def convert(start_date=None, end_date=None, end_time='15:01:00', bar_size='1 min', verbose=False):
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(f'User must pass at least the end date for data conversion.')
date_range = get_date_range(start_date, end_date)
for date in date_range:
create_csv_dump(date, end_time=end_time, bar_size=bar_size)
def convert(start_date=None, end_date=None):
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(
f'User must pass at least the end date for data conversion.')
date_range = get_date_range(start_date, end_date)
for date in date_range:
create_csv_dump(date)
def metrics(tickers, start_date=None, end_date=None, bar_size='1 min', verbose=False):
# todo: input sequence
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(f'User must pass at least the end date for metrics generation.')
if tickers is None:
pass # fixme: read cached input
date_range = get_date_range(start_date, end_date)
for date in date_range:
metrics_generator(date, bar_size, tickers)
def metrics(start_date=None, end_date=None, tickers=None):
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(
f'User must pass at least the end date for metrics generation.')
if tickers is None:
# fixme: to be implemented...
pass
date_range = get_date_range(start_date, end_date)
for date in date_range:
generate_extraction_metrics(date)
def download(tickers=None, start_date=None, end_date=None, end_time=None,
duration=None, bar_size=None, what_to_show=None, use_rth=None, verbose=False):
input_is_a_file = isfile(tickers)
if input_is_a_file:
tickers = get_tickers_from_user_file(tickers)
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(f'User must specify at least the end date for data extraction.')
date_range = get_date_range(start_date, end_date)
for date in date_range:
extract_historical_data(tickers=tickers, end_date=date, end_time=end_time, duration=duration,
bar_size=bar_size, what_to_show=what_to_show, use_rth=use_rth,
verbose=verbose)
def metrics(tickers=None,
start_date=None,
end_date=None,
end_time='15:01:00',
verbose=False):
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(
f'User must pass at least the end date for metrics generation.')
if tickers is None:
pass # fixme: read cached input
date_range = get_date_range(start_date, end_date)
for date in date_range:
generate_extraction_metrics(date,
end_time=end_time,
input_tickers=tickers)
def extract_historical_data(tickers=None,
start_date=None,
end_date=None,
end_time=None,
duration='1 D',
bar_size='1 min',
what_to_show='TRADES',
use_rth=1,
date_format=1,
keep_upto_date=False,
chart_options=(),
batch_size=_BATCH_SIZE):
"""
A wrapper function around HistoricalDataExtractor, that pulls data from TWS for the given tickers.
:param tickers: ticker ID (ex: 1301)
:param start_date: date from which the extraction is to be started (ex: '20201231')
:param end_date: end date (ex: '20210101')
:param end_time: end time (ex: '15:00:01')
:param duration: the amount of time to go back from end_date_time (ex: '1 D')
:param bar_size: valid bar size or granularity of data (ex: '1 min')
:param what_to_show: the type of data to retrieve (ex: 'TRADES')
:param use_rth: 1 means retrieve data withing regular trading hours, else 0
:param date_format: format for bar data, 1 means yyyyMMdd, 0 means epoch time
:param keep_upto_date: setting to True will continue to return unfinished bar data
:param chart_options: to be documented
:param batch_size: size of each batch as integer, default=30
"""
stdout.write(f'\n{"-"*40} Init Extraction {"-"*40}\n')
if start_date is None:
start_date = end_date
if end_date is None:
raise ValueError(
'User must at least specify an end date for extraction.')
date_range = get_date_range(start_date, end_date)
for end_date in date_range:
tickers, cache_success, cache_failure = _prep_for_extraction(
tickers, end_date, end_time)
batches = create_batches(tickers, batch_size)
success_files, failure_files = _run_extractor(
batches, end_date, end_time, duration, bar_size, what_to_show,
use_rth, date_format, keep_upto_date, chart_options, cache_success,
cache_failure)
_cleanup(success_files, cache_success, failure_files, cache_failure)
# stdout.write(f'=> Extraction completed for: {target_date}\n')
stdout.write(f'\n{"-"*100}\n\n')