moexapi 1.7.15__tar.gz → 1.7.17__tar.gz

{moexapi-1.7.15 → moexapi-1.7.17}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: moexapi
-Version: 1.7.15
+Version: 1.7.17
 Summary: Python API for MOEX ISS
 Author-email: Aliaksei Rak <kventinel@gmail.com>
 License: MIT License

{moexapi-1.7.15 → moexapi-1.7.17}/moexapi/candles.py

@@ -22,7 +22,8 @@ class Candle:
     open -- open price of the day
     close -- close price of the day
     volume -- number of shares/bonds/currencies sold on the day
-    value -- sum of all transactions in RUB for the day
+    value -- sum of all transactions in currency for the day
+    currency -- currency of transaction value
     """
     start: datetime.datetime
     end: datetime.datetime
@@ -32,9 +33,11 @@ class Candle:
     close: float
     volume: T.Optional[int]
     value: T.Optional[float]
+    currency: T.Optional[str] = None
 
     @classmethod
     def merge(cls, first: 'Candle', second: 'Candle'):
+        assert first.currency == second.currency, "Can't merge candles in different currencies"
         if second.start < first.start:
             start = second.start
             open = second.open
@@ -56,6 +59,7 @@ class Candle:
             close=close,
             volume=first.volume + second.volume,
             value=first.value + second.value,
+            currency=first.currency,
         )
 
     def mult(self, mult: float) -> None:
@@ -67,7 +71,10 @@ class Candle:
             self.volume /= mult
 
 
-def _merge_candles(first: list[Candle], second: list[Candle]) -> list[Candle]:
+def _merge_candles(
+    first: list[Candle], second: list[Candle], preferred_currency: T.Optional[str] = None,
+) -> list[Candle]:
+    preferred_currency = tickers._sur_to_rub(preferred_currency)
     i = 0
     j = 0
     result: list[Candle] = []
@@ -79,7 +86,18 @@ def _merge_candles(first: list[Candle], second: list[Candle]) -> list[Candle]:
             result.append(second[j])
             j += 1
         else:
-            result.append(Candle.merge(first[i], second[j]))
+            if first[i].currency == second[j].currency:
+                result.append(Candle.merge(first[i], second[j]))
+            elif second[j].currency == preferred_currency:
+                result.append(second[j])
+            elif first[i].currency == preferred_currency:
+                result.append(first[i])
+            else:
+                raise ValueError(
+                    f"Can't select candle currency at {first[i].start}: "
+                    f"{first[i].currency} and {second[j].currency}; "
+                    f"preferred currency is {preferred_currency}"
+                )
             i += 1
             j += 1
     if i < len(first):
@@ -89,12 +107,14 @@ def _merge_candles(first: list[Candle], second: list[Candle]) -> list[Candle]:
     return result
 
 
-def _merge_candles_list(candles: list[list[Candle]]) -> list[Candle]:
+def _merge_candles_list(
+    candles: list[list[Candle]], preferred_currency: T.Optional[str] = None,
+) -> list[Candle]:
     if len(candles) == 0:
         return []
     result = candles[0]
     for idx in range(1, len(candles)):
-        result = _merge_candles(result, candles[idx])
+        result = _merge_candles(result, candles[idx], preferred_currency)
     return result
 
 
@@ -141,6 +161,7 @@ def _parse_candles_one_board(
                     close=close,
                     volume=line.get("volume"),
                     value=line.get("value"),
+                    currency=tickers._sur_to_rub(ticker.currency),
                 )
             )
         if len(candles) == 0:
@@ -159,7 +180,7 @@ def _parse_candles(
         candles.append(
             _parse_candles_one_board(ticker, board, start_date=start_date, end_date=end_date, interval=interval)
         )
-    return _merge_candles_list(candles)
+    return _merge_candles_list(candles, ticker.currency)
 
 
 def get_candles(
@@ -174,7 +195,7 @@ def get_candles(
     candles = []
     for t in prev_tickers:
         candles.append(_parse_candles(t, start_date=start_date, end_date=end_date, interval=interval))
-    result = _merge_candles_list(candles)
+    result = _merge_candles_list(candles, ticker.currency)
     for split in ticker_splits:
         for candle in result:
             if candle.end.date() < split.date:

{moexapi-1.7.15 → moexapi-1.7.17}/moexapi/history.py

@@ -38,7 +38,8 @@ class History:
     mid_price -- weighted average price of the day
     numtrades -- number of trades for the day
     volume -- number of shares/bonds/currencies sold on the day
-    value -- sum of all transactions in RUB for the day
+    value -- sum of all transactions in currency for the day
+    currency -- currency of transaction value
     """
     date: datetime.date
     low: float
@@ -49,10 +50,12 @@ class History:
     numtrades: int
     volume: T.Optional[int]
     value: T.Optional[float]
+    currency: T.Optional[str] = None
 
     @classmethod
     def merge(cls, first: 'History', second: 'History'):
         assert first.date == second.date
+        assert first.currency == second.currency, "Can't merge history in different currencies"
         return cls(
             date=first.date,
             low=min(first.low, second.low),
@@ -63,6 +66,7 @@ class History:
             numtrades=first.numtrades + second.numtrades,
             volume=_maybe_sum(first.volume, second.volume),
             value=_maybe_sum(first.value, second.value),
+            currency=first.currency,
         )
 
     def mult(self, mult: float) -> None:
@@ -109,8 +113,12 @@ def _parse_history(
     start_date: T.Optional[datetime.date] = None,
     end_date: T.Optional[datetime.date] = None,
 ) -> list[History]:
+    # Bond denomination and board settlement currency can differ. Keep one
+    # turnover currency per day, preferring the ticker currency when available.
+    preferred_currency = tickers._sur_to_rub(ticker.currency)
     result: list[History] = []
     prev_date = start_date
+    boards = []
     while True:
         start_str = f"from={start_date.isoformat()}" if start_date else ""
         end_str = f"till={end_date.isoformat()}" if end_date else ""
@@ -118,7 +126,6 @@ def _parse_history(
         url = f"https://iss.moex.com/iss/history{ticker.market.path}/securities/{ticker.secid}.json{query}"
         response = utils.json_api_call(url)
         history = utils.prepare_dict(response, "history")
-        boards = []
         for line in history:
             board = line["BOARDID"]
             if ticker.boards and board not in ticker.boards:
@@ -134,8 +141,10 @@ def _parse_history(
             if low == 0.0 or high == 0.0 or open == 0.0 or close == 0.0:
                 continue
             value = line.get("VALUE")
+            currency = tickers._sur_to_rub(line.get("CURRENCYID") or ticker.currency)
             if ticker.market == markets.Markets.CURRENCY:
                 value = line.get("VOLRUR")
+                currency = "RUB"
             item = History(
                 date=date,
                 low=low,
@@ -146,12 +155,22 @@ def _parse_history(
                 numtrades=line.get("NUMTRADES") or 0,
                 volume=line.get("VOLUME"),
                 value=value,
+                currency=currency,
             )
             if len(result) > 0 and result[-1].date == date:
                 if board in boards:
                     continue
                 boards.append(board)
-                result[-1] = History.merge(result[-1], item)
+                if result[-1].currency == item.currency:
+                    result[-1] = History.merge(result[-1], item)
+                elif item.currency == preferred_currency:
+                    result[-1] = item
+                elif result[-1].currency != preferred_currency:
+                    raise ValueError(
+                        f"Can't select history currency for {ticker.secid} on {date}: "
+                        f"{result[-1].currency} and {item.currency}; "
+                        f"preferred currency is {preferred_currency}"
+                    )
             else:
                 boards = [board]
                 result.append(item)

{moexapi-1.7.15 → moexapi-1.7.17}/moexapi.egg-info/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: moexapi
-Version: 1.7.15
+Version: 1.7.17
 Summary: Python API for MOEX ISS
 Author-email: Aliaksei Rak <kventinel@gmail.com>
 License: MIT License

{moexapi-1.7.15 → moexapi-1.7.17}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "moexapi"
-version = "1.7.15"
+version = "1.7.17"
 description = "Python API for MOEX ISS"
 readme = "README.md"
 authors = [{ name = "Aliaksei Rak", email = "kventinel@gmail.com" }]