mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-03 06:00:36 +08:00
Merge pull request #1257 from quantopian/remove-data-source-tables-gen
MAINT: Remove unused data conversion script.
This commit is contained in:
Eddie Hebert
@@ -1,210 +0,0 @@
|
||||
#
|
||||
# Copyright 2014 Quantopian, Inc.
|
||||
#
|
||||
# Licensed under the Apache License, Version 2.0 (the "License");
|
||||
# you may not use this file except in compliance with the License.
|
||||
# You may obtain a copy of the License at
|
||||
#
|
||||
# http://www.apache.org/licenses/LICENSE-2.0
|
||||
#
|
||||
# Unless required by applicable law or agreed to in writing, software
|
||||
# distributed under the License is distributed on an "AS IS" BASIS,
|
||||
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
# See the License for the specific language governing permissions and
|
||||
# limitations under the License.
|
||||
|
||||
import sys
|
||||
import getopt
|
||||
import traceback
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import datetime
|
||||
import logging
|
||||
import tables
|
||||
import gzip
|
||||
import glob
|
||||
import os
|
||||
import random
|
||||
import csv
|
||||
import time
|
||||
from six import print_
|
||||
|
||||
FORMAT = "%(asctime)-15s -8s %(message)s"
|
||||
|
||||
logging.basicConfig(format=FORMAT, level=logging.INFO)
|
||||
|
||||
|
||||
class Usage(Exception):
|
||||
def __init__(self, msg):
|
||||
self.msg = msg
|
||||
|
||||
|
||||
OHLCTableDescription = {'sid': tables.StringCol(14, pos=2),
|
||||
'dt': tables.Int64Col(pos=1),
|
||||
'open': tables.Float64Col(dflt=np.NaN, pos=3),
|
||||
'high': tables.Float64Col(dflt=np.NaN, pos=4),
|
||||
'low': tables.Float64Col(dflt=np.NaN, pos=5),
|
||||
'close': tables.Float64Col(dflt=np.NaN, pos=6),
|
||||
"volume": tables.Int64Col(dflt=0, pos=7)}
|
||||
|
||||
|
||||
def process_line(line):
|
||||
dt = np.datetime64(line["dt"]).astype(np.int64)
|
||||
sid = line["sid"]
|
||||
open_p = float(line["open"])
|
||||
high_p = float(line["high"])
|
||||
low_p = float(line["low"])
|
||||
close_p = float(line["close"])
|
||||
volume = int(line["volume"])
|
||||
return (dt, sid, open_p, high_p, low_p, close_p, volume)
|
||||
|
||||
|
||||
def parse_csv(csv_reader):
|
||||
previous_date = None
|
||||
data = []
|
||||
dtype = [('dt', 'int64'), ('sid', '|S14'), ('open', float),
|
||||
('high', float), ('low', float), ('close', float),
|
||||
('volume', int)]
|
||||
for line in csv_reader:
|
||||
row = process_line(line)
|
||||
current_date = line["dt"][:10].replace("-", "")
|
||||
if previous_date and previous_date != current_date:
|
||||
rows = np.array(data, dtype=dtype).view(np.recarray)
|
||||
yield current_date, rows
|
||||
data = []
|
||||
data.append(row)
|
||||
previous_date = current_date
|
||||
|
||||
|
||||
def merge_all_files_into_pytables(file_dir, file_out):
|
||||
"""
|
||||
process each file into pytables
|
||||
"""
|
||||
start = None
|
||||
start = datetime.datetime.now()
|
||||
out_h5 = tables.openFile(file_out,
|
||||
mode="w",
|
||||
title="bars",
|
||||
filters=tables.Filters(complevel=9,
|
||||
complib='zlib'))
|
||||
table = None
|
||||
for file_in in glob.glob(file_dir + "/*.gz"):
|
||||
gzip_file = gzip.open(file_in)
|
||||
expected_header = ["dt", "sid", "open", "high", "low", "close",
|
||||
"volume"]
|
||||
csv_reader = csv.DictReader(gzip_file)
|
||||
header = csv_reader.fieldnames
|
||||
if header != expected_header:
|
||||
logging.warn("expected header %s\n" % (expected_header))
|
||||
logging.warn("header_found %s" % (header))
|
||||
return
|
||||
|
||||
for current_date, rows in parse_csv(csv_reader):
|
||||
table = out_h5.createTable("/TD", "date_" + current_date,
|
||||
OHLCTableDescription,
|
||||
expectedrows=len(rows),
|
||||
createparents=True)
|
||||
table.append(rows)
|
||||
table.flush()
|
||||
if table is not None:
|
||||
table.flush()
|
||||
end = datetime.datetime.now()
|
||||
diff = (end - start).seconds
|
||||
logging.debug("finished it took %d." % (diff))
|
||||
|
||||
|
||||
def create_fake_csv(file_in):
|
||||
fields = ["dt", "sid", "open", "high", "low", "close", "volume"]
|
||||
gzip_file = gzip.open(file_in, "w")
|
||||
dict_writer = csv.DictWriter(gzip_file, fieldnames=fields)
|
||||
current_dt = datetime.date.today() - datetime.timedelta(days=2)
|
||||
current_dt = pd.Timestamp(current_dt).replace(hour=9)
|
||||
current_dt = current_dt.replace(minute=30)
|
||||
end_time = pd.Timestamp(datetime.date.today())
|
||||
end_time = end_time.replace(hour=16)
|
||||
last_price = 10.0
|
||||
while current_dt < end_time:
|
||||
row = {}
|
||||
row["dt"] = current_dt
|
||||
row["sid"] = "test"
|
||||
last_price += random.randint(-20, 100) / 10000.0
|
||||
row["close"] = last_price
|
||||
row["open"] = last_price - 0.01
|
||||
row["low"] = last_price - 0.02
|
||||
row["high"] = last_price + 0.02
|
||||
row["volume"] = random.randint(10, 1000) * 10
|
||||
dict_writer.writerow(row)
|
||||
current_dt += datetime.timedelta(minutes=1)
|
||||
if current_dt.hour > 16:
|
||||
current_dt += datetime.timedelta(days=1)
|
||||
current_dt = current_dt.replace(hour=9)
|
||||
current_dt = current_dt.replace(minute=30)
|
||||
gzip_file.close()
|
||||
|
||||
|
||||
def main(argv=None):
|
||||
"""
|
||||
This script cleans minute bars into pytables file
|
||||
data_source_tables_gen.py
|
||||
[--tz_in] sets time zone of data only reasonably fast way to use
|
||||
time.tzset()
|
||||
[--dir_in] iterates through directory provided of csv files in gzip form
|
||||
in form:
|
||||
dt, sid, open, high, low, close, volume
|
||||
2012-01-01T12:30:30,1234HT,1, 2,3,4.0
|
||||
[--fake_csv] creates a fake sample csv to iterate through
|
||||
[--file_out] determines output file
|
||||
"""
|
||||
if argv is None:
|
||||
argv = sys.argv
|
||||
try:
|
||||
dir_in = None
|
||||
file_out = "./all.h5"
|
||||
fake_csv = None
|
||||
try:
|
||||
opts, args = getopt.getopt(argv[1:], "hdft",
|
||||
["help",
|
||||
"dir_in=",
|
||||
"debug",
|
||||
"tz_in=",
|
||||
"fake_csv=",
|
||||
"file_out="])
|
||||
except getopt.error as msg:
|
||||
raise Usage(msg)
|
||||
for opt, value in opts:
|
||||
if opt in ("--help", "-h"):
|
||||
print_(main.__doc__)
|
||||
if opt in ("-d", "--debug"):
|
||||
logging.basicConfig(format=FORMAT,
|
||||
level=logging.DEBUG)
|
||||
if opt in ("-d", "--dir_in"):
|
||||
dir_in = value
|
||||
if opt in ("-o", "--file_out"):
|
||||
file_out = value
|
||||
if opt in ("--fake_csv"):
|
||||
fake_csv = value
|
||||
if opt in ("--tz_in"):
|
||||
os.environ['TZ'] = value
|
||||
time.tzset()
|
||||
try:
|
||||
if dir_in:
|
||||
merge_all_files_into_pytables(dir_in, file_out)
|
||||
if fake_csv:
|
||||
create_fake_csv(fake_csv)
|
||||
except Exception:
|
||||
error = "An unhandled error occured in the"
|
||||
error += "data_source_tables_gen.py script."
|
||||
error += "\n\nTraceback:\n"
|
||||
error += '-' * 70 + "\n"
|
||||
error += "".join(traceback.format_tb(sys.exc_info()[2]))
|
||||
error += repr(sys.exc_info()[1]) + "\n"
|
||||
error += str(sys.exc_info()[1]) + "\n"
|
||||
error += '-' * 70 + "\n"
|
||||
print_(error)
|
||||
except Usage as err:
|
||||
print_(err.msg)
|
||||
print_("for help use --help")
|
||||
return 2
|
||||
|
||||
if __name__ == "__main__":
|
||||
sys.exit(main())
|
||||
Reference in New Issue
Block a user