150 lines
4.8 KiB
Python
150 lines
4.8 KiB
Python
import requests
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from requests_oauthlib import OAuth1Session
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from luigi.parameter import DateParameter, Parameter
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from datetime import timedelta
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from dateutil.parser import parse
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import logging
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from metrik.tasks.base import MongoCreateTask, MongoRateLimit, MongoNoBackCreateTask
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from metrik.conf import get_config
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def batch(iterable, size):
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sourceiter = iter(iterable)
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while True:
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batchiter = islice(sourceiter, size)
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yield chain([batchiter.next()], batchiter)
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class TradekingApi(object):
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format_json = '.json'
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format_xml = '.xml'
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root_url = 'https://api.tradeking.com/v1/'
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def __init__(self):
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config = get_config()
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self.session = OAuth1Session(
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client_key=config.get('tradeking', 'consumer_key'),
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client_secret=config.get('tradeking', 'consumer_secret'),
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resource_owner_key=config.get('tradeking', 'oauth_token'),
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resource_owner_secret=config.get('tradeking', 'oauth_token_secret')
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)
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def api_request(self, url, params=None, format=format_json, **kwargs):
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full_url = self.root_url + url + format
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return self.session.get(full_url, params=params, **kwargs)
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class Tradeking1mTimesales(MongoCreateTask):
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# While this is marked as an idempotent task, it only goes back about
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# a week or so. Be careful.
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present = DateParameter()
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symbol = Parameter()
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def get_collection_name(self):
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return 'tradeking_1min'
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@staticmethod
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def retrieve_data(present, symbol):
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ratelimit = MongoRateLimit()
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tradeking = TradekingApi()
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did_acquire = ratelimit.acquire_lock(
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service='tradeking',
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limit=60,
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interval=timedelta(minutes=1)
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)
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if did_acquire:
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response = tradeking.api_request('market/timesales', {
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'symbols': symbol,
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'interval': '1min',
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'startdate': present.strftime('%Y-%m-%d'),
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'enddate': present.strftime('%Y-%m-%d')
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})
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json_data = response.json()
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quotes = json_data['response']['quotes']['quote']
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def format_quote(quote):
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if type(quote) != dict:
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logging.warning('Bad quote for symbol {}: {}'.format(symbol, quote))
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return {}
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else:
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return {
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'last': float(quote['last']),
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'lo': float(quote['lo']),
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'vl': int(quote['vl']),
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'datetime': parse(quote['datetime']),
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'incr_vl': int(quote['incr_vl']),
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'hi': float(quote['hi']),
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'timestamp': parse(quote['timestamp']),
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'date': parse(quote['date']),
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'opn': float(quote['opn'])
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}
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quotes_typed = [format_quote(q) for q in quotes]
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return {
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'symbol': symbol,
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'quotes': quotes_typed
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}
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else:
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logging.error('Unable to acquire lock for Tradeking ticker {}'
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.format(symbol))
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return {}
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class TradekingOptionsQuotes(MongoNoBackCreateTask):
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batch_size = 75
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symbol = Parameter()
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def get_collection_name(self):
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return 'tradeking_options'
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@staticmethod
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def retrieve_chain_syms(api, symbol):
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results = api.api_request('market/options/search', {
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'symbol': symbol,
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'query': 'unique:strikeprice'
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}).json()['response']['quotes']['quote']
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return [r['symbol'] for r in results]
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@staticmethod
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def retrieve_quotes(api, symbols):
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response = api.api_request('market/ext/quotes', {
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'symbols': ','.join(symbols)
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})
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results = response.json()['response']['quotes']['quote']
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return results
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@staticmethod
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def retrieve_data(symbol):
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api = TradekingApi()
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# We request a first rate limit lock to get the options chain
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ratelimit = MongoRateLimit()
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chain_acquire = ratelimit.acquire_lock(
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service='tradeking',
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limit=60,
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interval=timedelta(minutes=1)
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)
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if not chain_acquire:
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return {}
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chain = TradekingOptionsQuotes.retrieve_chain_syms(api, symbol)
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results = []
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for b in batch(chain, TradekingOptionsQuotes.batch_size):
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batch_acquire = ratelimit.acquire_lock(
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service='tradeking',
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limit=60,
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interval=timedelta(minutes=1)
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)
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if batch_acquire:
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batch_results = TradekingOptionsQuotes.retrieve_quotes(api, b)
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results += batch_results
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return {'symbol': symbol, 'chain': results}
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