def _get_prices_at_frequency_for_ibcontract_object_no_checking(
self,
contract_object_with_ib_broker_config,
freq: Frequency,
allow_expired: bool = False,
) -> futuresContractPrices:
new_log = contract_object_with_ib_broker_config.log(self.log)
price_data = self.ib_client.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_broker_config,
bar_freq=freq,
allow_expired=allow_expired,
)
if price_data is missing_data:
new_log.warn("Something went wrong getting IB price data for %s" %
str(contract_object_with_ib_broker_config))
price_data = futuresContractPrices.create_empty()
elif len(price_data) == 0:
new_log.warn("No IB price data found for %s" %
str(contract_object_with_ib_broker_config))
price_data = futuresContractPrices.create_empty()
else:
price_data = futuresContractPrices(price_data)
## It's important that the data is in local time zone so that this works
price_data = price_data.remove_future_data()
## Ignore zeros if no volumes (if volume could be real price eg crude oil)
price_data = price_data.remove_zero_prices_if_zero_volumes()
return price_data
def _get_prices_at_frequency_for_contract_object_no_checking(self, contract_object: futuresContract,
freq: str
) -> futuresContractPrices:
"""
Get historical prices at a particular frequency
We override this method, rather than _get_prices_at_frequency_for_contract_object_no_checking
Because the list of dates returned by contracts_with_price_data is likely to not match (expiries)
:param contract_object: futuresContract
:param freq: str; one of D, H, 15M, 5M, M, 10S, S
:return: data
"""
new_log = contract_object.log(self.log)
contract_object_with_ib_broker_config = (
self.futures_contract_data.get_contract_object_with_IB_data(
contract_object
)
)
if contract_object_with_ib_broker_config is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
price_data = self.ib_client.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_broker_config, bar_freq=freq)
if price_data is missing_data:
new_log.warn(
"Something went wrong getting IB price data for %s" %
str(contract_object))
price_data = futuresContractPrices.create_empty()
elif len(price_data) == 0:
new_log.warn(
"No IB price data found for %s" %
str(contract_object))
price_data = futuresContractPrices.create_empty()
else:
price_data = futuresContractPrices(price_data)
## It's important that the data is in local time zone so that this works
price_data = price_data.remove_future_data()
## Some contract data is marked to model, don't want this
price_data = price_data.remove_zero_volumes()
return price_data
def get_recent_bid_ask_tick_data_for_contract_object(
self, contract_object, trade_list_for_multiple_legs=None):
"""
Get last few price ticks
:param contract_object: futuresContract
:return:
"""
new_log = self.log.setup(
instrument_code=contract_object.instrument_code,
contract_date=contract_object.date_str,
)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_metadata(
contract_object))
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
tick_data = self.ibconnection.ib_get_recent_bid_ask_tick_data(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
if tick_data is missing_contract:
return missing_data
tick_data_as_df = from_ib_bid_ask_tick_data_to_dataframe(tick_data)
return tick_data_as_df
def cancel_market_data_for_contract_object(
self, contract_object, trade_list_for_multiple_legs=None):
"""
Returns my encapsulation of a ticker object
:param contract_object:
:param trade_list_for_multiple_legs:
:return:
"""
new_log = self.log.setup(
instrument_code=contract_object.instrument_code,
contract_date=contract_object.date_str,
)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_metadata(
contract_object))
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
self.ibconnection.cancel_market_data_for_contract_object(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
def _get_prices_at_frequency_for_ibcontract_object_no_checking(
self,
contract_object_with_ib_broker_config,
freq: Frequency,
allow_expired: bool = False,
) -> futuresContractPrices:
new_log = contract_object_with_ib_broker_config.log(self.log)
price_data = self.ib_client.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_broker_config,
bar_freq=freq,
allow_expired=allow_expired,
)
if price_data is missing_data:
new_log.warn("Something went wrong getting IB price data for %s" %
str(contract_object_with_ib_broker_config))
return failure
if len(price_data) == 0:
new_log.warn("No IB price data found for %s" %
str(contract_object_with_ib_broker_config))
return futuresContractPrices.create_empty()
return futuresContractPrices(price_data)
def get_recent_bid_ask_tick_data_for_contract_object(
self, contract_object: futuresContract) -> dataFrameOfRecentTicks:
"""
Get last few price ticks
:param contract_object: futuresContract
:return:
"""
new_log = contract_object.log(self.log)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_data(
contract_object))
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
tick_data = self.ib_client.ib_get_recent_bid_ask_tick_data(
contract_object_with_ib_data)
if tick_data is missing_contract:
return missing_data
tick_data_as_df = from_ib_bid_ask_tick_data_to_dataframe(tick_data)
return tick_data_as_df
def _get_prices_at_frequency_for_contract_object_no_checking(
self,
contract_object: futuresContract,
freq: Frequency,
allow_expired=False,
) -> futuresContractPrices:
"""
Get historical prices at a particular frequency
We override this method, rather than _get_prices_at_frequency_for_contract_object_no_checking
Because the list of dates returned by contracts_with_price_data is likely to not match (expiries)
:param contract_object: futuresContract
:param freq: str; one of D, H, 15M, 5M, M, 10S, S
:return: data
"""
new_log = contract_object.log(self.log)
contract_object_with_ib_broker_config = (
self.futures_contract_data.get_contract_object_with_IB_data(
contract_object, allow_expired=allow_expired))
if contract_object_with_ib_broker_config is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
price_data = self._get_prices_at_frequency_for_ibcontract_object_no_checking(
contract_object_with_ib_broker_config,
freq=freq,
allow_expired=allow_expired,
)
return price_data
def get_ticker_object_for_contract_object(
self, contract_object: futuresContract, trade_list_for_multiple_legs=None) -> ibTickerObject:
"""
Returns my encapsulation of a ticker object
:param contract_object:
:param trade_list_for_multiple_legs:
:return:
"""
new_log = contract_object.log(self.log)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_data(contract_object)
)
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
ticker_with_bs = self.ibconnection.get_ticker_object(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
ticker_object = ibTickerObject(ticker_with_bs, self.ibconnection)
return ticker_object
def _get_prices_for_contract_object_no_checking(self,
futures_contract_object):
"""
Read back the prices for a given contract object
:param contract_object: futuresContract
:return: data
"""
keyname = self._keyname_given_contract_object(futures_contract_object)
filename = self._filename_given_key_name(keyname)
date_format = self._input_date_format
date_time_column = self._input_date_time_column
input_column_mapping = self._input_column_mapping
skiprows = self._input_skiprows
skipfooter = self._input_skipfooter
try:
instrpricedata = pd_readcsv(
filename,
date_index_name=date_time_column,
date_format=date_format,
input_column_mapping=input_column_mapping,
skiprows=skiprows,
skipfooter=skipfooter,
)
except OSError:
self.log.warning("Can't find adjusted price file %s" % filename)
return futuresContractPrices.create_empty()
instrpricedata = instrpricedata.groupby(level=0).last()
instrpricedata = futuresContractPrices(instrpricedata)
return instrpricedata
def _get_prices_for_contract_object_no_checking(
self, futures_contract_object):
"""
:param futures_contract_object: futuresContract
:return: futuresContractPrices
"""
self.log.label(
instrument_code=futures_contract_object.instrument_code,
contract_date=futures_contract_object.date_str,
)
try:
quandl_contract = _quandlFuturesContract(futures_contract_object)
except BaseException:
self.log.warning(
"Can't parse contract object to find the QUANDL identifier"
)
return futuresContractPrices.create_empty()
try:
contract_data = quandl.get(quandl_contract.quandl_identifier())
except Exception as exception:
self.log.warn(
"Can't get QUANDL data for %s error %s"
% (quandl_contract.quandl_identifier(), exception)
)
return futuresContractPrices.create_empty()
try:
data = quandlFuturesContractPrices(contract_data)
except BaseException:
self.log.error(
"Quandl API error: data fields are not as expected %s"
% ",".join(list(contract_data.columns))
)
return futuresContractPrices.create_empty()
# apply multiplier
factor = quandl_contract.get_dividing_factor()
data = data / factor
return data
def get_prices_at_frequency_for_contract_object(self,
contract_object,
freq="D"):
"""
Get historical prices at a particular frequency
We override this method, rather than _get_prices_at_frequency_for_contract_object_no_checking
Because the list of dates returned by contracts_with_price_data is likely to not match (expiries)
:param contract_object: futuresContract
:param freq: str; one of D, H, 15M, 5M, M, 10S, S
:return: data
"""
new_log = self.log.setup(
instrument_code=contract_object.instrument_code,
contract_date=contract_object.date_str,
)
contract_object_with_ib_broker_config = (
self.futures_contract_data.get_contract_object_with_IB_metadata(
contract_object))
if contract_object_with_ib_broker_config is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
price_data = self.ibconnection.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_broker_config, bar_freq=freq)
if len(price_data) == 0:
new_log.warn("No IB price data found for %s" %
str(contract_object))
data = futuresContractPrices.create_empty()
else:
data = futuresContractPrices(price_data)
data = futuresContractPrices(
data[data.index < datetime.datetime.now()])
data = data.remove_zero_volumes()
return data
def get_prices_for_contract_object(self, contract_object: futuresContract):
"""
get all prices without worrying about frequency
:param contract_object: futuresContract
:return: data
"""
if self.has_data_for_contract(contract_object):
return self._get_prices_for_contract_object_no_checking(
contract_object)
else:
return futuresContractPrices.create_empty()
def get_prices_for_contract_object(self, contract_object):
"""
get some prices
:param contract_object: futuresContract
:return: data
"""
if self.has_data_for_contract(contract_object):
return self._get_prices_for_contract_object_no_checking(
contract_object)
else:
return futuresContractPrices.create_empty()
def get_prices_at_frequency_for_contract_object(self,
contract_object,
freq="D"):
"""
get some prices
:param contract_object: futuresContract
:param freq: str; one of D, H, 5M, M, 10S, S
:return: data
"""
if self.has_data_for_contract(contract_object):
return self._get_prices_at_frequency_for_contract_object_no_checking(
contract_object, freq=freq)
else:
return futuresContractPrices.create_empty()
def cancel_market_data_for_order(self, order: ibBrokerOrder):
contract_object = order.futures_contract
trade_list_for_multiple_legs = order.trade
new_log = order.log_with_attributes(self.log)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_data(
contract_object))
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
self.ib_client.cancel_market_data_for_contract_object(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
def _get_prices_for_contract_object_no_checking(
self, futures_contract_object: futuresContract
) -> futuresContractPrices:
"""
Read back the prices for a given contract object
:param contract_object: futuresContract
:return: data
"""
keyname = self._keyname_given_contract_object(futures_contract_object)
filename = self._filename_given_key_name(keyname)
config = self.config
date_format = config.input_date_format
date_time_column = config.input_date_index_name
input_column_mapping = config.input_column_mapping
skiprows = config.input_skiprows
skipfooter = config.input_skipfooter
multiplier = config.apply_multiplier
inverse = config.apply_inverse
try:
instrpricedata = pd_readcsv(
filename,
date_index_name=date_time_column,
date_format=date_format,
input_column_mapping=input_column_mapping,
skiprows=skiprows,
skipfooter=skipfooter,
)
except OSError:
log = futures_contract_object.log(self.log)
log.warn("Can't find adjusted price file %s" % filename)
return futuresContractPrices.create_empty()
instrpricedata = instrpricedata.groupby(level=0).last()
for col_name in ["OPEN", "HIGH", "LOW", "FINAL"]:
column_series = instrpricedata[col_name]
if inverse:
column_series = 1 / column_series
column_series *= multiplier
instrpricedata[col_name] = column_series.round(2)
instrpricedata = futuresContractPrices(instrpricedata)
return instrpricedata
def get_prices_at_frequency_for_contract_object(
self,
contract_object: futuresContract,
freq: Frequency = DAILY_PRICE_FREQ,
return_empty: bool = True):
"""
get some prices at a given frequency
:param contract_object: futuresContract
:param freq: str; one of D, H, 5M, M, 10S, S
:return: data
"""
if self.has_data_for_contract(contract_object):
return self._get_prices_at_frequency_for_contract_object_no_checking(
contract_object, freq=freq)
else:
if return_empty:
return futuresContractPrices.create_empty()
else:
return failure
def get_ticker_object_for_order(self, order: contractOrder) -> tickerObject:
contract_object = order.futures_contract
trade_list_for_multiple_legs = order.trade
new_log = order.log_with_attributes(self.log)
contract_object_with_ib_data = (
self.futures_contract_data.get_contract_object_with_IB_data(contract_object)
)
if contract_object_with_ib_data is missing_contract:
new_log.warn("Can't get data for %s" % str(contract_object))
return futuresContractPrices.create_empty()
ticker_with_bs = self.ib_client.get_ticker_object(
contract_object_with_ib_data,
trade_list_for_multiple_legs=trade_list_for_multiple_legs,
)
ticker_object = ibTickerObject(ticker_with_bs, self.ib_client)
return ticker_object
