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https://github.com/bspeice/metrik
synced 2024-11-04 22:48:11 -05:00
Remove Histdata; too many nonces, not worth it
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commit
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from zipfile import ZipFile
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from io import BytesIO
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import requests
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import pandas as pd
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from datetime import datetime
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from metrik.tasks.base import MongoCreateTask
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from metrik.utils import masked_get
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from metrik.conf import USER_AGENT
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class HistDataWrapper(MongoCreateTask):
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@staticmethod
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def fetch_zip(currency, year, month, side):
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"""
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:param currency: Currency pair specified as EURUSD
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:type currency: str
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:param year: Year for retrieval as an integer
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:param month: Month for retrieval as an integer
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:param side: BID or ASK for which side of the trade you want
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:return: zip file content with CSV of tick data
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"""
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# HistData has some interesting tricks they go through to make it
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# hard to bulk download data. Specifically: you post to one page with
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# your `Referer` as a different page to get the data, plus some extra
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# POST body things in order to get the data to come.
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request_url = 'http://www.histdata.com/get.php'
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month_leading = '{:02d}'.format(month)
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# No idea what this parameter does, because I'm not convinced it's a nonce:
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if side == 'BID':
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tk = '6b95868ebd96e92f3f28196354e1901f'
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else:
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tk = 'fa921f9b65d175d05c5976b5f78e5333'
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zip_fname = 'HISTDATA_COM_NT_{pair}_T_{side}_{year}{month_leading}.zip'.format(
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year=year,
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month_leading=month_leading,
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side=side,
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pair=currency
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)
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zip_url = 'http://www.histdata.com/' \
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'download-free-forex-historical-data/?/ninjatrader/' \
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'tick-{side}-quotes/{pair}/{year}/{month_nonleading}/' \
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'{zip_fname}' \
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.format(
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year=year,
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side=side.lower(),
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month_nonleading=str(month),
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pair=currency.lower(),
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zip_fname=zip_fname
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)
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request_content = requests.post(request_url, headers={
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'Host': 'www.histdata.com',
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'Referer': zip_url,
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'User-Agent': USER_AGENT,
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'Cookie': '__cfduid=d42d8f540c786afd0568ab63eb20c50eb1471099760; complianceCookie=off',
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}, data={
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'tk': tk,
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'date': year,
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'datemonth': '{year}{month_leading}'.format(
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year=year, month_leading=month_leading),
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'platform': 'NT',
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'timeframe': 'T_{}'.format(side),
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'fxpair': currency
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}).content
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return BytesIO(request_content)
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@staticmethod
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def fetch_csv(zip_content, currency, year, month, side):
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csv_fname = 'DAT_NT_{pair}_T_{side}_{year}{month_leading}.csv'.format(
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pair=currency,
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side=side,
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year=year,
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month_leading='{:02d}'.format(month)
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)
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z = ZipFile(zip_content)
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bytes = z.read(csv_fname)
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return BytesIO(bytes)
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@staticmethod
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def parse_csv(csv_content):
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def parse_timestamp(string):
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return datetime.strptime(string, '%Y%m%d %H%M%S')
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table = pd.read_csv(
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filepath_or_buffer=csv_content,
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names=['Timestamp', 'Price', 'Unknown'],
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parse_dates=['Timestamp'],
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date_parser=parse_timestamp,
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sep=';'
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).drop('Unknown', axis=1)
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return table.to_dict()
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@ -1,32 +0,0 @@
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from unittest import TestCase
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from io import BytesIO
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import pandas as pd
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from metrik.tasks.histdata import HistDataWrapper
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class HistDataWrapperTest(TestCase):
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def test_eur_usd_july2016_bid(self):
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zip_content = HistDataWrapper.fetch_zip('EURUSD', 2016, 7, 'BID')
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assert len(zip_content.getvalue()) > 0
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csv_content = HistDataWrapper.fetch_csv(zip_content, 'EURUSD', 2016, 7, 'BID')
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assert len(csv_content.getvalue()) > 0
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content_dict = HistDataWrapper.parse_csv(csv_content)
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assert len(content_dict) > 0
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def test_usd_cad_july2016_bid(self):
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zip_content = HistDataWrapper.fetch_zip('USDCAD', 2016, 7, 'BID')
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assert len(zip_content.getvalue()) > 0
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csv_content = HistDataWrapper.fetch_csv(zip_content, 'USDCAD', 2016, 7, 'BID')
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assert len(csv_content.getvalue()) > 0
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content_dict = HistDataWrapper.parse_csv(csv_content)
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assert len(content_dict) > 0
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def test_eur_usd_july2016_ask(self):
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zip_content = HistDataWrapper.fetch_zip('EURUSD', 2016, 7, 'ASK')
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assert len(zip_content.getvalue()) > 0
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csv_content = HistDataWrapper.fetch_csv(zip_content, 'EURUSD', 2016, 7, 'ASK')
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assert len(csv_content.getvalue()) > 0
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content_dict = HistDataWrapper.parse_csv(csv_content)
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assert len(content_dict) > 0
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