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115 lines
3.5 KiB
115 lines
3.5 KiB
#!/usr/bin/env python3 |
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import sys |
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import argparse |
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import zmq |
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import io |
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import json |
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import csv |
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import datetime |
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import struct |
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def sec_from_period(period): |
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if period == "M1": |
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return 60 |
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elif period == "M5": |
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return 60 * 5 |
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elif period == "M15": |
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return 60 * 15 |
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elif period == "M30": |
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return 60 * 30 |
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elif period == "H1": |
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return 60 * 60 |
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elif period == "D": |
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return 86400 |
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def main(): |
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parser = argparse.ArgumentParser(description='Finam quote downloader') |
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parser.add_argument('-i', '--input-file', action='store', dest='input_file', help='Input filename', required=True) |
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parser.add_argument('-p', '--timeframe', action='store', dest='timeframe', help='Data timeframe', required=True) |
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parser.add_argument('-o', '--hap', action='store', dest='hap', help='HAP endpoint', required=True) |
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parser.add_argument('-y', '--hap-symbol', action='store', dest='hap_symbol', help='HAP symbol', required=True) |
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parser.add_argument('-d', '--time-delta', action='store', dest='time_delta', help='Time delta (hours)') |
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parser.add_argument('-f', '--force-from', action='store', dest='force_from', help='Force period start') |
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parser.add_argument('-t', '--force-to', action='store', dest='force_to', help='Force period end') |
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args = parser.parse_args() |
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period = args.timeframe |
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out_symbol = args.hap_symbol |
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ctx = zmq.Context.instance() |
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s = ctx.socket(zmq.REQ) |
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s.connect(args.hap) |
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serialized_bars = io.BytesIO() |
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min_dt = None |
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max_dt = None |
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time_delta = datetime.timedelta(hours=0) |
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if args.time_delta is not None: |
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time_delta = datetime.timedelta(hours=int(args.time_delta)) |
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print('Applying delta:', time_delta) |
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line_count = 0 |
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with open(args.input_file, 'r') as f: |
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reader = csv.reader(f, delimiter=';') |
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next(reader) |
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for line in reader: |
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line_count += 1 |
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date = line[2] |
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time = line[3] |
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open_ = line[4] |
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high = line[5] |
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low = line[6] |
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close = line[7] |
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volume = line[8] |
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year = int(date[0:4]) |
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month = int(date[4:6]) |
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day = int(date[6:8]) |
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hour = int(time[0:2]) |
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minute = int(time[2:4]) |
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second = int(time[4:6]) |
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dt = datetime.datetime(year, month, day, hour, minute, second, 0, datetime.timezone.utc) - time_delta |
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serialized_bars.write(struct.pack("<qddddQ", int(dt.timestamp()), float(open_), float(high), float(low), float(close), int(volume))) |
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if min_dt is None: |
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min_dt = dt |
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else: |
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if dt < min_dt: |
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min_dt = dt |
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if max_dt is None: |
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max_dt = dt |
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else: |
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if dt > max_dt: |
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max_dt = dt |
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if args.force_from is not None: |
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min_dt = datetime.datetime.strptime(args.force_from, "%Y%m%d") |
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if args.force_to is not None: |
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max_dt = datetime.datetime.strptime(args.force_to, "%Y%m%d") |
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rq = { |
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"ticker" : out_symbol, |
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"start_time" : min_dt.strftime("%Y-%m-%dT%H:%M:%S"), |
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"end_time" : max_dt.strftime("%Y-%m-%dT%H:%M:%S"), |
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"timeframe_sec" : sec_from_period(period) |
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} |
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print("Read {} lines".format(line_count)) |
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raw_data = serialized_bars.getvalue() |
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print("Sending {} bytes".format(len(raw_data))) |
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s.send_multipart([bytes(json.dumps(rq), "utf-8"), raw_data]) |
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parts = s.recv_multipart() |
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print("Response:", parts) |
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if __name__ == '__main__': |
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main() |
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