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Hotfix/fix-cboe-regressions (#5447)

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* fix cboe regressions

* Lint

* fixes intraday dates

---------

Co-authored-by: Igor Radovanovic <74266147+IgorWounds@users.noreply.github.com>
Co-authored-by: Diogo Sousa <montezdesousa@gmail.com>
This commit is contained in:
Danglewood
2023-09-20 04:44:54 -07:00
committed by GitHub
parent 2794b5d657
commit 264feb04a4
13 changed files with 289 additions and 243 deletions
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40
openbb_sdk/openbb/package/economy.py
View File

@@ -186,7 +186,7 @@ class CLASS_economy(Container):
Parameters
----------
provider : Union[Literal['quandl'], NoneType]
provider : Union[Literal['quandl'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'quandl' if there is
no default.
@@ -197,7 +197,7 @@ class CLASS_economy(Container):
Certain symbols, such as "ES=F", or exact names are also valid.
Default report is: S&P 500 Consolidated (CME))
(provider: quandl)
data_type : Union[Literal['F', 'FO', 'CITS'], NoneType]
data_type : Union[Literal['F', 'FO', 'CITS'], None]
The type of data to reuturn. Default is "FO".
@@ -207,9 +207,9 @@ class CLASS_economy(Container):
CITS = Commodity Index Trader Supplemental. Only valid for commodities.
(provider: quandl)
legacy_format : Union[bool, NoneType]
legacy_format : Union[bool, None]
Returns the legacy format of report. Default is False. (provider: quandl)
report_type : Union[Literal['ALL', 'CHG', 'OLD', 'OTR'], NoneType]
report_type : Union[Literal['ALL', 'CHG', 'OLD', 'OTR'], None]
The type of report to return. Default is "ALL".
@@ -221,7 +221,7 @@ class CLASS_economy(Container):
OTR = Other Crop Years
(provider: quandl)
measure : Union[Literal['CR', 'NT', 'OI', 'CHG'], NoneType]
measure : Union[Literal['CR', 'NT', 'OI', 'CHG'], None]
The measure to return. Default is None.
@@ -233,11 +233,11 @@ class CLASS_economy(Container):
CHG = Change in Positions. Only valid when data_type is "CITS".
(provider: quandl)
start_date : Union[datetime.date, NoneType]
start_date : Union[datetime.date, None]
The start date of the time series. Defaults to all. (provider: quandl)
end_date : Union[datetime.date, NoneType]
end_date : Union[datetime.date, None]
The end date of the time series. Defaults to the most recent data. (provider: quandl)
transform : Union[Literal['diff', 'rdiff', 'cumul', 'normalize'], NoneType]
transform : Union[Literal['diff', 'rdiff', 'cumul', 'normalize'], None]
Transform the data as w/w difference, percent change, cumulative, or normalize. (provider: quandl)
Returns
@@ -285,7 +285,7 @@ class CLASS_economy(Container):
----------
query : str
Search query.
provider : Union[Literal['quandl'], NoneType]
provider : Union[Literal['quandl'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'quandl' if there is
no default.
@@ -688,9 +688,9 @@ class CLASS_economy(Container):
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'cboe' if there is
no default.
interval : Union[Literal['1d', '1m'], NoneType, Literal['1min', '5min', '15min', '30min', '1hour', '4hour', '1day'], Literal['1m', '2m', '5m', '15m', '30m', '60m', '90m', '1h', '1d', '5d', '1wk', '1mo', '3mo']]
interval : Union[Literal['1d', '1m'], None, Literal['1min', '5min', '15min', '30min', '1hour', '4hour', '1day'], Literal['1m', '2m', '5m', '15m', '30m', '60m', '90m', '1h', '1d', '5d', '1wk', '1mo', '3mo']]
Use interval, 1m, for intraday prices during the most recent trading period. (provider: cboe); Data granularity. (provider: fmp); Data granularity. (provider: yfinance)
timeseries : Union[pydantic.types.NonNegativeInt, NoneType]
timeseries : Union[pydantic.types.NonNegativeInt, None]
Number of days to look back. (provider: fmp)
timespan : Literal['minute', 'hour', 'day', 'week', 'month', 'quarter', 'year']
Timespan of the data. (provider: polygon)
@@ -795,7 +795,7 @@ class CLASS_economy(Container):
Search query.
symbol : Union[bool, List[str]]
Whether to search by ticker symbol.
provider : Union[Literal['cboe'], NoneType]
provider : Union[Literal['cboe'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'cboe' if there is
no default.
@@ -877,9 +877,9 @@ class CLASS_economy(Container):
Parameters
----------
region : Union[Literal['US', 'EU'], NoneType]
region : Union[Literal['US', 'EU'], None]
The region to return. Currently supports US and EU.
provider : Union[Literal['cboe'], NoneType]
provider : Union[Literal['cboe'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'cboe' if there is
no default.
@@ -1068,17 +1068,17 @@ class CLASS_economy(Container):
Parameters
----------
series_name : Literal['Shiller PE Ratio by Month', 'Shiller PE Ratio by Year', 'PE Ratio by Year', 'PE Ratio by Month', 'Dividend by Year', 'Dividend by Month', 'Dividend Growth by Quarter', 'Dividend Growth by Year', 'Dividend Yield by Year', 'Dividend Yield by Month', 'Earnings by Year', 'Earnings by Month', 'Earnings Growth by Year', 'Earnings Growth by Quarter', 'Real Earnings Growth by Year', 'Real Earnings Growth by Quarter', 'Earnings Yield by Year', 'Earnings Yield by Month', 'Real Price by Year', 'Real Price by Month', 'Inflation Adjusted Price by Year', 'Inflation Adjusted Price by Month', 'Sales by Year', 'Sales by Quarter', 'Sales Growth by Year', 'Sales Growth by Quarter', 'Real Sales by Year', 'Real Sales by Quarter', 'Real Sales Growth by Year', 'Real Sales Growth by Quarter', 'Price to Sales Ratio by Year', 'Price to Sales Ratio by Quarter', 'Price to Book Value Ratio by Year', 'Price to Book Value Ratio by Quarter', 'Book Value per Share by Year', 'Book Value per Share by Quarter']
series_name : Literal['Shiller PE Ratio by Month', 'Shiller PE Ratio by Year', 'PE Rat...
The name of the series. Defaults to 'PE Ratio by Month'.
start_date : Union[str, NoneType]
start_date : Union[str, None]
The start date of the time series. Format: YYYY-MM-DD
end_date : Union[str, NoneType]
end_date : Union[str, None]
The end date of the time series. Format: YYYY-MM-DD
collapse : Union[Literal['daily', 'weekly', 'monthly', 'quarterly', 'annual'], NoneType]
collapse : Union[Literal['daily', 'weekly', 'monthly', 'quarterly', 'annual'...
Collapse the frequency of the time series.
transform : Union[Literal['diff', 'rdiff', 'cumul', 'normalize'], NoneType]
transform : Union[Literal['diff', 'rdiff', 'cumul', 'normalize'], None]
The transformation of the time series.
provider : Union[Literal['quandl'], NoneType]
provider : Union[Literal['quandl'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'quandl' if there is
no default.

12
openbb_sdk/openbb/package/extension_map.json vendored
View File

@@ -9,18 +9,18 @@
"news@0.1.0a0",
"openbb_charting@0.1.0a1",
"qa@0.1.0a0",
"stocks@0.1.0a1",
"stocks@0.1.0a0",
"ta@0.1.0a0"
],
"openbb_provider_extension": [
"alpha_vantage@0.1.0a0",
"benzinga@0.1.0a1",
"benzinga@0.1.0a0",
"cboe@0.1.0a0",
"fmp@0.1.0a1",
"fmp@0.1.0a0",
"fred@0.1.0a0",
"intrinio@0.1.0a1",
"polygon@0.1.0a1",
"intrinio@0.1.0a0",
"polygon@0.1.0a0",
"quandl@0.1.0a0",
"yfinance@0.1.0a1"
"yfinance@0.1.0a0"
]
}

16
openbb_sdk/openbb/package/news.py
View File

@@ -35,31 +35,31 @@ class CLASS_news(Container):
----------
limit : NonNegativeInt
Number of articles to return.
provider : Union[Literal['benzinga', 'fmp', 'intrinio'], NoneType]
provider : Union[Literal['benzinga', 'fmp', 'intrinio'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'benzinga' if there is
no default.
display : Literal['headline', 'abstract', 'full']
Specify headline only (headline), headline + teaser (abstract), or headline + full body (full). (provider: benzinga)
date : Union[str, NoneType]
date : Union[str, None]
Date of the news to retrieve. (provider: benzinga)
start_date : Union[str, NoneType]
start_date : Union[str, None]
Start date of the news to retrieve. (provider: benzinga)
end_date : Union[str, NoneType]
end_date : Union[str, None]
End date of the news to retrieve. (provider: benzinga)
updated_since : Union[int, None]
Number of seconds since the news was updated. (provider: benzinga)
published_since : Union[int, None]
Number of seconds since the news was published. (provider: benzinga)
sort : Union[Literal['id', 'created', 'updated'], NoneType]
sort : Union[Literal['id', 'created', 'updated'], None]
Key to sort the news by. (provider: benzinga)
order : Union[Literal['asc', 'desc'], NoneType]
order : Union[Literal['asc', 'desc'], None]
Order to sort the news by. (provider: benzinga)
isin : Union[str, NoneType]
isin : Union[str, None]
The ISIN of the news to retrieve. (provider: benzinga)
cusip : Union[str, None]
The CUSIP of the news to retrieve. (provider: benzinga)
channels : Union[str, NoneType]
channels : Union[str, None]
Channels of the news to retrieve. (provider: benzinga)
topics : Union[str, None]
Topics of the news to retrieve. (provider: benzinga)

18
openbb_sdk/openbb/package/stocks.py
View File

@@ -539,7 +539,7 @@ class CLASS_stocks(Container):
----------
symbols : str
Comma separated list of symbols.
limit : Union[pydantic.types.NonNegativeInt, NoneType]
limit : Union[pydantic.types.NonNegativeInt, None]
Number of results to return per page.
chart : bool
Whether to create a chart or not, by default False.
@@ -549,21 +549,21 @@ class CLASS_stocks(Container):
no default.
display : Literal['headline', 'abstract', 'full']
Specify headline only (headline), headline + teaser (abstract), or headline + full body (full). (provider: benzinga)
date : Union[str, NoneType]
date : Union[str, None]
Date of the news to retrieve. (provider: benzinga)
start_date : Union[str, NoneType]
start_date : Union[str, None]
Start date of the news to retrieve. (provider: benzinga)
end_date : Union[str, NoneType]
end_date : Union[str, None]
End date of the news to retrieve. (provider: benzinga)
updated_since : Union[int, None]
Number of seconds since the news was updated. (provider: benzinga)
published_since : Union[int, None]
Number of seconds since the news was published. (provider: benzinga)
sort : Union[Literal['id', 'created', 'updated'], NoneType]
sort : Union[Literal['id', 'created', 'updated'], None]
Key to sort the news by. (provider: benzinga)
order : Union[Literal['asc', 'desc'], NoneType]
order : Union[Literal['asc', 'desc'], None]
Order to sort the news by. (provider: benzinga); Sort order of the articles. (provider: polygon)
isin : Union[str, NoneType]
isin : Union[str, None]
The ISIN of the news to retrieve. (provider: benzinga)
cusip : Union[str, None]
The CUSIP of the news to retrieve. (provider: benzinga)
@@ -575,7 +575,7 @@ class CLASS_stocks(Container):
Authors of the news to retrieve. (provider: benzinga)
content_types : Union[str, None]
Content types of the news to retrieve. (provider: benzinga)
published_utc : Union[str, NoneType]
published_utc : Union[str, None]
Date query to fetch articles. Supports operators <, <=, >, >= (provider: polygon)
Returns
@@ -680,7 +680,7 @@ class CLASS_stocks(Container):
----------
symbol : Union[str, List[str]]
Comma separated list of symbols.
provider : Union[Literal['fmp', 'intrinio'], NoneType]
provider : Union[Literal['fmp', 'intrinio'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'fmp' if there is
no default.

8
openbb_sdk/openbb/package/stocks_fa.py
View File

@@ -3007,13 +3007,13 @@ class CLASS_stocks_fa(Container):
----------
symbol : Union[str, List[str]]
Symbol to get data for.
type : Union[Literal['1', '1-A', '1-E', '1-K', '1-N', '1-SA', '1-U', '1-Z', '10', '10-D', '10-K', '10-M', '10-Q', '11-K', '12b-25', '13F', '13H', '144', '15', '15F', '17-H', '18', '18-K', '19b-4', '19b-4(e)', '19b-7', '2-E', '20-F', '24F-2', '25', '3', '4', '40-F', '5', '6-K', '7-M', '8-A', '8-K', '8-M', '9-M', 'ABS-15G', 'ABS-EE', 'ABS DD-15E', 'ADV', 'ADV-E', 'ADV-H', 'ADV-NR', 'ADV-W', 'ATS', 'ATS-N', 'ATS-R', 'BD', 'BD-N', 'BDW', 'C', 'CA-1', 'CB', 'CFPORTAL', 'CRS', 'CUSTODY', 'D', 'F-1', 'F-10', 'F-3', 'F-4', 'F-6', 'F-7', 'F-8', 'F-80', 'F-N', 'F-X', 'ID', 'MA', 'MA-I', 'MA-NR', 'MA-W', 'MSD', 'MSDW', 'N-14', 'N-17D-1', 'N-17f-1', 'N-17f-2', 'N-18f-1', 'N-1A', 'N-2', 'N-23c-3', 'N-27D-1', 'N-3', 'N-4', 'N-5', 'N-54A', 'N-54C', 'N-6', 'N-6EI-1', 'N-6F', 'N-8A', 'N-8B-2', 'N-8B-4', 'N-8F', 'N-CEN'], NoneType]
type : Union[Literal['1', '1-A', '1-E', '1-K', '1-N', '1-SA', '1-U', '1-...
Type of the SEC filing form.
page : Union[int, NoneType]
page : Union[int, None]
Page number of the results.
limit : Union[int, NoneType]
limit : Union[int, None]
The number of data entries to return.
provider : Union[Literal['fmp'], NoneType]
provider : Union[Literal['fmp'], None]
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'fmp' if there is
no default.

2
openbb_sdk/openbb/package/stocks_options.py
View File

@@ -38,7 +38,7 @@ class CLASS_stocks_options(Container):
The provider to use for the query, by default None.
If None, the provider specified in defaults is selected or 'cboe' if there is
no default.
date : Union[str, NoneType]
date : Union[str, None]
Date for which the options chains are returned. (provider: intrinio)
Returns

5
openbb_sdk/providers/cboe/openbb_cboe/models/european_index_historical.py
View File

@@ -46,7 +46,10 @@ class CboeEuropeanIndexHistoricalData(EuropeanIndexHistoricalData):
@validator("date", pre=True, check_fields=False)
def date_validate(cls, v): # pylint: disable=E0213
"""Return datetime object from string."""
return datetime.strptime(v, "%Y-%m-%d")
try:
return datetime.strptime(v, "%Y-%m-%d")
except Exception:
return datetime.strptime(v, "%Y-%m-%dT%H:%M:%S")
class CboeEuropeanIndexHistoricalFetcher(

28
openbb_sdk/providers/cboe/openbb_cboe/models/major_indices_historical.py
View File

@@ -45,11 +45,15 @@ class CboeMajorIndicesHistoricalData(MajorIndicesHistoricalData):
@validator("date", pre=True, check_fields=False)
def date_validate(cls, v): # pylint: disable=E0213
"""Return datetime object from string."""
try:
return datetime.strptime(v, "%Y-%m-%d %H:%M:%S")
except Exception:
return datetime.strptime(v, "%Y-%m-%d")
"""Return formatted datetime string."""
if isinstance(v, str):
try:
dt = datetime.strptime(v, "%Y-%m-%d %H:%M:%S")
return dt.strftime("%Y-%m-%d %H:%M:%S")
except ValueError:
dt = datetime.strptime(v, "%Y-%m-%d")
return dt.strftime("%Y-%m-%d")
return v
class CboeMajorIndicesHistoricalFetcher(
@@ -73,18 +77,16 @@ class CboeMajorIndicesHistoricalFetcher(
credentials: Optional[Dict[str, str]],
**kwargs: Any,
) -> List[Dict]:
"""Return the raw data from the CBOE endpoint"""
"""Return the raw data from the CBOE endpoint."""
# Synbol directories are cached for seven days and are used for error handling and URL generation.
INDEXES = get_cboe_index_directory().index.to_list()
query.symbol = query.symbol.upper()
data = pd.DataFrame()
if "^" in query.symbol:
query.symbol = query.symbol.replace("^", "")
if query.symbol == "NDX" and query.interval == "1d":
raise RuntimeError(
"NDX time series data is only supported when `interval='1m'`."
)
query.interval = (
"1m" if query.symbol == "NDX" and query.interval == "1d" else query.interval
)
now = datetime.now()
query.start_date = (
@@ -198,6 +200,8 @@ class CboeMajorIndicesHistoricalFetcher(
data_list[i]["volume"]["total_options_volume"]
)
data = pd.DataFrame()
date = [d.replace("T", " ") for d in date]
date = [datetime.strptime(d, "%Y-%m-%d %H:%M:%S") for d in date]
data["date"] = pd.to_datetime(date)
data["open"] = open_
data["high"] = high
@@ -215,5 +219,5 @@ class CboeMajorIndicesHistoricalFetcher(
@staticmethod
def transform_data(data: List[Dict]) -> List[CboeMajorIndicesHistoricalData]:
"""Transform the data to the standard format"""
"""Transform the data to the standard format."""
return [CboeMajorIndicesHistoricalData.parse_obj(d) for d in data]

298
openbb_sdk/providers/cboe/openbb_cboe/models/stock_historical.py
View File

@@ -1,4 +1,5 @@
"""CBOE Major Indices End of Day fetcher."""
"""CBOE Stock Historical fetcher."""
from datetime import datetime, timedelta
from typing import Any, Dict, List, Literal, Optional
@@ -16,7 +17,7 @@ from openbb_provider.standard_models.stock_historical import (
StockHistoricalQueryParams,
)
from openbb_provider.utils.helpers import make_request
from pydantic import Field, validator
from pydantic import Field
class CboeStockHistoricalQueryParams(StockHistoricalQueryParams):
@@ -44,14 +45,6 @@ class CboeStockHistoricalData(StockHistoricalData):
description="Total number of options traded during the most recent trading period. Only valid if interval is 1m."
)
@validator("date", pre=True, check_fields=False)
def date_validate(cls, v): # pylint: disable=E0213
"""Return datetime object from string."""
try:
return datetime.strptime(v, "%Y-%m-%d %H:%M:%S")
except Exception:
return datetime.strptime(v, "%Y-%m-%d")
class CboeStockHistoricalFetcher(
Fetcher[
@@ -72,146 +65,171 @@ class CboeStockHistoricalFetcher(
credentials: Optional[Dict[str, str]],
**kwargs: Any,
) -> List[Dict]:
"""Return the raw data from the CBOE endpoint."""
"""Return the raw data from the CBOE endpoint"""
# Synbol directories are cached for seven days and are used for error handling and URL generation.
SYMBOLS = get_cboe_directory()
INDEXES = get_cboe_index_directory().index.to_list()
query.symbol = query.symbol.upper()
data = pd.DataFrame()
if "^" in query.symbol:
query.symbol = query.symbol.replace("^", "")
if query.symbol == "NDX" and query.interval == "1d":
raise RuntimeError(
"NDX time series data is only supported when `interval='1m'`."
)
multi = pd.DataFrame()
now = datetime.now()
query.start_date = (
query.start_date if query.start_date else now - timedelta(days=50000)
tickers = (
query.symbol.split(",") if "," in query.symbol else [query.symbol.upper()]
)
if len(tickers) > 1:
query.start_date = (
query.start_date if query.start_date else now - timedelta(days=720)
)
if len(tickers) == 1:
query.start_date = (
query.start_date if query.start_date else now - timedelta(days=50000)
)
query.end_date = query.end_date if query.end_date else now
if query.symbol not in SYMBOLS.index and query.symbol not in INDEXES:
raise RuntimeError(
f"The symbol, {query.symbol}, was not found in the CBOE directory. Use `search()`."
)
def __generate_historical_prices_url(
symbol,
data_type: Optional[Literal["intraday", "historical"]] = "historical",
) -> str:
"""Generate the final URL for historical prices data."""
url: str = (
f"https://cdn.cboe.com/api/global/delayed_quotes/charts/{data_type}"
)
url = (
url + f"/_{symbol}.json"
if symbol in TICKER_EXCEPTIONS or symbol in INDEXES
else url + f"/{symbol}.json"
)
return url
url = (
__generate_historical_prices_url(query.symbol, "intraday")
if query.interval == "1m"
else __generate_historical_prices_url(query.symbol)
)
r = make_request(url)
if r.status_code != 200:
raise RuntimeError(r.status_code)
if query.interval == "1d":
data = (
pd.DataFrame(r.json()["data"])[
["date", "open", "high", "low", "close", "volume"]
]
).set_index("date")
# Fill in missing data from current or most recent trading session.
today = pd.to_datetime(datetime.now().date())
if today.weekday() > 4:
day_minus = today.weekday() - 4
today = pd.to_datetime(today - timedelta(days=day_minus))
if today != data.index[-1]:
_today = pd.Series(get_ticker_info(query.symbol))
today_df = pd.Series(dtype="object")
today_df["open"] = round(_today["open"], 2)
today_df["high"] = round(_today["high"], 2)
today_df["low"] = round(_today["low"], 2)
today_df["close"] = round(_today["close"], 2)
if (
query.symbol not in INDEXES
and query.symbol not in TICKER_EXCEPTIONS
):
data = data[data["volume"] > 0]
today_df["volume"] = _today["volume"]
today_df["date"] = today.date()
today_df = pd.DataFrame(today_df).transpose().set_index("date")
data = pd.concat([data, today_df], axis=0)
# If ticker is an index there is no volume data and the types must be set.
if query.symbol in INDEXES or query.symbol in TICKER_EXCEPTIONS:
data = data[["open", "high", "low", "close", "volume"]]
data["open"] = round(data.open.astype(float), 2)
data["high"] = round(data.high.astype(float), 2)
data["low"] = round(data.low.astype(float), 2)
data["close"] = round(data.close.astype(float), 2)
data["volume"] = 0
data.index = pd.to_datetime(data.index, format="%Y-%m-%d")
data = data[data["open"] > 0]
data = data[
(data.index >= pd.to_datetime(query.start_date, format="%Y-%m-%d"))
& (data.index <= pd.to_datetime(query.end_date, format="%Y-%m-%d"))
]
data.index = data.index.astype(str)
if query.interval == "1m":
data_list = r.json()["data"]
date: List[datetime] = []
open: List[float] = []
high: List[float] = []
low: List[float] = []
close: List[float] = []
volume: List[float] = []
calls_volume: List[float] = []
puts_volume: List[float] = []
total_options_volume: List[float] = []
for i in enumerate(data_list):
date.append(data_list[i[0]]["datetime"])
open.append(data_list[i[0]]["price"]["open"])
high.append(data_list[i[0]]["price"]["high"])
low.append(data_list[i[0]]["price"]["low"])
close.append(data_list[i[0]]["price"]["close"])
volume.append(data_list[i[0]]["volume"]["stock_volume"])
calls_volume.append(data_list[i[0]]["volume"]["calls_volume"])
puts_volume.append(data_list[i[0]]["volume"]["puts_volume"])
total_options_volume.append(
data_list[i[0]]["volume"]["total_options_volume"]
)
def get_one(symbol, start_date, end_date, interval):
symbol = symbol.upper()
if "^" in symbol:
symbol = symbol.replace("^", "")
if len(tickers) == 1 and symbol == "NDX":
raise RuntimeError("NDX is not supported by this function.")
data = pd.DataFrame()
data["date"] = pd.to_datetime(date)
data["open"] = open
data["high"] = high
data["low"] = low
data["close"] = close
data["volume"] = volume
data["calls_volume"] = calls_volume
data["puts_volume"] = puts_volume
data["total_options_volume"] = total_options_volume
data = data.set_index("date").sort_index()
data.index = data.index.astype(str)
data = data[data["open"] > 0]
data["volume"] = round(data["volume"].astype("int64"))
return data.drop_duplicates().reset_index().to_dict("records")
if symbol not in SYMBOLS.index and symbol not in INDEXES:
raise RuntimeError(
f"The symbol, {symbol}, was not found in the CBOE directory. Use `search()`."
)
def __generate_historical_prices_url(
symbol,
data_type: Optional[Literal["intraday", "historical"]] = "historical",
) -> str:
"""Generate the final URL for historical prices data."""
url: str = (
f"https://cdn.cboe.com/api/global/delayed_quotes/charts/{data_type}"
)
url = (
url + f"/_{symbol}.json"
if symbol in TICKER_EXCEPTIONS or symbol in INDEXES
else url + f"/{symbol}.json"
)
return url
url = (
__generate_historical_prices_url(symbol, "intraday")
if interval == "1m"
else __generate_historical_prices_url(symbol)
)
r = make_request(url)
if r.status_code != 200:
raise RuntimeError(r.status_code)
if interval == "1d":
data = (
pd.DataFrame(r.json()["data"])[
["date", "open", "high", "low", "close", "volume"]
]
).set_index("date")
# Fill in missing data from current or most recent trading session.
today = pd.to_datetime(datetime.now().date())
if today.weekday() > 4:
day_minus = today.weekday() - 4
today = pd.to_datetime(today - timedelta(days=day_minus))
if today != data.index[-1]:
_today = pd.Series(get_ticker_info(symbol))
today_df = pd.Series(dtype="object")
today_df["open"] = round(_today["open"], 2)
today_df["high"] = round(_today["high"], 2)
today_df["low"] = round(_today["low"], 2)
today_df["close"] = round(_today["close"], 2)
if symbol not in INDEXES and symbol not in TICKER_EXCEPTIONS:
data = data[data["volume"] > 0]
today_df["volume"] = _today["volume"]
today_df["date"] = today.date()
today_df = pd.DataFrame(today_df).transpose().set_index("date")
data = pd.concat([data, today_df], axis=0)
# If ticker is an index there is no volume data and the types must be set.
if symbol in INDEXES or symbol in TICKER_EXCEPTIONS:
data = data[["open", "high", "low", "close", "volume"]]
data["open"] = round(data.open.astype(float), 2)
data["high"] = round(data.high.astype(float), 2)
data["low"] = round(data.low.astype(float), 2)
data["close"] = round(data.close.astype(float), 2)
data["volume"] = 0
data.index = pd.to_datetime(data.index, format="%Y-%m-%d")
data = data[data["open"] > 0]
data = data[
(data.index >= pd.to_datetime(start_date, format="%Y-%m-%d"))
& (data.index <= pd.to_datetime(end_date, format="%Y-%m-%d"))
]
data.index = data.index.strftime("%Y-%m-%d")
if query.interval == "1m":
data_list = r.json()["data"]
date: list[datetime] = []
open: list[float] = []
high: list[float] = []
low: list[float] = []
close: list[float] = []
volume: list[float] = []
calls_volume: list[float] = []
puts_volume: list[float] = []
total_options_volume: list[float] = []
for i in range(0, len(data_list)):
date.append(data_list[i]["datetime"])
open.append(data_list[i]["price"]["open"])
high.append(data_list[i]["price"]["high"])
low.append(data_list[i]["price"]["low"])
close.append(data_list[i]["price"]["close"])
volume.append(data_list[i]["volume"]["stock_volume"])
calls_volume.append(data_list[i]["volume"]["calls_volume"])
puts_volume.append(data_list[i]["volume"]["puts_volume"])
total_options_volume.append(
data_list[i]["volume"]["total_options_volume"]
)
data = pd.DataFrame()
date = [d.replace("T", " ") for d in date]
date = [datetime.strptime(d, "%Y-%m-%d %H:%M:%S") for d in date]
data["date"] = date
data["open"] = open
data["high"] = high
data["low"] = low
data["close"] = close
data["volume"] = volume
data["calls_volume"] = calls_volume
data["puts_volume"] = puts_volume
data["total_options_volume"] = total_options_volume
data = data.set_index("date").sort_index()
data.index = data.index.strftime("%Y-%m-%d %H:%M:%S")
data = data[data["open"] > 0]
data["volume"] = round(data["volume"].astype("int64"))
data["symbol"] = symbol
return data.drop_duplicates().reset_index()
for ticker in tickers:
if ticker != "NDX":
data = get_one(
ticker,
start_date=query.start_date,
end_date=query.end_date,
interval=query.interval,
).set_index(["date", "symbol"])
multi = pd.concat([multi, data], axis=0)
multi = multi.sort_index().reset_index()
if len(tickers) == 1:
multi = multi.drop(columns=["symbol"])
return multi.to_dict("records")
@staticmethod
def transform_data(data: List[Dict]) -> List[CboeStockHistoricalData]:
"""Transform the data to the standard format"""
return [CboeStockHistoricalData.parse_obj(d) for d in data]
"""Transform the data to the standard format."""
return [CboeStockHistoricalData(**d) for d in data]

54
openbb_sdk/providers/cboe/openbb_cboe/models/stock_info.py
View File

@@ -1,6 +1,6 @@
"""CBOE Stock Info fetcher."""
import concurrent.futures
from datetime import datetime
from typing import Any, Dict, List, Optional
@@ -92,7 +92,7 @@ class CboeStockInfoFetcher(
@staticmethod
def transform_query(params: Dict[str, Any]) -> CboeStockInfoQueryParams:
"""Transform the query"""
"""Transform the query."""
return CboeStockInfoQueryParams(**params)
@staticmethod
@@ -100,30 +100,40 @@ class CboeStockInfoFetcher(
query: CboeStockInfoQueryParams,
credentials: Optional[Dict[str, str]],
**kwargs: Any,
) -> dict:
"""Return the raw data from the CBOE endpoint"""
query.symbol = query.symbol.upper().replace("^", "")
) -> List[Dict]:
"""Return the raw data from the CBOE endpoint."""
results = []
query.symbol = query.symbol.upper()
symbols = (
query.symbol.split(",") if "," in query.symbol else [query.symbol.upper()]
)
INDEXES = get_cboe_index_directory().index.to_list()
SYMBOLS = get_cboe_directory()
if query.symbol not in SYMBOLS.index and query.symbol not in INDEXES:
raise RuntimeError(
f"The symbol, {query.symbol}, was not found in the CBOE directory."
)
def get_one(symbol):
data = pd.Series(dtype="object")
if symbol in SYMBOLS.index or symbol in INDEXES:
_info = pd.Series(get_ticker_info(symbol))
_iv = pd.Series(get_ticker_iv(symbol))
data = (
pd.DataFrame(pd.concat([_info, _iv]))
.transpose()
.drop(columns="seqno")
.iloc[0]
)
_info = pd.Series(get_ticker_info(query.symbol))
_iv = pd.Series(get_ticker_iv(query.symbol))
data = (
pd.DataFrame(pd.concat([_info, _iv]))
.transpose()
.drop(columns="seqno")
.iloc[0]
results.append(data.to_dict())
with concurrent.futures.ThreadPoolExecutor() as executor:
executor.map(get_one, symbols)
return (
pd.DataFrame.from_records(results)
.sort_values(by="symbol")
.to_dict("records")
)
return data.to_dict()
@staticmethod
def transform_data(data: dict) -> List[CboeStockInfoData]:
"""Transform the data to the standard format"""
return [CboeStockInfoData.parse_obj(data)]
def transform_data(data: List[Dict]) -> List[CboeStockInfoData]:
"""Transform the data to the standard format."""
return [CboeStockInfoData.parse_obj(d) for d in data]

19
openbb_sdk/providers/polygon/openbb_polygon/models/stock_historical.py
View File

@@ -14,7 +14,7 @@ from openbb_provider.standard_models.stock_historical import (
StockHistoricalQueryParams,
)
from openbb_provider.utils.descriptions import QUERY_DESCRIPTIONS
from pydantic import Field, PositiveInt, validator
from pydantic import Field, PositiveInt
class PolygonStockHistoricalQueryParams(StockHistoricalQueryParams):
@@ -60,10 +60,6 @@ class PolygonStockHistoricalData(StockHistoricalData):
alias="n",
)
@validator("t", pre=True, check_fields=False)
def time_validate(cls, v): # pylint: disable=E0213
return datetime.fromtimestamp(v / 1000)
class PolygonStockHistoricalFetcher(
Fetcher[
@@ -118,10 +114,11 @@ class PolygonStockHistoricalFetcher(
if "," in query.symbol:
results = [dict(symbol=symbol, **d) for d in results]
# return data.extend(
# [PolygonStockHistoricalData.parse_obj(d) for d in results]
# )
# extend the data without using the Pydantic model
for r in results:
r["t"] = datetime.fromtimestamp(r["t"] / 1000)
if query.timespan not in ["minute", "hour"]:
r["t"] = r["t"].date()
data.extend(results)
with ThreadPoolExecutor() as executor:
@@ -131,8 +128,6 @@ class PolygonStockHistoricalFetcher(
@staticmethod
def transform_data(data: List[dict]) -> List[PolygonStockHistoricalData]:
transformed_data: List[PolygonStockHistoricalData] = [
PolygonStockHistoricalData.parse_obj(d) for d in data
]
transformed_data = [PolygonStockHistoricalData.parse_obj(d) for d in data]
transformed_data.sort(key=lambda x: x.date)
return transformed_data

22
openbb_sdk/providers/yfinance/openbb_yfinance/models/stock_historical.py
View File

@@ -13,8 +13,8 @@ from openbb_provider.standard_models.stock_historical import (
from openbb_provider.utils.descriptions import QUERY_DESCRIPTIONS
from openbb_yfinance.utils.helpers import yf_download
from openbb_yfinance.utils.references import INTERVALS, PERIODS
from pandas import to_datetime
from pydantic import Field
from pandas import Timestamp, to_datetime
from pydantic import Field, validator
class YFinanceStockHistoricalQueryParams(StockHistoricalQueryParams):
@@ -56,6 +56,13 @@ class YFinanceStockHistoricalQueryParams(StockHistoricalQueryParams):
class YFinanceStockHistoricalData(StockHistoricalData):
"""YFinance Stock End of Day Data."""
@validator("date", pre=True, check_fields=False)
def date_validate(cls, v): # pylint: disable=E0213
"""Return formatted datetime."""
if isinstance(v, Timestamp):
return v.to_pydatetime()
return v
class YFinanceStockHistoricalFetcher(
Fetcher[
@@ -126,10 +133,14 @@ class YFinanceStockHistoricalFetcher(
if query.start_date:
data.set_index("date", inplace=True)
data.index = to_datetime(data.index).date
data.index = to_datetime(data.index)
start_date_dt = datetime.combine(query.start_date, datetime.min.time())
end_date_dt = datetime.combine(query.end_date, datetime.min.time())
data = data[
(data.index >= query.start_date - timedelta(days=days))
& (data.index <= query.end_date)
(data.index >= start_date_dt - timedelta(days=days))
& (data.index <= end_date_dt)
]
data.reset_index(inplace=True)
@@ -142,4 +153,5 @@ class YFinanceStockHistoricalFetcher(
data: List[Dict],
) -> List[YFinanceStockHistoricalData]:
"""Transform the data to the standard format."""
return [YFinanceStockHistoricalData.parse_obj(d) for d in data]

10
openbb_sdk/sdk/provider/openbb_provider/standard_models/stock_historical.py
View File

@@ -7,6 +7,7 @@ from datetime import (
)
from typing import List, Optional, Set, Union
from dateutil import parser
from pydantic import Field, NonNegativeInt, PositiveFloat, validator
from openbb_provider.abstract.data import Data
@@ -36,12 +37,15 @@ class StockHistoricalQueryParams(QueryParams):
class StockHistoricalData(Data):
"""Stock end of day price Data."""
date: Union[dateType, datetime] = Field(
description=DATA_DESCRIPTIONS.get("date", "")
)
date: datetime = Field(description=DATA_DESCRIPTIONS.get("date", ""))
open: PositiveFloat = Field(description=DATA_DESCRIPTIONS.get("open", ""))
high: PositiveFloat = Field(description=DATA_DESCRIPTIONS.get("high", ""))
low: PositiveFloat = Field(description=DATA_DESCRIPTIONS.get("low", ""))
close: PositiveFloat = Field(description=DATA_DESCRIPTIONS.get("close", ""))
volume: NonNegativeInt = Field(description=DATA_DESCRIPTIONS.get("volume", ""))
vwap: Optional[PositiveFloat] = Field(description=DATA_DESCRIPTIONS.get("vwap", ""))
@validator("date", pre=True, check_fields=False)
def date_validate(cls, v): # pylint: disable=E0213
"""Return formatted datetime."""
return parser.isoparse(str(v))