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mirror of https://github.com/bspeice/metrik synced 2024-11-04 22:48:11 -05:00

Add fetching options quotes (daily data from Tradeking)

This commit is contained in:
bspeice 2016-11-24 18:27:29 -05:00
parent fb023e0dea
commit 6fc85653cb
2 changed files with 52 additions and 3 deletions

View File

@ -9,6 +9,13 @@ from metrik.tasks.base import MongoCreateTask, MongoRateLimit, MongoNoBackCreate
from metrik.conf import get_config
def batch(iterable, size):
sourceiter = iter(iterable)
while True:
batchiter = islice(sourceiter, size)
yield chain([batchiter.next()], batchiter)
class TradekingApi(object):
format_json = '.json'
format_xml = '.xml'
@ -87,6 +94,7 @@ class Tradeking1mTimesales(MongoCreateTask):
class TradekingOptionsQuotes(MongoNoBackCreateTask):
batch_size = 75
symbol = Parameter()
def get_collection_name(self):
@ -101,9 +109,19 @@ class TradekingOptionsQuotes(MongoNoBackCreateTask):
return [r['symbol'] for r in results]
@staticmethod
def retrieve_quotes(api, symbols):
response = api.api_request('market/ext/quotes', {
'symbols': ','.join(symbols)
})
results = response.json()['response']['quotes']['quote']
return results
@staticmethod
def retrieve_data(symbol):
tradeking = TradekingApi()
api = TradekingApi()
# We request a first rate limit lock to get the options chain
ratelimit = MongoRateLimit()
@ -112,3 +130,21 @@ class TradekingOptionsQuotes(MongoNoBackCreateTask):
limit=60,
interval=timedelta(minutes=1)
)
if not chain_acquire:
return {}
chain = TradekingOptionsQuotes.retrieve_chain_syms(api, symbol)
results = []
for b in batch(chain, TradekingOptionsQuotes.batch_size):
batch_acquire = ratelimit.acquire_lock(
service='tradeking',
limit=60,
interval=timedelta(minutes=1)
)
if batch_acquire:
batch_results = TradekingOptionsQuotes.retrieve_quotes(api, b)
results += batch_results
return results

View File

@ -6,7 +6,7 @@ import pytest
from six.moves import map
from pytz import utc
from metrik.tasks.tradeking import Tradeking1mTimesales, TradekingOptionsQuotes, TradekingApi
from metrik.tasks.tradeking import Tradeking1mTimesales, TradekingOptionsQuotes, TradekingApi, batch
from metrik.trading_days import TradingDay
from metrik.targets.mongo import MongoTarget
from test.mongo_test import MongoTest
@ -40,6 +40,7 @@ def test_returns_verifiable(ticker):
assert_allclose(tradeking_ohlc, yahoo_ohlc, rtol=1e-3)
@pytest.mark.parametrize('ticker', [
'AAPL', 'GOOG', 'SPY', 'REGN', 'SWHC', 'BAC', 'NVCR', 'ARGT'
])
@ -49,8 +50,20 @@ def test_chain_returns(ticker):
assert len(chain) > 20
class TradekingTest(MongoTest):
@pytest.mark.parametrize('ticker', [
'AAPL', 'GOOG', 'SPY'
])
def test_options_quote(ticker):
demo_length = 25
api = TradekingApi()
chain = TradekingOptionsQuotes.retrieve_chain_syms(api, ticker)[:demo_length]
quotes = TradekingOptionsQuotes.retrieve_quotes(api, chain)
assert len(quotes) == demo_length
class TradekingTest(MongoTest):
def test_record_is_saveable(self):
# Had an issue previously where the `date` type would cause saving
# to fail. Make sure that doesn't continue