def run_schedule_only(schedule_functions, start_date, end_date, logger):
for date in TradeTime.generate_dates(start_date, end_date):
sf_dt_list = map(lambda x: [x, x.time_rule.get_datetime(date)], schedule_functions)
sf_dt_list.sort(key=lambda x: x[1])
for sf_dt in sf_dt_list:
if Container.context.terminate_p:
return
schedule_function = sf_dt[0]
dt = sf_dt[1]
if schedule_function.date_rule.validate(dt):
Container.data.set_datetime(dt)
logger.set_dt(dt)
try:
start = datetime.datetime.now()
if TradeTime.is_half_trade_day(dt.date()) and schedule_function.half_days is False:
pass
else:
schedule_function.my_func()
end = datetime.datetime.now()
# logger.info('Spend time for schedule function: %s seconds' % (end - start).seconds)
except Exception as e:
logger.error('Trace: ' + traceback.format_exc(), False)
logger.error('Error: get action arguments failed: %s, %s' % (str(e), traceback.format_exc()))
Container.data.set_datetime(datetime.datetime(date.year, date.month, date.day, 16, 0, 0))
Container.analysis.add_portfolio_trace(date, Container.api.portfolio)
def validate_integrity_for_real_time_data(self, symbol='SVXY', ):
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour, us_dt.minute, us_dt.second)
integrity_p = True
latest_date = TradeTime.get_latest_trade_date()
start_time = datetime.datetime(latest_date.year, latest_date.month, latest_date.day, 9, 30, 0)
if TradeTime.is_half_trade_day(latest_date):
default_end_time = datetime.datetime(latest_date.year, latest_date.month, latest_date.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(latest_date.year, latest_date.month, latest_date.day, 16, 0, 0)
end_time = min(now, default_end_time)
minutes_count = range((end_time - start_time).seconds / 60 + 1)
trade_minutes = map(lambda x: start_time + datetime.timedelta(minutes=x), minutes_count)
# print trade_minutes
rows = self.get_min_time_and_price(symbol, start_time, end_time)
# print rows
j = 0
# self.logger.info('rows = %s, \n trade_minutes = %s' %(rows[-2:], trade_minutes[-2:]))
for i, time in enumerate(trade_minutes):
if j >= len(rows):
break # rows length may less than trade_minutes for 1 elements.
if rows[j][0].minute > time.minute or rows[j][0].hour > time.hour:
integrity_p = False
else:
j = j + 1
return integrity_p, rows
def get_datetime(self, date):
if TradeTime.is_half_trade_day(date):
passed_minutes = 13 * 60 - self.hours * 60 - self.minutes
else:
passed_minutes = 16 * 60 - self.hours * 60 - self.minutes
return datetime.datetime(date.year, date.month, date.day,
int(math.floor(passed_minutes / 60)),
passed_minutes % 60, 0)
def run(self, current_time):
dt = convert_to_us_east_dt(current_time)
if TradeTime.is_half_trade_day(dt.date()) and self.half_days is False:
return
# if you want to run the schedule function immediately,
# you would need to add below 2 line code, given the correct time interval.
# dt += datetime.timedelta(hours=12, minutes=33)
# print dt
if self.date_rule.validate(dt) and self.time_rule.validate(dt):
self.my_func()
def validate(self, dt):
if TradeTime.is_trade_day(dt.date()):
if TradeTime.is_half_trade_day(dt.date()) and self.hours * 60 + self.minutes >= 3*60 + 30:
return False
else:
passed_minutes = dt.hour * 60 + dt.minute - (9*60 + 30)
if passed_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
return False
def add_missing_data_in_real_time(
self,
symbol='SVXY',
):
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour,
us_dt.minute, us_dt.second)
if TradeTime.is_trade_day(now.date()):
default_start_time = datetime.datetime(now.year, now.month,
now.day, 9, 30, 0)
start_time = max(
default_start_time,
datetime.datetime(now.year, now.month, now.day, now.hour - 1,
now.minute, 0))
if now > start_time:
if TradeTime.is_half_trade_day(now.date()):
default_end_time = datetime.datetime(
now.year, now.month, now.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(
now.year, now.month, now.day, 16, 0, 0)
end_time = min(now, default_end_time)
if end_time > start_time:
minutes_count = range((end_time - start_time).seconds /
60 + 1)
trade_minutes = map(
lambda x: start_time + datetime.timedelta(minutes=x),
minutes_count)
# print trade_minutes
rows = self.get_time_and_price(symbol, start_time,
end_time)
# print rows
j = 0
missing_records = []
for i, time in enumerate(trade_minutes):
if rows[j][0] > time:
if j > 0:
price = rows[j - 1][1]
else:
price = rows[0][1]
missing_records.append(
Equity(symbol, time, price, price, price,
price, 0, 0))
else:
j = j + 1
if len(missing_records) > 0:
self.insert(missing_records)
return len(missing_records)
def validate(self, dt):
if TradeTime.is_trade_day(dt.date()):
if TradeTime.is_half_trade_day(dt.date()):
if self.hours * 60 + self.minutes >= 3.5 * 60:
return False
else:
left_minutes = 13 * 60 - (dt.hour * 60 + dt.minute)
if left_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
else:
left_minutes = 16 * 60 - (dt.hour * 60 + dt.minute)
if left_minutes == self.hours * 60 + self.minutes:
return True
else:
return False
return False
def validate_integrity_for_min_data(self, symbol):
print symbol
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour,
us_dt.minute, us_dt.second)
integrity_p = True
latest_date = TradeTime.get_latest_trade_date()
start_time = datetime.datetime(latest_date.year, latest_date.month,
latest_date.day, 9, 30, 0)
if TradeTime.is_half_trade_day(latest_date):
default_end_time = datetime.datetime(latest_date.year,
latest_date.month,
latest_date.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(latest_date.year,
latest_date.month,
latest_date.day, 16, 0, 0)
end_time = min(now, default_end_time)
minutes_count = range((end_time - start_time).seconds / 60 + 1)
trade_minutes = map(
lambda x: start_time + datetime.timedelta(minutes=x),
minutes_count)
# print trade_minutes
rows = self.get_time_and_price(symbol, start_time, end_time)
# print rows
j = 0
missing_time = []
for i, time in enumerate(trade_minutes):
if i >= len(rows):
break
if rows[j][0] > time:
if j > 0:
price = rows[j - 1][1]
else:
price = rows[0][1]
if not (time.hour == 9 and time.minute == 30):
missing_time.append(time)
else:
j = j + 1
if len(missing_time) > 0:
integrity_p = False
return integrity_p, missing_time
def run_schedule_and_handle_function(schedule_functions, handle_function, start_date, end_date, logger):
for dt in TradeTime.generate_datetimes(start_date, end_date):
if Container.context.terminate_p:
return
Container.data.set_datetime(dt)
logger.set_dt(dt)
for schedule_function in schedule_functions:
try:
schedule_function.run(dt)
except Exception as e:
logger.error('Trace: ' + traceback.format_exc(), False)
logger.error('Error: get action arguments failed:' + str(e))
try:
handle_function()
except Exception as e:
logger.error('Trace: ' + traceback.format_exc(), False)
logger.error('Error: get action arguments failed:' + str(e))
if dt.minute == 0:
if (TradeTime.is_half_trade_day(dt.date()) and dt.hour == 13) or dt.hour == 16:
Container.analysis.add_portfolio_trace(dt.date(), Container.api.portfolio)
def add_missing_data_in_real_time(self, symbol='SVXY', ):
us_dt = datetime.datetime.now(tz=pytz.timezone('US/Eastern'))
now = datetime.datetime(us_dt.year, us_dt.month, us_dt.day, us_dt.hour, us_dt.minute, us_dt.second)
if TradeTime.is_trade_day(now.date()):
default_start_time = datetime.datetime(now.year, now.month, now.day, 9, 30, 0)
start_time = max(default_start_time, datetime.datetime(now.year, now.month, now.day, now.hour-1, now.minute, 0))
if now > start_time:
if TradeTime.is_half_trade_day(now.date()):
default_end_time = datetime.datetime(now.year, now.month, now.day, 13, 0, 0)
else:
default_end_time = datetime.datetime(now.year, now.month, now.day, 16, 0, 0)
end_time = min(now, default_end_time)
if end_time > start_time:
minutes_count = range((end_time - start_time).seconds/60 + 1)
trade_minutes = map(lambda x: start_time + datetime.timedelta(minutes=x), minutes_count)
# print trade_minutes
rows = self.get_min_time_and_price(symbol, start_time, end_time)
# print rows
j = 0
missing_records = []
# self.logger.info('rows = %s, \n trade_minutes = %s' %(rows[-2:], trade_minutes[-2:]))
for i, time in enumerate(trade_minutes):
if j >= len(rows):
break # rows length may less than trade_minutes for 1 elements.
if rows[j][0].minute > time.minute or rows[j][0].hour > time.hour:
if j > 0:
# price = rows[j-1][1]
price = self.get_nearest_price(time, symbol)
else:
price = rows[0][1]
# self.logger.info('missing record: j = %s, time=%s'%(j, time))
missing_records.append((symbol, time, price))
else:
j = j + 1
if len(missing_records) > 0:
for record in missing_records:
self.insert(*record)
return len(missing_records)
