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fredfortier
123 lines
3.5 KiB
Python
123 lines
3.5 KiB
Python
import datetime
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import os
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from logging import Logger
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from catalyst.data.bundles import from_bundle_ingest_dirname
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from catalyst.utils.paths import data_path
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log = Logger('test_exchange_bundle')
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def get_date_from_ms(ms):
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return datetime.datetime.fromtimestamp(ms / 1000.0)
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def get_history_mock(exchange_name, data_frequency, symbol, start_ms, end_ms,
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exchanges):
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"""
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Mocking the history API written by Victor by proxying the request
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to Bitfinex.
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:param exchange_name: string
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The name identifier of the exchange (e.g. bitfinex).
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Only bitfinex is supported in this mock function.
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:param data_frequency: string
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The bar frequency (minute or daily)
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:param symbol: string
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The trading pair symbol.
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:param start_ms: float
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The start date in milliseconds.
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:param end_ms: float
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The end date in milliseconds.
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:param exchanges: MOCK ONLY
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This won't be required in production mode since the exchange object
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will be retrieved on the server.
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:return ohlcv: list[dict[string, float]]
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The open, high, low, volume collection for the resulting bars.
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Notes
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=====
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Using milliseconds for the start and end dates for ease of use in
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URL query parameters.
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Sometimes, one minute goes by without completing a trade of the given
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trading pair on the given exchange. To minimize the payload size, we
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don't return identical sequential bars. Post-processing code will
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forward fill missing bars outside of this function.
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"""
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if exchange_name != 'bitfinex':
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raise ValueError('get_history mock function only works with bitfinex')
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exchange = exchanges[exchange_name]
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assets = [exchange.get_asset(symbol=symbol)]
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start = get_date_from_ms(start_ms)
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end = get_date_from_ms(end_ms)
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delta = end - start
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periods = delta.seconds % 3600 / 60.0 \
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if data_frequency == 'minute' else delta.days
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candles = exchange.get_candles(
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data_frequency=data_frequency,
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assets=assets,
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bar_count=periods,
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start_dt=start,
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end_dt=end
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)
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ohlcv = []
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for candle in candles:
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ohlcv.append(dict(
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open=candle['open'],
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high=candle['high'],
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low=candle['low'],
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close=candle['close'],
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volume=candle['volume'],
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last_traded=candle['last_traded']
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))
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return ohlcv
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def fetch_candles_chunk(exchange, assets, data_frequency, end_dt, bar_count):
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calc_start_dt = end_dt - datetime.timedelta(minutes=bar_count)
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candles = exchange.get_candles(
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data_frequency=data_frequency,
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assets=assets,
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bar_count=bar_count,
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start_dt=calc_start_dt,
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end_dt=end_dt
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)
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return candles
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def find_most_recent_time(bundle_name):
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"""
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Find most recent "time folder" for a given bundle.
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:param bundle_name:
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The name of the targeted bundle.
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:return folder:
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The name of the time folder.
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"""
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try:
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bundle_folders = os.listdir(
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data_path([bundle_name]),
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)
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except OSError:
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return None
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most_recent_bundle = dict()
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for folder in bundle_folders:
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date = from_bundle_ingest_dirname(folder)
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if not most_recent_bundle or date > \
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most_recent_bundle[most_recent_bundle.keys()[0]]:
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most_recent_bundle = dict()
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most_recent_bundle[folder] = date
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if most_recent_bundle:
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return most_recent_bundle.keys()[0]
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else:
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return None
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