def get_and_check_prices_for_frequency(data,
log,
contract_object,
frequency="D"):
broker_data = dataBroker(data)
price_data = diagPrices(data)
price_updater = updatePrices(data)
try:
old_prices = price_data.get_prices_for_contract_object(contract_object)
ib_prices = broker_data.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(ib_prices) == 0:
raise Exception("No IB prices found for %s nothing to check" %
str(contract_object))
print("\n\n Manually checking prices for %s \n\n" %
str(contract_object))
new_prices_checked = manual_price_checker(
old_prices,
ib_prices,
column_to_check='FINAL',
delta_columns=['OPEN', 'HIGH', 'LOW'],
type_new_data=futuresContractPrices)
result = price_updater.update_prices_for_contract(
contract_object, new_prices_checked, check_for_spike=False)
return result
except Exception as e:
log.warn(
"Exception %s when getting or checking data at frequency %s for %s"
% (e, frequency, str(contract_object)))
return failure
def update_historical_prices_with_checks_for_instrument_and_contract(contract_object, data, log=logger("")):
"""
Do a daily update for futures contract prices, using IB historical data
:param contract_object: futuresContract
:param data: data blob
:param log: logger
:return: None
"""
ib_prices = data.ib_futures_contract_price.get_prices_for_contract_object(contract_object)
if len(ib_prices)==0:
log.warn("No IB prices found for %s" % str(contract_object))
return failure
old_prices = data.arctic_futures_contract_price.get_prices_for_contract_object(contract_object)
print("\n\n Manually checking prices for %s \n\n" % str(contract_object))
new_prices_checked = manual_price_checker(old_prices, ib_prices,
column_to_check = 'FINAL',
delta_columns = ['OPEN','HIGH','LOW'],
type_new_data = futuresContractPrices
)
rows_added = data.arctic_futures_contract_price.update_prices_for_contract(contract_object, new_prices_checked,
check_for_spike=False)
return success
def get_and_check_prices_for_frequency(data: dataBlob,
contract_object: futuresContract,
frequency="D"):
broker_data = dataBroker(data)
price_data = diagPrices(data)
price_updater = updatePrices(data)
old_prices = price_data.get_prices_for_contract_object(contract_object)
broker_prices = broker_data.get_prices_at_frequency_for_contract_object(
contract_object, frequency)
if len(broker_prices) == 0:
print("No broker prices found for %s nothing to check" %
str(contract_object))
return failure
print("\n\n Manually checking prices for %s \n\n" % str(contract_object))
new_prices_checked = manual_price_checker(
old_prices,
broker_prices,
column_to_check="FINAL",
delta_columns=["OPEN", "HIGH", "LOW"],
type_new_data=futuresContractPrices,
)
price_updater.update_prices_for_contract(contract_object,
new_prices_checked,
check_for_spike=False)
def update_manual_check_fx_prices_for_code(fx_code, data):
new_fx_prices = data.ib_fx_prices.get_fx_prices(
fx_code) # returns fxPrices object
if len(new_fx_prices) == 0:
data.log.warn("No FX prices found for %s" % fx_code)
old_fx_prices = data.arctic_fx_prices.get_fx_prices(fx_code)
## May break manual price checking code if not equal
old_fx_prices.name = new_fx_prices.name = ''
print("\n\n Manually checking prices for %s \n\n" % fx_code)
new_prices_checked = manual_price_checker(
old_fx_prices, new_fx_prices, type_new_data=fxPrices.from_data_frame)
rows_added = data.arctic_fx_prices.update_fx_prices(fx_code,
new_prices_checked,
check_for_spike=False)
return success
def update_manual_check_fx_prices_for_code(fx_code: str, data: dataBlob):
db_currency_data = dataCurrency(data)
data_broker = dataBroker(data)
new_fx_prices = data_broker.get_fx_prices(
fx_code) # returns fxPrices object
if len(new_fx_prices) == 0:
data.log.warn("No FX prices found for %s" % fx_code)
old_fx_prices = db_currency_data.get_fx_prices(fx_code)
# Will break manual price checking code if not equal
old_fx_prices.name = new_fx_prices.name = ""
print("\n\n Manually checking prices for %s \n\n" % fx_code)
new_prices_checked = manual_price_checker(
old_fx_prices, new_fx_prices, type_new_data=fxPrices.from_data_frame)
db_currency_data.update_fx_prices_and_return_rows_added(
fx_code, new_prices_checked, check_for_spike=False)
return success
