text stringlengths 1 93.6k |
|---|
timeframe,
|
symbol,
|
server,
|
spread,
|
int(m),
|
)
|
elif outputFormat == "hcc":
|
yield HCC(".hcc", args.outputDir, timeframe, symbol)
|
else:
|
print("[ERROR] Unknown output file format: {}!".format(outputFormat))
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sys.exit(1)
|
def process_queue(queue):
|
"""Process the queue, process all the timeframes at the same time to amortize the cost of the parsing."""
|
queue = list(queue)
|
try:
|
for obj in queue:
|
ticks = CSV(args.inputFile)
|
startTimestamp = None
|
# We will retrieve all ticks in the timeframe into following array and update their LowBid/HighBid
|
ticksToJoin = []
|
ticksToAggregate = []
|
for (tick, isLastRow) in ticks:
|
# Beginning of the bar's timeline.
|
tick["barTimestamp"] = (
|
int(tick["timestamp"]) - int(tick["timestamp"]) % obj.deltaTimestamp
|
)
|
# Tick's timestamp will be rounded to 1 for M1 and 60 for other.
|
tick["timestamp"] = int(
|
tick["timestamp"]
|
) # - int(tick['timestamp']) % (1 if obj.deltaTimestamp == 60 else 60)
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if not startTimestamp:
|
startTimestamp = tick["barTimestamp"]
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# Tick after this time won't be used for LowBid/HighBid aggregation.
|
endTimestampAggregate = startTimestamp + 60
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# Determines the end of the current bar.
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endTimestampTimeline = startTimestamp + obj.deltaTimestamp
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if tick["timestamp"] < endTimestampTimeline:
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# Tick is within the current bar's timeline, queuing for
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# aggregation.
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ticksToAggregate.append(tick)
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else:
|
# Tick is beyond current bar's timeline, aggregating unaggregated
|
# ticks:
|
if len(ticksToAggregate) > 0:
|
obj.pack_ticks(ticksToAggregate)
|
# Next bar's timeline will begin from this new tick's bar
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# timestamp.
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startTimestamp = tick["barTimestamp"]
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# Tick beyond delta timeframe will be aggregated in the next
|
# timeframe
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ticksToAggregate = [tick]
|
spinner.spin()
|
# Writting the last tick if not yet written.
|
if len(ticksToAggregate) > 0:
|
obj.pack_ticks(ticksToAggregate)
|
if args.verbose:
|
print("[INFO] Finalizing...")
|
for obj in queue:
|
obj.finalize()
|
if args.verbose:
|
print("[INFO] Done.")
|
except KeyboardInterrupt as e:
|
print("\n[INFO] Exiting by user request...")
|
sys.exit()
|
if __name__ == "__main__":
|
# Parse the arguments.
|
arg_parser = config_argparser()
|
args = arg_parser.parse_args()
|
# Checking input file argument.
|
if args.verbose:
|
print("[INFO] Input file: %s" % args.inputFile)
|
# Checking symbol pair argument.
|
if args.pair and len(args.pair) > 12:
|
print("[WARNING] Symbol is more than 12 characters, cutting its end off!")
|
symbol = args.pair[0:12]
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else:
|
symbol = args.pair
|
if args.verbose:
|
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