def data_transform(start_date,end_date):
output_dir=directory()
date_dir = os.listdir("D:/deri-bit/")
datelist = []
for t in date_dir:
temp = datetime.datetime.strptime(t,'%Y%m%d').date()
datelist.append(temp)
for d in np.arange(start_date, end_date):
date = np.datetime64(d).astype(datetime.date)
# Initiate the underlying values
if d in datelist:
arrList = "D:/deri-bit/" + str(date).replace("-","")
arr_all = os.listdir(arrList)
arr=[]
for f in arr_all:
f_1 = f.split("-")
if f_1[0] == "BTC":
arr.append("D:/deri-bit/"+str(date).replace("-","")+"/"+f)
for f in arr:
f_to_list = f.split('-')
# Options:
if len(f_to_list) > 3:
cp_date=re.split('_(\d+)', f_to_list[4])
optionsDir = output_dir.data_download(type='option') + cp_date[1] + '_' + f_to_list[2] + '_' + f_to_list[3] + '_' + cp_date[0] +'.csv'
if not os.path.exists(optionsDir):
contractType = f_to_list[2].split('_')[0]
if not contractType.startswith('PERP'):
options = get_data(f)
optionsDF = options.all_to_dataframe()
optionsDF.to_csv(path_or_buf=optionsDir)
# Perpetuals
if len(f_to_list) == 3:
cp_date=re.split('_(\d+)', f_to_list[2])
perpetualDir = output_dir.data_download(type='perpetual') + cp_date[1] + '_'+ cp_date[0] +'.csv'
if not os.path.exists(perpetualDir):
contractType = f_to_list[2].split('_')[0]
if contractType.startswith('PERP'):
perpetual = get_data(f)
perpetualDF = perpetual.to_dataframe()
perpetualDF.to_csv(path_or_buf=perpetualDir)
# Futures
if len(f_to_list) == 3:
cp_date = re.split('_(\d+)', f_to_list[2])
futuresDir = output_dir.data_download(type='future') + cp_date[1] + '_' + cp_date[0] + '.csv'
if not os.path.exists(futuresDir):
contractType = f_to_list[2].split('_')[0]
if not contractType.startswith('PERP'):
futures = get_data(f)
futuresDF = futures.to_dataframe()
futuresDF.to_csv(path_or_buf=futuresDir)
print('Finished: ', date, f)
def __init__(self, current_day_options, tradinghour, d, delta_t,
maturity_T):
self.maturity_T = maturity_T
self.d = d
self.tradinghour = tradinghour
self.currentDate = np.datetime64(d).astype(datetime.date)
self.current_day_options = current_day_options
self.project_dir = directory()
self.dailyTradeTime = datetime.datetime.combine(
self.currentDate, self.tradinghour)
self.delayTradeTime = self.dailyTradeTime + datetime.timedelta(
minutes=delta_t)
self.previousTradeTime = self.dailyTradeTime - datetime.timedelta(
minutes=delta_t)
import os
import re
import datetime
import pandas as pd
import numpy as np
import matplotlib.pyplot as plt
from change_directory import directory
project_dir = directory()
perpListDir = project_dir.data_download(type='perpetual')
perpList = os.listdir(perpListDir)
dateList = []
for f in perpList:
f_date = re.split('_', f)
date = datetime.datetime.strptime(f_date[0], "%Y%m%d").date()
dateList.append(date)
quarterlyMonth = [3, 6, 9, 12]
monthList = [
'JAN', 'FEB', 'MAR', 'APR', 'MAY', 'JUN', 'JUL', 'AUG', 'SEP', 'OCT',
'NOV', 'DEC'
]
startDate = min(dateList)
endDate = max(dateList) + datetime.timedelta(days=1)
tradeHour = datetime.time(16, 0, 0)
optionListDir = project_dir.data_download(type='option')
optionList = os.listdir(optionListDir)
optionDateList, optionMaturityList, optionStrikeList, optionCallPutList, optionMaturityMonthList = [], [], [], [], []
import pandas as pd
import re
import os
import calendar
import datetime
import numpy as np
from DataClient import DataClient
from read_file import get_data
from change_directory import directory
start_date = datetime.date.today() - datetime.timedelta(days=2)
end_date = datetime.date.today() - datetime.timedelta(days=1)
output_dir = directory()
for d in np.arange(start_date, end_date):
date = np.datetime64(d).astype(datetime.date)
# Initiate the underlying values
client = DataClient('3.17.63.79', 22, 'ec2-user', 'Waa9b25xyk')
client.connect()
arr = client.getfiles(str(date).replace("-", ""), 'BTC')
for f in arr:
f_to_list = f.split('-')
# Options:
if len(f_to_list) > 3:
cp_date = re.split('_(\d+)', f_to_list[4])
optionsDir = output_dir.data_download(
type='option') + cp_date[1] + '_' + f_to_list[
2] + '_' + f_to_list[3] + '_' + cp_date[0] + '.csv'
if not os.path.exists(optionsDir):
def __init__(self):
self.project_dir = directory()