class InstrumentService(object): logger = logging.getLogger('InstrumentService') def __init__(self): self.__instrument_dao = InstrumentDAO() self.__market_data_dao = MarketDataDAO() def market_data_model_to_serialized(self, market_data_model): market_data_serialized = {} market_data_serialized['id'] = market_data_model.id market_data_serialized['value'] = market_data_model.value market_data_serialized['data_type'] = market_data_model.type data_date = market_data_model.date market_data_serialized['date'] = datetime(data_date.year, data_date.month, data_date.day) return market_data_serialized def instrument_model_to_serialized(self, instrument_model): # build the serialized object instrument_serialized = {} instrument_serialized['id'] = instrument_model.id instrument_serialized['ticker'] = instrument_model.ticker instrument_serialized['name'] = instrument_model.name instrument_serialized['exchange'] = instrument_model.exchange instrument_serialized['rolling_month'] = instrument_model.rolling_month instrument_serialized['currency'] = instrument_model.currency instrument_serialized['point_value'] = instrument_model.point_value instrument_serialized['transactions_fees'] = instrument_model.transactions_fees instrument_serialized['asset_class'] = instrument_model.asset_class instrument_serialized['instrument_type'] = instrument_model.type instrument_serialized['datas'] = [] return instrument_serialized def get_date(self, a_date): # return a date from a datetime if a_date is instance of datetime if isinstance(a_date, datetime): return a_date.date() elif isinstance(a_date, date): return a_date # return a date from a XML RPC DateTime else else: return datetime.strptime(a_date.value, '%Y%m%dT%H:%M:%S').date() def get_by_ticker(self, ticker, first_date, last_date): ''' return an instrument serialized for a given ticker @param ticker: the ticker @param first_date: the first time series date @param last_date: the last time series date @return: the instrument serialized ''' try: self.logger.info('Asking data for %s between %s and %s'%(ticker, first_date, last_date)) # get the model session = Session() model = self.__instrument_dao.get_by_ticker(session, ticker) # convert into serialized object if model: instrument = self.instrument_model_to_serialized(model) # fill data first_date_converted = self.get_date(first_date) last_date_converted = self.get_date(last_date) datas = self.__market_data_dao.get_data_range(session, model, first_date_converted, last_date_converted) for market_data in datas: self.logger.debug('Appending data %s at %s for %s'%(market_data.type,market_data.date,ticker)) serialized = self.market_data_model_to_serialized(market_data) instrument['datas'].append(serialized) except DataError, e: self.logger.error(e.message) raise ServerError(e.message) finally:
file_name = data_repository + '/FuturesInfo.txt') # dowload time series zip file _download_zip(url='http://www.tradingblox.com/Data/DataOnly.zip', file_name = data_repository + '/DataOnly.zip') # unzip the time series zip file _unzip_file(file_name = data_repository + '/DataOnly.zip') # read the dictionary file and persist instrument field into database content = csv.reader(open(data_repository + '/FuturesInfo.txt', 'r')) for row in content: # load instrument from database if none then no treatment instrument = instrument_dao.get_by_ticker(session, row[0]) if instrument: logger.info('Filling %s'%instrument.name) # the exchange in caps instrument.exchange = row[4].upper() # the rolling month chain in caps instrument.rolling_month = row[5].upper() # the currency in caps instrument.currency = row[7].upper() # the point size manage case where number are given with coma (ex: 1,000.00) instrument.point_value = float(row[8].replace(',','')) # type instrument.type = InstrumentType.FUTURE # persit and fill instrument model instrument_dao.save(session, instrument)
logger = logging.getLogger('InstrumentCreatorScript') if __name__ == "__main__": logger.info('Starting instrument creation ...') session = Session() Base.metadata.create_all() instrument_dao = InstrumentDAO() try: ad = instrument_dao.get_by_ticker(session, 'AD') if not ad: ad = Instrument() ad.ticker = 'AD' ad.name = 'Australian Dollar' ad.asset_class = 'Currencies' ad.transactions_fees = .00005 instrument_dao.save(session, ad) bo = instrument_dao.get_by_ticker(session, 'BO') if not bo: bo = Instrument() bo.ticker = 'BO' bo.name = 'Soybean Oil' bo.asset_class = 'Grains' bo.transactions_fees = .015