QHP download: fixes

qhp-download-futures.py

@@ -27,7 +27,7 @@ def timeframe_to_seconds(tf):
         raise ValueError('Invalid value')
 
 class BarAggregator:
-    def __init__(self, timeframe):
+    def __init__(self, timeframe, tz):
         self.open_ = 0
         self.high = 0
         self.low = 0
@@ -36,6 +36,16 @@ class BarAggregator:
         self.timestamp = None
         self.current_bar_number = None
         self.timeframe = timeframe
+        self.tz = tz
+
+    def clear(self):
+        self.open_ = 0
+        self.high = 0
+        self.low = 0
+        self.close = 0
+        self.volume = 0
+        self.timestamp = None
+        self.current_bar_number = None
     
     def push_bar(self, timestamp, open_, high, low, close, volume):
         bar_number = timestamp.timestamp() // self.timeframe
@@ -46,7 +56,7 @@ class BarAggregator:
             b_close = self.close
             b_volume = self.volume
             if self.current_bar_number is not None:
-                b_timestamp = datetime.datetime.fromtimestamp(self.current_bar_number * self.timeframe)
+                b_timestamp = datetime.datetime.fromtimestamp(self.current_bar_number * self.timeframe, self.tz)
 
             self.open_ = open_
             self.high = high
@@ -67,16 +77,19 @@ class BarAggregator:
             return None
 
     def get_bar(self):
+        if self.timestamp is None:
+            return None
         b_open = self.open_
         b_high = self.high
         b_low = self.low
         b_close = self.close
         b_volume = self.volume
-        b_timestamp = datetime.datetime.fromtimestamp(self.timeframe * ( self.timestamp.timestamp() // self.timeframe))
+        b_timestamp = datetime.datetime.fromtimestamp(self.timeframe * ( self.timestamp.timestamp() // self.timeframe), self.tz)
 
         return (b_timestamp, b_open, b_high, b_low, b_close, b_volume)
 
 def get_data(qhp, ticker, start_time, end_time, period, tz, timedelta):
+    utctz = dateutil.tz.gettz('UTC')
     rq = {
         "ticker" : ticker,
         "from" : start_time.strftime("%Y-%m-%dT%H:%M:%S"),
@@ -105,16 +118,29 @@ def get_data(qhp, ticker, start_time, end_time, period, tz, timedelta):
             low = float(line[3])
             close = float(line[4])
             volume = int(line[5])
-            dt = datetime.datetime.fromtimestamp(timestamp, tz) + timedelta
+            dt = datetime.datetime.fromtimestamp(timestamp, utctz) + timedelta
+            dt = dt.astimezone(utctz)
 
             bar_count += 1
             result.append((dt, open_, high, low, close, volume))
 
     return result
 
-def write_to_file(writer, bars, ticker, period):
+def write_to_file(writer, bars, ticker, period, agg):
     for bar in bars:
+        if agg is not None:
+            mbar = agg.push_bar(bar[0], bar[1], bar[2], bar[3], bar[4], bar[5])
+            if mbar is not None:
+                writer.writerow([ticker, agg.timeframe, mbar[0].strftime("%Y%m%d"), mbar[0].strftime("%H%M%S"), mbar[1], mbar[2], mbar[3], mbar[4], mbar[5]])
+        else:
             writer.writerow([ticker, period, bar[0].strftime("%Y%m%d"), bar[0].strftime("%H%M%S"), bar[1], bar[2], bar[3], bar[4], bar[5]])
+    if agg is not None:
+        mbar = agg.get_bar()
+        if mbar is not None:
+            writer.writerow([ticker, agg.timeframe, mbar[0].strftime("%Y%m%d"), mbar[0].strftime("%H%M%S"), mbar[1], mbar[2], mbar[3], mbar[4], mbar[5]])
+            agg.clear()
+        else:
+            print('none bar' ,ticker )
 
 def make_tickers_list(base, start_time, end_time, futures_interval):
     result = []
@@ -148,6 +174,7 @@ def main():
     parser.add_argument('-i', '--futures-interval', action='store', dest='futures_interval', help='Futures interval between exprations in month', required=True)
     parser.add_argument('-s', '--stitch-delta', action='store', dest='stitch_delta', help='Futures interval between exprations in month', required=True)
     parser.add_argument('-e', '--replace-ticker', action='store', dest='replace_ticker', help='Replace ticker id in file', required=False)
+    parser.add_argument('-z', '--timezone', action='store', dest='timezone', help='Convert bar timestamps to given timezone', required=False)
 
     args = parser.parse_args()
 
@@ -162,29 +189,50 @@ def main():
     start_time = datetime.datetime.strptime(args.from_, "%Y%m%d")
     end_time = datetime.datetime.strptime(args.to, "%Y%m%d")
 
+    if filename == "!":
+        if args.rescale is not None:
+            filename = "{}_{}_{}_{}.csv".format(symbol, args.from_, args.to, args.rescale)
+        else:
+            filename = "{}_{}_{}_{}.csv".format(symbol, args.from_, args.to, args.period)
+
+        print("Assuming filename: {}".format(filename))
+
     timedelta = datetime.timedelta()
     if args.time_delta:
         timedelta = datetime.timedelta(seconds=int(args.time_delta))
 
+    tz = dateutil.tz.gettz('UTC')
+    if args.timezone is not None:
+        tz = dateutil.tz.gettz(args.timezone)
+
     delta = int(args.stitch_delta)
 
     agg = None
     if args.rescale:
-        agg = BarAggregator(int(args.rescale))
+        agg = BarAggregator(int(args.rescale), tz)
 
     data = {}
     tickers = make_tickers_list(symbol, start_time, end_time, int(args.futures_interval))
     print("Tickers: {}".format(tickers))
+    empty_tickers = []
     for ticker in tickers:
         print("Requesting data: {}".format(ticker))
-        bars = get_data(s, ticker, start_time, end_time, period, dateutil.tz.gettz('UTC'), timedelta)
+        bars = get_data(s, ticker, start_time, end_time, period, tz, timedelta)
 
         if len(bars) > 0:
             data[ticker] = { 'bars' : bars }
+        else:
+            empty_tickers.append(ticker)
+            
+    tickers = [t for t in tickers if not (t in empty_tickers)]
+
+    for ticker in tickers:
         print("Cutting off trailing data: {}".format(ticker))
-            end_date = data[ticker]['bars'][-1][0]
+        end_date = data[ticker]['bars'][-1][0].date()
+        if ticker != tickers[-1]:
             cutoff_date = datetime.date.fromordinal(end_date.toordinal() - delta)
-            #cutoff_date_num = cutoff_date.year * 10000 + cutoff_date.month * 100 + cutoff_date.day
+        else:
+            cutoff_date = datetime.date.fromordinal(end_date.toordinal())
 
         data[ticker]['bars'] = [s for s in data[ticker]['bars'] if s[0].date() <= cutoff_date]
         data[ticker]['end_date'] = cutoff_date
@@ -195,16 +243,17 @@ def main():
         if prev_ticker is not None:
             start_date = data[prev_ticker]['bars'][-1][0]
             v['bars'] = [s for s in data[k]['bars'] if s[0] > start_date]
+            print("{} : {}".format(data[prev_ticker]['bars'][-1][0], data[k]['bars'][0][0]), v['bars'][0][0])
         prev_ticker = k
         
-    with open(args.output_file, 'w+') as f:
+    with open(filename, 'w+') as f:
         writer = csv.writer(f)
         writer.writerow(['<TICKER>', '<PER>', '<DATE>', '<TIME>', '<OPEN>', '<HIGH>', '<LOW>', '<CLOSE>', '<VOLUME>'])
         for k, v in sorted(data.items(), key=lambda x: x[1]['end_date']):
             ticker = args.replace_ticker
             if ticker is None:
                 ticker = k
-            write_to_file(writer, v['bars'], k, period)
+            write_to_file(writer, v['bars'], ticker, period, agg)
 
 if __name__ == '__main__':
     main()

qhp-download.py

@@ -8,6 +8,7 @@ import json
 import csv
 import datetime
 import struct
+import dateutil.tz
 
 def timeframe_to_seconds(tf):
     if tf == 'M1':
@@ -26,7 +27,7 @@ def timeframe_to_seconds(tf):
         raise ValueError('Invalid value')
 
 class BarAggregator:
-    def __init__(self, timeframe):
+    def __init__(self, timeframe, tz):
         self.open_ = 0
         self.high = 0
         self.low = 0
@@ -35,6 +36,7 @@ class BarAggregator:
         self.timestamp = None
         self.current_bar_number = None
         self.timeframe = timeframe
+        self.tz = tz
 
     def push_bar(self, timestamp, open_, high, low, close, volume):
         bar_number = timestamp.timestamp() // self.timeframe
@@ -45,7 +47,7 @@ class BarAggregator:
             b_close = self.close
             b_volume = self.volume
             if self.current_bar_number is not None:
-                b_timestamp = datetime.datetime.fromtimestamp(self.current_bar_number * self.timeframe)
+                b_timestamp = datetime.datetime.fromtimestamp(self.current_bar_number * self.timeframe, self.tz)
 
             self.open_ = open_
             self.high = high
@@ -71,7 +73,7 @@ class BarAggregator:
         b_low = self.low
         b_close = self.close
         b_volume = self.volume
-        b_timestamp = datetime.datetime.fromtimestamp(self.timeframe * ( self.timestamp.timestamp() // self.timeframe))
+        b_timestamp = datetime.datetime.fromtimestamp(self.timeframe * ( self.timestamp.timestamp() // self.timeframe), self.tz)
 
         return (b_timestamp, b_open, b_high, b_low, b_close, b_volume)
 
@@ -86,6 +88,7 @@ def main():
     parser.add_argument('-r', '--rescale', action='store', dest='rescale', help='Rescale to timeframe')
     parser.add_argument('-d', '--time-delta', action='store', dest='time_delta', help='Add given time delta (in seconds)', required=False)
     parser.add_argument('-c', '--replace-ticker', action='store', dest='replace_ticker', help='Resulting symbol')
+    parser.add_argument('-z', '--timezone', action='store', dest='timezone', help='Timezone')
 
     args = parser.parse_args()
 
@@ -95,6 +98,11 @@ def main():
 
     replace_ticker = args.replace_ticker
 
+    utctz = dateutil.tz.gettz('UTC')
+    tz = dateutil.tz.gettz('UTC')
+    if args.timezone is not None:
+        tz = dateutil.tz.gettz(args.timezone)
+
     ctx = zmq.Context.instance()
     s = ctx.socket(zmq.REQ)
     s.connect(args.qhp)
@@ -108,7 +116,7 @@ def main():
 
     agg = None
     if args.rescale:
-        agg = BarAggregator(int(args.rescale))
+        agg = BarAggregator(int(args.rescale), tz)
 
     rq = {
         "ticker" : symbol,
@@ -131,8 +139,16 @@ def main():
     if replace_ticker is not None:
         symbol = replace_ticker
 
+    if filename == "!":
+        if args.rescale is not None:
+            filename = "{}_{}_{}_{}.csv".format(symbol, args.from_, args.to, args.rescale)
+        else:
+            filename = "{}_{}_{}_{}.csv".format(symbol, args.from_, args.to, args.period)
+
+        print("Assuming filename: {}".format(filename))
+
     line_count = 0
-    with open(args.output_file, 'w', newline='') as f:
+    with open(filename, 'w', newline='') as f:
         writer = csv.writer(f)
         writer.writerow(['<TICKER>', '<PER>', '<DATE>', '<TIME>', '<OPEN>', '<HIGH>', '<LOW>', '<CLOSE>', '<VOLUME>'])
 
@@ -149,7 +165,8 @@ def main():
                 low = float(line[3])
                 close = float(line[4])
                 volume = int(line[5])
-                dt = datetime.datetime.utcfromtimestamp(timestamp) + timedelta
+                dt = datetime.datetime.fromtimestamp(timestamp, utctz) + timedelta
+                dt = dt.astimezone(tz)
 
                 if agg:
                     mbar = agg.push_bar(dt, open_, high, low, close, volume)