Add 1m ohlc sample rate support to `Client.bars()`; frame query is 1 day
parent
8537a4091b
commit
220981e718
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@ -78,26 +78,11 @@ _time_units = {
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'h': ' hours',
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}
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_time_frames = {
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'1s': '1 Sec',
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'5s': '5 Sec',
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'30s': '30 Sec',
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'1m': 'OneMinute',
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'2m': 'TwoMinutes',
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'3m': 'ThreeMinutes',
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'4m': 'FourMinutes',
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'5m': 'FiveMinutes',
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'10m': 'TenMinutes',
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'15m': 'FifteenMinutes',
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'20m': 'TwentyMinutes',
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'30m': 'HalfHour',
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'1h': 'OneHour',
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'2h': 'TwoHours',
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'4h': 'FourHours',
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'D': 'OneDay',
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'W': 'OneWeek',
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'M': 'OneMonth',
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'Y': 'OneYear',
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_bar_sizes = {
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1: '1 Sec',
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60: '1 min',
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60*60: '1 hour',
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24*60*60: '1 day',
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}
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_show_wap_in_history: bool = False
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@ -338,19 +323,36 @@ class Client:
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start_dt: Union[datetime, str] = "1970-01-01T00:00:00.000000-05:00",
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end_dt: Union[datetime, str] = "",
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sample_period_s: str = 1, # ohlc sample period
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period_count: int = int(2e3), # <- max per 1s sample query
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# ohlc sample period in seconds
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sample_period_s: int = 1,
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) -> list[dict[str, Any]]:
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'''
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Retreive OHLCV bars for a fqsn over a range to the present.
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'''
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# See API docs here:
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# https://interactivebrokers.github.io/tws-api/historical_data.html
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bars_kwargs = {'whatToShow': 'TRADES'}
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# NOTE: pacing violations exist for higher sample rates:
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# https://interactivebrokers.github.io/tws-api/historical_limitations.html#pacing_violations
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# Also see note on duration limits being lifted on 1m+ periods,
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# but they say "use with discretion":
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# https://interactivebrokers.github.io/tws-api/historical_limitations.html#non-available_hd
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bar_size, duration = {
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1: ('1 secs', f'{int(2e3)} S'),
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# TODO: benchmark >1 D duration on query to see if
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# throughput can be made faster during backfilling.
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60: ('1 min', '1 D'),
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}[sample_period_s]
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global _enters
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# log.info(f'REQUESTING BARS {_enters} @ end={end_dt}')
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print(f'REQUESTING BARS {_enters} @ end={end_dt}')
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print(
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f"REQUESTING {duration}'s worth {bar_size} BARS\n"
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f'{_enters} @ end={end_dt}"'
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)
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if not end_dt:
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end_dt = ''
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@ -360,30 +362,20 @@ class Client:
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contract = (await self.find_contracts(fqsn))[0]
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bars_kwargs.update(getattr(contract, 'bars_kwargs', {}))
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# _min = min(2000*100, count)
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bars = await self.ib.reqHistoricalDataAsync(
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contract,
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endDateTime=end_dt,
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formatDate=2,
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# time history length values format:
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# ``durationStr=integer{SPACE}unit (S|D|W|M|Y)``
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# OHLC sampling values:
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# 1 secs, 5 secs, 10 secs, 15 secs, 30 secs, 1 min, 2 mins,
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# 3 mins, 5 mins, 10 mins, 15 mins, 20 mins, 30 mins,
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# 1 hour, 2 hours, 3 hours, 4 hours, 8 hours, 1 day, 1W, 1M
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# barSizeSetting='1 secs',
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barSizeSetting=bar_size,
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# durationStr='{count} S'.format(count=15000 * 5),
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# durationStr='{count} D'.format(count=1),
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# barSizeSetting='5 secs',
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durationStr='{count} S'.format(count=period_count),
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# barSizeSetting='5 secs',
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barSizeSetting='1 secs',
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# barSizeSetting='1 min',
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# time history length values format:
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# ``durationStr=integer{SPACE}unit (S|D|W|M|Y)``
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durationStr=duration,
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# always use extended hours
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useRTH=False,
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@ -394,8 +386,8 @@ class Client:
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# whatToShow='TRADES',
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)
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if not bars:
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# TODO: raise underlying error here
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raise ValueError(f"No bars retreived for {fqsn}?")
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# trigger ``NoData`` raise by ``get_bars()`` caller.
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return None
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nparr = bars_to_np(bars)
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return bars, nparr
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