def RawData(self):
asset = self.Asset()
base = self.Base()
horizon = self.Horizon()
period = str(self.Period())
flag = self.Flag()
cacheRetrieved = False
commondates = []
if (horizon > maxHist):
raise ValueError('horizon too large')
if (horizon<maxHist):
#print 'Trying to create from internal cache...'
#logx.Write('Trying to create series from internal cache...')
maxTS = acTechSeries(asset,base,maxHist,period, flag)
securityO = TimeSeries(dates = maxTS.securityO().Dates()[-horizon:], values = maxTS.securityO().Values()[-horizon:])
securityH = TimeSeries(dates = maxTS.securityH().Dates()[-horizon:], values = maxTS.securityH().Values()[-horizon:])
securityL = TimeSeries(dates = maxTS.securityL().Dates()[-horizon:], values = maxTS.securityL().Values()[-horizon:])
securityC = TimeSeries(dates = maxTS.securityC().Dates()[-horizon:], values = maxTS.securityC().Values()[-horizon:])
cacheRetrieved = True
else:
if (period == 'W'): # At this point, maxHist for 'W' period is not there
#print 'Creating daily series from internal cache to generate weekly series...'
maxTS = acTechSeries(asset,base,maxHist,'D',flag) #This MUST be loaded up in the startup
securityC = maxTS.securityC()
securityH = maxTS.securityH()
securityL = maxTS.securityL()
securityO = maxTS.securityO()
else:
#print 'Creating daily series from spotTS instead of dicoTS'
#logx.Write('Creating from scratch ; '+str(horizon)+','+str(maxHist))
# Retrieving any data for the very first time below
fileReader = Filereader()
if (self.Flag()) == 'True':
securityO, securityH, securityL, securityC = fileReader.createTStxt(asset=asset,base=base,priceflag='All')
elif self.Flag() == 'Pickle':
securityO, securityH, securityL, securityC = fileReader.createTSpickle(asset=asset,base=base)
#print 'received timeserie', datetime.datetime.today()
else:
if (base != ''): #Assuming an FX security
from fxstdtimeserie import spotTS
securityC, securityH, securityL, securityO = spotTS(asset, base, horizon, ['dqpp_close','dqpp_high','dqpp_low','dqpp_open'])
else: #non FX security
securityC, securityH, securityL, securityO = acTS(asset, horizon)
#Filter dates to include only rows that have all -- O,H,L and C
if (len(commondates) == 0): #If no filtering was done, get from what is existing
commondates =[ConvertDate(date) for date in securityC.Dates()]
if ((period == 'W') and not(cacheRetrieved)): #Convert daily data to weekly data
mdates = []
cvalues = []
ovalues = []
hvalues = []
lvalues = []
#Find the first monday
for nextDate in commondates:
if (days.DayOfWeek(nextDate) == 'monday'):
break
while nextDate <= commondates[-1]: # MZ : if thing it is possible for this to have a week from monday to monday because of the way the last day is rolled back
startDate = nextDate
indStart = ''
indEnd = ''
for k in range(5):#(0,7):
try:
indStart = commondates.index(nextDate)
break
except:
nextDate = days.NextWeekDay(nextDate) #nextDate+datetime.timedelta(1)
endDate = startDate+datetime.timedelta(5)
nextDate = startDate+datetime.timedelta(7)
if (indStart == ''):
continue
for k in range(0,7):
try:
indEnd = commondates.index(endDate)
break
except:
endDate = endDate-datetime.timedelta(1) # MZ : see comment above
if (indEnd == ''):
continue
mdates.append(endDate)
ovalues.append(securityO.Values()[indStart])
minVal = min(securityL.Values()[indStart:(indEnd+1)])
lvalues.append(minVal)
maxVal = max(securityH.Values()[indStart:(indEnd+1)])
hvalues.append(maxVal)
cvalues.append(securityC.Values()[indEnd])
securityO = TimeSeries(dates = mdates, values = ovalues)
securityH = TimeSeries(dates =mdates, values = hvalues)
securityL = TimeSeries(dates =mdates, values = lvalues)
securityC = TimeSeries(dates = mdates, values = cvalues)
return [securityO, securityH, securityL, securityC]
