#
# args = parser.parse_args()
# year = str(args.year)
# sstocks = Stock()
#
# if year == '':
# year = '2017G'
#
# if 'G' in year:
# lfiles = ['/S' + day + '-v50.txt.gz' for day in ITCH_days[year]]
# datapath = datapath + '/GIS/'
# else:
# lfiles = [day + '.NASDAQ_ITCH50.gz' for day in ITCH_days[year]]
sstock = Stock(num=50)
cpny = Company()
for stock in ['YHOO']: #sorted(sstock.get_list_stocks()):
# for day in enumerate(ITCH_days[year]):
lexecutionsS = []
lexecutionsB = []
ltimeOS = []
ltimeOB = []
lpriceOS = []
lpriceOB = []
lsizeOB = []
lsizeOS = []
ldelete = []
ltimeEB = []
parser = argparse.ArgumentParser()
parser.add_argument('--year', help="Anyo del analisis", default="")
args = parser.parse_args()
year = str(args.year)
if year == '':
year = '2016'
messages = ['F', 'A', 'E', 'C', 'X', 'D', 'U', 'P']
i_time = time_to_nanoseconds(9, 30)
f_time = time_to_nanoseconds(16)
# st_time = time_to_nanoseconds(0, 10)
sstocks = Stock(fast=True)
cpny = Company()
lcounts = {}
totalcounts = {}
totalcounts = np.zeros(len(ITCH_days[year]), dtype=int)
for stock in sstocks.get_list_stocks():
lcounts[stock] = {}
for m in messages:
lcounts[stock] = np.zeros(len(ITCH_days[year]), dtype=int)
for i, day in enumerate(ITCH_days[year]):
try:
rfile = gzip.open(
datapath + 'Messages/' + day + '-' + stock +
'-MESSAGES.csv.gz', 'rt')
stockdic[stock] = {}
if not order in stockdic[stock]:
stockdic[stock][order] = 1
else:
stockdic[stock][order] += 1
if i == 1000000:
itime = ITCHtime(g[3])
print(i, g[3], itime.to_string())
i = 0
i += 1
except Exception:
break
now()
cmp = Company()
wfile = open(datapath + '/Results/' + dname + '-STOCK-ACTIVITY.csv',
'w')
for val in stockdic:
cvalues = cmp.get_company(val.strip())
sell = 0
if 'S' in stockdic[val]:
sell = stockdic[val]['S']
buy = 0
if 'B' in stockdic[val]:
buy = stockdic[val]['B']
if cvalues is not None:
wfile.write('%s, %d, %d, %s, %s\n' %
(val.strip(), buy, sell, cvalues[0], cvalues[1]))
else: