def read_fx_prices(currency_code: str, tail_size: int = 20):
"""
Retrieve FX prices from a database, print last tail_size rows
Will only work for codes in database, so won't do cross rate conversions to find a non existent rate
:param currency_code: The currency code, for example 'GBPUSD'
:param tail_size: The length of the tail to print
:return: None, but print results
"""
log = logger()
arcticfxdata = arcticFxPricesData(log=log.setup(
component="arcticFxPricesData"))
list_of_codes_all = arcticfxdata.get_list_of_fxcodes()
try:
assert currency_code in list_of_codes_all
except:
raise Exception("Currency code %s not in possible codes %s" %
(currency_code, list_of_codes_all))
fx_prices = arcticfxdata.get_fx_prices(currency_code)
print("/n Last %d FX rates for %s \n\n" % (tail_size, currency_code))
print(fx_prices.tail(tail_size))
def update_fx_prices():
"""
Update FX prices stored in Arctic (Mongo) with interactive brokers prices (usually going back about a year)
:return: Nothing
"""
mongo_db = mongoDb(
) # will use default database, host unles specified here
log = logger("Update-FX-prices", mongo_db=mongo_db)
ib_conn = connectionIB(log=log.setup(
component="IB-connection")) # will use default port, host
ibfxpricedata = ibFxPricesData(ib_conn,
log=log.setup(component="ibFxPricesData"))
arcticfxdata = arcticFxPricesData(
mongo_db=mongo_db, log=log.setup(component="arcticFxPricesData"))
list_of_codes_all = ibfxpricedata.get_list_of_fxcodes(
) # codes must be in .csv file /sysbrokers/IB/ibConfigSpotFx.csv
log.msg("FX Codes: %s" % str(list_of_codes_all))
for fx_code in list_of_codes_all:
log.label(currency_code=fx_code)
new_fx_prices = ibfxpricedata.get_fx_prices(
fx_code) # returns fxPrices object
arcticfxdata.update_fx_prices(fx_code, new_fx_prices)
ib_conn.disconnect()
def _get_fx_data_object(self):
database_name = self._database_name
host = self._host
port = self._port
fx_prices_data_object = arcticFxPricesData(
mongoDb(database_name=database_name, host=host))
fx_prices_data_object.log = self.log
return fx_prices_data_object
def update_fx_prices():
"""
Update FX prices stored in Arctic (Mongo) with interactive brokers prices (usually going back about a year)
:return: Nothing
"""
# avoid unique ids
conn = connectionIB(client=100)
ibfxpricedata = ibFxPricesData(conn)
arcticfxdata = arcticFxPricesData()
list_of_codes_all = ibfxpricedata.get_list_of_fxcodes(
) # codes must be in .csv file /sysbrokers/IB/ibConfigSpotFx.csv
print(list_of_codes_all)
for fx_code in list_of_codes_all:
print(fx_code)
new_fx_prices = ibfxpricedata.get_fx_prices(
fx_code) # returns fxPrices object
if len(new_fx_prices) == 0:
print("couldn't get any more data")
continue
old_fx_prices = arcticfxdata.get_fx_prices(fx_code)
new_fx_prices = new_fx_prices[
new_fx_prices.index > old_fx_prices.index[-1]]
if len(new_fx_prices) == 0:
print("No new data found")
continue
# merge old and new
print("Old:")
print(old_fx_prices.tail(2))
print("New:")
print(new_fx_prices.head(2))
fx_prices = pd.concat([old_fx_prices, new_fx_prices], axis=0)
fx_prices = fx_prices.sort_index()
# remove duplicates
fx_prices = fx_prices[~fx_prices.index.duplicated(keep='first')]
print("Merged")
print(fx_prices.tail(5))
# write
arcticfxdata.add_fx_prices(fx_code, fx_prices, ignore_duplication=True)
def update_fx_prices():
"""
Update FX prices stored in Arctic (Mongo) with interactive brokers prices (usually going back about a year)
:return: Nothing
"""
log = logger("Update-FX-prices")
ib_conn = connectionIB(log=log.setup(
component="IB-connection")) # will use default port, host
mongo_db = mongoDb(
) # will use default database, host unles specified here
ibfxpricedata = ibFxPricesData(ib_conn,
mongo_db=mongo_db,
log=log.setup(component="ibFxPricesData"))
arcticfxdata = arcticFxPricesData(
mongo_db=mongo_db, log=log.setup(component="arcticFxPricesData"))
list_of_codes_all = ibfxpricedata.get_list_of_fxcodes(
) # codes must be in .csv file /sysbrokers/IB/ibConfigSpotFx.csv
log.msg("FX Codes: %s" % str(list_of_codes_all))
for fx_code in list_of_codes_all:
log.label(currency_code=fx_code)
new_fx_prices = ibfxpricedata.get_fx_prices(
fx_code) # returns fxPrices object
if len(new_fx_prices) == 0:
log.error("Error trying to get data for %s" % fx_code)
continue
old_fx_prices = arcticfxdata.get_fx_prices(fx_code)
new_fx_prices = new_fx_prices[
new_fx_prices.index > old_fx_prices.index[-1]]
if len(new_fx_prices) == 0:
log.msg("No additional data for %s" % fx_code)
continue
fx_prices = pd.concat([old_fx_prices, new_fx_prices], axis=0)
fx_prices = fx_prices.sort_index()
# remove duplicates
fx_prices = fx_prices[~fx_prices.index.duplicated(keep='first')]
# write
arcticfxdata.add_fx_prices(fx_code, fx_prices, ignore_duplication=True)
def spotfx_from_csv_and_investing_dot_com(datapath,
ADD_TO_ARCTIC=True,
ADD_TO_CSV=True,
ADD_EXTRA_DATA=True):
# You can adapt this for different providers by changing these parameters
if ADD_EXTRA_DATA:
investingDotCom_csv_fx_prices = csvFxPricesData(
datapath=datapath, config=investing_dot_com_config)
if ADD_TO_ARCTIC:
arctic_fx_prices = arcticFxPricesData()
my_csv_fx_prices_data = csvFxPricesData()
list_of_ccy_codes = my_csv_fx_prices_data.get_list_of_fxcodes()
for currency_code in list_of_ccy_codes:
print(currency_code)
fx_prices_my_csv = my_csv_fx_prices_data.get_fx_prices(currency_code)
fx_prices = investingDotCom_csv_fx_prices.get_fx_prices(currency_code)
if ADD_EXTRA_DATA:
fx_prices_investingDotCom = investingDotCom_csv_fx_prices.get_fx_prices(
currency_code)
print("%d rows for my csv files, %d rows for investing.com" %
(len(fx_prices_my_csv), len(fx_prices_investingDotCom)))
# Merge;
last_date_in_my_csv = fx_prices_my_csv.index[-1]
fx_prices_investingDotCom = fx_prices_investingDotCom[
last_date_in_my_csv:]
fx_prices = pd.concat(
[fx_prices_my_csv, fx_prices_investingDotCom])
fx_prices = fx_prices.loc[~fx_prices.index.duplicated(
keep="first")]
else:
fx_prices = fx_prices_my_csv
print("%d rows to write for %s" % (len(fx_prices), currency_code))
if ADD_TO_CSV:
my_csv_fx_prices_data.add_fx_prices(currency_code,
fx_prices,
ignore_duplication=True)
if ADD_TO_ARCTIC:
arctic_fx_prices.add_fx_prices(currency_code,
fx_prices,
ignore_duplication=True)
def _get_fx_data_object(self):
fx_prices_data_object = arcticFxPricesData(self.mongo_db)
fx_prices_data_object.log = self.log
return fx_prices_data_object
def _get_fx_data_object(self):
fx_prices_data_object = arcticFxPricesData(self._database_name)
fx_prices_data_object.log = self.log
return fx_prices_data_object
ADD_TO_ARCTIC = True
ADD_TO_CSV = True
# You may need to change this!
# There must be ONLY fx prices here, with filenames "GBPUSD.csv" etc
INVESTING_DATA_PATH = "data.other_sources.investing_dot_com.spotfx"
if __name__ == '__main__':
# You can adapt this for different providers by changing these parameters
investingDotCom_csv_fx_prices = csvFxPricesData(
datapath=INVESTING_DATA_PATH,
price_column="Price",
date_column="Date",
date_format="%b %d, %Y")
if ADD_TO_ARCTIC:
arctic_fx_prices = arcticFxPricesData()
my_csv_fx_prices = csvFxPricesData()
list_of_ccy_codes = investingDotCom_csv_fx_prices.get_list_of_fxcodes()
for currency_code in list_of_ccy_codes:
print(currency_code)
fx_prices_investingDotCom = investingDotCom_csv_fx_prices.get_fx_prices(
currency_code)
fx_prices_my_csv = my_csv_fx_prices.get_fx_prices(currency_code)
print("%d rows for my csv files, %d rows for investing.com" %
(len(fx_prices_my_csv), len(fx_prices_investingDotCom)))
# Merge;
last_date_in_my_csv = fx_prices_my_csv.index[-1]
"""
Get FX prices from Quandl and write to Arctic
"""
from sysdata.quandl.quandl_spotfx_prices import quandlFxPricesData
from sysdata.arctic.arctic_spotfx_prices import arcticFxPricesData
from sysdata.csv.csv_spot_fx import csvFxPricesData
# could get these from stdin
ADD_TO_ARCTIC = True
ADD_TO_CSV = False
if __name__ == '__main__':
quandl_fx_prices = quandlFxPricesData()
arctic_fx_prices = arcticFxPricesData()
csv_fx_prices = csvFxPricesData()
list_of_ccy_codes = quandl_fx_prices.get_list_of_fxcodes()
for currency_code in list_of_ccy_codes:
fx_prices = quandl_fx_prices.get_fx_prices(currency_code)
print(fx_prices)
if ADD_TO_CSV:
csv_fx_prices.add_fx_prices(currency_code, fx_prices)
if ADD_TO_ARCTIC:
arctic_fx_prices.add_fx_prices(currency_code, fx_prices)
def _get_fx_data_object(self):
fx_prices_data_object = arcticFxPricesData(self._database_name)
fx_prices_data_object.log = self.log
return fx_prices_data_object
