New tool for stitching futures contracts

stitch_futures.py

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