def insertDailyData(self):
"""
Routine for collecting and inserting daily data from the YahooApi. All data is for the previously closed
trading day.
:return: None
"""
Logger.logApp("Collecting and inserting daily data...")
# chunk the tickers into a managable size, retrieve data for each chunk, and then insert each chunk
# chunking allows us to insert periodicly through the data collection process and ensures our YahooApi request
# doesnt return a 414 response code (URI too long)
iCurChunk = 0
aTickers = self.getQuandlTickers(AppVars.DATA_DAILY_TICKERS)
aTickerChunks = Utils.chunk(aTickers, AppVars.CHUNK_TICKERS)
for iCurChunk in range(0, len(aTickerChunks)):
oData = Api.getData(aTickerChunks[iCurChunk], AppVars.DATA_DAILY_DIMENSIONS)
if oData:
TradingData.insert(self.oDB, TradingData.S_DAILY_DATA, oData)
self.oDB.commit()
Logger.logApp("Inserting data for chunk " + str(iCurChunk + 1) + " of " + str(len(aTickerChunks)))
else:
Logger.logError('There was an error retrieving data for chunk ' + str(iCurChunk + 1))
del oData
def run(self):
"""
Main daemon process invoked by DataDaemon. This method is a infinite loop that has logic in it's body to
execute commands at specific times of day. More specifically, this process is responsible for creating,
running, and closing each trading day. This process will get killed when the daemon stops.
:return:
"""
# service variables
bTrading = False
while True:
# Get the current EST time and date
oNow = datetime.datetime.now(timezone(Conf.MARKET_TIMEZONE))
oNowDate = datetime.datetime(oNow.year, oNow.month, oNow.day)
# Market is only open on week days from 9:30AM EST to 4:00PM EST
bIsWeekDay = not(oNow.strftime('%A') == 'sunday' or oNow.strftime('%A') == 'saturday')
bIsMarketHours = datetime.time(Conf.MARKET_OPEN_HOUR, Conf.MARKET_OPEN_MINUTE) <= datetime.time(oNow.hour, oNow.minute) \
and datetime.time(oNow.hour, oNow.minute) < datetime.time(Conf.MARKET_CLOSE_HOUR, Conf.MARKET_CLOSE_MINUTE)
bIsOpen = bIsWeekDay and bIsMarketHours
# it's after 5:00AM EST on a week day, let's collect the previous days data and get everything set up
if (bIsWeekDay and not bTrading and oNow.hour >= 5) or Conf.DAEMON_IS_DEBUG:
# insert daily data from yesterday
if Conf.DAEMON_INSERT_DAILY:
self.insertDailyData()
# market vars, must be deleted at EOD
aTickers = self.getQuandlTickers(AppVars.DATA_RT_TICKERS)
aTickerChunks = Utils.chunk(aTickers, AppVars.CHUNK_TICKERS)
del aTickers
oPortfolioCollection = PortfolioCollection()
# OK to stop trading
bTrading = True
# the market is open! start collecting data and trading
if (bTrading and bIsOpen and aTickerChunks) or Conf.DAEMON_IS_DEBUG:
Logger.logApp("Starting a trading cycle...")
# get current pricing data for all tickers and create a data map where keys are tickers and values are
# the location of the ticker's value in the data list
aDataList = []
oDataMap = {}
for iCurChunk in range(0, len(aTickerChunks)):
aChunkData = Api.getData(aTickerChunks[iCurChunk], AppVars.DATA_RT_DIMENSIONS)
for iDataIndex in range(len(aDataList), len(aDataList) + len(aChunkData)):
oDataMap[aChunkData[iDataIndex - len(aDataList)][Company.SYMBOL]] = iDataIndex
aDataList += aChunkData
del aChunkData
del iCurChunk
del iDataIndex
# broadcast new data to all portfolios
for oPortfolio in oPortfolioCollection.iteritems():
oAlgorithm = oPortfolio['algorithm']
oAlgorithm.run(oDataMap)
# insert new data
if aDataList:
TradingData.insert(self.oDB, TradingData.S_RT_DATA, aDataList)
self.oDB.commit()
else:
Logger.logError('There was an error inserting real time data')
del oDataMap
Logger.logApp("Finished a trading cycle")
# it's after 4:30PM EST on a week day let's close the trading day and go to sleep
if (bIsWeekDay and bTrading and oNow.hour >= 16 and oNow.minute > 30) or Conf.DAEMON_IS_DEBUG:
# insert portfolio data
for oPortfolio in oPortfolioCollection.iteritems():
oAlgorithm = oPortfolio['algorithm']
oAlgorithm.insert()
# clean up market vars
del aTickerChunks
del oPortfolioCollection
# OK to start trading
bTrading = False
time.sleep(Conf.DAEMON_SLEEP)