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data ¤

LiveDataFeed ¤

LiveDataFeed(
    symbol: str,
    timeframe: str | int | Timedelta,
    name: str | None = None,
    columns: list[str] | None = None,
    api: LiveAPI | None = None,
    api_kwargs: dict | None = None,
    **kwargs
)

Bases: DataFeed

Live trading DataFeed

Parameters:

  • symbol (str) –

    Symbol of DataFeed

  • timeframe (str | int | Timedelta) –

    TimeFrame of DataFeed

  • name (str | None, default: None ) –

    Name of DataFeed, auto generate {symbol}_{timeframe} if none. Defaults to None.

  • columns (list[str] | None, default: None ) –

    List of DataFeed columns. Defaults to None.

  • api (LiveAPI | None, default: None ) –

    Live trading API. Defaults to None.

Source code in lettrade/exchange/live/data.py 
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def __init__(
    self,
    symbol: str,
    timeframe: str | int | pd.Timedelta,
    name: str | None = None,
    columns: list[str] | None = None,
    api: LiveAPI | None = None,
    api_kwargs: dict | None = None,
    **kwargs,
) -> None:
    """_summary_

    Args:
        symbol (str): Symbol of DataFeed
        timeframe (str | int | pd.Timedelta): TimeFrame of DataFeed
        name (str | None, optional): Name of DataFeed, auto generate `{symbol}_{timeframe}` if none. Defaults to None.
        columns (list[str] | None, optional): List of DataFeed columns. Defaults to None.
        api (LiveAPI | None, optional): Live trading API. Defaults to None.
    """
    super().__init__(
        name=name or f"{symbol}_{timeframe}",
        timeframe=timeframe,
        columns=columns or ["open", "high", "low", "close", "volume"],
        **kwargs,
    )

    self.meta.update(symbol=symbol, base_columns=self.columns.copy())

    if api is not None:
        self._api = api
    elif api_kwargs is not None:
        self._api = self._api_cls(**api_kwargs)
    else:
        raise RuntimeError("Parameter: api or api_kwargs cannot missing")

i property ¤

i: indicator

Alias to lettrade.indicator and using in DataFeed by call: DataFeed.i.indicator_name()

is_main property ¤

is_main: bool

Property to check DataFeed is main DataFeed or not

l instance-attribute ¤

l: LetDataFeedWrapper

LetTrade DataFeed wrapper using to manage index pointer of DataFeed

meta property ¤

meta: dict

Property to get metadata of DataFeed

name property ¤

name: str

Property to get name of DataFeed

now property ¤

now: Timestamp

Property to get current index value of DataFeed

symbol property ¤

symbol: str

Property to get symbol of DataFeed

timeframe property ¤

timeframe: TimeFrame

Property to get timeframe of DataFeed

bar ¤

bar(i: int = 0) -> Timestamp

Get current pd.Timestamp value of DataFeed

Parameters:

  • i (int, default: 0 ) –

    Index. Defaults to 0.

Returns:

  • Timestamp –

    pd.Timestamp: description

Source code in lettrade/data/data.py 
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def bar(self, i: int = 0) -> pd.Timestamp:
    """Get current pd.Timestamp value of DataFeed

    Args:
        i (int, optional): Index. Defaults to 0.

    Returns:
        pd.Timestamp: _description_
    """
    return self.l.index[i]

bars ¤

bars(
    since: int | str | Timestamp, to: int | str | Timestamp
) -> list

Get bars from LiveAPI

Parameters:

  • since (int | str | Timestamp) –

    description

  • to (int | str | Timestamp) –

    description

Returns:

  • list ( list ) –

    list of bar

Source code in lettrade/exchange/live/data.py 
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def bars(
    self,
    since: int | str | pd.Timestamp,
    to: int | str | pd.Timestamp,
) -> list:
    """Get bars from LiveAPI

    Args:
        since (int | str | pd.Timestamp): _description_
        to (int | str | pd.Timestamp): _description_

    Returns:
        list: list of bar
    """
    return self._api.bars(
        symbol=self.symbol,
        timeframe=self.timeframe.string,
        since=since,
        to=to,
    )

bars_load ¤

bars_load(
    since: int | str | Timestamp, to: int | str | Timestamp
) -> bool

Get bar from API and push to DataFeed

Parameters:

  • since (int | str | Timestamp) –

    description

  • to (int | str | Timestamp) –

    description

Returns:

  • bool ( bool ) –

    True if has data, False if no data

Source code in lettrade/exchange/live/data.py 
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def bars_load(
    self,
    since: int | str | pd.Timestamp,
    to: int | str | pd.Timestamp,
) -> bool:
    """Get bar from API and push to DataFeed

    Args:
        since (int | str | pd.Timestamp): _description_
        to (int | str | pd.Timestamp): _description_

    Returns:
        bool: True if has data, False if no data
    """
    bars = self.bars(since=since, to=to)

    if bars is None or len(bars) == 0:
        logger.warning("No bars data for %s", self.name)
        return False

    self.push(bars, unit=self._bar_datetime_unit)
    return True

drop ¤

drop(
    *args,
    since: int | str | Timestamp | None = None,
    to: int | str | Timestamp | None = None,
    **kwargs
) -> None

summary

Parameters:

  • since (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

  • to (int | str | Timestamp | None, default: None ) –

    description. Defaults to None.

Raises:

Source code in lettrade/data/data.py 
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def drop(
    self,
    *args,
    since: int | str | pd.Timestamp | None = None,
    to: int | str | pd.Timestamp | None = None,
    **kwargs,
) -> None:
    """_summary_

    Args:
        since (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.
        to (int | str | pd.Timestamp | None, optional): _description_. Defaults to None.

    Raises:
        RuntimeError: _description_
    """
    if since is None and to is None:
        super().drop(*args, **kwargs)
        return

    condiction = None

    # Since
    if since is not None:
        if isinstance(since, int):
            loc = self.l.index[since]
        elif isinstance(since, str):
            loc = pd.to_datetime(since, utc=True)
        elif isinstance(since, pd.Timestamp):
            loc = since
        else:
            raise RuntimeError(f"DataFeed.drop since {since} is invalid")
        condiction = self.index < loc

    # To
    if to is not None:
        if isinstance(to, int):
            loc = self.l.index[to]
        elif isinstance(to, str):
            loc = pd.to_datetime(to, utc=True)
        elif isinstance(to, pd.Timestamp):
            loc = to
        else:
            raise RuntimeError(f"DataFeed.drop to {to} is invalid")

        if condiction is None:
            condiction = self.index > loc
        else:
            condiction = condiction | (self.index > loc)

    index = self[condiction].index
    super().drop(index=index, inplace=True)
    self.l.reset()

    if __debug__:
        logger.debug("BackTestDataFeed %s dropped %s rows", self.name, len(index))

dump_csv ¤

dump_csv(
    path: str | None = None,
    since: int | str | datetime | None = 0,
    to: int | str | datetime | None = 1000,
    **kwargs
)

summary

Parameters:

  • path (str | None, default: None ) –

    description. Defaults to None.

  • since (int | str | datetime | None, default: 0 ) –

    description. Defaults to 0.

  • to (int | str | datetime | None, default: 1000 ) –

    description. Defaults to 1_000.

Source code in lettrade/exchange/live/data.py 
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def dump_csv(
    self,
    path: str | None = None,
    since: int | str | datetime | None = 0,
    to: int | str | datetime | None = 1_000,
    **kwargs,
):
    """_summary_

    Args:
        path (str | None, optional): _description_. Defaults to None.
        since (int  |  str  |  datetime | None, optional): _description_. Defaults to 0.
        to (int  |  str  |  datetime | None, optional): _description_. Defaults to 1_000.
    """
    if self.empty:
        if isinstance(since, str):
            since = pd.to_datetime(since).to_pydatetime()
        if isinstance(to, str):
            to = pd.to_datetime(to).to_pydatetime()

        self.bars_load(since=since, to=to)

    if path is None:
        path = f"data/{self.name}-{since}_{to}.csv"

    from lettrade.data.extra.csv import csv_export

    csv_export(dataframe=self, path=path, **kwargs)

next ¤

next(size=1, tick=0) -> bool

Drop extra columns and load next DataFeed

Parameters:

  • size (int, default: 1 ) –

    description. Defaults to 1.

  • tick (int, default: 0 ) –

    description. Defaults to 0.

Returns:

  • bool ( bool ) –

    description

Source code in lettrade/exchange/live/data.py 
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def next(self, size=1, tick=0) -> bool:
    """Drop extra columns and load next DataFeed

    Args:
        size (int, optional): _description_. Defaults to 1.
        tick (int, optional): _description_. Defaults to 0.

    Returns:
        bool: _description_
    """
    # Drop existed extra columns to skip reusing calculated data
    self.drop(columns=self.columns.difference(self._base_columns), inplace=True)

    self.bars_load(since=0, to=size + 1)
    self.l.go_stop()
    return True

push ¤

push(
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs
)

Push new rows to DataFeed

Parameters:

  • rows (list[list[int | float]]) –

    list of rows [["timestamp", "open price", "high price"...]]

  • unit (str | None, default: None ) –

    pandas.Timestamp parsing unit. Defaults to None.

  • utc (bool, default: True ) –

    description. Defaults to True.

Source code in lettrade/data/data.py 
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def push(
    self,
    rows: list[list[int | float]],
    unit: str | None = None,
    utc: bool = True,
    **kwargs,
):
    """Push new rows to DataFeed

    Args:
        rows (list[list[int | float]]): list of rows `[["timestamp", "open price", "high price"...]]`
        unit (str | None, optional): pandas.Timestamp parsing unit. Defaults to None.
        utc (bool, optional): _description_. Defaults to True.
    """
    for row in rows:
        dt = pd.to_datetime(row[0], unit=unit, utc=utc, **kwargs)
        self.at[
            dt,
            (
                "open",
                "high",
                "low",
                "close",
                "volume",
            ),
        ] = (
            row[1],  # open
            row[2],  # high
            row[3],  # low
            row[4],  # close
            row[5],  # volume
        )

    if __debug__:
        logger.debug("[%s] Update bar: \n%s", self.name, self.tail(len(rows)))

symbol_info ¤

symbol_info()

Get symbol information from API

Source code in lettrade/exchange/live/data.py 
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def symbol_info(self):
    """Get symbol information from API"""
    return self._api.market(symbol=self.symbol)