class YahooOHLCSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data_descriptor, **kwargs):
#assert isinstance(data.major_axis, pd.tseries.index.DatetimeIndex)
self.data_descriptor = data_descriptor
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data_descriptor['tickers'])
self.start = kwargs.get('start', data_descriptor['index'][0])
self.end = kwargs.get('end', data_descriptor['index'][-1])
# Hash_value for downstream sorting.
self.arg_string = hash_args(data_descriptor, **kwargs)
self._raw_data = None
self.remote = Remote()
@property
def mapping(self):
mapping = {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'volume': (int, 'volume'),
}
# Add additional fields.
for field_name in self.data.minor_axis:
if field_name in ['price', 'volume', 'dt', 'sid']:
continue
mapping[field_name] = (lambda x: x, field_name)
return mapping
@property
def instance_hash(self):
return self.arg_string
def _get(self):
return self.remote.fetch_equities_daily(self.sids,
ohlc=True,
indexes={},
start=self.start,
end=self.end)
def raw_data_gen(self):
self.data = self._get()
import ipdb
ipdb.set_trace()
for dt in self.data.major_axis:
df = self.data.major_xs(dt)
for sid, series in df.iterkv():
if sid in self.sids:
event = {
'dt': dt,
'sid': sid,
}
for field_name, value in series.iteritems():
event[field_name] = value
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data
class YahooOHLCSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data_descriptor, **kwargs):
#assert isinstance(data.major_axis, pd.tseries.index.DatetimeIndex)
self.data_descriptor = data_descriptor
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data_descriptor['tickers'])
self.start = kwargs.get('start', data_descriptor['index'][0])
self.end = kwargs.get('end', data_descriptor['index'][-1])
# Hash_value for downstream sorting.
self.arg_string = hash_args(data_descriptor, **kwargs)
self._raw_data = None
self.remote = Remote()
@property
def mapping(self):
mapping = {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'volume': (int, 'volume'),
}
# Add additional fields.
for field_name in self.data.minor_axis:
if field_name in ['price', 'volume', 'dt', 'sid']:
continue
mapping[field_name] = (lambda x: x, field_name)
return mapping
@property
def instance_hash(self):
return self.arg_string
def _get(self):
return self.remote.fetch_equities_daily(self.sids, ohlc=True,
indexes={}, start=self.start, end=self.end)
def raw_data_gen(self):
self.data = self._get()
import ipdb; ipdb.set_trace()
for dt in self.data.major_axis:
df = self.data.major_xs(dt)
for sid, series in df.iterkv():
if sid in self.sids:
event = {
'dt': dt,
'sid': sid,
}
for field_name, value in series.iteritems():
event[field_name] = value
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data
class YahooPriceSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data_descriptor, **kwargs):
assert isinstance(data_descriptor['index'],
pd.tseries.index.DatetimeIndex)
self.data_descriptor = data_descriptor
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data_descriptor['tickers'])
self.start = kwargs.get('start', data_descriptor['index'][0])
self.end = kwargs.get('end', data_descriptor['index'][-1])
# Hash_value for downstream sorting.
self.arg_string = hash_args(data_descriptor, **kwargs)
self._raw_data = None
self.remote = Remote()
@property
def mapping(self):
return {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'volume': (int, 'volume'),
}
@property
def instance_hash(self):
return self.arg_string
def _get(self):
return self.remote.fetch_equities_daily(self.sids,
indexes={},
start=self.start,
end=self.end)
def raw_data_gen(self):
self.data = self._get()
for dt, series in self.data.iterrows():
for sid, price in series.iterkv():
if sid in self.sids:
event = {
'dt': dt,
'sid': sid,
'price': price,
'volume': 1000,
}
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data
class YahooPriceSource(DataSource):
"""
Yields all events in event_list that match the given sid_filter.
If no event_list is specified, generates an internal stream of events
to filter. Returns all events if filter is None.
Configuration options:
sids : list of values representing simulated internal sids
start : start date
delta : timedelta between internal events
filter : filter to remove the sids
"""
def __init__(self, data_descriptor, **kwargs):
assert isinstance(data_descriptor['index'], pd.tseries.index.DatetimeIndex)
self.data_descriptor = data_descriptor
# Unpack config dictionary with default values.
self.sids = kwargs.get('sids', data_descriptor['tickers'])
self.start = kwargs.get('start', data_descriptor['index'][0])
self.end = kwargs.get('end', data_descriptor['index'][-1])
# Hash_value for downstream sorting.
self.arg_string = hash_args(data_descriptor, **kwargs)
self._raw_data = None
self.remote = Remote()
@property
def mapping(self):
return {
'dt': (lambda x: x, 'dt'),
'sid': (lambda x: x, 'sid'),
'price': (float, 'price'),
'volume': (int, 'volume'),
}
@property
def instance_hash(self):
return self.arg_string
def _get(self):
return self.remote.fetch_equities_daily(self.sids,
indexes={}, start=self.start, end=self.end)
def raw_data_gen(self):
self.data = self._get()
for dt, series in self.data.iterrows():
for sid, price in series.iterkv():
if sid in self.sids:
event = {
'dt': dt,
'sid': sid,
'price': price,
'volume': 1000,
}
yield event
@property
def raw_data(self):
if not self._raw_data:
self._raw_data = self.raw_data_gen()
return self._raw_data