text stringlengths 1 93.6k |
|---|
self.path.close()
|
def _addBar(
|
self, barTimestamp, tickTimestamp, uniBar_open, high, low, close, volume
|
):
|
self.uniBars += [
|
{
|
"barTimestamp": barTimestamp,
|
"tickTimestamp": tickTimestamp,
|
"open": uniBar_open,
|
"high": high,
|
"low": low,
|
"close": close,
|
"volume": volume,
|
}
|
]
|
def string_to_timestamp(s):
|
try_microseconds = s[20:]
|
if try_microseconds == "":
|
microseconds = int(s[20:])
|
else:
|
microseconds = 0
|
return datetime.datetime(
|
int(s[0:4]), # Year
|
int(s[5:7]), # Month
|
int(s[8:10]), # Day
|
int(s[11:13]), # Hour
|
int(s[14:16]), # Minute
|
int(s[17:19]), # Second
|
microseconds, # Microseconds
|
datetime.timezone.utc,
|
)
|
class CSV(Input):
|
def __init__(self, path):
|
super().__init__(path)
|
self._map_obj = mmap.mmap(self.path.fileno(), 0, access=mmap.ACCESS_READ)
|
def __iter__(self):
|
return self
|
def __next__(self):
|
line = self._map_obj.readline()
|
if line:
|
isLastRow = self._map_obj.tell() == self._map_obj.size()
|
return (self._parseLine(line), isLastRow)
|
raise StopIteration
|
def _parseLine(self, line):
|
tick = line.split(b",")
|
return {
|
# Storing timestamp as float to preserve its precision.
|
# 'timestamp': time.mktime(datetime.datetime.strptime(tick[0], '%Y.%m.%d %H:%M:%S.%f').replace(tzinfo=datetime.timezone.utc).timetuple()),
|
"timestamp": string_to_timestamp(tick[0]).timestamp(),
|
"bidPrice": float(tick[1]),
|
"askPrice": float(tick[2]),
|
"bidVolume": float(tick[3]),
|
"askVolume": float(tick[4]), # float() handles ending '\n' character
|
}
|
class Output:
|
def __init__(self, timeframe, path_suffix, symbol, output_dir):
|
self.deltaTimestamp = timeframe * 60
|
self.endTimestamp = None
|
self.barCount = 0
|
self.filename = "%s%d%s" % (symbol, timeframe, path_suffix)
|
self.fullname = os.path.join(output_dir, self.filename)
|
try:
|
os.remove(
|
self.fullname
|
) # Remove existing output file before creating an appended new one
|
except (OSError, IOError) as e:
|
pass
|
try:
|
self.path = open(self.fullname, "wb")
|
except OSError as e:
|
print(
|
"[ERROR] '%s' raised when tried to open for appending the file '%s'"
|
% (e.strerror, e.filename)
|
)
|
sys.exit(1)
|
def __del__(self):
|
self.path.close()
|
def finalize(self):
|
pass
|
def _aggregate(self, tick):
|
if not self.endTimestamp or tick["timestamp"] >= self.endTimestamp:
|
uniBar = None
|
if self.endTimestamp:
|
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