def GetDataMarket(self, market_obj, path, date, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip.replace(
':', '') + '_' + common_functions_obj.FormatDate(
date) + '_trades.csv'
with open(filename, 'rb') as marketTrade_file_obj:
marketTrade_file_contents = csv.reader(marketTrade_file_obj)
market_obj.m_strScripName = scrip
for row in marketTrade_file_contents:
if row[0].strip() == scrip:
market_obj.m_nCountOfRows += 1
market_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
row[2].strip(), row[3].strip()))
market_obj.m_fPriceList.append(float(row[4].strip()))
market_obj.m_nSizeList.append(int(row[5].strip()))
market_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
market_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
CCommonFunctions.total_daily_market_volume = sum(
market_obj.m_nSizeList)
return True
def GetDataTwapPortfolio(self, portfolio_twap_obj, path, input_date,
filename, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
input_date) + '/' + filename
with open(filename, 'rb') as portfolio_file_obj:
portfolio_file_contents = csv.reader(portfolio_file_obj)
portfolio_twap_obj.m_strScripName = scrip
for row in portfolio_file_contents:
if row[1].strip() == scrip:
temp_datetime = row[0].strip().split(' ')
date = temp_datetime[0]
time = temp_datetime[1]
portfolio_twap_obj.m_nCountOfRows += 1
portfolio_twap_obj.m_DatetimeList.append(
common_functions_obj.GetDateTimePortfolio(date, time))
portfolio_twap_obj.m_strOrderIDList.append(row[2].strip())
portfolio_twap_obj.m_strStatusList.append(row[3].strip())
portfolio_twap_obj.m_nOrderQtyList.append(
int(row[4].strip()))
portfolio_twap_obj.m_fOrderPriceList.append(
float(row[5].strip()))
portfolio_twap_obj.m_strSideList.append(row[6].strip())
portfolio_twap_obj.m_nFilledSizeList.append(row[7].strip())
portfolio_twap_obj.m_fAvgPriceList.append(row[8].strip())
portfolio_twap_obj.m_fPriceList.append(row[9].strip())
portfolio_twap_obj.m_nSizeList.append(row[10].strip())
portfolio_twap_obj.m_FillDateTimeList.append(
common_functions_obj.GetDateTimePortfolio(date, time))
if row[3].strip().upper() == 'COMPLETE':
portfolio_twap_obj.m_OrderCompleteDatetimeList.append(
common_functions_obj.GetDateTimePortfolio(
date, time))
portfolio_twap_obj.m_fOrderCompleteAvgPriceList.append(
row[8].strip())
if not row[9].strip().upper() == 'NONE':
portfolio_twap_obj.m_OrderExecutionDatetimeList.append(
common_functions_obj.GetDateTimePortfolio(
date, time))
portfolio_twap_obj.m_fOrderExecutionFillPriceList.append(
row[9].strip())
portfolio_twap_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
input_date,
common_functions_obj.GetWindowList(windowInterval)[0])
portfolio_twap_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
input_date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True
def GetDataCash(self, cash_obj, path, date, scrip, windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip + '_' + common_functions_obj.FormatDate(
date) + '_trades.csv'
with open(filename, 'rb') as cash_file_obj:
cash_file_contents = csv.reader(cash_file_obj)
cash_obj.m_strScripName = scrip
for row in cash_file_contents:
if row[0].strip() == scrip:
cash_obj.m_nCountOfRows += 1
cash_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
row[2].strip(), row[3].strip()))
cash_obj.m_fPriceList.append(float(row[4].strip()))
cash_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
cash_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True
def GetDataStrategyLogs(self, strategy_log_obj, path, date, filename):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + filename
strategy_logs_file_obj = open(filename)
strategy_logs_file_contents = strategy_logs_file_obj.read().split('\n')
utils_ntwap_obj = CUtilsNtwap()
for row in strategy_logs_file_contents:
row = utils_ntwap_obj.FormatRow(row)
if len(row) > 0 and not utils_ntwap_obj.GetPrice(row) == 'nan':
temp_timestamp = utils_ntwap_obj.GetTimeStamp(row)
temp_price = utils_ntwap_obj.GetPrice(row)
temp_strategy = utils_ntwap_obj.GetStrategy(row)
strategy_log_obj.m_nCountOfRows += 1
strategy_log_obj.m_DatetimeList.append(
common_functions_obj.GetDateTimeStrategyLog(
date, temp_timestamp))
strategy_log_obj.m_fPriceList.append(float(temp_price))
strategy_log_obj.m_strStrategyList.append(temp_strategy)
return True
def GetDataPredicted(self, predicted_obj, path, date, scrip,
windowInterval):
common_functions_obj = CCommonFunctions()
filename = path + '/' + common_functions_obj.FormatDate(
date) + '/' + scrip.replace(':', '') + '.csv'
with open(filename, 'rb') as predicted_file_obj:
predicted_file_contents = csv.reader(predicted_file_obj)
predicted_obj.m_strScripName = scrip
for row in predicted_file_contents:
predicted_obj.m_nCountOfRows += 1
predicted_obj.m_DatetimeList.append(
common_functions_obj.GetDateTime(
date, common_functions_obj.FormatTime(row[0].strip())))
predicted_obj.m_nSizeList.append(float(row[1].strip()))
predicted_obj.m_strTimeWindowList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[0])
predicted_obj.m_strTimeWindowPlotList = common_functions_obj.GetDateTimeList(
date,
common_functions_obj.GetWindowList(windowInterval)[1])
return True