cotcube-bardata 0.1.9.3 → 0.1.14
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- checksums.yaml +4 -4
- data/CHANGELOG.md +21 -0
- data/VERSION +1 -1
- data/lib/cotcube-bardata.rb +7 -2
- data/lib/cotcube-bardata/cached.rb +7 -4
- data/lib/cotcube-bardata/daily.rb +111 -61
- data/lib/cotcube-bardata/helpers.rb +4 -0
- data/lib/cotcube-bardata/init.rb +2 -2
- data/lib/cotcube-bardata/provide.rb +4 -3
- data/lib/cotcube-bardata/range_matrix.rb +18 -7
- data/lib/cotcube-bardata/suggest.rb +28 -0
- data/lib/cotcube-bardata/trade_dates.rb +1 -1
- metadata +3 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 6f517a7bf018413f424a2eba1e1c568c4db864240f88d23fe0c722526af858b4
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data.tar.gz: 7e303f08f4be6d64f1680f5107690e78525edcdf938245b22ab97a38af1523e7
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 5cbeae28346fca35de00cdc926724799f00c69ac8b023075c5dbd332327303ab457e1558eb289979ce95ef31b0cbc7e7cd1439ce550c4b2ddb415c79cffa21dd
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7
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data.tar.gz: 9fcdc6b0b14212673d1c26e9c5b6b76264a2d8baa7270d609841377ad3fd753bb1011ddad499a27412e180dcbb8bc35a831e79e79c487866634f85533440b771
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data/CHANGELOG.md
CHANGED
@@ -1,3 +1,24 @@
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1
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+
## 0.1.14 (May 07, 2021)
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2
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+
- few changes in provide / cached / daily for a more straigtforward forcing of cache renewal
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3
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+
- suggest: new method to suggest a contract for given symbol and date
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4
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+
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5
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+
## 0.1.13 (April 07, 2021)
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6
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+
- daily: fixed const_caching in continuous
|
7
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+
- trade_dates: FIXING call with HTTParty must send Agent Header
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8
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+
- helpers/get_id_set: added support for params given as Symbols (:NG instead of 'NG')
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9
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+
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10
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+
## 0.1.12 (March 13, 2021)
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11
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+
- range_matrix: adapted to accept block for range provision; added params :days_only and :last_n
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12
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+
- minor fix on previous patch
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13
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+
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14
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+
## 0.1.11 (March 07, 2021)
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15
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+
- daily.rb: added new technique 'caching in constants' to accelerate computation, also referring to continuous
|
16
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+
- provide.rb: minor change, so disregarded contracts can be used in swapproximate
|
17
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+
|
18
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+
## 0.1.10 (February 11, 2021)
|
19
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+
- Daily.rb: Added measure parameters to continous_suite
|
20
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+
- cached.rb: Minor fix in comparison
|
21
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+
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1
22
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## 0.1.9.3 (February 08, 2021)
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2
23
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- cached: minor change fixing problem to get yesterday in rth subsets
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3
24
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data/VERSION
CHANGED
@@ -1 +1 @@
|
|
1
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-
0.1.
|
1
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+
0.1.14
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data/lib/cotcube-bardata.rb
CHANGED
@@ -22,6 +22,7 @@ require_relative 'cotcube-bardata/quarters'
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|
22
22
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require_relative 'cotcube-bardata/eods'
|
23
23
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require_relative 'cotcube-bardata/cached'
|
24
24
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require_relative 'cotcube-bardata/provide'
|
25
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+
require_relative 'cotcube-bardata/suggest'
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25
26
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require_relative 'cotcube-bardata/range_matrix'
|
26
27
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require_relative 'cotcube-bardata/trading_hours'
|
27
28
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@@ -61,13 +62,17 @@ module Cotcube
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61
62
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# create an array of ranges based on specified source data
|
62
63
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:trading_hours,
|
63
64
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# receive id / symbol information on an uncertain set of parameters
|
65
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+
# TODO: decommision sppearance of get_id_set and symbols in cotcube::bardata
|
64
66
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:get_id_set,
|
67
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+
:symbols,
|
68
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+
#
|
65
69
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:select_specific_date,
|
66
70
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:extended_select_for_range,
|
67
71
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:provide_cached,
|
72
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+
:suggest_contract_for,
|
73
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+
#
|
68
74
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:compare,
|
69
|
-
:holidays
|
70
|
-
:symbols # reads and provides the symbols file
|
75
|
+
:holidays
|
71
76
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|
72
77
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# please note that module_functions of source provided in private files must be published there
|
73
78
|
end
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@@ -12,7 +12,7 @@ module Cotcube
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12
12
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timezone: Time.find_zone('America/Chicago'),
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13
13
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filter: :full, # most probably either :full or :rth
|
14
14
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force_update: false, # force reloading via provide_quarters
|
15
|
-
force_recent: false) #
|
15
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+
force_recent: false) # provide base.last even if dayswitch hasn't happen yet
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16
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17
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unless range.nil? ||
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18
18
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range.is_a?(Range) &&
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@@ -39,6 +39,8 @@ module Cotcube
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|
39
39
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file = "#{dir}/#{contract}.csv"
|
40
40
|
quarters_file = "#{config[:data_path]}/quarters/#{sym[:id]}/#{contract[-3..]}.csv"
|
41
41
|
if File.exist?(file) && (not force_update)
|
42
|
+
puts "Working with existing #{file}, no update was forced" if debug
|
43
|
+
puts " Using quarters from #{quarters_file}"
|
42
44
|
base = CSV.read(file, headers: headers).map do |x|
|
43
45
|
x = x.to_h
|
44
46
|
x[:datetime] = timezone.parse(x[:datetime])
|
@@ -49,7 +51,7 @@ module Cotcube
|
|
49
51
|
end
|
50
52
|
if base.last[:high].zero?
|
51
53
|
# contract exists but is closed (has the CLOSED marker)
|
52
|
-
base.pop
|
54
|
+
base.pop
|
53
55
|
# rubocop:disable Metrics/BlockNesting
|
54
56
|
result = if range.nil?
|
55
57
|
base
|
@@ -60,7 +62,7 @@ module Cotcube
|
|
60
62
|
end
|
61
63
|
end
|
62
64
|
return result
|
63
|
-
elsif File.mtime(file)
|
65
|
+
elsif File.mtime(file) - Time.now.beginning_of_day >= 0
|
64
66
|
puts "CACHE #{File.mtime(file)}\t#{file}" if debug
|
65
67
|
puts "QUART #{File.mtime(quarters_file)}\t#{quarters_file}" if debug
|
66
68
|
result = if range.nil?
|
@@ -96,8 +98,9 @@ module Cotcube
|
|
96
98
|
end
|
97
99
|
|
98
100
|
base = Cotcube::Helpers.reduce(bars: data, to: :days)
|
101
|
+
puts "Reduced base ends at #{bast.last[:datetime].strftime('%Y-%m-%d')}" if debug
|
99
102
|
|
100
|
-
# remove last day of result
|
103
|
+
# remove last day of result if suspecting incomplete last base
|
101
104
|
base.pop if base.last[:datetime].to_date == timezone.now.to_date and not force_recent
|
102
105
|
|
103
106
|
base.map do |x|
|
@@ -8,6 +8,7 @@ module Cotcube
|
|
8
8
|
symbol: nil, id: nil,
|
9
9
|
range: nil,
|
10
10
|
timezone: Time.find_zone('America/Chicago'),
|
11
|
+
keep_last: false,
|
11
12
|
config: init)
|
12
13
|
contract = contract.to_s.upcase
|
13
14
|
unless contract.is_a?(String) && [3, 5].include?(contract.size)
|
@@ -48,7 +49,7 @@ module Cotcube
|
|
48
49
|
row[:type] = :daily
|
49
50
|
row
|
50
51
|
end
|
51
|
-
data.pop if data.last[:high].zero?
|
52
|
+
data.pop if data.last[:high].zero? and not keep_last
|
52
53
|
if range.nil?
|
53
54
|
data
|
54
55
|
else
|
@@ -61,29 +62,52 @@ module Cotcube
|
|
61
62
|
|
62
63
|
# reads all files in bardata/daily/<id> and aggregates by date
|
63
64
|
# (what is a pre-stage of a continuous based on daily bars)
|
64
|
-
def continuous(symbol: nil, id: nil, config: init, date: nil)
|
65
|
+
def continuous(symbol: nil, id: nil, config: init, date: nil, measure: nil, force_rewrite: false)
|
66
|
+
raise ArgumentError, ':measure, if given, must be a Time object (e.g. Time.now)' unless [NilClass, Time].include? measure.class
|
67
|
+
measuring = lambda {|c| puts "[continuous] Time measured until '#{c}': #{(Time.now.to_f - measure.to_f).round(2)}sec" unless measure.nil? }
|
68
|
+
|
69
|
+
measuring.call("Starting")
|
65
70
|
sym = get_id_set(symbol: symbol, id: id)
|
66
71
|
id = sym[:id]
|
72
|
+
symbol = sym[:symbol]
|
67
73
|
id_path = "#{config[:data_path]}/daily/#{id}"
|
68
|
-
|
69
|
-
|
70
|
-
|
71
|
-
|
72
|
-
|
73
|
-
|
74
|
+
c_file = "#{id_path}/continuous.csv"
|
75
|
+
|
76
|
+
# instead of using the provide_daily methods above, for this bulk operation a 'continuous.csv' is created
|
77
|
+
# this boosts from 4.5sec to 0.3sec
|
78
|
+
rewriting = force_rewrite or not(File.exist?(c_file)) or (Time.now - File.mtime(c_file) > 8.days)
|
79
|
+
if rewriting
|
80
|
+
puts "In daily+continuous: Rewriting #{c_file} #{force_rewrite ? "forcibly" : "due to fileage"}.".light_yellow
|
81
|
+
`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}`
|
82
|
+
end
|
83
|
+
loading = lambda do
|
84
|
+
data = CSV.read(c_file).map do |row|
|
85
|
+
r = { contract: row[0],
|
86
|
+
date: row[1],
|
87
|
+
volume: row[2].to_i,
|
88
|
+
oi: row[3].to_i
|
89
|
+
}
|
74
90
|
end
|
91
|
+
|
92
|
+
measuring.call("Finished retrieving dailies.")
|
93
|
+
result = []
|
94
|
+
data.group_by { |x| x[:date] }.map do |k, v|
|
95
|
+
v.map { |x| x.delete(:date) }
|
96
|
+
result << {
|
97
|
+
date: k,
|
98
|
+
volume: v.map { |x| x[:volume] }.reduce(:+),
|
99
|
+
oi: v.map { |x| x[:oi] }.reduce(:+)
|
100
|
+
}
|
101
|
+
result.last[:contracts] = v
|
102
|
+
end
|
103
|
+
result
|
75
104
|
end
|
76
|
-
|
77
|
-
|
78
|
-
|
79
|
-
result << {
|
80
|
-
date: k,
|
81
|
-
volume: v.map { |x| x[:volume] }.reduce(:+),
|
82
|
-
oi: v.map { |x| x[:oi] }.reduce(:+)
|
83
|
-
}
|
84
|
-
result.last[:contracts] = v
|
105
|
+
constname = "CONTINUOUS_#{symbol}".to_sym
|
106
|
+
if rewriting or not Cotcube::Bardata.const_defined?( constname)
|
107
|
+
Cotcube::Bardata.const_set constname, loading.call
|
85
108
|
end
|
86
|
-
|
109
|
+
measuring.call("Finished processing")
|
110
|
+
date.nil? ? Cotcube::Bardata.const_get(constname).map{|z| z.dup } : Cotcube::Bardata.const_get(constname).find { |x| x[:date] == date }
|
87
111
|
end
|
88
112
|
|
89
113
|
def continuous_ml(symbol: nil, id: nil, base: nil)
|
@@ -116,20 +140,27 @@ module Cotcube
|
|
116
140
|
config: init,
|
117
141
|
selector: :volume,
|
118
142
|
human: false,
|
143
|
+
measure: nil,
|
119
144
|
filter: nil)
|
145
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+
|
146
|
+
raise ArgumentError, ':measure, if given, must be a Time object (e.g. Time.now)' unless [NilClass, Time].include? measure.class
|
147
|
+
measuring = lambda {|c| puts "[continuous_overview] Time measured until '#{c}': #{(Time.now.to_f - measure.to_f).round(2)}sec" unless measure.nil? }
|
148
|
+
|
120
149
|
raise ArgumentError, 'Selector must be either :volume or :oi' unless selector.is_a?(Symbol) &&
|
121
|
-
|
150
|
+
%i[volume oi].include?(selector)
|
122
151
|
|
152
|
+
measuring.call("Starting")
|
123
153
|
sym = get_id_set(symbol: symbol, id: id)
|
124
154
|
id = sym[:id]
|
125
155
|
# noinspection RubyNilAnalysis
|
126
|
-
data = continuous(id: id, config: config).map do |x|
|
156
|
+
data = continuous(id: id, config: config, measure: measure).map do |x|
|
127
157
|
{
|
128
158
|
date: x[:date],
|
129
159
|
volume: x[:contracts].sort_by { |z| - z[:volume] }[0..4].compact.reject { |z| z[:volume].zero? },
|
130
160
|
oi: x[:contracts].sort_by { |z| - z[:oi] }[0..4].compact.reject { |z| z[:oi].zero? }
|
131
161
|
}
|
132
162
|
end
|
163
|
+
measuring.call("Retrieved continuous for #{sym[:symbol]}")
|
133
164
|
data.reject! { |x| x[selector].empty? }
|
134
165
|
result = data.group_by { |x| x[selector].first[:contract] }
|
135
166
|
result.each_key do |key|
|
@@ -149,14 +180,15 @@ module Cotcube
|
|
149
180
|
}\t#{v.last[:date]
|
150
181
|
}\t#{format('%4d', (Date.parse(v.last[:date]) - Date.parse(v.first[:date])))
|
151
182
|
}\t#{result[k].map do |x|
|
152
|
-
|
153
|
-
|
154
|
-
|
155
|
-
|
183
|
+
x[:volume].select do
|
184
|
+
x[:contract] == k
|
185
|
+
end
|
186
|
+
end.size
|
156
187
|
}"
|
157
188
|
# rubocop:enable Layout/ClosingParenthesisIndentation
|
158
189
|
end
|
159
190
|
end
|
191
|
+
measuring.call("Finished processing")
|
160
192
|
result
|
161
193
|
end
|
162
194
|
|
@@ -164,19 +196,28 @@ module Cotcube
|
|
164
196
|
selector: :volume,
|
165
197
|
filter: nil,
|
166
198
|
date: Date.today,
|
199
|
+
short: true,
|
200
|
+
silent: false,
|
201
|
+
measure: nil,
|
167
202
|
debuglevel: 1,
|
168
203
|
debug: false)
|
169
204
|
if debug.is_a?(Integer)
|
170
205
|
debuglevel = debug
|
171
206
|
debug = debuglevel > 0 ? true : false
|
172
207
|
end
|
208
|
+
silent = false if debug
|
209
|
+
|
210
|
+
raise ArgumentError, ':measure, if given, must be a Time object (e.g. Time.now)' unless [NilClass, Time].include? measure.class
|
211
|
+
measuring = lambda {|c| puts "[continuous_table] Time measured until '#{c}': #{(Time.now.to_f - measure.to_f).round(2)}sec" unless measure.nil? }
|
212
|
+
|
173
213
|
raise ArgumentError, 'Selector must be either :volume or :oi' unless selector.is_a?(Symbol) &&
|
174
|
-
|
214
|
+
%i[volume oi].include?(selector)
|
175
215
|
|
216
|
+
measuring.call("Entering function")
|
176
217
|
sym = get_id_set(symbol: symbol, id: id)
|
177
218
|
if %w[R6 BJ GE].include? sym[:symbol]
|
178
|
-
puts "Rejecting to process symbol '#{sym[:symbol]}'."
|
179
|
-
return
|
219
|
+
puts "Rejecting to process symbol '#{sym[:symbol]}'.".light_red
|
220
|
+
return []
|
180
221
|
end
|
181
222
|
id = sym[:id]
|
182
223
|
dfm = lambda do |x, y = date.year|
|
@@ -188,60 +229,69 @@ module Cotcube
|
|
188
229
|
end
|
189
230
|
|
190
231
|
ytoday = date.yday
|
191
|
-
data = continuous_overview(id: id, selector: selector, filter: filter, human: false, config: init)
|
232
|
+
data = continuous_overview(id: id, selector: selector, filter: filter, human: false, config: init, measure: measure)
|
192
233
|
.reject { |k, _| k[-2..].to_i == date.year % 2000 }
|
193
|
-
|
234
|
+
.group_by { |k, _| k[2] }
|
235
|
+
measuring.call("Retrieved continous_overview")
|
194
236
|
output_sent = []
|
195
237
|
early_year=nil
|
238
|
+
long_output = []
|
196
239
|
data.keys.sort.each do |month|
|
240
|
+
current_long = { month: month }
|
197
241
|
puts "Processing #{sym[:symbol]}#{month}" if debuglevel > 1
|
198
242
|
v0 = data[month]
|
199
|
-
|
243
|
+
ldays = v0.map { |_, v1| Date.parse(v1.last[:date]).yday }
|
200
244
|
fdays = v0.map { |_, v1| Date.parse(v1.first[:date]).yday }.sort
|
201
245
|
# if the last ml day nears the end of the year, we must fix
|
202
|
-
|
246
|
+
ldays.map! { |x| x > 350 ? x - 366 : x } if ldays.min < 50
|
203
247
|
fday = fdays[fdays.size / 2]
|
204
|
-
|
205
|
-
# a contract is proposed to use after fday - 1, but before
|
206
|
-
# it is warned to user after fday - 1 but before
|
207
|
-
# it is warned red >=
|
208
|
-
color = if (ytoday >=
|
248
|
+
lavg = ldays.reduce(:+) / ldays.size
|
249
|
+
# a contract is proposed to use after fday - 1, but before ldays.min (green)
|
250
|
+
# it is warned to user after fday - 1 but before lavg - 1 (red)
|
251
|
+
# it is warned red >= lavg - 1 and <= lavg + 1
|
252
|
+
color = if (ytoday >= lavg - 1) && (ytoday <= lavg + 1)
|
209
253
|
:light_red
|
210
|
-
elsif (ytoday >
|
254
|
+
elsif (ytoday > ldays.min) && (ytoday < lavg - 1)
|
211
255
|
:light_yellow
|
212
|
-
elsif (ytoday >= (fday >
|
256
|
+
elsif (ytoday >= (fday > lavg ? 0 : fday - 5)) && (ytoday <= ldays.min)
|
213
257
|
:light_green
|
214
258
|
else
|
215
259
|
:white
|
216
260
|
end
|
217
261
|
# rubocop:disable Layout/ClosingParenthesisIndentation
|
262
|
+
long_output << {
|
263
|
+
month: month,
|
264
|
+
first_ml: fday,
|
265
|
+
last_min: ldays.min,
|
266
|
+
last_avg: lavg,
|
267
|
+
last_max: ldays.max }
|
218
268
|
output = "#{sym[:symbol]
|
219
269
|
}#{month
|
220
270
|
}\t#{format '%12s', sym[:type]
|
221
|
-
}\
|
222
|
-
|
223
|
-
}\
|
224
|
-
}: #{dfm.call(
|
225
|
-
}\t#{format '%5d',
|
226
|
-
}: #{dfm.call(
|
227
|
-
}\
|
228
|
-
}: #{dfm.call(
|
229
|
-
|
230
|
-
|
231
|
-
|
232
|
-
|
233
|
-
|
234
|
-
|
271
|
+
}\ttoday is #{ytoday
|
272
|
+
} -- median of first is #{fday
|
273
|
+
}\tlast ranges from #{format '%5d', ldays.min
|
274
|
+
}: #{dfm.call(ldays.min)
|
275
|
+
}\t#{format '%5d', lavg
|
276
|
+
}: #{dfm.call(lavg)
|
277
|
+
}\tto #{format '%5d', ldays.max
|
278
|
+
}: #{dfm.call(ldays.max)}".colorize(color)
|
279
|
+
if debug || (color != :white)
|
280
|
+
puts output
|
281
|
+
output_sent << "#{sym[:symbol]}#{month}" unless color == :white
|
282
|
+
end
|
283
|
+
early_year ||= output
|
284
|
+
next if silent or not (debug and debuglevel >= 2)
|
235
285
|
|
236
|
-
|
237
|
-
|
286
|
+
v0.each do |contract, v1|
|
287
|
+
puts "\t#{contract
|
238
288
|
}\t#{v1.first[:date]
|
239
|
-
}
|
240
|
-
|
241
|
-
} (#{Date.parse(v1.last[:date]).yday}"
|
289
|
+
} (#{format '%3d', Date.parse(v1.first[:date]).yday
|
290
|
+
})\t#{Date.parse(v1.last[:date]).strftime('%a, %Y-%m-%d')
|
291
|
+
} (#{Date.parse(v1.last[:date]).yday})"
|
242
292
|
# rubocop:enable Layout/ClosingParenthesisIndentation
|
293
|
+
end
|
243
294
|
end
|
244
|
-
end
|
245
295
|
case output_sent.size
|
246
296
|
when 0
|
247
297
|
puts "WARNING: No output was sent for symbol '#{sym[:symbol]}'.".colorize(:light_yellow)
|
@@ -251,10 +301,10 @@ module Cotcube
|
|
251
301
|
# all ok
|
252
302
|
true
|
253
303
|
else
|
254
|
-
puts "
|
255
|
-
|
304
|
+
puts "Continuous table show #{output_sent.size} active contracts ( #{output_sent} ) for #{sym[:symbol]} ---------------"
|
256
305
|
end
|
257
|
-
|
306
|
+
measuring.call("Finished processing")
|
307
|
+
short ? output_sent : long_output
|
258
308
|
end
|
259
309
|
end
|
260
310
|
end
|
@@ -46,6 +46,10 @@ module Cotcube
|
|
46
46
|
end
|
47
47
|
|
48
48
|
def get_id_set(symbol: nil, id: nil, contract: nil, config: init)
|
49
|
+
contract = contract.to_s.upcase if contract.is_a? Symbol
|
50
|
+
id = id.to_s.upcase if id.is_a? Symbol
|
51
|
+
symbol = symbol.to_s.upcase if symbol.is_a? Symbol
|
52
|
+
|
49
53
|
if contract.is_a?(String) && (contract.length == 5)
|
50
54
|
c_symbol = contract[0..1]
|
51
55
|
if (not symbol.nil?) && (symbol != c_symbol)
|
data/lib/cotcube-bardata/init.rb
CHANGED
@@ -8,9 +8,9 @@ module Cotcube
|
|
8
8
|
SYMBOL_EXAMPLES
|
9
9
|
else
|
10
10
|
CSV
|
11
|
-
.read(config[:symbols_file], headers: %i[id symbol ticksize power months type bcf reports name])
|
11
|
+
.read(config[:symbols_file], headers: %i[id symbol ticksize power months type bcf reports format name])
|
12
12
|
.map(&:to_h)
|
13
|
-
.map { |row| %i[ticksize power bcf].each { |z| row[z] = row[z].to_f }; row } # rubocop:disable Style/Semicolon
|
13
|
+
.map { |row| %i[ticksize power bcf].each { |z| row[z] = row[z].to_f }; row[:format] = "%#{row[:format]}f"; row } # rubocop:disable Style/Semicolon
|
14
14
|
.reject { |row| row[:id].nil? }
|
15
15
|
.tap { |all| all.select! { |x| x[:type] == type } unless type.nil? }
|
16
16
|
.tap { |all| all.select! { |x| x[:symbol] == symbol } unless symbol.nil? }
|
@@ -14,6 +14,7 @@ module Cotcube
|
|
14
14
|
filter: :full,
|
15
15
|
# TODO: for future compatibility and suggestion: planning to include a function to update
|
16
16
|
# with live data from broker
|
17
|
+
force_update: false,
|
17
18
|
force_recent: false)
|
18
19
|
|
19
20
|
sym = get_id_set(symbol: symbol, id: id, contract: contract, config: config)
|
@@ -33,7 +34,7 @@ module Cotcube
|
|
33
34
|
|
34
35
|
when :days, :weeks, :months
|
35
36
|
base = provide_cached contract: contract, symbol: symbol, id: id, config: config, filter: filter,
|
36
|
-
range: range, force_recent: force_recent
|
37
|
+
range: range, force_recent: force_recent, force_update: force_update
|
37
38
|
return base if %i[day days].include? interval
|
38
39
|
|
39
40
|
# TODO: Missing implementation to reduce cached days to weeks or months
|
@@ -42,9 +43,9 @@ module Cotcube
|
|
42
43
|
provide_daily contract: contract, symbol: symbol, id: id, config: config, range: range
|
43
44
|
when :synth, :synthetic, :synthetic_days
|
44
45
|
days = provide_cached contract: contract, symbol: symbol, id: id, config: config, filter: filter,
|
45
|
-
range: range, force_recent: force_recent
|
46
|
+
range: range, force_recent: force_recent, force_update: force_update
|
46
47
|
dailies = provide_daily contract: contract, symbol: symbol, id: id, config: config, range: range
|
47
|
-
if days.last[:datetime] > dailies.last[:datetime]
|
48
|
+
if ((days.last[:datetime] > dailies.last[:datetime]) rescue false)
|
48
49
|
dailies[..-2] + days.select { |d| d[:datetime] > dailies[-2][:datetime] }
|
49
50
|
else
|
50
51
|
dailies
|
@@ -5,7 +5,6 @@ module Cotcube
|
|
5
5
|
module Bardata
|
6
6
|
# this is an analysis tool to investigate actual ranges of an underlying symbol
|
7
7
|
# it is in particular no true range or average true range, as a 'true range' can only be applied to
|
8
|
-
# a steady series, what changing contracts definitely aren't
|
9
8
|
#
|
10
9
|
# The result printed / returned is a table, containing a matrix of rows:
|
11
10
|
# 1. size: the amount of values evaluated
|
@@ -22,18 +21,25 @@ module Cotcube
|
|
22
21
|
# 3.a-c) same with days reduced to months (c: 12 months)
|
23
22
|
#
|
24
23
|
# NOTE: there is now a new method Cotcube::Helpers.simple_series_stats, that should be used in favor.
|
25
|
-
def range_matrix(symbol: nil, id: nil, print: false, dim: 0.05)
|
24
|
+
def range_matrix(symbol: nil, id: nil, base: nil, print: false, dim: 0.05, days_only: false, last_n: 60, &block)
|
26
25
|
# rubocop:disable Style/MultilineBlockChain
|
26
|
+
symbol ||= base.last[:contract][0..1] if id.nil?
|
27
27
|
sym = get_id_set(symbol: symbol, id: id)
|
28
28
|
source = {}
|
29
29
|
target = {}
|
30
|
-
|
30
|
+
if base.nil?
|
31
|
+
ml = (Cotcube::Bardata.continuous_actual_ml symbol: symbol)&.last[:contract]
|
32
|
+
source[:days] = Cotcube::Bardata.provide contract: ml
|
33
|
+
else
|
34
|
+
source[:days] = base
|
35
|
+
end
|
31
36
|
source[:weeks] = Cotcube::Helpers.reduce bars: source[:days], to: :weeks
|
32
37
|
source[:months] = Cotcube::Helpers.reduce bars: source[:days], to: :months
|
33
38
|
|
34
39
|
%i[days weeks months].each do |period|
|
40
|
+
next if days_only and %i[weeks months].include? period
|
35
41
|
source[period].map! do |x|
|
36
|
-
x[:range] = ((x[:high] - x[:low]) / sym[:ticksize]).round
|
42
|
+
x[:range] = block_given? ? yield(x) : (((x[:high] - x[:low]) / sym[:ticksize]).round)
|
37
43
|
x
|
38
44
|
end
|
39
45
|
target[period] = {}
|
@@ -80,14 +86,18 @@ module Cotcube
|
|
80
86
|
|
81
87
|
range = case period
|
82
88
|
when :months
|
83
|
-
-
|
89
|
+
-(last_n/15)..-2
|
84
90
|
when :weeks
|
85
|
-
-
|
91
|
+
-(last_n/4)..-2
|
86
92
|
when :days
|
87
|
-
-
|
93
|
+
-last_n..-1
|
88
94
|
else
|
89
95
|
raise ArgumentError, "Unsupported period: '#{period}'"
|
90
96
|
end
|
97
|
+
if range.begin.abs > source[period].size
|
98
|
+
puts "WARNING: requested last_n = #{last_n} exceeds actual size (#{source[period].size}), adjusting...".light_yellow
|
99
|
+
range = (-source[period].size..range.end)
|
100
|
+
end
|
91
101
|
custom = source[period][range]
|
92
102
|
target[period][:rec_size] = custom.size
|
93
103
|
target[period][:rec_avg] = (custom.map { |x| x[:range] }.reduce(:+) / custom.size).round
|
@@ -110,6 +120,7 @@ module Cotcube
|
|
110
120
|
%w[size avg lower median upper max].each do |a|
|
111
121
|
print "#{'%10s' % a} | " # rubocop:disable Style/FormatString
|
112
122
|
%i[days weeks months].each do |b|
|
123
|
+
next if days_only and %i[weeks months].include? b
|
113
124
|
%w[all dim rec].each do |c|
|
114
125
|
print ('%8d' % target[b]["#{c}_#{a}".to_sym]).to_s # rubocop:disable Style/FormatString
|
115
126
|
end
|
@@ -0,0 +1,28 @@
|
|
1
|
+
# frozen_string_literal: true
|
2
|
+
|
3
|
+
module Cotcube
|
4
|
+
# missing top level documentation
|
5
|
+
module Bardata
|
6
|
+
# based on day(of year) and symbol, suggest best fitting contract
|
7
|
+
def suggest_contract_for symbol:, date: Date.today, warnings: true
|
8
|
+
ml = Cotcube::Bardata.continuous_table symbol: symbol, date: date
|
9
|
+
if ml.size != 1
|
10
|
+
puts "WARNING: No or no unique most liquid found for #{date}. please give :contract parameter".light_yellow if warnings
|
11
|
+
if ml.size > 1
|
12
|
+
puts "\tUsing #{ml.last}. Consider breaking here, if that is not acceptable.".light_yellow if warnings
|
13
|
+
sleep 1
|
14
|
+
else
|
15
|
+
puts "\tERROR: No suggestible contract found for #{symbol} and #{date}.".light_red
|
16
|
+
return
|
17
|
+
end
|
18
|
+
end
|
19
|
+
year = date.year % 100
|
20
|
+
if ml.last[2] < "K" and date.month > 9
|
21
|
+
"#{ml.last}#{year + 1}"
|
22
|
+
else
|
23
|
+
"#{ml.last}#{year}"
|
24
|
+
end
|
25
|
+
end
|
26
|
+
end
|
27
|
+
end
|
28
|
+
|
@@ -8,7 +8,7 @@ module Cotcube
|
|
8
8
|
def last_trade_date
|
9
9
|
uri = 'https://www.cmegroup.com/CmeWS/mvc/Volume/TradeDates?exchange=CME'
|
10
10
|
begin
|
11
|
-
HTTParty.get(uri)
|
11
|
+
HTTParty.get(uri, headers: { "User-Agent" => "Mozilla/5.0 (X11; Linux x86_64; rv:60.0) Gecko/20100101 Firefox/81.0"})
|
12
12
|
.parsed_response
|
13
13
|
.map do |x|
|
14
14
|
a = x['tradeDate'].chars.each_slice(2).map(&:join)
|
metadata
CHANGED
@@ -1,14 +1,14 @@
|
|
1
1
|
--- !ruby/object:Gem::Specification
|
2
2
|
name: cotcube-bardata
|
3
3
|
version: !ruby/object:Gem::Version
|
4
|
-
version: 0.1.
|
4
|
+
version: 0.1.14
|
5
5
|
platform: ruby
|
6
6
|
authors:
|
7
7
|
- Benjamin L. Tischendorf
|
8
8
|
autorequire:
|
9
9
|
bindir: bin
|
10
10
|
cert_chain: []
|
11
|
-
date: 2021-
|
11
|
+
date: 2021-05-07 00:00:00.000000000 Z
|
12
12
|
dependencies:
|
13
13
|
- !ruby/object:Gem::Dependency
|
14
14
|
name: activesupport
|
@@ -175,6 +175,7 @@ files:
|
|
175
175
|
- lib/cotcube-bardata/provide.rb
|
176
176
|
- lib/cotcube-bardata/quarters.rb
|
177
177
|
- lib/cotcube-bardata/range_matrix.rb
|
178
|
+
- lib/cotcube-bardata/suggest.rb
|
178
179
|
- lib/cotcube-bardata/trade_dates.rb
|
179
180
|
- lib/cotcube-bardata/trading_hours.rb
|
180
181
|
homepage: https://github.com/donkeybridge/cotcube-bardata
|