def get(self, request, ticker):
ticker = ticker or request.query_params.get('ticker')
exchange = request.query_params.get('exchange')
timestamp = request.query_params.get('timestamp')
index = request.query_params.get('index')
results_dict = PriceVolumeHistoryStorage.query(
ticker=ticker,
exchange=exchange,
index=index,
timestamp=timestamp, periods_range=12, timestamp_tolerance=29)
if len(results_dict) and not 'error' in results_dict:
return Response(results_dict, status=status.HTTP_200_OK)
else:
return Response(results_dict, status=status.HTTP_404_NOT_FOUND)
def test_query_tolerance(self):
query_results = PriceVolumeHistoryStorage.query(ticker=ticker1, exchange=exchange,
index=index, timestamp=timestamp,
periods_range=1, timestamp_tolerance=29)
self.assertLess(len(query_results['values']), 7)
def generate_pv_storages(ticker: str, exchange: str, index: str,
score: float) -> bool:
"""
resample values from PriceVolumeHistoryStorage into 5min periods in PriceStorage and VolumeStorage
:param ticker: eg. "ETH_BTC"
:param exchange: eg. "binance"
:param index: eg. "close_price"
:param score: as defined by TimeseriesStorage.score_from_timestamp()
:return: True if successful at generating a new storage index value for the score, else False
"""
score = get_nearest_5min_score(score)
timestamp = TimeseriesStorage.timestamp_from_score(score)
if index in PRICE_INDEXES:
storage = PriceStorage(ticker=ticker,
exchange=exchange,
timestamp=timestamp,
index=index)
elif index in VOLUME_INDEXES:
storage = VolumeStorage(ticker=ticker,
exchange=exchange,
timestamp=timestamp,
index=index)
else:
logger.error("I don't know what kind of index this is")
return False
# logger.debug(f'process price for ticker: {ticker} and index: {index}')
# eg. key_format = f'{ticker}:{exchange}:PriceVolumeHistoryStorage:{index}'
query_results = PriceVolumeHistoryStorage.query(ticker=ticker,
exchange=exchange,
index=index,
timestamp=timestamp,
periods_range=1,
timestamp_tolerance=29)
if not query_results['values_count']:
return False
# logger.debug("results from PriceVolumeHistoryStorage query... ")
# logger.debug(query_results)
try:
index_values = [int(v) for v in query_results['values']]
# timestamps = [int(v) for v in query_results['timestamps']]
if not len(index_values):
storage.value = None
elif index == "close_volume":
storage.value = index_values[-1]
elif index == "open_price":
storage.value = index_values[0]
elif index == "low_price":
storage.value = min(index_values)
elif index == "high_price":
storage.value = max(index_values)
elif index == "close_price":
storage.value = index_values[-1]
else:
raise IndexError("unknown index)")
except IndexError:
return False # couldn't find a useful value or index (sorry for using this for both definitions of "index")
except ValueError:
return False # couldn't find a useful value
except Exception as e:
logger.error("there's a bug here: " + str(e))
return False
if storage.value:
storage.save(publish=bool(index == "close_price"))
# logger.info("saved new thing: " + storage.get_db_key())
if index == 'close_volume':
# todo: for index in derived_volume_indexes: calculate and save volume index
pass
if index == "close_price":
all_values_set = set(index_values) # these are the close prices
for other_index in ["open_price", "low_price", "high_price"]:
query_results = PriceVolumeHistoryStorage.query(
ticker=ticker,
exchange=exchange,
index=other_index,
timestamp=timestamp,
periods_range=1,
timestamp_tolerance=29)
index_values = [int(v) for v in query_results['values']]
all_values_set = all_values_set | set(index_values)
if not len(all_values_set):
logger.error(
"This shouldn't be possible. Serious bug if you see this!")
return False
for d_index in derived_price_indexes:
price_storage = PriceStorage(ticker=ticker,
exchange=exchange,
timestamp=timestamp,
index=d_index)
values_set = all_values_set.copy()
if d_index == "midpoint_price":
while len(values_set) > 2:
values_set.remove(max(values_set))
values_set.remove(min(values_set))
price_storage.value = values_set.pop()
elif d_index == "mean_price":
price_storage.value = sum(values_set) / (len(values_set) or 1)
elif d_index == "price_variance":
# this is too small of a period size to measure variance
pass
if price_storage.value:
price_storage.save()
return True