def mergeAndAdjust(symbol):
with ZipFile(pjoin(const.RAW_DIR, '_' + symbol + '.csv.zip'), 'r',
ZIP_DEFLATED) as _zip:
files = _zip.namelist()
files.sort()
files.reverse()
# Adjust hist. prices in 2 steps: first adjust the Adj Close backward to the oldest data...
merged = []
carried_mult = 1.0
for f in files:
ld = list(csv.DictReader(strio(_zip.read(f))))
if ld:
if carried_mult != 1.0:
for sess in ld:
sess['Adj Close'] = float(
sess['Adj Close']) * carried_mult
carried_mult = float(ld[-1]['Adj Close']) / float(
ld[-1]['Close'])
merged += ld
# ...and then use Adj Close to adjust the remaining values
map(yAdjust, merged)
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(const.ADJ_DIR, zname), 'w', ZIP_DEFLATED) as out:
out.writestr(name, json.dumps(merged))
print zname
def backupSymbols():
''' Backup current symbol files and download latest symbols from nasdaq ftp '''
files = os.listdir(SYM_DIR)
for f in filter(lambda n: n.endswith('.bak'), files):
os.remove(pjoin(SYM_DIR, f))
for f in filter(lambda n: n.endswith('.txt'), files):
os.rename(pjoin(SYM_DIR, f), pjoin(SYM_DIR, f + '.bak'))
def mergeAndAdjust(symbol): with ZipFile(pjoin(const.RAW_DIR, '_' + symbol + '.csv.zip'), 'r', ZIP_DEFLATED) as _zip: files = _zip.namelist() files.sort() files.reverse() # Adjust hist. prices in 2 steps: first adjust the Adj Close backward to the oldest data... merged = [] carried_mult = 1.0 for f in files: ld = list(csv.DictReader(strio(_zip.read(f)))) if ld: if carried_mult != 1.0: for sess in ld: sess['Adj Close'] = float(sess['Adj Close']) * carried_mult carried_mult = float(ld[-1]['Adj Close']) / float(ld[-1]['Close']) merged += ld # ...and then use Adj Close to adjust the remaining values map(yAdjust, merged) name = '_' + symbol + '.json' zname = name + '.zip' with ZipFile(pjoin(const.ADJ_DIR, zname), 'w', ZIP_DEFLATED) as out: out.writestr(name, json.dumps(merged)) print zname
def backupSymbols():
''' Backup current symbol files and download latest symbols from nasdaq ftp '''
files = os.listdir(SYM_DIR)
for f in filter(lambda n: n.endswith('.bak'), files):
os.remove(pjoin(SYM_DIR, f))
for f in filter(lambda n: n.endswith('.txt'), files):
os.rename(pjoin(SYM_DIR, f), pjoin(SYM_DIR, f + '.bak'))
def reloadSymbols():
'''Load symbols and metadata into sqlite'''
# see http://www.nasdaqtrader.com/trader.aspx?id=symboldirdefs
with sqlite3.connect(pjoin(DB_DIR, "symbols.db")) as conn:
curs = conn.cursor()
tables = ('nasdaqlisted', 'otherlisted')
for f in filter(lambda n: n.endswith('.txt'), os.listdir(SYM_DIR)):
with open(pjoin(SYM_DIR, f), 'rb') as csvfile:
reader = csv.DictReader(csvfile, delimiter="|")
for row in reader:
if f.split('_')[0] in tables:
cols = map(lambda s: s.replace(' ', '_').upper(),
sorted(row.keys()))
params = (f.split('_')[0], ','.join(cols))
curs.execute("drop table if exists %s" % params[0])
create = "create table %s (%s)" % params
print create
curs.execute(create)
break
for row in reader:
qms = ','.join(list('?' * len(row.keys())))
ins = 'insert into %s (%s) values (%s)' % (params[0],
params[1], qms)
curs.execute(
ins, ([str(row[key]) for key in sorted(row.keys())]))
conn.commit()
def updateEodData():
txts = filter(lambda fn: fnmatch(fn, '*listed_*.txt'), os.listdir(const.SYM_DIR))
nsdl = filter(lambda fn: fnmatch(fn, 'nasdaqlisted_*.txt'), txts)[0]
allnsd = list(csv.DictReader(open(pjoin(const.SYM_DIR, nsdl), 'rb'), delimiter="|"))
nsdsyms = filter(lambda s: s.isalpha(), map(lambda d: d['Symbol'], allnsd))
othl = filter(lambda fn: fnmatch(fn, 'otherlisted_*.txt'), txts)[0]
allother = list(csv.DictReader(open(pjoin(const.SYM_DIR, othl), 'rb'), delimiter="|"))
othsyms = filter(lambda s: s.isalpha(), map(lambda d: d['ACT Symbol'], allother))
txt_syms = nsdsyms + othsyms
raw_syms = map(lambda n: n.split('.')[0][1:], os.listdir(const.RAW_DIR))
syms = list(set(txt_syms + raw_syms))
for sym in BAD_SYMS:
syms.remove(sym)
syms.sort()
# # TEMPORARY TRUNCATION, REMOVE
# LAST = 'OHAI'
# syms = syms[syms.index(LAST) + 1 :]
rrobin = {}
for symbol in syms:
mo, dy, yr, seq = getStartDate(symbol)
ip2host = dllib.getIpMap()
# Get target ip in round-robin fashion
for ip in ip2host:
if ip not in rrobin:
rrobin[ip] = 0
targetip = ip
else:
ld = [{count : ip} for ip, count in rrobin.items()]
ld = filter(lambda d: d.values()[0] in ip2host, ld)
ld.sort()
targetip = ld[0].values()[0]
params = (targetip, symbol, mo, dy, yr)
url = "http://%s/table.csv?s=%s&a=%s&b=%s&c=%s&d=11&e=31&f=2099&g=d" % params
loc = urllib2.Request(url)
loc.add_header('Accept-Encoding', 'gzip, deflate')
loc.add_header('Host', ip2host[targetip])
opener = urllib2.build_opener()
print 'requesting', url
try:
csv_txt = dllib.tryDecompress(opener.open(loc).read())
if list(csv.DictReader(strio(csv_txt))):
rrobin[targetip] += 1
_name = '_' + symbol
zname = _name + '.csv.zip'
with ZipFile(pjoin(const.RAW_DIR, zname), 'a', ZIP_DEFLATED) as _zip:
_zip.writestr(_name + '_' + seq + '.csv', csv_txt)
print 'success', symbol
mergeAndAdjust(symbol)
except urllib2.HTTPError:
print 'FAIL', symbol
def getHistory(*args):
pool = args[0]["pool"]
histpath = pjoin(const.JSON_DIR, "history.json")
# Set the file's [a|m]time back to epoch to force rewrite of histpath.
# os.utime(histpath, (0, 0))
base = os.path.getmtime(histpath)
newer = filter(lambda f: os.path.getmtime(os.path.join(SRC, f)) > base, os.listdir(SRC))
with open(histpath, "rb") as hfile:
if newer:
hist = []
for symbol in map(lambda f: f.split(".")[0][1:], newer):
pool.apply_async(numLines, [symbol], callback=lambda tup: hist.append({tup[0]: tup[1]}))
while 1:
if len(hist) < len(newer):
sleep(0.5)
continue
else:
pool.close()
update = json.dumps(map(lambda t: dict(t), sorted(hist, key=lambda x: x.values()[0], reverse=True)))
open(histpath, "wb").write(update)
return update
else:
pool.close()
return hfile.read()
def getMacd(params):
symbol = params['symbol'][0]
fast = int(params['fast'][0])
slow = int(params['slow'][0])
signal = int(params['signal'][0])
depth = int(params['depth'][0])
dpc = int(params['dpc'][0])
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f:
lst = json.loads(f.read())
lst.reverse(
) # reverse rows to be in timeline (earliest -> most) recent order
fdepth = depth + ((slow + signal) * dpc)
if fdepth < len(lst):
lst = lst[len(lst) - fdepth:]
rows = []
for row in lst:
rows.append({'Date': row['Date'], 'Close': row['Close']})
if dpc > 1:
data = aggregate(dpc, rows)
elif dpc == 1:
data = rows
return json.dumps(calcMacd(fast=fast, slow=slow, signal=signal, data=data))
def getMacd(params):
symbol = params['symbol'][0]
fast = int(params['fast'][0])
slow = int(params['slow'][0])
signal = int(params['signal'][0])
depth = int(params['depth'][0])
dpc = int(params['dpc'][0])
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f:
lst = json.loads(f.read())
lst.reverse() # reverse rows to be in timeline (earliest -> most) recent order
fdepth = depth + ((slow + signal) * dpc)
if fdepth < len(lst):
lst = lst[len(lst) - fdepth:]
rows = []
for row in lst:
rows.append({'Date':row['Date'], 'Close':row['Close']})
if dpc > 1:
data = aggregate(dpc, rows)
elif dpc == 1:
data = rows
return json.dumps(calcMacd(fast=fast, slow=slow, signal=signal, data=data))
def numLines(symbol):
name = "_" + symbol + '.json'
zname = name + '.zip'
_zip = ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED)
with _zip.open(name, 'r') as f:
for count, unused in enumerate(json.load(f), 1):
pass
return (symbol, count)
def numLines(symbol):
name = "_" + symbol + ".json"
zname = name + ".zip"
_zip = ZipFile(pjoin(SRC, zname), "r", ZIP_DEFLATED)
with _zip.open(name, "r") as f:
for count, unused in enumerate(json.load(f), 1):
pass
return (symbol, count)
def downloadSymbols():
files = ('nasdaqlisted.txt', 'otherlisted.txt')
ftp = FTP('ftp.nasdaqtrader.com')
ftp.login()
ftp.cwd("SymbolDirectory")
for f in files:
mtime = ftp.sendcmd('MDTM ' + f).split()[1]
name = f.split('.')[0] + '_' + mtime + '.txt'
out = open(pjoin(SYM_DIR, name), 'wb')
ftp.retrbinary("RETR %s" % f, out.write)
out.close()
ftp.quit()
def getObv(params):
symbol = params['symbol'][0]
depth = int(params['depth'][0])
dpc = int(params['dpc'][0])
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f:
lst = json.loads(f.read())
lst.reverse() # flip to timeline order, oldest first
if depth < len(lst):
lst = lst[len(lst) - depth:]
if dpc > 1:
return json.dumps(aggregate(dpc, lst))
elif dpc == 1:
out = []
firstClose = float(lst[0]['Close'])
lst = lst[1:]
for n in xrange(len(lst)):
obv = { 'Date' : lst[n]['Date'] }
thisClose = float(lst[n]['Close'])
lastClose = float(lst[n - 1]['Close'])
if out:
if thisClose > lastClose:
obv['OBV'] = out[-1]['OBV'] + int(lst[n]['Volume'])
elif thisClose < lastClose:
obv['OBV'] = out[-1]['OBV'] - int(lst[n]['Volume'])
else:
obv['OBV'] = out[-1]['OBV']
else:
if thisClose > firstClose:
obv['OBV'] = int(lst[n]['Volume'])
elif thisClose < firstClose:
obv['OBV'] = int(lst[n]['Volume']) * -1
else:
obv['OBV'] = 0
out.append(obv)
return json.dumps(out)
def downloadSymbols():
files = ('nasdaqlisted.txt', 'otherlisted.txt')
ftp = FTP('ftp.nasdaqtrader.com')
ftp.login()
ftp.cwd("SymbolDirectory")
for f in files:
mtime = ftp.sendcmd('MDTM ' + f).split()[1]
name = f.split('.')[0] + '_' + mtime + '.txt'
out = open(pjoin(SYM_DIR, name), 'wb')
ftp.retrbinary("RETR %s" % f, out.write)
out.close()
ftp.quit()
def getObv(params):
symbol = params['symbol'][0]
depth = int(params['depth'][0])
dpc = int(params['dpc'][0])
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f:
lst = json.loads(f.read())
lst.reverse() # flip to timeline order, oldest first
if depth < len(lst):
lst = lst[len(lst) - depth:]
if dpc > 1:
return json.dumps(aggregate(dpc, lst))
elif dpc == 1:
out = []
firstClose = float(lst[0]['Close'])
lst = lst[1:]
for n in xrange(len(lst)):
obv = {'Date': lst[n]['Date']}
thisClose = float(lst[n]['Close'])
lastClose = float(lst[n - 1]['Close'])
if out:
if thisClose > lastClose:
obv['OBV'] = out[-1]['OBV'] + int(lst[n]['Volume'])
elif thisClose < lastClose:
obv['OBV'] = out[-1]['OBV'] - int(lst[n]['Volume'])
else:
obv['OBV'] = out[-1]['OBV']
else:
if thisClose > firstClose:
obv['OBV'] = int(lst[n]['Volume'])
elif thisClose < firstClose:
obv['OBV'] = int(lst[n]['Volume']) * -1
else:
obv['OBV'] = 0
out.append(obv)
return json.dumps(out)
def getStartDate(sym):
loc = pjoin(const.RAW_DIR, '_' + sym + '.csv.zip')
if not pexists(loc):
return (0, 1, 1900, '0')
else:
with ZipFile(loc, 'r', ZIP_DEFLATED) as _zip:
files = _zip.namelist()
files.sort()
seq = re.split(r"[_\.]", files[-1])[2]
nseq = str(int(seq) + 1)
ldate = list(csv.DictReader(strio(_zip.read(files[-1]))))[0]['Date']
yr, mo, dy = map(int, ldate.split('-'))
nxt = date(yr, mo, dy) + timedelta(days=1)
return (nxt.month - 1, nxt.day, nxt.year, nseq)
def reloadSymbols():
'''Load symbols and metadata into sqlite'''
# see http://www.nasdaqtrader.com/trader.aspx?id=symboldirdefs
with sqlite3.connect(pjoin(DB_DIR, "symbols.db")) as conn:
curs = conn.cursor()
tables = ('nasdaqlisted', 'otherlisted')
for f in filter(lambda n: n.endswith('.txt'), os.listdir(SYM_DIR)):
with open(pjoin(SYM_DIR, f), 'rb') as csvfile:
reader = csv.DictReader(csvfile, delimiter="|")
for row in reader:
if f.split('_')[0] in tables:
cols = map(lambda s: s.replace(' ', '_').upper(), sorted(row.keys()))
params = (f.split('_')[0], ','.join(cols))
curs.execute("drop table if exists %s" % params[0])
create = "create table %s (%s)" % params
print create
curs.execute(create)
break
for row in reader:
qms = ','.join(list('?' * len(row.keys())))
ins = 'insert into %s (%s) values (%s)' % (params[0], params[1], qms)
curs.execute(ins, ([str(row[key]) for key in sorted(row.keys())]))
conn.commit()
def getSyms(params):
if params:
order = params['order'][0]
if order == 'alpha':
symbols = map(lambda f: f.split('.')[0].lstrip('_'), os.listdir(RAW_DIR))
elif order == 'biggest':
hfile = pjoin(JSON_DIR, "history.json")
hist = json.load(open(hfile, 'rb'))
symbols = map(lambda m: m.keys()[0] , sorted(hist, key=lambda x: x.values()[0], reverse=True))
return json.dumps(symbols)
else:
return map(lambda f: f.split('.')[0].lstrip('_'), os.listdir(RAW_DIR))
def getSyms(params):
if params:
order = params['order'][0]
if order == 'alpha':
symbols = map(lambda f: f.split('.')[0].lstrip('_'),
os.listdir(RAW_DIR))
elif order == 'biggest':
hfile = pjoin(JSON_DIR, "history.json")
hist = json.load(open(hfile, 'rb'))
symbols = map(
lambda m: m.keys()[0],
sorted(hist, key=lambda x: x.values()[0], reverse=True))
return json.dumps(symbols)
else:
return map(lambda f: f.split('.')[0].lstrip('_'), os.listdir(RAW_DIR))
def getEod(params):
symbol = params['symbol'][0]
depth = int(params['depth'][0])
dpc = int(params['dpc'][0])
name = '_' + symbol + '.json'
zname = name + '.zip'
with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f:
lst = json.loads(f.read())
lst.reverse() # flip to timeline order, oldest first
if depth < len(lst):
lst = lst[len(lst) - depth:]
if dpc > 1:
return json.dumps(aggregate(dpc, lst))
elif dpc == 1:
return json.dumps(lst)
def getEod(params): symbol = params['symbol'][0] depth = int(params['depth'][0]) dpc = int(params['dpc'][0]) name = '_' + symbol + '.json' zname = name + '.zip' with ZipFile(pjoin(SRC, zname), 'r', ZIP_DEFLATED).open(name) as f: lst = json.loads(f.read()) lst.reverse() # flip to timeline order, oldest first if depth < len(lst): lst = lst[len(lst) - depth:] if dpc > 1: return json.dumps(aggregate(dpc, lst)) elif dpc == 1: return json.dumps(lst)
def getHistory(*args):
pool = args[0]['pool']
histpath = pjoin(const.JSON_DIR, "history.json")
# Set the file's [a|m]time back to epoch to force rewrite of histpath.
# os.utime(histpath, (0, 0))
base = os.path.getmtime(histpath)
newer = filter(lambda f: os.path.getmtime(os.path.join(SRC, f)) > base,
os.listdir(SRC))
with open(histpath, 'rb') as hfile:
if newer:
hist = []
for symbol in map(lambda f: f.split('.')[0][1:], newer):
pool.apply_async(
numLines, [symbol],
callback=lambda tup: hist.append({tup[0]: tup[1]}))
while 1:
if len(hist) < len(newer):
sleep(0.5)
continue
else:
pool.close()
update = json.dumps(
map(
lambda t: dict(t),
sorted(hist,
key=lambda x: x.values()[0],
reverse=True)))
open(histpath, 'wb').write(update)
return update
else:
pool.close()
return hfile.read()