 1 elements.
if rows[j][0].minute > time.minute or rows[j][0].hour > time.hour:
if j > 0:
# price = rows[j-1][1]
price = self.get_nearest_price(time, symbol)
else:
price = rows[0][1]
# self.logger.info('missing record: j = %s, time=%s'%(j, time))
missing_records.append((symbol, time, price))
else:
j = j + 1
if len(missing_records) > 0:
for record in missing_records:
self.insert(*record)
return len(missing_records)
def validate(self, date):
return TradeTime.is_trade_day(date)
def validate(self, date):
if TradeTime.is_trade_day(date):
week_end_date = DateRule.offset_days(date, self.days_offset)
return self.is_week_end_date(week_end_date)
else:
return False
def validate(self, date):
if TradeTime.is_trade_day(date):
month_end_date = DateRule.offset_days(date, self.days_offset)
return MonthEndRule.is_month_end_date(month_end_date)
else:
return False
def validate(self, date):
if TradeTime.is_trade_day(date):
month_start_date = DateRule.offset_days(date, -self.days_offset)
return MonthStartRule.is_month_start_date(month_start_date)
else:
return False
