93 lines
3.4 KiB
Python
93 lines
3.4 KiB
Python
from alpaca.data.historical import StockHistoricalDataClient, CryptoHistoricalDataClient
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from alpaca.data.requests import StockLatestQuoteRequest, StockBarsRequest, StockTradesRequest, StockSnapshotRequest
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from alpaca.data import Quote, Trade, Snapshot, Bar
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from alpaca.data.models import BarSet, QuoteSet, TradeSet
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from alpaca.data.timeframe import TimeFrame, TimeFrameUnit
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from v2realbot.utils.utils import zoneNY
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from v2realbot.config import ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY
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from alpaca.data.enums import DataFeed
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from datetime import datetime, timedelta
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import pandas as pd
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from rich import print
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from collections import defaultdict
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from pandas import to_datetime
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from msgpack.ext import Timestamp
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def convert_daily_bars(daily_bars):
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"""Converts a list of daily bars into a dictionary with the specified keys.
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Args:
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daily_bars: A list of daily bars, where each bar is a dictionary with the
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following keys:
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* c: Close price
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* h: High price
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* l: Low price
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* n: Number of trades
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* o: Open price
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* t: Time in UTC (ISO 8601 format)
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* v: Volume
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* vw: VWAP
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Returns:
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A dictionary with the following keys:
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* high: A list of high prices
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* low: A list of low prices
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* volume: A list of volumes
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* close: A list of close prices
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* hlcc4: A list of HLCC4 indicators
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* open: A list of open prices
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* time: A list of times in UTC (ISO 8601 format)
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* trades: A list of number of trades
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* resolution: A list of resolutions (all set to 'D')
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* confirmed: A list of booleans (all set to True)
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* vwap: A list of VWAP indicator
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* updated: A list of booleans (all set to True)
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* index: A list of integers (from 0 to the length of the list of daily bars)
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"""
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bars = defaultdict(list)
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for i in range(len(daily_bars)):
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bar = daily_bars[i]
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# Calculate the HLCC4 indicator
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hlcc4 = (bar['h'] + bar['l'] + bar['c'] + bar['o']) / 4
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datum = to_datetime(bar['t'], utc=True)
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#nebo pripadna homogenizace s online streamem
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#datum = Timestamp.from_unix(datum.timestamp())
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# Add the bar to the dictionary
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bars['high'].append(bar['h'])
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bars['low'].append(bar['l'])
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bars['volume'].append(bar['v'])
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bars['close'].append(bar['c'])
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bars['hlcc4'].append(hlcc4)
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bars['open'].append(bar['o'])
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bars['time'].append(datum)
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bars['trades'].append(bar['n'])
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bars['resolution'].append('D')
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bars['confirmed'].append(1)
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bars['vwap'].append(bar['vw'])
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bars['updated'].append(datum)
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bars['index'].append(i)
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return bars
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def get_last_close():
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pass
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def get_todays_open():
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pass
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##vrati historicke bary v nasem formatu
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def get_historical_bars(symbol: str, time_from: datetime, time_to: datetime, timeframe: TimeFrame):
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stock_client = StockHistoricalDataClient(ACCOUNT1_PAPER_API_KEY, ACCOUNT1_PAPER_SECRET_KEY, raw_data=True)
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# snapshotRequest = StockSnapshotRequest(symbol_or_symbols=[symbol], feed=DataFeed.SIP)
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# snapshotResponse = stock_client.get_stock_snapshot(snapshotRequest)
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# print("snapshot", snapshotResponse)
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bar_request = StockBarsRequest(symbol_or_symbols=symbol,timeframe=timeframe, start=time_from, end=time_to, feed=DataFeed.SIP)
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bars: BarSet = stock_client.get_stock_bars(bar_request)
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#print("puvodni bars", bars["BAC"])
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return convert_daily_bars(bars[symbol])
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