def __init__(self, dateTime):
super(MonthRange, self).__init__()
self.__begin = datetime.datetime(dateTime.year, dateTime.month, 1)
# Calculate the ending date.
if dateTime.month == 12:
self.__end = datetime.datetime(dateTime.year + 1, 1, 1)
else:
self.__end = datetime.datetime(dateTime.year, dateTime.month + 1,
1)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = dt.localize(self.__end, dateTime.tzinfo)
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = ? and bar.frequency = ?"
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= ?"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= ?"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
ret.append(
bar.BasicBar(dateTime, row[1], row[2], row[3], row[4], row[5],
row[6], row[7]))
cursor.close()
return ret
def __init__(self, dateTime):
super(DayRange, self).__init__()
self.__begin = datetime.datetime(dateTime.year, dateTime.month,
dateTime.day)
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(days=1)
def __parseDate(self, dateString):
# print dateString
ret = parse_date2(dateString)
if self.__dailyBarTime is not None:
ret = datetime.datetime.combine(ret, self.__dailyBarTime)
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
def __parseDate(self, dateString):
ret = parse_date(dateString)
# Time on Google Finance CSV files is empty. If told to set one, do it.
if self.__dailyBarTime is not None:
ret = datetime.datetime.combine(ret, self.__dailyBarTime)
# Localize the datetime if a timezone was given.
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
def _parseDate(self, dateString):
ret = datetime.datetime.strptime(dateString, self.__dateTimeFormat)
if self.__dailyBarTime is not None:
ret = datetime.datetime.combine(ret, self.__dailyBarTime)
# Localize the datetime if a timezone was given.
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
def parseBar(self, csvRowDict):
unixTime = int(csvRowDict["unixtime"])
price = float(csvRowDict["price"])
amount = float(csvRowDict["amount"])
dateTime = dt.timestamp_to_datetime(unixTime)
dateTime = self.__unixTimeFix.fixDateTime(dateTime)
# Localize the datetime if a timezone was given.
if self.__timezone:
dateTime = dt.localize(dateTime, self.__timezone)
return TradeBar(dateTime, price, amount)
def __init__(self, dateTime, frequency):
super(IntraDayRange, self).__init__()
assert isinstance(frequency, int)
assert frequency > 1
assert frequency < bar.Frequency.DAY
ts = int(dt.datetime_to_timestamp(dateTime))
slot = int(ts / frequency)
slotTs = slot * frequency
self.__begin = dt.timestamp_to_datetime(
slotTs, not dt.datetime_is_naive(dateTime))
if not dt.datetime_is_naive(dateTime):
self.__begin = dt.localize(self.__begin, dateTime.tzinfo)
self.__end = self.__begin + datetime.timedelta(seconds=frequency)
def parseRow(self, csvRowDict):
dateTime = datetime.datetime.strptime(
csvRowDict[self.__dateTimeColumn], self.__dateTimeFormat)
# Localize the datetime if a timezone was given.
if self.__timezone is not None:
if self.__timeDelta is not None:
dateTime += self.__timeDelta
dateTime = dt.localize(dateTime, self.__timezone)
# Convert the values
values = {}
for key, value in csvRowDict.items():
if key != self.__dateTimeColumn:
values[key] = self.__converter(key, value)
return (dateTime, values)
def includeBar(self, bar_):
ret = super(USEquitiesRTH, self).includeBar(bar_)
if ret:
# Check day of week
barDay = bar_.getDateTime().weekday()
if barDay > 4:
return False
# Check time
barTime = dt.localize(bar_.getDateTime(),
USEquitiesRTH.timezone).time()
if barTime < self.__fromTime:
return False
if barTime > self.__toTime:
return False
return ret
def getBars(self,
instrument,
frequency,
timezone=None,
fromDateTime=None,
toDateTime=None,
extra=None):
instrument = normalize_instrument(instrument)
sql = "select bar.timestamp, bar.open, bar.high, bar.low, bar.close, bar.volume, bar.adj_close, bar.frequency{extra}" \
" from bar join instrument on (bar.instrument_id = instrument.instrument_id)" \
" where instrument.name = %s and bar.frequency = %s"
extraFieldsString = ''
if extra is None:
extra = []
for i in range(0, len(extra)):
extraFieldsString = extraFieldsString + ", " + "bar." + extra[i]
args = [instrument, frequency]
if fromDateTime is not None:
sql += " and bar.timestamp >= %s"
args.append(dt.datetime_to_timestamp(fromDateTime))
if toDateTime is not None:
sql += " and bar.timestamp <= %s"
args.append(dt.datetime_to_timestamp(toDateTime))
sql += " order by bar.timestamp asc"
cursor = self.__connection.cursor()
cursor.execute(sql.format(extra=extraFieldsString), args)
self.__connection.commit()
ret = []
for row in cursor:
dateTime = dt.timestamp_to_datetime(row[0])
if timezone:
dateTime = dt.localize(dateTime, timezone)
extraRow = {}
for i in range(0, len(extra)):
extraRow[extra[i]] = row[8 + i]
ret.append(
bar.BasicBar(dateTime,
row[1],
row[2],
row[3],
row[4],
row[5],
row[6],
row[7],
extra=extraRow))
cursor.close()
return ret
def __parseDateTime(self, dateTime):
ret = None
if self.__frequency == skywalker.bar.Frequency.MINUTE:
ret = parse_datetime(dateTime)
elif self.__frequency == skywalker.bar.Frequency.DAY:
ret = datetime.datetime.strptime(dateTime, "%Y%m%d")
# Time on CSV files is empty. If told to set one, do it.
if self.__dailyBarTime is not None:
ret = datetime.datetime.combine(ret, self.__dailyBarTime)
else:
assert (False)
# According to NinjaTrader documentation the exported data will be in UTC.
ret = pytz.utc.localize(ret)
# Localize bars if a market session was set.
if self.__timezone:
ret = dt.localize(ret, self.__timezone)
return ret
