def get_factors( current_date, exchange_symbols ):
global conversion_factor
products = [ exchange_symbol[:-3] + '_1' for exchange_symbol in exchange_symbols ]
(csidb,csidb_cursor) = db_connect()
_format_strings = ','.join(['%s'] * len(products))
csidb_cursor.execute("SELECT product,conversion_factor FROM products WHERE product IN (%s)" % _format_strings,tuple(products))
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row['product'][:-2]] = float(row['conversion_factor'])
def get_factors(current_date, exchange_symbols):
global conversion_factor
global price
products = [exchange_symbol[:-3] + "_1" for exchange_symbol in exchange_symbols]
(csidb, csidb_cursor) = db_connect()
_format_strings = ",".join(["%s"] * len(products))
csidb_cursor.execute(
"SELECT product,conversion_factor FROM products WHERE product IN (%s)" % _format_strings, tuple(products)
)
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row["product"][:-2]] = float(row["conversion_factor"])
price = fetch_latest_prices_v1(exchange_symbols, current_date, "future") # Uses exchange symbols
def get_factors(current_date, data_source, exchange_symbols, product_type):
conversion_factor = {}
products = [ exchange_symbol[:-3] + '_1' for exchange_symbol in exchange_symbols ]
(csidb,csidb_cursor) = db_connect()
_format_strings = ','.join(['%s'] * len(products))
query = "SELECT product,conversion_factor FROM products WHERE product IN (%s)" % _format_strings
csidb_cursor.execute(query, tuple(products))
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row['product'][:-2]] = float(row['conversion_factor'])
# If data source is CSI get prices and factors from db
if data_source == 'csi':
open_price_2, close_price_1, close_price_2, is_valid = fetch_latest_prices(exchange_symbols, current_date, product_type) # Uses exchange symbols
return open_price_2, close_price_1, close_price_2, conversion_factor, is_valid
def get_factors(current_date, data_source, exchange_symbols, product_type,
wedbush_db_cursor):
prices = {}
conversion_factor = {}
products = [
exchange_symbol[:-3] + '_1' for exchange_symbol in exchange_symbols
]
(csidb, csidb_cursor) = db_connect()
_format_strings = ','.join(['%s'] * len(products))
csidb_cursor.execute(
"SELECT product,conversion_factor FROM products WHERE product IN (%s)"
% _format_strings, tuple(products))
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row['product'][:-2]] = float(
row['conversion_factor'])
# If data source is CSI get prices and factors from db
if data_source == 'csi':
new_symbols = []
for i in range(len(exchange_symbols)):
basename = exchange_symbols[i][:-3]
if basename == "ES": # For ES we want to use SP prices
new_symbols.append('SP' + exchange_symbols[i][-3:])
else:
new_symbols.append(exchange_symbols[i])
#conversion_factor, currency_factor = get_latest_currency_and_conversion_factors_v1(basenames, curr_date_str, product_type)
prices = fetch_latest_prices_v1(new_symbols, current_date,
product_type) # Uses exchange symbols
for key in prices.keys():
if key[:-3] == "SP":
prices['ES' + key[-3:]] = prices[key]
elif data_source == 'wedbush':
_format_strings = ','.join(['%s'] * len(exchange_symbols))
query = "SELECT product, broker_close_price FROM positions WHERE product IN (%s) and date = '%s'" % (
_format_strings, current_date.strftime("%Y-%m-%d"))
wedbush_db_cursor.execute(query, tuple(exchange_symbols))
rows = wedbush_db_cursor.fetchall()
for row in rows:
prices[row['product']] = float(row['broker_close_price'])
return prices, conversion_factor
def get_factors(current_date, data_source, exchange_symbols, product_type):
conversion_factor = {}
products = [
exchange_symbol[:-3] + '_1' for exchange_symbol in exchange_symbols
]
(csidb, csidb_cursor) = db_connect()
_format_strings = ','.join(['%s'] * len(products))
query = "SELECT product,conversion_factor FROM products WHERE product IN (%s)" % _format_strings
csidb_cursor.execute(query, tuple(products))
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row['product'][:-2]] = float(
row['conversion_factor'])
# If data source is CSI get prices and factors from db
if data_source == 'csi':
open_price_2, close_price_1, close_price_2, is_valid = fetch_latest_prices(
exchange_symbols, current_date,
product_type) # Uses exchange symbols
return open_price_2, close_price_1, close_price_2, conversion_factor, is_valid
def get_factors(current_date, data_source, exchange_symbols, product_type, wedbush_db_cursor):
prices = {}
conversion_factor = {}
products = [exchange_symbol[:-3] + "_1" for exchange_symbol in exchange_symbols]
(csidb, csidb_cursor) = db_connect()
_format_strings = ",".join(["%s"] * len(products))
csidb_cursor.execute(
"SELECT product,conversion_factor FROM products WHERE product IN (%s)" % _format_strings, tuple(products)
)
rows = csidb_cursor.fetchall()
for row in rows:
conversion_factor[row["product"][:-2]] = float(row["conversion_factor"])
# If data source is CSI get prices and factors from db
if data_source == "csi":
new_symbols = []
for i in range(len(exchange_symbols)):
basename = exchange_symbols[i][:-3]
if basename == "ES": # For ES we want to use SP prices
new_symbols.append("SP" + exchange_symbols[i][-3:])
else:
new_symbols.append(exchange_symbols[i])
# conversion_factor, currency_factor = get_latest_currency_and_conversion_factors_v1(basenames, curr_date_str, product_type)
prices = fetch_latest_prices_v1(new_symbols, current_date, product_type) # Uses exchange symbols
for key in prices.keys():
if key[:-3] == "SP":
prices["ES" + key[-3:]] = prices[key]
elif data_source == "wedbush":
_format_strings = ",".join(["%s"] * len(exchange_symbols))
query = "SELECT product, broker_close_price FROM positions WHERE product IN (%s) and date = '%s'" % (
_format_strings,
current_date.strftime("%Y-%m-%d"),
)
wedbush_db_cursor.execute(query, tuple(exchange_symbols))
rows = wedbush_db_cursor.fetchall()
for row in rows:
prices[row["product"]] = float(row["broker_close_price"])
return prices, conversion_factor
def fetch_latest_prices(exchange_symbols, required_date, product_type):
open_price_2 = {}
close_price_1 = {}
close_price_2 = {}
tables = {}
is_valid = dict.fromkeys(exchange_symbols, True)
(db, db_cursor) = db_connect()
for exchange_symbol in exchange_symbols:
if product_type == 'future':
shortcode = exchange_symbol[:-3] + '_1'
query = "SELECT `table` FROM products WHERE product = '%s'" % shortcode
db_cursor.execute(query)
rows = db_cursor.fetchall()
query = "SELECT date, specific_ticker, open, close FROM %s WHERE specific_ticker = '%s' AND date <= '%s' ORDER BY date DESC LIMIT 2" % ( rows[0]['table'],\
exchange_symbol, required_date)
db_cursor.execute(query)
rows = db_cursor.fetchall()
else:
query = "SELECT `table` FROM products WHERE product = '%s'" % exchange_symbol
db_cursor.execute(query)
rows = db_cursor.fetchall()
query = "SELECT date, product, open, close FROM %s WHERE product = '%s' AND date <= '%s' ORDER BY date DESC LIMIT 2" % (
rows[0]['table'], exchange_symbol, required_date)
db_cursor.execute(query)
rows = db_cursor.fetchall()
print exchange_symbol, rows[0]['date'], required_date, rows[0][
'date'] == required_date
if rows[0]['date'] == required_date:
close_price_2[exchange_symbol] = float(rows[0]['close'])
close_price_1[exchange_symbol] = float(rows[1]['close'])
open_price_2[exchange_symbol] = float(rows[0]['open'])
else:
is_valid[exchange_symbol] = False
close_price_2[exchange_symbol] = float(rows[0]['close'])
close_price_1[exchange_symbol] = float(rows[0]['close'])
open_price_2[exchange_symbol] = float(rows[0]['close'])
db_close(db)
return open_price_2, close_price_1, close_price_2, is_valid
def fetch_latest_prices(exchange_symbols, required_date, product_type):
open_price_2 = {}
close_price_1 = {}
close_price_2 = {}
tables = {}
is_valid = dict.fromkeys(exchange_symbols, True)
(db,db_cursor) = db_connect()
for exchange_symbol in exchange_symbols:
if product_type == 'future':
shortcode = exchange_symbol[:-3] + '_1'
query = "SELECT `table` FROM products WHERE product = '%s'" % shortcode
db_cursor.execute(query)
rows = db_cursor.fetchall()
query = "SELECT date, specific_ticker, open, close FROM %s WHERE specific_ticker = '%s' AND date <= '%s' ORDER BY date DESC LIMIT 2" % ( rows[0]['table'],\
exchange_symbol, required_date)
db_cursor.execute(query)
rows = db_cursor.fetchall()
else:
query = "SELECT `table` FROM products WHERE product = '%s'" % exchange_symbol
db_cursor.execute(query)
rows = db_cursor.fetchall()
query = "SELECT date, product, open, close FROM %s WHERE product = '%s' AND date <= '%s' ORDER BY date DESC LIMIT 2" % ( rows[0]['table'], exchange_symbol, required_date )
db_cursor.execute(query)
rows = db_cursor.fetchall()
print exchange_symbol, rows[0]['date'], required_date, rows[0]['date'] == required_date
if rows[0]['date'] == required_date:
close_price_2[exchange_symbol] = float(rows[0]['close'])
close_price_1[exchange_symbol] = float(rows[1]['close'])
open_price_2[exchange_symbol] = float(rows[0]['open'])
else:
is_valid[exchange_symbol] = False
close_price_2[exchange_symbol] = float(rows[0]['close'])
close_price_1[exchange_symbol] = float(rows[0]['close'])
open_price_2[exchange_symbol] = float(rows[0]['close'])
db_close(db)
return open_price_2, close_price_1, close_price_2, is_valid
