Generate historical market_data on the fly.

gen_historical.py

@@ -0,0 +1,67 @@
+from optparse import OptionParser
+
+from datetime import datetime
+
+from pytz import timezone
+
+from os import getenv
+
+import requests
+from requests_oauthlib import OAuth1
+
+ENDPOINT = 'https://api.tradeking.com/v1'
+
+MARKET_DATA_FILE = 'market_data/%s_%s.txt'
+
+
+class TradeKing(object):
+    def __init__(self, consumer_key=getenv('TRADEKING_CONSUMER_KEY'),
+                 consumer_secret=getenv('TRADEKING_CONSUMER_SECRET'),
+                 access_token=getenv('TRADEKING_ACCESS_TOKEN'),
+                 access_secret=getenv('TRADEKING_ACCESS_TOKEN_SECRET')):
+        self.requests = requests.Session()
+        self.requests.auth = OAuth1(consumer_key,
+                                    consumer_secret,
+                                    access_token,
+                                    access_secret)
+
+    def _get(self, request, params=None):
+        url = '%s/%s.json' % (ENDPOINT, request)
+        return self.requests.get(url, params=params).json().get('response')
+
+    def market_timesales(self, symbols, interval='1min', rpp='10', index=None,
+                         startdate=None, enddate=None, starttime=None):
+        params = dict(symbols=symbols,
+                      interval=interval,
+                      rpp=rpp,
+                      index=index,
+                      startdate=startdate,
+                      enddate=enddate,
+                      starttime=starttime)
+        return self._get('market/timesales', params=params)
+
+
+def gen_historical(ticker, day):
+    tk = TradeKing()
+    result = tk.market_timesales([ticker], startdate=day, enddate=day)
+
+    f = open(MARKET_DATA_FILE % (ticker, day.strftime("%Y%m%d")), 'w')
+    f.write("<ticker>,<date>,<last>\n")
+    for quote in result["quotes"]["quote"]:
+        time_str = datetime.strptime(quote["datetime"], "%Y-%m-%dT%H:%M:%SZ") \
+            .replace(tzinfo=timezone("UTC")).astimezone(timezone("US/Eastern")) \
+            .strftime("%Y%m%d%H%M")
+        f.write("%s,%s,%s\n" % (ticker, time_str, float(quote["last"])))
+    f.close()
+
+
+if __name__ == "__main__":
+    parser = OptionParser()
+    parser.add_option("-d", "--date", dest="date",
+                      help="date to get historical data for: YYYYMMDD")
+    parser.add_option("-t", "--ticker", dest="ticker",
+                      help="ticker symbol")
+
+    options, args = parser.parse_args()
+    day = datetime.strptime(options.date, "%Y%m%d")
+    gen_historical(options.ticker, day)

trading.py

@@ -14,6 +14,7 @@
 from lxml.etree import SubElement
 from lxml.etree import tostring
 
+from gen_historical import gen_historical
 from logs import Logs
 
 # Read the authentication keys for TradeKing from environment variables.
@@ -249,9 +250,10 @@ def get_day_quotes(self, ticker, timestamp):
         filename = MARKET_DATA_FILE % (ticker, day)
 
         if not path.isfile(filename):
-            self.logs.error("Day quotes not on file for: %s %s" %
-                            (ticker, timestamp))
-            return None
+            self.logs.warn("Generating quotes for: %s %s" %
+                           (ticker, timestamp))
+            gen_historical(ticker, timestamp)
+            return self.get_day_quotes(ticker, timestamp)
 
         quotes_file = open(filename, "r")
         try: