86 lines
3.0 KiB
Python
86 lines
3.0 KiB
Python
from datetime import date, timedelta
|
|
from alpaca.data.historical import CryptoHistoricalDataClient, StockHistoricalDataClient
|
|
from alpaca.data.requests import CryptoLatestTradeRequest, StockLatestTradeRequest, StockLatestBarRequest, StockTradesRequest
|
|
from alpaca.data.enums import DataFeed
|
|
from alpaca.trading.requests import GetCalendarRequest
|
|
from alpaca.trading.client import TradingClient
|
|
from alpaca.trading.models import Calendar
|
|
from config import API_KEY, SECRET_KEY, MAX_BATCH_SIZE
|
|
from datetime import datetime, timezone, time, timedelta, date
|
|
import pytz
|
|
from rich import print
|
|
import os
|
|
from icecream import install, ic
|
|
install()
|
|
import os
|
|
# print('Get current working directory : ', os.getcwd())
|
|
# print('File name : ', os.path.basename(__file__))
|
|
# print('Directory Name: ', os.path.dirname(__file__))
|
|
|
|
#práce s datumy
|
|
|
|
zone_NY = pytz.timezone('America/New_York')
|
|
|
|
symbol = "BAC"
|
|
client = TradingClient(API_KEY, SECRET_KEY, raw_data=False)
|
|
datetime_object_from = datetime(2023, 3, 16, 17, 51, 38, tzinfo=timezone.utc)
|
|
datetime_object_to = datetime(2023, 3, 22, 17, 52, 39, tzinfo=timezone.utc)
|
|
calendar_request = GetCalendarRequest(start=datetime_object_from,end=datetime_object_to)
|
|
cal_dates = client.get_calendar(calendar_request)
|
|
#curr_dir = os.path.dirname(__file__)
|
|
|
|
#backtesting a obecne prace startegie s dnem
|
|
#zatim podporime pouze main session
|
|
|
|
#backtest
|
|
#- market open trade - Q
|
|
#- market close trade - M
|
|
|
|
#minimalni jednotka pro CACHE je 1 den - a to jen marketopen to marketclose (extended hours not supported yet)
|
|
for day in cal_dates:
|
|
print("Processing DAY", day.date)
|
|
print(day.date)
|
|
print(day.open)
|
|
print(day.close)
|
|
|
|
#get file name
|
|
daily_file = str(symbol) + '-' + str(int(day.open.timestamp())) + '-' + str(int(day.close.timestamp())) + '.cache'
|
|
print(daily_file)
|
|
|
|
|
|
if os.path.exists(daily_file):
|
|
pass
|
|
##denní file existuje
|
|
#loadujeme ze souboru
|
|
#pokud je start_time < trade < end_time
|
|
#odesíláme do queue
|
|
#jinak pass
|
|
else:
|
|
ic("cache not exists")
|
|
#denni file není - loadujeme den z Alpacy
|
|
#ukládáme do cache s daily_file jako název
|
|
#pokud jde o dnešní den a nebyl konec trhu tak cache neukládáme
|
|
if datetime.now() < day.close:
|
|
print("not saving the cache, market still open today")
|
|
ic(datetime.now())
|
|
ic(day.close)
|
|
else:
|
|
pass
|
|
#save to daily cache file curr_dir+'/'+daily_file
|
|
|
|
#pokud je start_time < trade < end_time
|
|
#odesíláme do queue
|
|
#jinak ne
|
|
|
|
print("Processing DAY END",day.date)
|
|
|
|
# start_date = date(2008, 8, 15)
|
|
# end_date = date(2008, 9, 15) # perhaps date.now()
|
|
# ##get number of days between days
|
|
# delta = end_date - start_date # returns timedelta
|
|
|
|
# for i in range(delta.days + 1):
|
|
# day = start_date + timedelta(days=i)
|
|
# print(day)
|
|
|
|
# #pro kazde datum volame get cala - jestli byl trader date |