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)
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()
price_data = self.ibconnection.broker_get_historical_futures_data_for_contract(contract_object_with_ib_data,
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):
"""
Get some prices
(daily frequency: using IB historical data)
We override this method, rather than _get_prices_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
:return: data
"""
new_log = self.log.setup(
instrument_code=contract_object.instrument_code,
contract_date=contract_object.date)
contract_object_with_ib_data = self._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()
price_data = self.ibconnection.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_data, bar_freq="D")
if len(price_data) == 0:
new_log.msg("No IB price data found for %s" % str(contract_object))
data = futuresContractPrices.create_empty()
else:
data = futuresContractPrices(price_data)
return data
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)
try:
quandl_contract = _quandlFuturesContract(futures_contract_object)
except:
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:
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_for_contract_object(self, contract_object):
"""
Get some prices
(daily frequency: using IB historical data)
:param contract_object: futuresContract
:return: data
"""
new_log = self.log.setup(
instrument_code=contract_object.instrument_code,
contract_date=contract_object.date)
contract_object_with_ib_data = self._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()
price_data = self.ibconnection.broker_get_historical_futures_data_for_contract(
contract_object_with_ib_data, bar_freq="D")
if len(price_data) == 0:
new_log.msg("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_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_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[2:4])
try:
barchart_contract = _barchartFuturesContract(
futures_contract_object)
except:
self.log.warning(
"Can't parse contract object to find the BARCHART identifier")
return futuresContractPrices.create_empty()
try:
# contract_data = barchart.get(barchart_contract.barchart_identifier())
contract_data = od.history(barchart_contract.barchart_identifier(),
historical_type='daily')['results']
contract_data = pd.DataFrame(contract_data)[[
'open', 'high', 'low', 'close', 'volume'
]]
contract_data.tail()
except Exception as exception:
self.log.warn("Can't get BARCHART data for %s error %s" %
(barchart_contract.barchart_identifier(), exception))
return futuresContractPrices.create_empty()
try:
data = barchartFuturesContractPrices(contract_data)
except:
self.log.error(
"Barchart API error: data fields are not as expected %s" %
",".join(list(contract_data.columns)))
return futuresContractPrices.create_empty()
# apply multiplier
factor = barchart_contract.get_dividing_factor()
data = data / factor
return data
