Python FuturesDatabase.create_historical_table 예제들

예제 #1

파일: update_database_TICK_norepeats.py 프로젝트: aouyang1/Futures

init_day = '2013-09-01 17:00:00'
final_day = '2014-11-30 16:59:59'

table_name = instr_name + '_LAST'
compressed_table_name = table_name + '_COMPRESSED'

start_stamp = pd.Timestamp(init_day).tz_localize('US/Central')
start_stamp_utc = start_stamp.tz_convert('utc')

final_stamp = pd.Timestamp(final_day).tz_localize('US/Central')
final_stamp_utc = final_stamp.tz_convert('utc')

futures_db = FuturesDatabase()

futures_db.drop_table_if_exist(compressed_table_name)
futures_db.create_historical_table(compressed_table_name)

df_compressed = DataFrame(columns=['Date', 'Last', 'Volume'])

while start_stamp_utc < final_stamp_utc:

    start_date = timestamp_to_SQLstring(start_stamp_utc)

    # get end of day timestamp
    end_stamp_utc = start_stamp_utc + Day() - 45*Minute()

    end_date = timestamp_to_SQLstring(end_stamp_utc)

    df = futures_db.fetch_between_dates(table_name=table_name,
                                        start_date=start_date,
                                        end_date=end_date,

예제 #2

파일: update_database_TICK.py 프로젝트: aouyang1/Futures

import pandas as pd

from util.futuresdatabase import FuturesDatabase


instrument_list = ['GC', 'CL', 'ZB']

futures_db = FuturesDatabase()

for instrument in instrument_list:
    table_name = instrument + '_LAST'

    futures_db.drop_table_if_exist(table_name)

    futures_db.create_historical_table(table_name)

    rootPath = "/home/aouyang1/NinjaTrader/TickData/" + instrument
    folders = os.listdir(rootPath)

    fnames = os.listdir(rootPath)
    for fileNames in fnames:
        print fileNames
        df = pd.read_csv(rootPath + '/' + fileNames, delimiter=";", names=['Date', 'Last', 'Volume'], parse_dates=[0],
                         date_parser=lambda x: datetime.datetime.strptime(x, '%Y%m%d %H%M%S'))

        futures_db.upload_dataframe_to_table(df, table_name)

    futures_db.create_table_index(table_name, "Date")

futures_db.close_database_connection()

예제 #3

init_day = '2013-09-01 17:00:00'
final_day = '2014-11-30 16:59:59'

table_name = instr_name + '_LAST'
compressed_table_name = table_name + '_COMPRESSED'

start_stamp = pd.Timestamp(init_day).tz_localize('US/Central')
start_stamp_utc = start_stamp.tz_convert('utc')

final_stamp = pd.Timestamp(final_day).tz_localize('US/Central')
final_stamp_utc = final_stamp.tz_convert('utc')

futures_db = FuturesDatabase()

futures_db.drop_table_if_exist(compressed_table_name)
futures_db.create_historical_table(compressed_table_name)

df_compressed = DataFrame(columns=['Date', 'Last', 'Volume'])

while start_stamp_utc < final_stamp_utc:

    start_date = timestamp_to_SQLstring(start_stamp_utc)

    # get end of day timestamp
    end_stamp_utc = start_stamp_utc + Day() - 45 * Minute()

    end_date = timestamp_to_SQLstring(end_stamp_utc)

    df = futures_db.fetch_between_dates(table_name=table_name,
                                        start_date=start_date,
                                        end_date=end_date,

예제 #4

파일: update_database_TICK.py 프로젝트: simhaonline/Futures

import datetime

import pandas as pd

from util.futuresdatabase import FuturesDatabase

instrument_list = ['GC', 'CL', 'ZB']

futures_db = FuturesDatabase()

for instrument in instrument_list:
    table_name = instrument + '_LAST'

    futures_db.drop_table_if_exist(table_name)

    futures_db.create_historical_table(table_name)

    rootPath = "/home/aouyang1/NinjaTrader/TickData/" + instrument
    folders = os.listdir(rootPath)

    fnames = os.listdir(rootPath)
    for fileNames in fnames:
        print fileNames
        df = pd.read_csv(rootPath + '/' + fileNames,
                         delimiter=";",
                         names=['Date', 'Last', 'Volume'],
                         parse_dates=[0],
                         date_parser=lambda x: datetime.datetime.strptime(
                             x, '%Y%m%d %H%M%S'))

        futures_db.upload_dataframe_to_table(df, table_name)