cotcube-bardata 0.1.2 → 0.1.3

checksums.yaml

@@ -1,7 +1,7 @@
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data/CHANGELOG.md

@@ -1,3 +1,8 @@
+## 0.1.3 (December 23, 2020)
+  - added .provide_most_liquids_by_eod which supports :age, filtering out files that have been updated more recently
+  - added 'type' to symbols to filter for e.g. currencies
+  - changed .provide_eods not to raise on missing eod-file but just to WARN
+
 ## 0.1.2 (December 22, 2020)
   - created and added .provide_quarters
   - added cotcube-helpers as new dependency to gempsec

data/VERSION

@@ -1 +1 @@
-0.1.2
+0.1.3

data/lib/cotcube-bardata.rb

@@ -30,6 +30,7 @@ module Cotcube
       :provide,                   # 
       :most_liquid_for,           # the most_liquid contract for a given symbol or id, based on date or last_trade_date
       :provide_eods,              # provides the list of eods, either with data or just the contracts, filtered for liquidity threshold
+      :provide_most_liquids_by_eod,
       :provide_daily,             # provides the list of dailies for a given symbol, which include OI. Note that the close is settlement price.
       :continuous,                # for a given date or range, provide all contracts that exceed a given threshold of volume share
       :continuous_overview,       # based on continuous, create list of when which contract was most liquid

data/lib/cotcube-bardata/eods.rb

@@ -3,7 +3,7 @@
 module Cotcube
   module Bardata
 
-    def most_liquid_for(symbol: nil, id: nil, date: last_trade_date, config: init)
+    def most_liquid_for(symbol: nil, id: nil, date: last_trade_date, config: init, quiet: false)
       unless symbol.nil?
         symbol_id = symbols.select{|s| s[:symbol] == symbol.to_s.upcase}.first[:id]
         raise ArgumentError, "Could not find match in #{config[:symbols_file]} for given symbol #{symbol}" if symbol_id.nil?
@@ -14,14 +14,30 @@ module Cotcube
       provide_eods(id: id, dates: date, contracts_only: true).first
     end
 
-
+    def provide_most_liquids_by_eod(config: init, date: last_trade_date, filter: :volume_part, age: 1.hour)
+      eods = provide_eods(config: config, dates: date, filter: filter)
+      result = [] 
+      eods.map do |eod|
+        symbol   = eod[0..1]
+        contract = eod[2..4] 
+        sym      = symbols.select{|s| s[:symbol] == symbol.to_s.upcase}.first
+        quarter  = "#{config[:data_path]}/quarters/#{sym[:id]}/#{contract}.csv"
+        if File.exist?(quarter)
+          puts "#{quarter}: #{ Time.now } - #{File.mtime(quarter)} > #{age} : #{Time.now - File.mtime(quarter) > age}"
+          result << eod if Time.now - File.mtime(quarter) > age
+        else
+          result << eod
+        end
+      end
+      result
+    end
 
     def provide_eods(symbol: nil, 
                      id: nil, 
                      contract: nil, 
                      config: init, 
                      dates: last_trade_date,   # should accept either a date or datelike or date string OR a range of 2 datelike
-                                               # if omitted returns the eods of last trading date
+                     # if omitted returns the eods of last trading date
                      threshold: 0.1,           # set threshold to 0 to disable filtering at all. otherwise only contracts with partial of >= threshold are returned
                      filter: :volume_part,     # filter can be set to volume_part and oi_part. determines, which property is used for filtering.
                      contracts_only: true      # set to false to return the complete row instead of just the contracts matching filter and threshold
@@ -52,7 +68,10 @@ module Cotcube
         id_path    = id_path_get.call(i)
         data_file  = "#{id_path}/#{d}.csv"
         raise RuntimeError, "No data found for requested :id (#{id_path} does not exist)" unless Dir.exist?(id_path)
-        raise RuntimeError, "No data found for requested contract #{symbol}:#{contract} in #{id_path}." unless File.exist?(data_file)
+        unless File.exist?(data_file)
+          puts "WARNING: No data found for requested id/symbol #{id}/#{symbol} in #{id_path}.".light_yellow unless quiet
+          return []
+        end
         data = CSV.read(data_file, headers: %i[contract date open high low close volume oi] ).map do |row|
           row = row.to_h
           row.each do |k, _| 

data/lib/cotcube-bardata/init.rb

@@ -4,7 +4,7 @@ module Cotcube
   module Bardata
 
 
-    def symbols(config: init)
+    def symbols(config: init, type: nil)
       if config[:symbols_file].nil?
         SYMBOL_EXAMPLES
       else
@@ -13,6 +13,7 @@ module Cotcube
           .map{|row| row.to_h }
           .map{|row| [ :ticksize, :power, :bcf ].each {|z| row[z] = row[z].to_f}; row }
           .reject{|row| row[:id].nil? }
+          .tap{|all| all.select!{|x| x[:type] == type} unless type.nil? }
       end
     end
 

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: cotcube-bardata
 version: !ruby/object:Gem::Version
-  version: 0.1.2
+  version: 0.1.3
 platform: ruby
 authors:
 - Benjamin L. Tischendorf
 autorequire: 
 bindir: bin
 cert_chain: []
-date: 2020-12-22 00:00:00.000000000 Z
+date: 2020-12-23 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: cotcube-indicators