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* add functions to parse yml files, add function to compare IBKR sesssion with yml sessions * add functions to parse yml files, add function to compare IBKR sesssion with yml sessions * pushing objective5 on this branch * pushing objective5 on this branch
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,121 @@ | ||
| """ | ||
| This module contains the function compare_sessions which compares | ||
| trading sessions from IBKR data and a YAML file. | ||
| It also contains a main function which reads the IBKR data from a file, | ||
| loops over symbols and dates, and calls the compare_sessions function for each. | ||
| Usage: | ||
| from exchanges.compare_ibkr_yml import compare_sessions | ||
| To run the main function | ||
| python fincal/exchanges/compare_ibkr_yml.py | ||
| """ | ||
| from exchanges.sessions import GetSessions | ||
| import pandas as pd | ||
| import pytz | ||
| from datetime import datetime | ||
| import logging | ||
| import sys | ||
| from pathlib import Path | ||
|
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| def compare_sessions(symbol, date_, ibkr_data, yml_file, file_=None): | ||
| """ | ||
| This function compares trading sessions from IBKR data and a YAML file. | ||
| Parameters: | ||
| symbol (str): The symbol for which to compare sessions. | ||
| date_ (datetime): The date for which to compare sessions. | ||
| ibkr_data (DataFrame): The DataFrame containing IBKR data. | ||
| yml_file (str): The path to the YAML file containing session data. | ||
| file_ (file, optional): An optional file to which to write the comparison results. | ||
| Returns: | ||
| dict: A dictionary containing the comparison results. | ||
| """ | ||
| logging.info(f"running for symbol:{symbol}, date:{date_}") | ||
| sessions = GetSessions(date_, yml_file) | ||
| regular_session = None | ||
| data_ = ibkr_data[ | ||
| (ibkr_data["Starttime"].dt.date == date_.date()) | ||
| & (ibkr_data["Symbol"] == symbol) | ||
| ] | ||
| for session in sessions: | ||
| if session["session"] == "NYSE American Core Trading": | ||
| regular_session = session | ||
| tzinfo = pytz.timezone(regular_session["timezone"]) | ||
| session_start = tzinfo.localize( | ||
| datetime.strptime( | ||
| f"{regular_session['date']} {regular_session['gte']['time']}", | ||
| "%Y-%m-%d %I:%M %p", | ||
| ) | ||
| ) | ||
| session_end = tzinfo.localize( | ||
| datetime.strptime( | ||
| f"{regular_session['date']} {regular_session['lt']['time']}", | ||
| "%Y-%m-%d %I:%M %p", | ||
| ) | ||
| ) | ||
| if (not data_.empty) and regular_session: | ||
| if (data_["Starttime"].iloc[0] == session_start) and ( | ||
| data_["Endtime"].iloc[0] == session_end | ||
| ): | ||
| return | ||
| diff = { | ||
| "symbol": symbol, | ||
| "ibkr_session_start": data_["Starttime"].iloc[0], | ||
| "ibkr_session_end": data_["Endtime"].iloc[0], | ||
| "yml_session_start": session_start, | ||
| "yml_session_end": session_end, | ||
| } | ||
| if data_.empty and (not regular_session): | ||
| return | ||
| if data_.empty: | ||
| diff = { | ||
| "symbol": symbol, | ||
| "ibkr_session_start": "", | ||
| "ibkr_session_end": "", | ||
| "yml_session_start": session_start, | ||
| "yml_session_end": session_end, | ||
| } | ||
|
|
||
| if not regular_session: | ||
| diff = { | ||
| "symbol": symbol, | ||
| "ibkr_session_start": data_["Starttime"].iloc[0], | ||
| "ibkr_session_end": data_["Endtime"].iloc[0], | ||
| "yml_session_start": "", | ||
| "yml_session_end": "", | ||
| } | ||
| if file_: | ||
| file_.write(f"{','.join(map(str, list(diff.values())))}\n") | ||
| return diff | ||
|
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||
| def main(): | ||
| logger = logging.getLogger() | ||
| logger.setLevel(logging.INFO) | ||
| handler = logging.StreamHandler(sys.stdout) | ||
| logger.addHandler(handler) | ||
| ibkr_data = pd.read_csv("~/fincal/data/ibkr_sessions.txt") | ||
| file_ = open(Path("~/fincal/data/compare_ibkr_yml.txt").expanduser(), "w") | ||
| file_.write( | ||
| "symbol,ibkr_session_start,ibkr_session_end,yml_session_start,yml_session_end\n" | ||
| ) | ||
| tz = pytz.timezone("America/New_York") | ||
| for col in ["Starttime", "Endtime"]: | ||
| ibkr_data[col] = pd.to_datetime(ibkr_data[col]).apply(lambda x: tz.localize(x)) | ||
| for symbol, exchange_yml in [ | ||
| ("QQQ", "exchanges/xnas.yml"), | ||
| ("KO", "exchanges/nyse.yml"), | ||
| ]: | ||
| for date_ in pd.date_range( | ||
| start=pd.Timestamp("20000105"), | ||
| end=pd.Timestamp("20231231"), | ||
| tz="America/New_York", | ||
| ): | ||
| compare_sessions(symbol, date_, ibkr_data, exchange_yml, file_) | ||
| file_.close() | ||
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| if __name__ == "__main__": | ||
| main() |
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