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250a78200b
* Move askobb to cmd and change question to prompt * spellings * try lower case iignore words?
136 lines
4.3 KiB
Python
136 lines
4.3 KiB
Python
__docformat__ = "numpy"
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# IMPORTATION STANDARD
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import logging
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from datetime import datetime, timedelta
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from io import StringIO
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# IMPORTATION THIRDPARTY
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import pandas as pd
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import requests
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from pydantic import BaseModel
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# IMPORTATION INTERNAL
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from openbb_terminal.core.session.current_user import get_current_user
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from openbb_terminal.decorators import check_api_key, log_start_end
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from openbb_terminal.helper_funcs import request
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from openbb_terminal.rich_config import console
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logger = logging.getLogger(__name__)
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# pylint:disable=too-few-public-methods
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class DataBento(BaseModel):
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symbol: str
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exchange: str = "XNAS.ITCH"
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stype: str = "native"
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start: str = (datetime.now() - timedelta(days=365)).strftime("%Y-%m-%d")
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end: str = datetime.now().strftime("%Y-%m-%d")
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class Config:
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arbitrary_types_allowed = True
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def get_historical_stock(self):
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"""Gets historical EOD stock data from DataBento. Currently, just NASDAQ is supported.
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Note that only nonadjusted data is available."""
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self.exchange = "XNAS.ITCH"
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self.stype = "native"
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return self.get_historical()
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def get_historical_futures(self):
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"""Gets historical EODfutures data from DataBento. Currently, just CME is supported.
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Note this gets the highest volume contract each day"""
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self.exchange = "GLBX.MDP3"
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self.stype = "continuous"
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return self.get_historical()
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@log_start_end(log=logger)
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@check_api_key(["API_DATABENTO_KEY"])
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def get_historical(self) -> pd.DataFrame:
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"""Prepares the request to be made. I am using their https interface instead of their python client.
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This updated to .C.0"""
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base_url = "https://hist.databento.com/v0/timeseries.get_range"
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symbol = self.symbol + ".C.0" if self.exchange == "GLBX.MDP3" else self.symbol
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params = {
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"dataset": self.exchange,
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"symbols": symbol,
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"schema": "ohlcv-1d",
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"start": self.start,
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"end": self.end,
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"stype_in": self.stype,
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"encoding": "csv",
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}
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auth = requests.auth.HTTPBasicAuth(
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get_current_user().credentials.API_DATABENTO_KEY, ""
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)
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data = self.process_request(base_url, params, auth)
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if data.empty:
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return pd.DataFrame()
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return data
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def process_request(self, base_url, params, auth) -> pd.DataFrame:
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"""Takes the request and returns the adjusted dataframe"""
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r = request(base_url, params=params, auth=auth)
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if r.status_code == 422 and "Unprocessable" in r.text:
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console.print(r.json()["detail"])
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return pd.DataFrame()
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if r.status_code != 200:
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console.print(f"Error: Status Code {r.status_code}")
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return pd.DataFrame()
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df = pd.read_csv(StringIO(r.text))
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df["time"] = pd.to_datetime(df.ts_event, unit="ns")
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df[["open", "high", "low", "close"]] /= 1_000_000_000
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df = df.drop(columns=["ts_event", "publisher_id"]).set_index("time")
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df = df.rename(
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columns={
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"open": "Open",
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"high": "High",
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"low": "Low",
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"close": "Close",
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"volume": "Volume",
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}
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)
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return df
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@log_start_end(log=logger)
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@check_api_key(["API_DATABENTO_KEY"])
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def get_historical_stock(symbol: str, start_date: str, end_date: str) -> pd.DataFrame:
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"""Gets historical EOD data from DataBento. Currently, just NASDAQ is supported.
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Parameters
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----------
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symbol : str
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Symbol to get data for
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start_date : str
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Start date of data
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end_date : str
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End date to get data for
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"""
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db = DataBento(symbol=symbol, start=start_date, end=end_date)
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return db.get_historical_stock()
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@log_start_end(log=logger)
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@check_api_key(["API_DATABENTO_KEY"])
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def get_historical_futures(symbol: str, start_date: str, end_date: str) -> pd.DataFrame:
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"""Gets historical EODfutures data from DataBento. Currently, just CME is supported.
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Parameters
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----------
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symbol : str
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Symbol to get data for
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start_date : str
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Start date of data
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end_date : str
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End date to get data for
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"""
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db = DataBento(symbol=symbol, start=start_date, end=end_date)
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return db.get_historical_futures()
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