f72baf95ba
- Added async methods to polygon. - The `requests` library is no longer required, with `urllib` being used instead. - Added the `get_bar_data` function, which returns a dataframe of aggregate data from polygon. - Opened up the `subscribe` and `unsubscribe` functions Enhancements: - Tables will now scroll when the rows exceed table height. Bugs: - Fixed a bug preventing async functions being used with horizontal line event. - Fixed a bug causing the legend to show duplicate lines if the line was created after the legend. - Fixed a bug causing the line hide icon to persist within the legend after deletion (#75) - Fixed a bug causing the search box to be unfocused when the chart is loaded.
470 lines
18 KiB
Python
470 lines
18 KiB
Python
import asyncio
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import logging
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import datetime as dt
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import re
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import json
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import urllib.request
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from typing import Literal, Union, List
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import pandas as pd
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from .chart import Chart
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try:
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import websockets
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except ImportError:
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websockets = None
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SEC_TYPE = Literal['stocks', 'options', 'indices', 'forex', 'crypto']
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ch = logging.StreamHandler()
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ch.setFormatter(logging.Formatter('%(asctime)s | [polygon.io] %(levelname)s: %(message)s', datefmt='%H:%M:%S'))
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ch.setLevel(logging.DEBUG)
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_log = logging.getLogger('polygon')
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_log.setLevel(logging.ERROR)
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_log.addHandler(ch)
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api_key = ''
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_tickers = {}
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_set_on_load = []
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_lasts = {}
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_ws = {'stocks': None, 'options': None, 'indices': None, 'crypto': None, 'forex': None}
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_subscription_type = {
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'stocks': ('Q', 'A'),
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'options': ('Q', 'A'),
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'indices': ('V', None),
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'forex': ('C', 'CA'),
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'crypto': ('XQ', 'XA'),
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}
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def _convert_timeframe(timeframe):
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spans = {
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'min': 'minute',
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'H': 'hour',
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'D': 'day',
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'W': 'week',
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'M': 'month',
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}
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try:
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multiplier = re.findall(r'\d+', timeframe)[0]
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except IndexError:
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return 1, spans[timeframe]
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timespan = spans[timeframe.replace(multiplier, '')]
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return multiplier, timespan
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def _get_sec_type(ticker):
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if '/' in ticker:
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return 'forex'
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for prefix, security_type in zip(('O:', 'I:', 'C:', 'X:'), ('options', 'indices', 'forex', 'crypto')):
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if ticker.startswith(prefix):
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return security_type
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else:
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return 'stocks'
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def _polygon_request(query_url):
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query_url = 'https://api.polygon.io'+query_url
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query_url += f'&apiKey={api_key}'
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request = urllib.request.Request(query_url, headers={'User-Agent': 'lightweight_charts/1.0'})
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with urllib.request.urlopen(request) as response:
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if response.status != 200:
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error = response.json()
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_log.error(f'({response.status}) Request failed: {error["error"]}')
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return
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data = json.loads(response.read())
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if 'results' not in data:
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_log.error(f'No results for {query_url}')
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return
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return data['results']
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def get_bar_data(ticker: str, timeframe: str, start_date: str, end_date: str, limit: int = 5_000):
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end_date = dt.datetime.now().strftime('%Y-%m-%d') if end_date == 'now' else end_date
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mult, span = _convert_timeframe(timeframe)
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if '-' in ticker:
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ticker = ticker.replace('-', '')
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query_url = f"/v2/aggs/ticker/{ticker}/range/{mult}/{span}/{start_date}/{end_date}?limit={limit}"
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results = _polygon_request(query_url)
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if not results:
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return None
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df = pd.DataFrame(results)
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df['t'] = pd.to_datetime(df['t'], unit='ms')
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rename = {'o': 'open', 'h': 'high', 'l': 'low', 'c': 'close', 't': 'time'}
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if not ticker.startswith('I:'):
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rename['v'] = 'volume'
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return df[rename.keys()].rename(columns=rename)
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async def async_get_bar_data(ticker: str, timeframe: str, start_date: str, end_date: str, limit: int = 5_000):
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loop = asyncio.get_running_loop()
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return await loop.run_in_executor(None, get_bar_data, ticker, timeframe, start_date, end_date, limit)
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async def _send(sec_type: SEC_TYPE, action: str, params: str):
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ws = _ws[sec_type]
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while ws is None:
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await asyncio.sleep(0.05)
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ws = _ws[sec_type]
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await ws.send(json.dumps({'action': action, 'params': params}))
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async def subscribe(ticker: str, sec_type: SEC_TYPE, func, args, precision=2):
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if not _ws[sec_type]:
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asyncio.create_task(_websocket_connect(sec_type))
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if sec_type in ('forex', 'crypto'):
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key = ticker[ticker.index(':')+1:]
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key = key.replace('-', '/') if sec_type == 'forex' else key
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else:
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key = ticker
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if not _lasts.get(key):
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_lasts[key] = {
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'price': 0,
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'funcs': [],
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'precision': precision
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}
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if sec_type != 'indices':
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_lasts[key]['volume'] = 0
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data = _lasts[key]
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quotes, aggs = _subscription_type[sec_type]
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await _send(sec_type, 'subscribe', f'{quotes}.{ticker}')
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await _send(sec_type, 'subscribe', f'{aggs}.{ticker}') if aggs else None
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if func in data['funcs']:
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return
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data['funcs'].append((func, args))
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async def unsubscribe(func):
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for key, data in _lasts.items():
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if val := next(((f, args) for f, args in data['funcs'] if f == func), None):
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break
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else:
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return
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data['funcs'].remove(val)
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if data['funcs']:
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return
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sec_type = _get_sec_type(key)
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quotes, aggs = _subscription_type[sec_type]
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await _send(sec_type, 'unsubscribe', f'{quotes}.{key}')
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await _send(sec_type, 'unsubscribe', f'{aggs}.{key}')
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async def _websocket_connect(sec_type):
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if websockets is None:
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raise ImportError('The "websockets" library was not found, and must be installed to pull live data.')
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ticker_key = {
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'stocks': 'sym',
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'options': 'sym',
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'indices': 'T',
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'forex': 'p',
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'crypto': 'pair',
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}[sec_type]
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async with websockets.connect(f'wss://socket.polygon.io/{sec_type}') as ws:
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_ws[sec_type] = ws
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await _send(sec_type, 'auth', api_key)
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while 1:
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response = await ws.recv()
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data_list: List[dict] = json.loads(response)
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for i, data in enumerate(data_list):
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if data['ev'] == 'status':
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_log.info(f'{data["message"]}')
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continue
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_ticker_key = {
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'stocks': 'sym',
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'options': 'sym',
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'indices': 'T',
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'forex': 'p',
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'crypto': 'pair',
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}
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await _handle_tick(data[ticker_key], data)
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async def _handle_tick(ticker, data):
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lasts = _lasts[ticker]
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sec_type = _get_sec_type(ticker)
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if data['ev'] in ('Q', 'V', 'C', 'XQ'):
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if sec_type == 'forex':
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data['bp'] = data.pop('b')
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data['ap'] = data.pop('a')
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price = (data['bp'] + data['ap']) / 2 if sec_type != 'indices' else data['val']
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if abs(price - lasts['price']) < (1/(10**lasts['precision'])):
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return
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lasts['price'] = price
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if sec_type != 'indices':
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lasts['volume'] = 0
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if 't' not in data:
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lasts['time'] = pd.to_datetime(data.pop('s'), unit='ms')
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else:
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lasts['time'] = pd.to_datetime(data['t'], unit='ms')
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elif data['ev'] in ('A', 'CA', 'XA'):
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lasts['volume'] = data['v']
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if not lasts.get('time'):
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return
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lasts['symbol'] = ticker
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for func, args in lasts['funcs']:
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func(pd.Series(lasts), *args)
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class PolygonAPI:
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"""
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Offers direct access to Polygon API data within all Chart objects.
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It is not designed to be initialized by the user, and should be utilised
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through the `polygon` method of `AbstractChart` (chart.polygon.<method>).
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"""
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_set_on_load = []
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def __init__(self, chart):
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self._chart = chart
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def set(self, *args):
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if asyncio.get_event_loop().is_running():
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asyncio.create_task(self.async_set(*args))
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return True
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else:
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_set_on_load.append(args)
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return False
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async def async_set(self, sec_type: Literal['stocks', 'options', 'indices', 'forex', 'crypto'], ticker, timeframe,
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start_date, end_date, limit, live):
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await unsubscribe(self._chart.update_from_tick)
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df = await async_get_bar_data(ticker, timeframe, start_date, end_date, limit)
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self._chart.set(df, render_drawings=_tickers.get(self._chart) == ticker)
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_tickers[self._chart] = ticker
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if not live:
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return True
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await subscribe(ticker, sec_type, self._chart.update_from_tick, (True,), self._chart.num_decimals)
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return True
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def stock(
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self, symbol: str, timeframe: str, start_date: str, end_date='now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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"""
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Requests and displays stock data pulled from Polygon.io.\n
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:param symbol: Ticker to request.
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:param timeframe: Timeframe to request (1min, 5min, 2H, 1D, 1W, 2M, etc).
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:param start_date: Start date of the data (YYYY-MM-DD).
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:param end_date: End date of the data (YYYY-MM-DD). If left blank, this will be set to today.
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:param limit: The limit of base aggregates queried to create the timeframe given (max 50_000).
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:param live: If true, the data will be updated in real-time.
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"""
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return self.set('stocks', symbol, timeframe, start_date, end_date, limit, live)
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def option(
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self, symbol: str, timeframe: str, start_date: str, expiration: str = None,
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right: Literal['C', 'P'] = None, strike: Union[int, float] = None,
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end_date: str = 'now', limit: int = 5_000, live: bool = False
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) -> bool:
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"""
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Requests and displays option data pulled from Polygon.io.\n
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:param symbol: The underlying ticker to request.
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A formatted option ticker can also be given instead of using the expiration, right, and strike parameters.
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:param timeframe: Timeframe to request (1min, 5min, 2H, 1D, 1W, 2M, etc).
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:param start_date: Start date of the data (YYYY-MM-DD).
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:param expiration: Expiration of the option (YYYY-MM-DD).
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:param right: Right of the option (C, P).
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:param strike: The strike price of the option.
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:param end_date: End date of the data (YYYY-MM-DD). If left blank, this will be set to today.
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:param limit: The limit of base aggregates queried to create the timeframe given (max 50_000).
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:param live: If true, the data will be updated in real-time.
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"""
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if any((expiration, right, strike)):
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expiration = dt.datetime.strptime(expiration, "%Y-%m-%d").strftime("%y%m%d")
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symbol = f'{symbol}{expiration}{right}{strike * 1000:08d}'
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return self.set('options', f'O:{symbol}', timeframe, start_date, end_date, limit, live)
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def index(
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self, symbol: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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"""
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Requests and displays index data pulled from Polygon.io.\n
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:param symbol: Ticker to request.
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:param timeframe: Timeframe to request (1min, 5min, 2H, 1D, 1W, 2M, etc).
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:param start_date: Start date of the data (YYYY-MM-DD).
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:param end_date: End date of the data (YYYY-MM-DD). If left blank, this will be set to today.
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:param limit: The limit of base aggregates queried to create the timeframe given (max 50_000).
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:param live: If true, the data will be updated in real-time.
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"""
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return self.set('indices', f'I:{symbol}', timeframe, start_date, end_date, limit, live)
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def forex(
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self, fiat_pair: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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"""
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Requests and displays forex data pulled from Polygon.io.\n
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:param fiat_pair: The fiat pair to request. (USD-CAD, GBP-JPY etc.)
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:param timeframe: Timeframe to request (1min, 5min, 2H, 1D, 1W, 2M, etc).
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:param start_date: Start date of the data (YYYY-MM-DD).
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:param end_date: End date of the data (YYYY-MM-DD). If left blank, this will be set to today.
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:param limit: The limit of base aggregates queried to create the timeframe given (max 50_000).
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:param live: If true, the data will be updated in real-time.
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"""
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return self.set('forex', f'C:{fiat_pair}', timeframe, start_date, end_date, limit, live)
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def crypto(
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self, crypto_pair: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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"""
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Requests and displays crypto data pulled from Polygon.io.\n
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:param crypto_pair: The crypto pair to request. (BTC-USD, ETH-BTC etc.)
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:param timeframe: Timeframe to request (1min, 5min, 2H, 1D, 1W, 2M, etc).
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:param start_date: Start date of the data (YYYY-MM-DD).
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:param end_date: End date of the data (YYYY-MM-DD). If left blank, this will be set to today.
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:param limit: The limit of base aggregates queried to create the timeframe given (max 50_000).
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:param live: If true, the data will be updated in real-time.
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"""
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return self.set('crypto', f'X:{crypto_pair}', timeframe, start_date, end_date, limit, live)
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async def async_stock(
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self, symbol: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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return await self.async_set('stocks', symbol, timeframe, start_date, end_date, limit, live)
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async def async_option(
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self, symbol: str, timeframe: str, start_date: str, expiration: str = None,
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right: Literal['C', 'P'] = None, strike: Union[int, float] = None,
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end_date: str = 'now', limit: int = 5_000, live: bool = False
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) -> bool:
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if any((expiration, right, strike)):
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expiration = dt.datetime.strptime(expiration, "%Y-%m-%d").strftime("%y%m%d")
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symbol = f'{symbol}{expiration}{right}{strike * 1000:08d}'
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return await self.async_set('options', f'O:{symbol}', timeframe, start_date, end_date, limit, live)
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async def async_index(
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self, symbol: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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return await self.async_set('indices', f'I:{symbol}', timeframe, start_date, end_date, limit, live)
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async def async_forex(
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self, fiat_pair: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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return await self.async_set('forex', f'C:{fiat_pair}', timeframe, start_date, end_date, limit, live)
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async def async_crypto(
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self, crypto_pair: str, timeframe: str, start_date: str, end_date: str = 'now',
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limit: int = 5_000, live: bool = False
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) -> bool:
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return await self.async_set('crypto', f'X:{crypto_pair}', timeframe, start_date, end_date, limit, live)
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@staticmethod
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def log(info: bool):
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"""
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Streams informational messages related to Polygon.io.
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"""
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_log.setLevel(logging.INFO) if info else _log.setLevel(logging.ERROR)
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@staticmethod
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def api_key(key: str):
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"""
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Sets the API key to be used with Polygon.io.
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"""
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global api_key
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api_key = key
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class PolygonChart(Chart):
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"""
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A prebuilt callback chart object allowing for a standalone, plug-and-play
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experience of Polygon.io's API.
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Tickers, security types and timeframes are to be defined within the chart window.
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If using the standard `show` method, the `block` parameter must be set to True.
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When using `show_async`, either is acceptable.
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"""
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def __init__(
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self, api_key: str, live: bool = False, num_bars: int = 200, end_date: str = 'now', limit: int = 5_000,
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timeframe_options: tuple = ('1min', '5min', '30min', 'D', 'W'),
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security_options: tuple = ('Stock', 'Option', 'Index', 'Forex', 'Crypto'),
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toolbox: bool = True, width: int = 800, height: int = 600, x: int = None, y: int = None,
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on_top: bool = False, maximize: bool = False, debug: bool = False
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):
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super().__init__(width, height, x, y, on_top, maximize, debug, toolbox)
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self.num_bars = num_bars
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self.end_date = end_date
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self.limit = limit
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self.live = live
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self.polygon.api_key(api_key)
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self.events.search += self.on_search
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self.legend(True)
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self.grid(False, False)
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self.crosshair(vert_visible=False, horz_visible=False)
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self.topbar.active_background_color = 'rgb(91, 98, 246)'
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self.topbar.textbox('symbol')
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self.topbar.switcher('timeframe', timeframe_options, func=self._on_timeframe_selection)
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self.topbar.switcher('security', security_options, func=self._on_security_selection)
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self.run_script(f'''
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{self.id}.search.box.style.backgroundColor = 'rgba(91, 98, 246, 0.5)'
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{self.id}.spinner.style.borderTop = '4px solid rgba(91, 98, 246, 0.8)'
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{self.id}.search.window.style.display = "flex"
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{self.id}.search.box.focus()
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''')
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async def _polygon(self, symbol):
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self.spinner(True)
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self.set(pd.DataFrame(), True)
|
|
self.crosshair(vert_visible=False, horz_visible=False)
|
|
|
|
mult, span = _convert_timeframe(self.topbar['timeframe'].value)
|
|
delta = dt.timedelta(**{span + 's': int(mult)})
|
|
short_delta = (delta < dt.timedelta(days=7))
|
|
start_date = dt.datetime.now() if self.end_date == 'now' else dt.datetime.strptime(self.end_date, '%Y-%m-%d')
|
|
remaining_bars = self.num_bars
|
|
while remaining_bars > 0:
|
|
start_date -= delta
|
|
if start_date.weekday() > 4 and short_delta: # Monday to Friday (0 to 4)
|
|
continue
|
|
remaining_bars -= 1
|
|
epoch = dt.datetime.fromtimestamp(0)
|
|
start_date = epoch if start_date < epoch else start_date
|
|
success = await getattr(self.polygon, 'async_'+self.topbar['security'].value.lower())(
|
|
symbol,
|
|
timeframe=self.topbar['timeframe'].value,
|
|
start_date=start_date.strftime('%Y-%m-%d'),
|
|
end_date=self.end_date,
|
|
limit=self.limit,
|
|
live=self.live
|
|
)
|
|
self.spinner(False)
|
|
self.crosshair() if success else None
|
|
return success
|
|
|
|
async def on_search(self, chart, searched_string):
|
|
chart.topbar['symbol'].set(searched_string if await self._polygon(searched_string) else '')
|
|
|
|
async def _on_timeframe_selection(self, chart):
|
|
await self._polygon(chart.topbar['symbol'].value) if chart.topbar['symbol'].value else None
|
|
|
|
async def _on_security_selection(self, chart):
|
|
self.precision(5 if chart.topbar['security'].value == 'Forex' else 2)
|