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82 lines
2.7 KiB
82 lines
2.7 KiB
5 years ago
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#!/usr/bin/env python3
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import sys
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import argparse
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import csv
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import os
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import datetime
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def parse_date(x):
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return datetime.datetime.strptime(x, '%Y%m%d').date()
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def read_file(f):
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reader = csv.reader(f, delimiter=',')
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ticker = None
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next(reader)
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result = { 'bars' : [] }
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for line in reader:
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result['bars'].append(line)
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if ticker is None:
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ticker = line[0]
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result['ticker'] = ticker
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return result
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def write_to_file(writer, bars, ticker):
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for bar in bars:
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if ticker is not None:
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bar[0] = ticker
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writer.writerow(bar)
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def main():
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parser = argparse.ArgumentParser(description='Stitch futures')
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parser.add_argument('-i', '--input-directory', action='store', dest='input_directory', help='Input directory', required=True)
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parser.add_argument('-o', '--output-file', action='store', dest='output_file', help='Output filename', required=True)
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parser.add_argument('-d', '--stitch-delta', action='store', dest='stitch_delta', help='Offset at which stitching occurs (days)', required=False)
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parser.add_argument('-t', '--ticker', action='store', dest='replace_ticker', help='Replace ticker')
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args = parser.parse_args()
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input_directory = args.input_directory
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output_file = args.output_file
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delta = int(args.stitch_delta)
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ticker = args.replace_ticker
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data = []
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for filename in os.listdir(input_directory):
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full_name = os.path.join(input_directory, filename)
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print("Reading {}".format(full_name))
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with open(full_name, 'r') as f:
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data.append(read_file(f))
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for f in data:
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print("Cutting off trailing data: {}".format(f['ticker']))
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end_date = parse_date(f['bars'][-1][2])
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cutoff_date = datetime.date.fromordinal(end_date.toordinal() - delta)
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cutoff_date_num = cutoff_date.year * 10000 + cutoff_date.month * 100 + cutoff_date.day
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f['bars'] = [s for s in f['bars'] if int(s[2]) <= cutoff_date_num]
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f['end_date'] = cutoff_date
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data.sort(key=lambda x: x['end_date'])
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for i in range(1, len(data)):
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print("Cutting off starting data: {}".format(data[i]['ticker']))
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start_date = parse_date(data[i - 1]['bars'][-1][2])
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start_date_num = start_date.year * 10000 + start_date.month * 100 + start_date.day
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data[i]['bars'] = [s for s in data[i]['bars'] if int(s[2]) > start_date_num]
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with open(args.output_file, 'w+') as f:
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writer = csv.writer(f)
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writer.writerow(['<TICKER>', '<PER>', '<DATE>', '<TIME>', '<OPEN>', '<HIGH>', '<LOW>', '<CLOSE>', '<VOLUME>'])
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for d in data:
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write_to_file(writer, d['bars'], ticker)
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if __name__ == '__main__':
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main()
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