def get_universe_members(self, universe):
universes = UniversesDatabase()
members = universes.get_universe_members(universe)
return members
def fetch_historical_quotes(self, universe):
logging.info(f"Fetching historical quotes for universe {universe}.")
# Instanciate necessary objects
universe_db = UniversesDatabase()
tws = Tws()
contracts_db = ContractsDatabase()
quotes_db = QuotesDatabase()
quotes_status_db = QuotesStatusDatabase()
tools = Tools()
# Get config constants
REDOWNLOAD_DAYS = int(get_config_value('quotes', 'redownload_days'))
# Get universe members
contract_ids = universe_db.get_universe_members(universe=universe)
# Setup progress bar
manager = enlighten.get_manager()
pbar = manager.counter(total=len(contract_ids),
desc="Contracts",
unit="contracts")
exiter = GracefulExiter()
tws.connect()
logging.info(f"Connnected to TWS.")
try:
for contract_id in contract_ids:
# Abort, don't process further contracts
if exiter.exit() or tws.has_error():
logging.info("Aborting historical quotes fetching.")
break
# Get contracts data
filters = {'contract_id': contract_id}
columns = ['broker_symbol', 'exchange', 'currency']
contract = contracts_db.get_contracts(
filters=filters, return_columns=columns)[0]
quotes_status = quotes_status_db.get_quotes_status(contract_id)
logging.info(
f"Preparing to fetch hiostorical quotes for {contract['broker_symbol']} on {contract['exchange']}"
)
# Calculate length of requested data
if quotes_status is None:
duration_str = "15 Y"
quotes_from = date.today()
fifteen_years = timedelta(days=5479)
quotes_from -= fifteen_years
quotes_till = date.today().strftime('%Y-%m-%d')
elif quotes_status['status_code'] == 1:
start_date = (quotes_status['daily_quotes_requested_till'])
end_date = date.today().strftime('%Y-%m-%d')
ndays = np.busday_count(start_date, end_date)
if ndays <= REDOWNLOAD_DAYS:
logging.info(
f"Existing data is only {ndays} days old. Contract aborted."
)
pbar.total -= 1
pbar.update(incr=0)
continue
if ndays > 360:
logging.info(
f"Existing data is already {ndays} days old. Contract aborted."
)
pbar.total -= 1
pbar.update(incr=0)
continue
ndays += 6
duration_str = str(ndays) + ' D'
quotes_from = quotes_status['daily_quotes_requested_from']
quotes_till = end_date
else:
logging.info("Contract already has error status. Skipped.")
pbar.total -= 1
pbar.update(incr=0)
continue
# Request quotes from tws
quotes = tws.download_historical_quotes(
contract_id=contract_id,
symbol=contract['broker_symbol'],
exchange=tools.encode_exchange_ib(contract['exchange']),
currency=contract['currency'],
duration=duration_str)
if quotes is not None:
# Inserting quotes into database
logging.info(f"Storing {len(quotes)} quotes to database.")
quotes_db.insert_quotes(quotes=quotes)
# Write finished info to contracts database
quotes_status_db.insert_quotes_status(
contract_id=contract_id,
status_code=1,
status_text="Successful",
daily_quotes_requested_from=quotes_from,
daily_quotes_requested_till=quotes_till)
else:
# Write error info to contracts database
error_code, error_text = tws.get_contract_error()
quotes_status_db.insert_quotes_status(
contract_id=contract_id,
status_code=error_code,
status_text=error_text,
daily_quotes_requested_from=None,
daily_quotes_requested_till=None)
pbar.update()
logging.info(
f"Finished fetching historical quotes for universe {universe}."
)
finally:
tws.disconnect()
logging.info(f"Disconnnected from TWS.")