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))
ret = []
sql += " ORDER by bar.timestamp ASC"
cursor = self.__connection.cursor()
cursor.execute(sql, args)
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 testTimeStampConversions(self):
dateTime = datetime.datetime(2000, 1, 1)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(datetime.datetime(2000, 1, 1, 1, 1))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def testTimeStampConversionsWithMicroseconds(self):
dateTime = datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10)
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime),
False), dateTime)
dateTime = dt.as_utc(
datetime.datetime(2000, 1, 1, 1, 1, 1, microsecond=10))
self.assertEqual(
dt.timestamp_to_datetime(dt.datetime_to_timestamp(dateTime), True),
dateTime)
def doGetHistory(self):
while not self.stopped():
endTimestamp = dt.datetime_to_timestamp(self.__nextBarClose)
self.__updateNextBarClose()
dicts = {}
try:
for indentifier in self.__identifiers:
response = api.getKLineBar(
indentifier, endTimestamp - self.__frequency * 2,
self.__period, 100)
if response is None:
raise Exception("getKLineBar return None!")
dicts[indentifier] = response
break
except BaseException:
time.sleep(1)
continue
while not self.stopped():
barDict = {}
for indentifier in self.__identifiers:
response = dicts[indentifier]
if len(response) == 0:
break
barDict[indentifier] = liveBar(response.pop(-1),
self.__frequency)
if len(barDict) == 0:
break
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_HISTORY_BARS, bars))
def onNewValue(self, dateTime, value):
technical.EventWindow.onNewValue(self, dateTime, value)
if value is not None:
timestamp = dt.datetime_to_timestamp(dateTime)
if len(self.__timestamps):
assert (timestamp > self.__timestamps[-1])
self.__timestamps.append(timestamp)
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "INSERT INTO bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(),
bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "UPDATE bar SET open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" WHERE instrument_id = ? AND frequency = ? AND timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(),
instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
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 doCall(self):
endTimestamp = dt.datetime_to_timestamp(self.__nextBarClose)
barDict = {}
for indentifier in self.__identifiers:
try:
response = api.getKLineBar(indentifier,
endTimestamp - self.__frequency,
self.__period)
if response is None:
raise Exception("getKLineBar return None!")
# logger.debug(response)
barDict[indentifier] = liveBar(response[-1], self.__frequency)
except BaseException:
time.sleep(1)
return False
if len(barDict):
bars = bar.Bars(barDict)
self.__queue.put((GetBarThread.ON_BARS, bars))
self.__updateNextBarClose()
return True
return False
def utcToLocal(utcDatetime):
return timestamp_to_DateTimeLocal(dt.datetime_to_timestamp(utcDatetime))
def getValueAt(self, dateTime):
return self.__getValueAtImpl(dt.datetime_to_timestamp(dateTime))
