def doFetchTrade(client,sessHandle,symbols,date,starttime,endtime):
execReq=TExecuteStatementReq()
#swBegin=Time.time()
execReq.sessionHandle=sessHandle
q="select * from marketdata2.trades where day = "+date.strftime('%Y%m%d')
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+p
if starttime !='':
q=q + " and time >= " + str(timeconvert2(starttime))
if endtime !='':
q=q + " and time <= " + str(timeconvert2(endtime))
q = q + " order by seqno limit " + str(Maxrow);
print "run the query, date: "+ date.strftime('%Y-%m-%d') + ". Please wait!"
#print q
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
#swEnd=Time.time()
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows;
for row in resultSet.rows:
symExi = False
strSym = row.colVals[1].stringVal.value
for sym in symbols:
if sym == strSym or len(symbols) < 400:
symExi = True
break
if (symExi):
trd=DB.Trade()
trd.Date(row.colVals[18].i32Val.value)
trd.Time(timeFormat(row.colVals[15].i32Val.value))
trd.Open(row.colVals[8].doubleVal.value)
trd.Symbol(row.colVals[1].stringVal.value)
trd.Exg(row.colVals[17].i32Val.value)
trd.High(row.colVals[9].doubleVal.value)
trd.Last(row.colVals[11].doubleVal.value)
trd.Low(row.colVals[10].doubleVal.value)
trd.Price(row.colVals[2].doubleVal.value)
trd.Size(row.colVals[6].i32Val.value)
trd.Volume(row.colVals[13].i32Val.value)
DB.OnTrade(trd)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
#print '100%'
#if(count!=1000):
#break
print 'done'
def doFetchQuote(client,sessHandle,symbols,date,starttime,endtime):
execReq=TExecuteStatementReq()
execReq.sessionHandle=sessHandle
q="select * from marketdata.quotes where day = "+date.strftime('%Y%m%d')
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+p
if starttime !='':
q=q + " and time >= " + str(timeconvert2(starttime))
if endtime !='':
q=q + " and time <= " + str(timeconvert2(endtime))
q = q + " order by seqno limit " + str(Maxrow);
print "run the query, date: "+ date.strftime('%Y-%m-%d') + ". Please wait!"
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows;
for row in resultSet.rows:
symExi = False
strSym = row.colVals[2].stringVal.value
for sym in symbols:
if sym == strSym or len(symbols) < 400:
symExi = True
break
if (symExi):
quo=DB.Quote()
quo.Date(row.colVals[19].i32Val.value)
quo.Time(timeFormat(row.colVals[16].i32Val.value))
quo.Symbol(row.colVals[2].stringVal.value)
quo.Ask(row.colVals[5].doubleVal.value)
quo.Ask_size(row.colVals[3].i32Val.value)
quo.Best_ask(row.colVals[8].doubleVal.value)
quo.Best_ask_exg(row.colVals[12].i32Val.value)
quo.Best_ask_size(row.colVals[11].i32Val.value)
quo.Best_bid(row.colVals[9].doubleVal.value)
quo.Best_bid_exg(row.colVals[13].i32Val.value)
quo.Best_bid_size(row.colVals[12].i32Val.value)
quo.Bid(row.colVals[6].doubleVal.value)
quo.Bid_size(row.colVals[4].i32Val.value)
DB.OnQuote(quo)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
print 'done'
def doFetchNews(client,sessHandle,symbols,date,starttime,endtime):
execReq=TExecuteStatementReq()
#swBegin=Time.time()
execReq.sessionHandle=sessHandle
q="select * from marketdata.news where day = "+date.strftime('%Y%m%d')
if starttime !='':
q=q + " and msofday >= " + str(timeconvert2(starttime))
if endtime !='':
q=q + " and msofday <= " + str(timeconvert2(endtime))
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+ p
print "run the query, date: "+ date.strftime('%Y-%m-%d') + ". Please wait!"
#print q
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
#swEnd=Time.time()
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows
for row in resultSet.rows:
symExi = False
strSym = row.colVals[1].stringVal.value
for sym in symbols:
if sym == strSym or len(symbols)<400:
symExi = True
break
if (symExi):
news=DB.News()
news.Date(row.colVals[9].i32Val.value)
news.Time(timeFormat(row.colVals[2].i32Val.value))
news.Symbol(row.colVals[1].stringVal.value)
news.Seqno(row.colVals[0].i32Val.value)
news.Category(row.colVals[3].stringVal.value)
news.Source(row.colVals[4].stringVal.value)
news.Headline(row.colVals[5].stringVal.value.replace("\"",""))
news.Resourceid(row.colVals[6].stringVal.value)
news.Story(row.colVals[7].stringVal.value.replace("\"",""))
news.Tags(row.colVals[8].stringVal.value.replace("\"",""))
DB.OnNews(news)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
print 'done'
def doFetchDailyNo(client,sessHandle,symbols,startdate,enddate):
execReq=TExecuteStatementReq()
execReq.sessionHandle=sessHandle
q="select * from marketdata.daily where day >= " + startdate.strftime('%Y%m%d') + " and day <= "+ enddate.strftime('%Y%m%d')
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+p
q = q + " order by day limit " + str(Maxrow);
print "run the query, begindate: "+ startdate.strftime('%Y-%m-%d') + ", enddate: "+enddate.strftime('%Y-%m-%d')+". Please wait!"
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows;
for row in resultSet.rows:
symExi = False
strSym = row.colVals[1].stringVal.value
for sym in symbols:
if sym == strSym or len(symbols) < 400:
symExi = True
break
if (symExi):
dai=DB.Daily()
dai.Date(row.colVals[0].i32Val.value)
dai.Symbol(row.colVals[1].stringVal.value)
dai.High(row.colVals[3].doubleVal.value)
dai.Low(row.colVals[4].doubleVal.value)
dai.Close(row.colVals[5].doubleVal.value)
dai.Open(row.colVals[2].doubleVal.value)
dai.Volume(row.colVals[6].i32Val.value)
DB.OnDaily(dai)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
#print '100%'
#if(count!=1000):
#break
print 'done'
def doFetchExgprints(client,sessHandle,symbols,date):
execReq=TExecuteStatementReq()
#swBegin=Time.time()
execReq.sessionHandle=sessHandle
q="select * from marketdata.exgprints where day = "+date.strftime('%Y%m%d')
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+p
print "run the query, date: "+ date.strftime('%Y-%m-%d') + ". Please wait!"
#print q
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
#swEnd=Time.time()
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows;
for row in resultSet.rows:
symExi = False
strSym = row.colVals[0].stringVal.value
for sym in symbols:
if (strSym==sym) or len(symbols) < 400:
symExi = True
break;
if(symExi):
exgP=DB.Exgprints()
exgP.Date(row.colVals[7].i32Val.value)
exgP.Time(timeFormat(row.colVals[1].i32Val.value))
exgP.Symbol(row.colVals[0].stringVal.value)
exgP.Price(row.colVals[5].doubleVal.value)
exgP.Size(row.colVals[6].i32Val.value)
exgP.Listedexchange(row.colVals[2].i32Val.value)
exgP.Reportingexchange(row.colVals[3].i32Val.value)
exgP.Printtype(row.colVals[4].i32Val.value)
DB.OnExgprints(exgP)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
print 'done'
def doFetchNYSEImbalance(client,sessHandle,symbols,date,starttime,endtime):
execReq=TExecuteStatementReq()
execReq.sessionHandle=sessHandle
q="select * from marketdata.imb_nyse where day = "+date.strftime('%Y%m%d')
p=''
if len(symbols)!=0 and len(symbols) < 400:
for s in symbols:
p=p+"','"+s
p="("+p[2:]+"')"
q=q+ ' and symbol in '+p
if starttime !='':
q=q + " and msofday >= " + str(timeconvert2(starttime))
if endtime !='':
q=q + " and msofday <= " + str(timeconvert2(endtime))
print "run the query, date: "+ date.strftime('%Y-%m-%d') + ". Please wait!"
#print q
execReq.statement=q
execResp = client.ExecuteStatement(execReq)
stmtHandle = execResp.operationHandle
fetchReq=TFetchResultsReq()
fetchReq.operationHandle=stmtHandle
fetchReq.orietntion=TFetchOrientation.FETCH_FIRST
fetchReq.maxRows=Maxrow
count=0
bmore=True
while bmore:
resultsResp = client.FetchResults(fetchReq)
resultSet = resultsResp.results
count=len(resultSet.rows)
bmore=resultsResp.hasMoreRows;
for row in resultSet.rows:
symExi = False
strSym = row.colVals[0].stringVal.value
for sym in symbols:
if sym == strSym or len(symbols) < 400:
symExi = True
break
if (symExi):
Imb=DB.Imbalance()
sidej = DB.Side.NONE
typej = DB.ImbType.UNKNOWN
if row.colVals[2].byteVal.value == 0:
sidej = DB.Side.NONE
elif row.colVals[2].byteVal.value == 1:
sidej = DB.Side.BUY
elif row.colVals[2].byteVal.value == 2:
sidej = DB.Side.SELL
if row.colVals[3].byteVal.value == 0:
typej = DB.ImbType.UNKNOWN
elif row.colVals[3].byteVal.value == 1:
typej = DB.ImbType.OPEN
elif row.colVals[3].byteVal.value == 4:
typej = DB.ImbType.CLOSE
elif row.colVals[3].byteVal.value == 5:
typej = DB.ImbType.NO_IMBALANCE
Imb.Date(row.colVals[13].i32Val.value)
Imb.Time(timeFormat(row.colVals[1].i32Val.value))
Imb.Symbol(row.colVals[0].stringVal.value)
Imb.Clearing_price(row.colVals[11].doubleVal.value)
Imb.Far_price(row.colVals[9].doubleVal.value)
Imb.Imbalance_type(typej)
Imb.Market_imbalance(row.colVals[6].i32Val.value)
Imb.Near_price(row.colVals[10].doubleVal.value)
Imb.Paired_shares(row.colVals[5].i32Val.value)
Imb.Ref_price(row.colVals[8].doubleVal.value)
Imb.Side(sidej)
Imb.Total_imbalance(row.colVals[7].i32Val.value)
Imb.Tag(row.colVals[12].byteVal.value)
DB.OnImbalance(Imb)
fetchReq.orietntion=TFetchOrientation.FETCH_NEXT
print 'done'
