async def connect(self):
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=',')
for row in self._reader:
order = Order(volume=float(row['volume']),
price=float(row['close']),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row['symbol'].split('-')[0],
InstrumentType(row['symbol'].split('-')[1].upper())
)
)
order.filled = float(row['volume'])
if 'time' in row:
order.timestamp = datetime.fromtimestamp(float(row['time']))
elif 'date' in row:
order.timestamp = datetime.fromisoformat(row['date'])
elif 'datetime' in row:
order.timestamp = datetime.fromisoformat(row['datetime'])
self._data.append(Trade(volume=float(row['volume']),
price=float(row['close']),
maker_orders=[],
taker_order=order))
async def connect(self) -> None:
with open(self._filename) as csvfile:
self._reader = csv.DictReader(csvfile, delimiter=",")
for row in self._reader:
order = Order(
volume=float(row["volume"]),
price=float(row["close"]),
side=Side.BUY,
exchange=self.exchange(),
instrument=Instrument(
row["symbol"].split("-")[0],
InstrumentType(row["symbol"].split("-")[1].upper()),
),
filled=float(row["volume"]),
)
if "time" in row:
order.timestamp = datetime.fromtimestamp(float(
row["time"]))
elif "date" in row:
order.timestamp = datetime.fromisoformat(row["date"])
elif "datetime" in row:
order.timestamp = datetime.fromisoformat(row["datetime"])
self._data.append(
Trade(
volume=float(row["volume"]),
price=float(row["close"]),
maker_orders=[],
taker_order=order,
))
async def tick(self):
now = self._start
for i in range(1000):
if self._client_order:
self._client_order.filled = self._client_order.volume
t = Trade(self._client_order.volume, i, [], self._client_order)
t.taker_order.timestamp = now
self._client_order = None
yield Event(type=EventType.TRADE, target=t)
continue
o = Order(1, i, Side.BUY, self._instrument, self.exchange())
o.filled = 1
o.timestamp = now
t = Trade(1, i, [], o)
yield Event(type=EventType.TRADE, target=t)
now += timedelta(minutes=30)
async def tick(self):
'''return data from exchange'''
dfs = []
for i in self._subscriptions:
df = self._client.chartDF(i.name, timeframe='6m')
df = df[['close', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
dfs.append(df)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
o = Order(volume=volume, price=price, side=Side.BUY, instrument=i, exchange=self.exchange())
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
t = Trade(volume=order.volume, price=order.price, taker_order=order, maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join(
[i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'],
InstrumentType.EQUITY)
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=instrument,
exchange=self.exchange())
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
insts = set()
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe,
datetime.now().strftime('%Y%m%d'),
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print('using cached IEX data for {}'.format(
i.name))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name, timeframe=self._timeframe)
df.to_pickle(data_filename)
else:
df = self._client.chartDF(i.name,
timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = [
'close:{}'.format(i.name), 'volume:{}'.format(i.name)
]
dfs.append(df)
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
if i.name in insts:
# already fetched the data, multiple subscriptions
continue
date = self._start_date
subdfs = []
while date <= self._end_date:
if self._cache_data:
# first, check if we have this data and its cached already
os.makedirs('_aat_data', exist_ok=True)
data_filename = os.path.join(
'_aat_data', 'iex_{}_{}_{}_{}.pkl'.format(
i.name, self._timeframe, date,
'sand' if self._is_sandbox else ''))
if os.path.exists(data_filename):
print(
'using cached IEX data for {} - {}'.format(
i.name, date))
df = pd.read_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
df.to_pickle(data_filename)
else:
df = self._client.chartDF(
i.name,
timeframe='1d',
date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = [
'close:{}'.format(i.name),
'volume:{}'.format(i.name)
]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
insts.add(i.name)
data = pd.concat(dfs, axis=1)
data.index = [
x + timedelta(hours=int(y.split(':')[0]),
minutes=int(y.split(':')[1]))
for x, y in data.index
]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume,
price=price,
side=Side.BUY,
instrument=i,
exchange=self.exchange())
o.filled = volume
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume,
price=price,
taker_order=o,
maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
order.filled = order.volume
t = Trade(volume=order.volume,
price=order.price,
taker_order=order,
maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
async def tick(self):
'''return data from exchange'''
if self._timeframe == 'live':
data = deque()
def _callback(record):
data.append(record)
self._client.tradesSSE(symbols=",".join([i.name for i in self._subscriptions]),
on_data=_callback)
while True:
while data:
record = data.popleft()
volume = record['volume']
price = record['price']
instrument = Instrument(record['symbol'], InstrumentType.EQUITY)
o = Order(volume=volume, price=price, side=Side.BUY, instrument=instrument, exchange=self.exchange())
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
else:
dfs = []
if self._timeframe != '1d':
for i in tqdm(self._subscriptions, desc="Fetching data..."):
df = self._client.chartDF(i.name, timeframe=self._timeframe)
df = df[['close', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
dfs.append(df)
data = pd.concat(dfs, axis=1)
data.sort_index(inplace=True)
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
else:
for i in tqdm(self._subscriptions, desc="Fetching data..."):
date = self._start_date
subdfs = []
while date <= self._end_date:
df = self._client.chartDF(i.name, timeframe='1d', date=date.strftime('%Y%m%d'))
if not df.empty:
df = df[['average', 'volume']]
df.columns = ['close:{}'.format(i.name), 'volume:{}'.format(i.name)]
subdfs.append(df)
date += timedelta(days=1)
dfs.append(pd.concat(subdfs))
data = pd.concat(dfs, axis=1)
data.index = [x + timedelta(hours=int(y.split(':')[0]), minutes=int(y.split(':')[1])) for x, y in data.index]
data = data.groupby(data.index).last()
data.drop_duplicates(inplace=True)
data.fillna(method='ffill', inplace=True)
for index in data.index:
for i in self._subscriptions:
volume = data.loc[index]['volume:{}'.format(i.name)]
price = data.loc[index]['close:{}'.format(i.name)]
if volume == 0:
continue
o = Order(volume=volume, price=price, side=Side.BUY, instrument=i, exchange=self.exchange())
o.timestamp = index.to_pydatetime()
t = Trade(volume=volume, price=price, taker_order=o, maker_orders=[])
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
while self._queued_orders:
order = self._queued_orders.popleft()
order.timestamp = index
t = Trade(volume=order.volume, price=order.price, taker_order=order, maker_orders=[])
t.my_order = order
yield Event(type=EventType.TRADE, target=t)
await asyncio.sleep(0)
