dukascript 0.0.4__py3-none-any.whl → 0.0.5__py3-none-any.whl

dukascript/__init__.py

@@ -31,19 +31,19 @@ INTERVAL_SEC_1 = f"1{TIME_UNIT_SEC}"
 INTERVAL_TICK = TIME_UNIT_TICK
 
 _interval_units = {
-    INTERVAL_MONTH_1:TIME_UNIT_MONTH,
-    INTERVAL_WEEK_1:TIME_UNIT_WEEK,
-    INTERVAL_DAY_1:TIME_UNIT_DAY,
-    INTERVAL_HOUR_4:TIME_UNIT_HOUR,
-    INTERVAL_HOUR_1:TIME_UNIT_HOUR,
-    INTERVAL_MIN_30:TIME_UNIT_MIN,
-    INTERVAL_MIN_15:TIME_UNIT_MIN,
-    INTERVAL_MIN_10:TIME_UNIT_MIN,
-    INTERVAL_MIN_5:TIME_UNIT_MIN,
-    INTERVAL_MIN_1:TIME_UNIT_MIN,
-    INTERVAL_SEC_30:TIME_UNIT_SEC,
-    INTERVAL_SEC_10:TIME_UNIT_SEC,
-    INTERVAL_SEC_1:TIME_UNIT_SEC,
+    INTERVAL_MONTH_1: TIME_UNIT_MONTH,
+    INTERVAL_WEEK_1: TIME_UNIT_WEEK,
+    INTERVAL_DAY_1: TIME_UNIT_DAY,
+    INTERVAL_HOUR_4: TIME_UNIT_HOUR,
+    INTERVAL_HOUR_1: TIME_UNIT_HOUR,
+    INTERVAL_MIN_30: TIME_UNIT_MIN,
+    INTERVAL_MIN_15: TIME_UNIT_MIN,
+    INTERVAL_MIN_10: TIME_UNIT_MIN,
+    INTERVAL_MIN_5: TIME_UNIT_MIN,
+    INTERVAL_MIN_1: TIME_UNIT_MIN,
+    INTERVAL_SEC_30: TIME_UNIT_SEC,
+    INTERVAL_SEC_10: TIME_UNIT_SEC,
+    INTERVAL_SEC_1: TIME_UNIT_SEC,
 }
 
 OFFER_SIDE_BID = "B"
@@ -258,7 +258,7 @@ def fetch(
     debug=False,
 ):
     logger = _get_custom_logger(debug)
-    time_unit=_interval_units[interval]
+    time_unit = _interval_units[interval]
     columns = _get_dataframe_columns_for_timeunit(time_unit)
 
     data = []
@@ -299,6 +299,7 @@ def live_fetch(
     debug=False,
 ):
     logger = _get_custom_logger(debug)
+    assert interval_value > 0
 
     # validate time unit
     _resample_to_nearest(
@@ -343,7 +344,9 @@ def live_fetch(
 
     yield df
 
-    for row in datafeed:
+    last_tick_count = 0
+
+    for tick_count, row in enumerate(datafeed, 0):
 
         timestamp = _resample_to_nearest(
             pd.to_datetime(
@@ -355,19 +358,24 @@ def live_fetch(
             interval_value,
         )
 
-        if time_unit == TIME_UNIT_TICK:
+        if last_timestamp == None:
+            last_timestamp = timestamp.timestamp()
+
+        if time_unit == TIME_UNIT_TICK and interval_value == 1:
             df.loc[timestamp] = [
                 *row[1:],
             ]
             yield df
             continue
 
-        if last_timestamp == None:
-            last_timestamp = timestamp.timestamp()
+        new_tick_count = tick_count // interval_value
 
-        if timestamp.timestamp() != last_timestamp:
+        if (
+            time_unit != TIME_UNIT_TICK
+            and timestamp.timestamp() != last_timestamp.timestamp()
+        ) or (time_unit == TIME_UNIT_TICK and last_tick_count != new_tick_count):
             if open is not None:
-                df.loc[timestamp] = [
+                df.loc[last_timestamp] = [
                     open,
                     high,
                     low,
@@ -376,7 +384,8 @@ def live_fetch(
                 ]
 
                 yield df
-            last_timestamp = timestamp.timestamp()
+            last_timestamp = timestamp
+            last_tick_count = new_tick_count
             open = None
 
         if open is None:
@@ -398,4 +407,5 @@ def live_fetch(
             close,
             volume,
         ]
+        
         yield df

{dukascript-0.0.4.dist-info → dukascript-0.0.5.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: dukascript
-Version: 0.0.4
+Version: 0.0.5
 Summary: Download tick data from Dukascopy Bank SA to local cache, and simulate time-ordered price streams
 Author-email: Eghosa Osayande <osayandeeghosam@gmail.com>
 License: MIT License
@@ -98,27 +98,39 @@ Both `fetch` and `live_fetch` share similar parameters:
 - **fetch**: Fetches static historical data. Returns **one** `DataFrame`.
 - **live_fetch**: Continuously fetches live updates. Returns a **generator** that yields the **same `DataFrame`** with updated data.
 
-When using intervals like `1HOUR`, `fetch()` may return delayed data due to DukasCopy’s aggregation policy. For up-to-date values, use `live_fetch()` which fetches tick data under the hood and reshapes it live.
+When using intervals not based on ticks eg: `1HOUR`, `fetch()` will return delayed data. For up-to-date values, use `live_fetch()` which fetches tick data under the hood and reshapes it based on the `interval_value` and `time_unit`.
 
 ---
 
-## 📊 DataFrame Format
+## 📊 DataFrame Columns
 
-### For tick data:
+### When interval/time_unit is based on tick:
+ie:
+
+`interval = INTERVAL_TICK`
+
+or
+
+`interval_value = 1`
+`time_units = TIME_UNIT_TICK`
 
 | Column      | Description            |
 |-------------|------------------------|
-| `timestamp` | Index (UTC)            |
+| `timestamp` | UTC datetime, Dataframe Index |
 | `bidPrice`  | Bid price              |
 | `askPrice`  | Ask price              |
 | `bidVolume` | Bid volume             |
 | `askVolume` | Ask volume             |
 
-### For aggregated intervals:
+### When interval/time_unit is NOT based on tick
+eg: 5 minutes OHLC candle data
+
+`interval_value = 5`
+`time_units = TIME_UNIT_MIN`
 
 | Column      | Description            |
 |-------------|------------------------|
-| `timestamp` | Index                  |
+| `timestamp` | UTC datetime, Dataframe Index |
 | `open`      | Opening price          |
 | `high`      | Highest price          |
 | `low`       | Lowest price           |
@@ -218,7 +230,5 @@ MIT
 
 ## 👋 Contributing
 
-Pull requests and suggestions welcome!
-```
+Pull requests and suggestions are highly welcome!
 
----

dukascript-0.0.5.dist-info/RECORD

@@ -0,0 +1,8 @@
+dukascript/__init__.py,sha256=nxyrT1UGi2gBpRGsUMnZA2koMMnTwq7EZdoY_vq5J6E,11785
+dukascript/_instrument_generator.py,sha256=WDTNS1bLa-J2uI3TmoBTg-WCHdAtkX6d6tq0xhqL4GI,24848
+dukascript/instruments.py,sha256=OxKTWR8zx2sjaHtGtd81FsQwTdAMItjgUSojzuJ1waI,59069
+dukascript-0.0.5.dist-info/licenses/LICENSE,sha256=SA8D35cWkNTiEI71ATLBPTzWgFwjPNZLeloeBJrAJr4,1061
+dukascript-0.0.5.dist-info/METADATA,sha256=5h8k2mjIMRIZ2ARrs3bTod5VDXjT9Qh2DSwZadU8WQM,6484
+dukascript-0.0.5.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
+dukascript-0.0.5.dist-info/top_level.txt,sha256=h7GgEQykn3TuhHU4jJxZQ7oNjP_naNvjUwZAw6KU3VE,11
+dukascript-0.0.5.dist-info/RECORD,,

dukascript-0.0.4.dist-info/RECORD

@@ -1,8 +0,0 @@
-dukascript/__init__.py,sha256=bPsw_EhL1g35ulDZLWuIZO3ueHncS-7dQ5AFvyT84nw,11412
-dukascript/_instrument_generator.py,sha256=WDTNS1bLa-J2uI3TmoBTg-WCHdAtkX6d6tq0xhqL4GI,24848
-dukascript/instruments.py,sha256=OxKTWR8zx2sjaHtGtd81FsQwTdAMItjgUSojzuJ1waI,59069
-dukascript-0.0.4.dist-info/licenses/LICENSE,sha256=SA8D35cWkNTiEI71ATLBPTzWgFwjPNZLeloeBJrAJr4,1061
-dukascript-0.0.4.dist-info/METADATA,sha256=PacypFzc983Mj5v0dmBu0VN5efRwTfOJgMC40ON3d-E,6230
-dukascript-0.0.4.dist-info/WHEEL,sha256=pxyMxgL8-pra_rKaQ4drOZAegBVuX-G_4nRHjjgWbmo,91
-dukascript-0.0.4.dist-info/top_level.txt,sha256=h7GgEQykn3TuhHU4jJxZQ7oNjP_naNvjUwZAw6KU3VE,11
-dukascript-0.0.4.dist-info/RECORD,,