def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(
bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5],
row[6], row[7]))
cursor.close()
return ret
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "SELECT date_mkt, price_open, price_max, price_min, price_close, cast(volume as unsigned) as volume, 0, 0 FROM cota_hist where symbol=%s"
args = [instrument]
if fromDateTime is not None:
sql += " and cota_hist.date_mkt >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and cota_hist.date_mkt <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by cota_hist.date_mkt asc"
cursor = self.__connection.cursor()
cursor.execute(sql, [instrument])
ret = []
for row in cursor:
#dateTime = dt.timestamp_to_datetime(row[0])
dateTime = row[0]
#if timezone:
# dateTime = dt.localize(dateTime, timezone)
ret.append(
bar.BasicBar(dateTime, float(row[1]), float(row[2]),
float(row[3]), float(row[4]), row[5], row[6],
row[7]))
cursor.close()
return ret
def getBars(self, instrument, frequency, timezone=None, fromDateTime=None, toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5], row[6], row[7]))
cursor.close()
return ret
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(
datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def onNewValue(self, dateTime, value):
technical.EventWindow.onNewValue(self, dateTime, value)
if value is not None:
timestamp = dt.datetime_to_timestamp(dateTime)
if len(self.__timestamps):
assert(timestamp > self.__timestamps[-1])
self.__timestamps.append(timestamp)
def onNewValue(self, dateTime, value):
technical.EventWindow.onNewValue(self, dateTime, value)
if value is not None:
timestamp = dt.datetime_to_timestamp(dateTime)
if len(self.__timestamps):
assert (timestamp > self.__timestamps[-1])
self.__timestamps.append(timestamp)
def doGetHistory(self):
while not self.stopped():
endTimestamp = dt.datetime_to_timestamp(self.__nextBarClose)
self.__updateNextBarClose()
dicts = {}
try:
for indentifier in self.__identifiers:
response = api.getKLineBar(
indentifier, endTimestamp - self.__frequency * 2,
self.__period, 100)
if response is None:
raise Exception("getKLineBar return None!")
dicts[indentifier] = response
break
except:
time.sleep(1)
continue
while not self.stopped():
barDict = {}
for indentifier in self.__identifiers:
response = dicts[indentifier]
if len(response) == 0:
break
barDict[indentifier] = liveBar(response.pop(-1),
self.__frequency)
if len(barDict) == 0:
break
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_HISTORY_BARS, bars))
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [
instrumentId, frequency, timeStamp,
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose()
]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [
bar.getOpen(),
bar.getHigh(),
bar.getLow(),
bar.getClose(),
bar.getVolume(),
bar.getAdjClose(), instrumentId, frequency, timeStamp
]
self.__connection.execute(sql, params)
def getLastValuesForInstrument(self, instrument, date):
sql = "select b.timestamp, b.open, b.high, b.low, b.close, b.volume from bar b inner join instrument i on i.instrument_id=b.instrument_id where i.name=? and b.timestamp<=? order by b.timestamp desc"
cursor = self.__connection.cursor()
cursor.execute(sql, [instrument, dt.datetime_to_timestamp(date)])
ret = cursor.next()
return (dt.timestamp_to_datetime(ret[0]), ret[1], ret[2], ret[3],
ret[4], ret[5])
def persistOrders(self, username, orders):
userId = self.getUserId(username)
cursor = self.__connection.cursor()
cursor.execute(self.__DELETE_ORDERS_SQL, [userId])
for o in orders.values():
parameters = [
userId,
o.getId(),
o.getAction(),
o.getState(),
o.getType(),
o.getAllOrNone(),
o.getAvgFillPrice(),
o.getCommissions(),
o.getFilled(),
o.getGoodTillCanceled(),
o.getInstrument(),
o.getQuantity(),
dt.datetime_to_timestamp(o.getSubmitDateTime())
]
if o.getType() == Order.Type.STOP:
parameters.append(0)
parameters.append(o.getStopPrice())
parameters.append(o.getStopHit())
elif o.getType() == Order.Type.MARKET:
parameters.append(o.getFillOnClose())
parameters.append(o.stopLossValue if o.getAction() ==
Order.Action.BUY else 0)
parameters.append(0)
else:
raise ("Unsupported order type")
cursor.execute(self.__SAVE_ORDERS_SQL, parameters)
cursor.close()
def get_slot_datetime(dateTime, frequency):
ts = dt.datetime_to_timestamp(dateTime)
slot = ts / frequency
slotTs = (slot + 1) * frequency - 1
ret = dt.timestamp_to_datetime(slotTs, False)
if not dt.datetime_is_naive(dateTime):
ret = dt.localize(ret, dateTime.tzinfo)
return ret
def get_slot_datetime(dateTime, frequency): ts = dt.datetime_to_timestamp(dateTime) slot = ts / frequency slotTs = (slot + 1) * frequency - 1 ret = dt.timestamp_to_datetime(slotTs, False) if not dt.datetime_is_naive(dateTime): ret = dt.localize(ret, dateTime.tzinfo) return ret
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
instrumentId = self.__getInstrumentID(instrument)
args = [instrumentId]
# write column and table name
if frequency is bar.Frequency.DAY:
sql = self.__get_day_bar_sql()
elif frequency is bar.Frequency.MINUTE:
min_table_id = self.__get_minute_table_id()
sql = self.__get_minute_bar_sql(min_table_id)
# write where condition
if fromDateTime is not None:
sql += ' and timestamp >= %d'
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += ' and timestamp <= %d'
args.append(dt.datetime_to_timestamp(toDateTime))
# write order
sql += ' order by timestamp'
# substitute parameters
sql = sql % tuple(args)
ret = []
result = self.mysql.fetch(sql)
for row in result:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
if frequency is bar.Frequency.MINUTE:
o, c = self.__split(row[1])
h, l = self.__split(row[2])
v = row[3]
else:
o, h, l, c, v = row[1], row[2], row[3], row[4], row[5]
ret.append(bar.BasicBar(dateTime, o, h, l, c, v, c, frequency))
return ret
def __init__(self, dateTime, frequency):
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 addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "insert into bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) values (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "update bar set open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" where instrument_id = ? and frequency = ? and timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(), instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
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 = ts / frequency # 从31分开始计算
# slotTs = slot * frequency
self.__begin = dt.timestamp_to_datetime(
ts, 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 - bar.Frequency.MINUTE)) # 获取最后一个bar数据时截止
self.isFirtstCheckingNearly = True
def addTrade(self, dateTime, tid, price, amount):
# To avoid collisions.
if dateTime == self.__lastDateTime:
dateTime += datetime.timedelta(microseconds=len(self.__events))
self.__lastDateTime = dateTime
eventDict = {
"data": {
"id": tid,
"price": price,
"amount": amount,
"microtimestamp":
int(dt.datetime_to_timestamp(dateTime) * 1e6),
"type": 0,
},
"channel": "live_trades_btcusd",
}
self.__events.append(
(wsclient.WebSocketClient.Event.TRADE, wsclient.Trade(eventDict)))
def doCall(self):
endTimestamp = dt.datetime_to_timestamp(self.__nextBarClose)
barDict = {}
for indentifier in self.__identifiers:
try:
response = api.getKLineBar(indentifier, endTimestamp - self.__frequency, self.__period)
if response is None:
raise Exception("getKLineBar return None!")
# logger.debug(response)
barDict[indentifier] = liveBar(response[-1], self.__frequency)
except:
time.sleep(1)
return False
if len(barDict):
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_BARS, bars))
self.__updateNextBarClose()
return True
return False
def getValueAt(self, dateTime):
return self.__getValueAtImpl(dt.datetime_to_timestamp(dateTime))
import hbClient as hbc
import json
from liveApi.liveUtils import *
from pyalgotrade.utils import dt
import datetime
import os
broker = hbc.hbTradeClient()
client = broker.getClient()
sdate = dt.localize(datetime.datetime(2018, 2, 3, 22, 16), localTz)
edate = dt.localize(datetime.datetime(2018, 2, 4, 15, 00), localTz)
stime = int(dt.datetime_to_timestamp(sdate))
sdir = 'tradeOrders-%s' % sdate.strftime('%m%d_%H%M')
print stime, sdate, sdir
try:
os.mkdir(sdir)
except:
pass
@hbc.tryForever
def getTradeOrder(x):
symbol = x['base-currency'] + x['quote-currency']
tradeInfo = client.get(
'/v1/order/orders', **{
'symbol': symbol,
'states': 'partial-canceled,filled',
'types': 'buy-limit,sell-limit',
'start-date': sdate.strftime('%Y-%m-%d'),
'end-date': edate.strftime('%Y-%m-%d')
def getValueAt(self, dateTime):
return self.__getValueAtImpl(dt.datetime_to_timestamp(dateTime))
def utcToLocal(utcDatetime):
return timestamp_to_DateTimeLocal(dt.datetime_to_timestamp(utcDatetime))
def datetime_to_tid(dateTime):
unixTime = dt.datetime_to_timestamp(dt.as_utc(dateTime))
return timestamp_to_tid(unixTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)
def testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True), dateTime)
def datetime_to_tid(dateTime):
unixTime = dt.datetime_to_timestamp(dt.as_utc(dateTime))
return timestamp_to_tid(unixTime)
