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Always delay bars 15m; rename to volume

questrade_candles
Tyler Goodlet 2020-05-26 14:10:41 -04:00
parent a7f7de32b4
commit 5f200b8db1
2 changed files with 14 additions and 10 deletions
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22
piker/brokers/questrade.py
View File

@ -549,11 +549,11 @@ class Client:
async def bars( async def bars(
self, self,
symbol: str, symbol: str,
# EST in ISO 8601 format is required... # EST in ISO 8601 format is required... below is EPOCH
# start_date: str = "1970-01-01T00:00:00.000000-05:00", start_date: str = "1970-01-01T00:00:00.000000-05:00",
start_date: str = "2020-03-24T16:01:00.000000-04:00", time_frame: str = '1m',
time_frame='1m', count: float = 20e3,
count=20e3, is_paid_feed: bool = False,
) -> List[Dict[str, Any]]: ) -> List[Dict[str, Any]]:
"""Retreive OHLCV bars for a symbol over a range to the present. """Retreive OHLCV bars for a symbol over a range to the present.
@ -573,6 +573,7 @@ class Client:
# get last market open end time # get last market open end time
est_end = now = arrow.utcnow().to('US/Eastern').floor('minute') est_end = now = arrow.utcnow().to('US/Eastern').floor('minute')
# on non-paid feeds we can't retreive the first 15 mins
wd = now.isoweekday() wd = now.isoweekday()
if wd > 5: if wd > 5:
quotes = await self.quote([symbol]) quotes = await self.quote([symbol])
@ -581,6 +582,9 @@ class Client:
# XXX don't bother figuring out extended hours for now # XXX don't bother figuring out extended hours for now
est_end = est_end.replace(hour=17) est_end = est_end.replace(hour=17)
if not is_paid_feed:
est_end = est_end.shift(minutes=-15)
est_start = est_end.shift(minutes=-count) est_start = est_end.shift(minutes=-count)
start = time.time() start = time.time()
@ -597,8 +601,8 @@ class Client:
# marketstore TSD compatible numpy dtype for bar # marketstore TSD compatible numpy dtype for bar
_qt_bars_dt = [ _qt_bars_dt = [
# ('start', 'S40'),
('Epoch', 'i8'), ('Epoch', 'i8'),
# ('start', 'S40'),
# ('end', 'S40'), # ('end', 'S40'),
('low', 'f4'), ('low', 'f4'),
('high', 'f4'), ('high', 'f4'),
@ -620,7 +624,7 @@ def get_OHLCV(
return tuple(bar.values()) return tuple(bar.values())
def to_marketstore_structarray( def bars_to_marketstore_structarray(
bars: List[Dict[str, Any]] bars: List[Dict[str, Any]]
) -> np.array: ) -> np.array:
"""Return marketstore writeable recarray from sequence of bars """Return marketstore writeable recarray from sequence of bars
@ -796,7 +800,7 @@ _qt_stock_keys = {
'VWAP': ('VWAP', partial(round, ndigits=3)), 'VWAP': ('VWAP', partial(round, ndigits=3)),
'MC': ('MC', humanize), 'MC': ('MC', humanize),
'$ vol': ('$ vol', humanize), '$ vol': ('$ vol', humanize),
'volume': ('vol', humanize), 'volume': ('volume', humanize),
# 'close': 'close', # 'close': 'close',
# 'openPrice': 'open', # 'openPrice': 'open',
'lowPrice': 'low', 'lowPrice': 'low',
@ -818,7 +822,7 @@ _stock_bidasks = {
'last': ['bid', 'ask'], 'last': ['bid', 'ask'],
'size': ['bsize', 'asize'], 'size': ['bsize', 'asize'],
'VWAP': ['low', 'high'], 'VWAP': ['low', 'high'],
'vol': ['MC', '$ vol'], 'volume': ['MC', '$ vol'],
} }

2
piker/ui/monitor.py
View File

@ -73,7 +73,7 @@ async def update_quotes(
tick_color = None tick_color = None
last = cells.get('last') last = cells.get('last')
if not last: if not last:
vol = cells.get('vol') vol = cells.get('volume')
if not vol: if not vol:
return # no trade exec took place return # no trade exec took place