cotcube-bardata 0.1.14 → 0.1.15.2

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 6f517a7bf018413f424a2eba1e1c568c4db864240f88d23fe0c722526af858b4
-  data.tar.gz: 7e303f08f4be6d64f1680f5107690e78525edcdf938245b22ab97a38af1523e7
+  metadata.gz: 46f85dd103fd911ba475b347f14002f1402eda630b79ded6a161969a1df487db
+  data.tar.gz: 72f66b63600041d28131df575036d0295f8ab206e132fcd69c2ea84109194505
 SHA512:
-  metadata.gz: 5cbeae28346fca35de00cdc926724799f00c69ac8b023075c5dbd332327303ab457e1558eb289979ce95ef31b0cbc7e7cd1439ce550c4b2ddb415c79cffa21dd
-  data.tar.gz: 9fcdc6b0b14212673d1c26e9c5b6b76264a2d8baa7270d609841377ad3fd753bb1011ddad499a27412e180dcbb8bc35a831e79e79c487866634f85533440b771
+  metadata.gz: 29271f6f4b5dba379bb19e81846d52f1d2995bd010f35b7e80bad3256ae415c841eeead6a84034ce72d29cd6b3746d4d62fb182347abca1fa6d78fd0c3bfb6a7
+  data.tar.gz: 5cb42e0fbd5ae2124edb7ede368047e72c8fe68b99ed928727d8e47859a5c94470bab989a032f0689e63058dd01b190936d02f22d8be7fca3cd61f3240a40a1c

data/CHANGELOG.md

@@ -1,3 +1,20 @@
+## 0.1.15.2 (August 04, 2021)
+  - fixed leftover debug setting
+
+## 0.1.15.1 (August 04, 2021)
+  - fixed license mismatch
+
+## 0.1.15 (August 04, 2021)
+  - daily.rb: added support to add eod data on incomplete dailies
+  - adding dep: cotcube-indicators
+  - provide: new method :determine_significant_volume
+  - suggest: adding silence
+  - cached: Adding :dist
+  - daily: new method :determine_significant_volume
+  - added :dist generically to quarters
+  - trading_hours: added param to return headers only
+  - last_trade_date: Enabled caching instead of fetching each time
+
 ## 0.1.14 (May 07, 2021)
   - few changes in provide / cached / daily for a more straigtforward forcing of cache renewal
   - suggest: new method to suggest a contract for given symbol and date

data/README.md

@@ -90,5 +90,5 @@ Bug reports and pull requests are welcome on GitHub at https://github.com/donkey
 
 ## License
 
-The gem is available as open source under the terms of the [MIT License](https://opensource.org/licenses/MIT).
+The gem is available as open source under the terms of the [BSD-3-Clause-License](https://opensource.org/licenses/BSD-3-Clause).
 

data/VERSION

@@ -1 +1 @@
-0.1.14
+0.1.15.2

data/cotcube-bardata.gemspec

@@ -10,7 +10,7 @@ Gem::Specification.new do |spec|
   spec.description   = 'Functions to provide bardata; and some simple time series aggregations '
 
   spec.homepage      = "https://github.com/donkeybridge/#{spec.name}"
-  spec.license       = 'BSD-4-Clause'
+  spec.license       = 'BSD-3-Clause'
   spec.required_ruby_version = Gem::Requirement.new('~> 2.7')
 
   spec.metadata['homepage_uri'] = spec.homepage

data/lib/cotcube-bardata.rb

@@ -11,6 +11,7 @@ require 'date' unless defined?(DateTime)
 require 'csv'  unless defined?(CSV)
 require 'yaml' unless defined?(YAML)
 require 'cotcube-helpers'
+require 'cotcube-indicators'
 require 'parallel'
 
 require_relative 'cotcube-bardata/constants'

data/lib/cotcube-bardata/cached.rb

@@ -40,12 +40,13 @@ module Cotcube
       quarters_file = "#{config[:data_path]}/quarters/#{sym[:id]}/#{contract[-3..]}.csv"
       if File.exist?(file) && (not force_update)
         puts "Working with existing #{file}, no update was forced" if debug
-        puts "    Using quarters from #{quarters_file}"
+        puts "    Using quarters from #{quarters_file}" if debug
         base = CSV.read(file, headers: headers).map do |x|
           x = x.to_h
           x[:datetime] = timezone.parse(x[:datetime])
           %i[open high low close].each { |z| x[z] = x[z].to_f.round(9) }
           x[:volume] = x[:volume].to_i
+          x[:dist]     = ((x[:high] - x[:low]) / sym[:ticksize] ).to_i
           x[:type]   = "#{filter.to_s.downcase}_day".to_sym
           x
         end

data/lib/cotcube-bardata/daily.rb

@@ -9,6 +9,7 @@ module Cotcube
                       range: nil,
                       timezone: Time.find_zone('America/Chicago'),
                       keep_last: false,
+                      add_eods: true,
                       config: init)
       contract = contract.to_s.upcase
       unless contract.is_a?(String) && [3, 5].include?(contract.size)
@@ -46,10 +47,29 @@ module Cotcube
           row[k] = row[k].to_i if %i[volume oi].include? k
         end
         row[:datetime] = timezone.parse(row[:date])
+        row[:dist]     = ((row[:high] - row[:low]) / sym[:ticksize] ).to_i
         row[:type]     = :daily
         row
       end
-      data.pop if data.last[:high].zero? and not keep_last
+      contract_expired = data.last[:high].zero?
+      data.pop if contract_expired and not keep_last
+      if not contract_expired and add_eods
+        today = Date.today
+        eods = [ ]
+        while today.strftime('%Y-%m-%d') > data.last[:date]
+          eods << provide_eods(symbol: sym[:symbol], dates: today, contracts_only: false)
+          today -= 1
+        end
+        eods.flatten!.map!{|x| x.tap {|y| %i[ volume_part oi_part ].map{|z| y.delete(z)} } }
+        eods.select{|x| x[:contract] == contract } 
+        eods.map!{|x| x.tap{|y| 
+          y[:datetime] = timezone.parse(y[:date])
+          y[:dist]     = ((y[:high] - y[:low]) / sym[:ticksize] ).to_i
+          y[:type]     = :eod
+        } }
+        data += eods.reverse
+
+      end
       if range.nil?
         data
       else
@@ -62,7 +82,7 @@ module Cotcube
 
     # reads all files in  bardata/daily/<id> and aggregates by date
     # (what is a pre-stage of a continuous based on daily bars)
-    def continuous(symbol: nil, id: nil, config: init, date: nil, measure: nil, force_rewrite: false)
+    def continuous(symbol: nil, id: nil, config: init, date: nil, measure: nil, force_rewrite: false, selector: nil, debug: false, add_eods: true)
       raise ArgumentError, ':measure, if given, must be a Time object (e.g. Time.now)' unless [NilClass, Time].include? measure.class
       measuring = lambda {|c| puts "[continuous] Time measured until '#{c}': #{(Time.now.to_f - measure.to_f).round(2)}sec" unless measure.nil? }
 
@@ -70,41 +90,117 @@ module Cotcube
       sym = get_id_set(symbol: symbol, id: id)
       id  = sym[:id]
       symbol = sym[:symbol]
+      ticksize = sym[:ticksize] 
+      effective_selector = selector || :volume
+      raise ArgumentError, 'selector must be in %i[ nil :volume ;oi].' unless [ nil, :volume, :oi ].include? selector
       id_path = "#{config[:data_path]}/daily/#{id}"
       c_file  = "#{id_path}/continuous.csv"
+      puts "Using file #{c_file}" if debug
 
       # instead of using the provide_daily methods above, for this bulk operation a 'continuous.csv' is created
       # this boosts from 4.5sec to 0.3sec
       rewriting = force_rewrite or not(File.exist?(c_file)) or (Time.now - File.mtime(c_file) > 8.days)
       if rewriting
         puts "In daily+continuous: Rewriting #{c_file} #{force_rewrite ? "forcibly" : "due to fileage"}.".light_yellow
-        `rm #{c_file}; find #{id_path} | xargs cat 2>/dev/null | grep -v '0,0,0,0' | sort -t, -k2 | cut -d, -f1,2,7,8 > #{c_file}`
+        `rm #{c_file}; find #{id_path} | xargs cat 2>/dev/null | grep -v ',0,' | grep -v ',0$'| sort -t, -k2 | cut -d, -f1-8 | grep ',.*,' | uniq > #{c_file}`
       end
       loading = lambda do
         data = CSV.read(c_file).map do |row|
           r = { contract: row[0],
                 date:     row[1],
-                volume:   row[2].to_i,
-                oi:       row[3].to_i
+                open:     row[2],
+                high:     row[3],
+                low:      row[4],
+                close:    row[5],
+                volume:   row[6].to_i,
+                oi:       row[7].to_i
           }
         end
+        if add_eods
+          today = Date.today
+          eods = [ ]
+          while today.strftime('%Y-%m-%d') > data.last[:date]
+            eods << provide_eods(symbol: symbol, dates: today, contracts_only: false)
+            today -= 1
+          end
+          eods.flatten!.map!{|x| x.tap {|y| %i[ volume_part oi_part ].map{|z| y.delete(z)} } }
+          eods.delete_if { |elem|  elem.flatten.empty? }
+          data += eods.reverse
+
+        end
 
         measuring.call("Finished retrieving dailies.")
         result = []
+        rounding =  8 # sym[:format].split('.').last.to_i rescue 6
+        indicators ||= {
+          typical:     Cotcube::Indicators.calc(a: :high, b: :low, c: :close) {|high, low, close| (high + low + close) / 3 },
+          sma250_high: Cotcube::Indicators.sma(key: :high,    length: 250),
+          sma250_low:  Cotcube::Indicators.sma(key: :low,     length: 250),
+          sma250_typ:  Cotcube::Indicators.sma(key: :typical, length: 250), 
+          # sma60_typ:   Cotcube::Indicators.sma(key: :typical, length: short),
+          # tr:          Cotcube::Indicators.true_range,
+          # atr5:        Cotcube::Indicators.sma(key: :tr,    length: 5),
+          # dist_abs:    Cotcube::Indicators.calc(a: :sma250_high, b: :sma250_low, c: :high, d: :low) do |sma_high, sma_low, high, low| 
+          #  if high > sma_high
+          #    high - sma_high
+          #  elsif sma_low > low 
+          #    low - sma_low
+          #  else 
+          #    0
+          #  end
+          #end,
+          #dist_sma: Cotcube::Indicators.calc(a: :sma250_typ, b: :sma60_typ) do |sma250, sma60|
+          #  sma60 - sma250
+          #end,
+          #dist_index:     Cotcube::Indicators.index(key: :dist_abs, length: 60, abs: true),
+          #dev250_squared: Cotcube::Indicators.calc(a: :sma250_typ, b: :typical) {|sma, x| (sma - x) ** 2 },
+          #var250:         Cotcube::Indicators.sma(key: :dev250_squared, length: long),
+          #sig250:         Cotcube::Indicators.calc(a: :var250)                  {|var| Math.sqrt(var)},
+          #boll250_high:   Cotcube::Indicators.calc(a: :sig250, b: :sma250_typ)  {|sig, typ| (typ + sig * bollinger_factor) rescue nil},
+          #boll250_low:    Cotcube::Indicators.calc(a: :sig250, b: :sma250_typ)  {|sig, typ| (typ - sig * bollinger_factor) rescue nil},
+          #dev60_squared:  Cotcube::Indicators.calc(a: :sma60_typ, b: :typical)  {|sma, x| (sma - x) ** 2 },
+          #var60:          Cotcube::Indicators.sma(key: :dev60_squared, length: short),
+          #sig60:          Cotcube::Indicators.calc(a: :var60)                   {|var| Math.sqrt(var)},
+          #boll60_high:    Cotcube::Indicators.calc(a: :sig60, b: :sma60_typ)    {|sig, typ| (typ + sig * bollinger_factor) rescue nil},
+          #boll60_low:     Cotcube::Indicators.calc(a: :sig60, b: :sma60_typ)    {|sig, typ| (typ - sig * bollinger_factor) rescue nil}
+          dist: Cotcube::Indicators.calc(a: :high, b: :low, finalize: :to_i) {|high, low| ((high-low) / ticksize) }
+
+        }
+
+
+
         data.group_by { |x| x[:date] }.map do |k, v|
           v.map { |x| x.delete(:date) }
-          result << {
+          avg_bar = { 
             date: k,
-            volume: v.map { |x| x[:volume] }.reduce(:+),
-            oi: v.map { |x| x[:oi] }.reduce(:+)
+            contract: v.max_by{|x| x[:oi] }[:contract],
+            open: nil, high: nil, low: nil, close: nil,
+            volume:   v.map { |x| x[:volume] }.reduce(:+),
+            oi:       v.map { |x| x[:oi] }.reduce(:+),
+          }
+
+          %i[ open high low close ].each do |ohlc|
+            avg_bar[ohlc] = (v.map{|x| x[ohlc].to_f * x[effective_selector] }.reduce(:+) / avg_bar[effective_selector]).round(rounding)
+          end
+          p avg_bar if debug
+          indicators.each do |k,v|
+            print format('%12s:  ', k.to_s) if debug
+            avg_bar[k] = v.call(avg_bar).round(rounding)
+            puts avg_bar[k] if debug
+          end
+          %i[tr atr5].each { |ind| 
+            avg_bar[ind]     = (avg_bar[ind] / sym[:ticksize]).round.to_i unless avg_bar[ind].nil?
           }
+          result << avg_bar
           result.last[:contracts] = v
         end
         result
       end
-      constname = "CONTINUOUS_#{symbol}".to_sym
+      constname = "CONTINUOUS_#{symbol}#{selector.nil? ? '' : ('_' + selector.to_s)}".to_sym
       if rewriting or not  Cotcube::Bardata.const_defined?( constname)
+        old = $VERBOSE; $VERBOSE = nil
         Cotcube::Bardata.const_set constname, loading.call
+        $VERBOSE = old
       end
       measuring.call("Finished processing")
       date.nil? ? Cotcube::Bardata.const_get(constname).map{|z| z.dup } : Cotcube::Bardata.const_get(constname).find { |x| x[:date] == date }
@@ -277,7 +373,7 @@ module Cotcube
              }\tto #{format '%5d', ldays.max
              }: #{dfm.call(ldays.max)}".colorize(color)
              if debug || (color != :white)
-               puts output
+               puts output unless silent
                output_sent << "#{sym[:symbol]}#{month}" unless color == :white
              end
              early_year  ||= output
@@ -288,20 +384,22 @@ module Cotcube
                }\t#{v1.first[:date]
                } (#{format '%3d', Date.parse(v1.first[:date]).yday
               })\t#{Date.parse(v1.last[:date]).strftime('%a, %Y-%m-%d')
-               } (#{Date.parse(v1.last[:date]).yday})"
+               } (#{Date.parse(v1.last[:date]).yday})" unless silent
                # rubocop:enable Layout/ClosingParenthesisIndentation
              end
-        end
+      end
       case output_sent.size
       when 0
-        puts "WARNING: No output was sent for symbol '#{sym[:symbol]}'.".colorize(:light_yellow)
-        puts "         Assuming late-year-processing.".light_yellow
-        puts early_year.light_green
+        unless silent
+          puts "WARNING: No output was sent for symbol '#{sym[:symbol]}'.".colorize(:light_yellow) 
+          puts "         Assuming late-year-processing.".light_yellow
+          puts early_year.light_green
+        end
       when 1
         # all ok
         true
       else
-        puts "Continuous table show #{output_sent.size} active contracts ( #{output_sent} ) for #{sym[:symbol]} ---------------"
+        puts "Continuous table show #{output_sent.size} active contracts ( #{output_sent} ) for #{sym[:symbol]} ---------------" unless silent
       end
       measuring.call("Finished processing")
       short ? output_sent : long_output

data/lib/cotcube-bardata/provide.rb

@@ -54,5 +54,11 @@ module Cotcube
         raise ArgumentError, "Unsupported or unknown interval '#{interval}' in Bardata.provide"
       end
     end
+
+    def determine_significant_volume(base: , contract: )
+      set  = Cotcube::Bardata.trading_hours(symbol: contract[0..1], filter: :rth)
+      prod = base - base.select_within(ranges: set ,attr: :datetime) {|x| x.to_datetime.to_sssm }
+      prod.group_by{|x| x[:volume] / 500 }
+    end
   end
 end

data/lib/cotcube-bardata/quarters.rb

@@ -33,6 +33,7 @@ module Cotcube
         %i[open high low close].map { |x| row[x] = row[x].to_f }
         %i[volume day].map { |x| row[x] = row[x].to_i }
         row[:datetime] = timezone.parse(row[:datetime])
+        row[:dist]     = ((row[:high] - row[:low]) / sym[:ticksize] ).to_i
         row[:type]     = :quarter
         row
       end

data/lib/cotcube-bardata/suggest.rb

@@ -5,7 +5,7 @@ module Cotcube
   module Bardata
     # based on day(of year) and symbol, suggest best fitting contract
     def suggest_contract_for symbol:, date: Date.today, warnings: true
-      ml = Cotcube::Bardata.continuous_table symbol: symbol, date: date
+      ml = Cotcube::Bardata.continuous_table symbol: symbol, date: date, silent: true
       if ml.size != 1 
 	puts "WARNING: No or no unique most liquid found for #{date}. please give :contract parameter".light_yellow if warnings
 	if ml.size > 1

data/lib/cotcube-bardata/trade_dates.rb

@@ -5,19 +5,45 @@ module Cotcube
   module Bardata
     # fetching official trade dates from CME
     # it returns the current trade date or, if today isn't a trading day, the last trade date.
-    def last_trade_date
-      uri = 'https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME'
-      begin
-        HTTParty.get(uri, headers: { "User-Agent" => "Mozilla/5.0 (X11; Linux x86_64; rv:60.0) Gecko/20100101 Firefox/81.0"})
-                .parsed_response
-                .map do |x|
-                  a = x['tradeDate'].chars.each_slice(2).map(&:join)
-                  "#{a[0]}#{a[1]}-#{a[2]}-#{a[3]}"
-                end
-                .first
-      rescue StandardError
-        nil
+    def last_trade_date(force_update: false)
+      const_LTD = :LAST_TRADE_DATE
+      const_LTDU = :LAST_TRADE_DATE_UPDATE
+      if force_update or not Object.const_defined?(const_LTD) or Object.const_get(const_LTD).nil? or Time.now - Object.const_get(const_LTDU) > 2.hours
+        result = nil
+        uri = 'https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME'
+        headers = { "Accept" => "text/html,application/xhtml+xml,application/xml;q=0.9,image/avif,image/webp,image/apng,*/*;q=0.8,application/signed-exchange;v=b3;q=0.9",
+                  "Accept-Encoding" => "gzip, deflate, br",
+                  "Accept-Language" => "en-US,en;q=0.9",
+                  "Cache-Control" => "max-age=0",
+                  "Connection" => "keep-alive",
+                 # Cookie: ak_bmsc=602078F6DE40954BAA8C7E7D3815102CACE82AAFD237000084B5A460F4FBCA68~pluz010T49Xag3sXquUZtVJmFX701dzEgt5v6Ht1EZSLKE4HL+bgg1L9ePnL5I0mm7QWXe1qaLhUbX1IPrL/f20trRMMRlkC3UWXk27DY/EBCP4mRno8QQygLCwgs2B2AQHJyb63WwRihCko8UYUiIhb89ArPZM5OPraoKy3JU9oE9e+iERdARNZHLHqRiB1GnmbKUvQqos3sXaEe3GpoiTszzk8sHZs4ZKuoO/rvFHko=",
+                  "Host" => "www.cmegroup.com",
+                  "sec-ch-ua" => %q[" Not A;Brand";v="99", "Chromium";v="90", "Google Chrome";v="90"],
+                  "sec-ch-ua-mobile" => "?0",
+                  "Sec-Fetch-Dest" => "document",
+                  "Sec-Fetch-Mode" => "navigate",
+                  "Sec-Fetch-Site" => "none",
+                  "Sec-Fetch-User" => "?1",
+                  "Upgrade-Insecure-Requests" => "1",
+                  "User-Agent" => "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/90.0.4430.212 Safari/537.36" }
+        begin
+#          HTTParty.get(uri, headers: { "User-Agent" => "Mozilla/5.0 (X11; Linux x86_64; rv:60.0) Gecko/20100101 Firefox/81.0"})
+           result = HTTParty.get(uri, headers: headers)
+                  .parsed_response
+                  .map do |x|
+                    a = x['tradeDate'].chars.each_slice(2).map(&:join)
+                    "#{a[0]}#{a[1]}-#{a[2]}-#{a[3]}"
+                  end
+                  .first
+        rescue StandardError
+          result = nil
+        end
+        oldverbose = $VERBOSE; $VERBOSE = nil
+        Object.const_set(const_LTD, result)
+        Object.const_set(const_LTDU, Time.now) unless result.nil?
+        $VERBOSE = oldverbose
       end
+      Object.const_get(const_LTD)
     end
 
     def holidays(config: init)

data/lib/cotcube-bardata/trading_hours.rb

@@ -12,14 +12,20 @@ module Cotcube
                       filter: ,
                       force_filter: false,  # with force_filter one would avoid falling back
                                             # to the contract_type based range set
+                      headers_only: false,  # return only headers instead of ranges
                       config: init, debug: false)
       return (0...24 * 7 * 3600) if filter.to_s =~ /24x7/
 
       prepare = lambda do |f|
-        CSV.read(f, converters: :numeric)
-           .map(&:to_a)
-           .tap { |x| x.shift unless x.first.first.is_a?(Numeric) }
-           .map { |x| (x.first...x.last) }
+        if headers_only
+          CSV.read(f)
+            .first
+        else
+          CSV.read(f, converters: :numeric)
+             .map(&:to_a)
+             .tap { |x| x.shift unless x.first.first.is_a?(Numeric) }
+             .map { |x| (x.first...x.last) }
+        end
       end
 
       sym = get_id_set(symbol: symbol, id: id)

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: cotcube-bardata
 version: !ruby/object:Gem::Version
-  version: 0.1.14
+  version: 0.1.15.2
 platform: ruby
 authors:
 - Benjamin L. Tischendorf
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2021-05-07 00:00:00.000000000 Z
+date: 2021-08-04 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: activesupport
@@ -180,7 +180,7 @@ files:
 - lib/cotcube-bardata/trading_hours.rb
 homepage: https://github.com/donkeybridge/cotcube-bardata
 licenses:
-- BSD-4-Clause
+- BSD-3-Clause
 metadata:
   homepage_uri: https://github.com/donkeybridge/cotcube-bardata
   source_code_uri: https://github.com/donkeybridge/cotcube-bardata