def testFeedWithQuandl(self):
class RowFilter(csvfeed.RowFilter):
def includeRow(self, dateTime, values):
return dateTime.year == 2013
feed = csvfeed.Feed("Date", "%Y-%m-%d", maxLen=40, timezone=marketsession.USEquities.timezone)
feed.setRowFilter(RowFilter())
feed.setTimeDelta(datetime.timedelta(hours=23, minutes=59, seconds=59))
feed.addValuesFromCSV(common.get_data_file_path("quandl_gold_2.csv"))
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 0)
disp = dispatcher.Dispatcher()
disp.addSubject(feed)
disp.run()
for col in ["USD", "GBP", "EUR"]:
self.assertEqual(len(feed[col]), 39)
self.assertEqual(feed["USD"][-1], 1333.0)
self.assertEqual(feed["GBP"][-1], 831.203)
self.assertEqual(feed["EUR"][-1], 986.75)
self.assertFalse(dt.datetime_is_naive(feed["USD"].getDateTimes()[-1]))
self.assertEqual(
feed["USD"].getDateTimes()[-1],
dt.localize(datetime.datetime(2013, 9, 29, 23, 59, 59), marketsession.USEquities.timezone)
)
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i, currentBar in enumerate(ds):
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
self.assertEqual(ds[i].getDateTime(), ds.getDateTimes()[i])
def __init__(self, dateTime):
super(DayRange, self).__init__()
self.__begin = datetime.datetime(dateTime.year, dateTime.month,
dateTime.day)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(days=1)
def __init__(self, dateTime, frequency):
super(IntraDayRange, self).__init__()
assert isinstance(frequency, int)
assert frequency > 1
assert frequency < bar.Frequency.DAY
ts = int(dt.datetime_to_timestamp(dateTime))
slot = int(ts / frequency)
slotTs = slot * frequency
self.__begin = dt.timestamp_to_datetime(
slotTs, not dt.datetime_is_naive(dateTime))
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(seconds=frequency)
def __init__(self, dateTime):
super(MonthRange, self).__init__()
self.__begin = datetime.datetime(dateTime.year, dateTime.month, 1)
# Calculate the ending date.
if dateTime.month == 12:
self.__end = datetime.datetime(dateTime.year + 1, 1, 1)
else:
self.__end = datetime.datetime(dateTime.year, dateTime.month + 1,
1)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = dt.localize(self.__end, dateTime.tzinfo)
def XigniteGlobalRealTime_GetBar(token,
identifier,
identifierType,
endDateTime,
precision,
period,
secureRequest=None):
if dt.datetime_is_naive(endDateTime):
raise Exception("endDateTime must have a timezone")
# Parse the exchange from the identifier.
instrument, exchange = parse_instrument_exchange(identifier)
if secureRequest is None:
secureRequest = USE_SECURE_REQUESTS
if secureRequest:
scheme = "https"
else:
scheme = "http"
# print datetime_to_string(endDateTime, exchange)
params = {
"_Token": token,
"Identifier": identifier,
"IdentifierType": identifierType,
"EndTime": datetime_to_string(endDateTime, exchange),
"Precision": precision,
"Period": period,
}
parts = (scheme, "globalrealtime.xignite.com",
"v3/xGlobalRealTime.json/GetBar", urllib.urlencode(params), "")
url = urlparse.urlunsplit(parts)
ret = json_http_request(url)
if ret.get("Outcome") != "Success":
msg = ret.get("Message")
if msg is None:
msg = "Error %s" % (ret.get("Outcome"))
raise XigniteError(msg, ret)
return ret
def to_utc_if_naive(dateTime):
if dateTime is not None and dt.datetime_is_naive(dateTime):
dateTime = dt.as_utc(dateTime)
return dateTime