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 __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 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)
dispatcher = observer.Dispatcher()
dispatcher.addSubject(feed)
dispatcher.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 testWithPerFileTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
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 testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(INSTRUMENT)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def testWithPerFileTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"), marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(FeedTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"), marketsession.USEquities.getTimezone())
for dateTime, bars in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(timezone=marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(INSTRUMENT, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars in barFeed:
bar = bars.getBar(INSTRUMENT)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
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)
dispatcher = observer.Dispatcher()
dispatcher.addSubject(feed)
dispatcher.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 __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 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 testWithoutTimezone(self): barFeed = self.__loadIntradayBarFeed(None) ds = barFeed.getDataSeries() for i in xrange(ds.getLength()): currentBar = ds.getValueAbsolute(i) # Datetime must be set to UTC. self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithTimezone(self): timeZone = marketsession.USEquities.getTimezone() barFeed = self.__loadIntradayBarFeed(timeZone) ds = barFeed.getDataSeries() for i in xrange(ds.getLength()): currentBar = ds.getValueAbsolute(i) self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def __init__(self, dateTime):
super(CtpDayRange, self).__init__()
self.__initBegin(dateTime)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin.replace(hour=15, minute=0) + BDay()
self.isFirtstCheckingNearly = True
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
# Datetime must be set to UTC.
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds.getValueAbsolute(i)
self.assertFalse(dt.datetime_is_naive(currentBar.getDateTime()))
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries(INSTRUMENT)
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 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 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 testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries(INSTRUMENT)
for i, currentBar in enumerate(ds):
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(CtpWeekRange, self).__init__()
self.__begin = dateTime - datetime.timedelta(days=dateTime.weekday())
self.__initBegin(self.__begin)
self.__end = self.__begin.replace(hour=15) + datetime.timedelta(days=6)
self.isFirtstCheckingNearly = True
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = dt.localize(self.__end, dateTime.tzinfo)
def testWithTimezone(self):
timeZone = marketsession.USEquities.getTimezone()
barFeed = self.__loadIntradayBarFeed(timeZone)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds[i]
assert not dt.datetime_is_naive(currentBar.getDateTime())
assert ds[i].getDateTime() == ds.getDateTimes()[i]
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
barFeed.stop()
barFeed.join()
def testWithoutTimezone(self):
barFeed = self.__loadIntradayBarFeed(None)
ds = barFeed.getDataSeries()
for i in xrange(ds.getLength()):
currentBar = ds[i]
# Datetime must be set to UTC.
currentBarDT = currentBar.getDateTime()
assert not dt.datetime_is_naive(currentBarDT)
assert ds[i].getDateTime() == ds.getDateTimes()[i]
def testWithDefaultTimezone(self):
barFeed = yahoofeed.Feed(marketsession.USEquities.getTimezone())
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"))
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
self.assertFalse(dt.datetime_is_naive(bar.getDateTime()))
barFeed.stop()
barFeed.join()
def testWithoutTimezone(self):
barFeed = yahoofeed.Feed()
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2000-yahoofinance.csv"))
barFeed.addBarsFromCSV(
FeedTestCase.TestInstrument,
common.get_data_file_path("orcl-2001-yahoofinance.csv"))
for dateTime, bars, _ in barFeed:
bar = bars.getBar(FeedTestCase.TestInstrument)
self.assertTrue(dt.datetime_is_naive(bar.getDateTime()))
def __init__(self, dateTime):
super(StockDayRange, self).__init__()
self.__begin = datetime.datetime(dateTime.year,
dateTime.month,
dateTime.day,
hour=9,
minute=31)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin.replace(hour=15, minute=0)
self.isFirtstCheckingNearly = True
def __init__(self, dateTime):
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 testWithoutTimezone(self):
# At the moment we need to set both the Feed's constructor and addBarsFromCSV to None in order to get a naive
# datetime
barFeed = yahoofeed.Feed(timezone=None)
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2000-yahoofinance.csv"),
timezone=None)
barFeed.addBarsFromCSV(YahooTestCase.TestInstrument, common.get_data_file_path("orcl-2001-yahoofinance.csv"),
timezone=None)
barFeed.start()
for bars in barFeed:
bar = bars.getBar(YahooTestCase.TestInstrument)
assert dt.datetime_is_naive(bar.getDateTime())
barFeed.stop()
barFeed.join()
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.parse.urlencode(params), "")
url = urllib.parse.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
def __init__(self, dateTime):
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 to_utc_if_naive(dateTime):
if dateTime is not None and dt.datetime_is_naive(dateTime):
dateTime = dt.as_utc(dateTime)
return dateTime