Data Feeds ReferenceΒΆ

AbstractDataBase

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)

BacktraderCSVData

Parses a self-defined CSV Data used for testing.

Specific parameters:

  • dataname: The filename to parse or a file-like object
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)

CSVDataBase

Base class for classes implementing CSV DataFeeds

The class takes care of opening the file, reading the lines and tokenizing them.

Subclasses do only need to override:

  • _loadline(tokens)

The return value of _loadline (True/False) will be the return value of _load which has been overriden by this base class

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)

Chainer

Class that chains datas

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)

DataClone

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)

DataFiller

This class will fill gaps in the source data using the following information bits from the underlying data source

  • timeframe and compression to dimension the output bars
  • sessionstart and sessionend

If a data feed has missing bars in between 10:31 and 10:34 and the timeframe is minutes, the output will be filled with bars for minutes 10:32 and 10:33 using the closing price of the last bar (10:31)

Bars can be missinga amongst other things because

Params:
  • fill_price (def: None): if None (or evaluates to False),the closing price will be used, else the passed value (which can be for example ‘NaN’ to have a missing bar in terms of evaluation but present in terms of time
  • fill_vol (def: NaN): used to fill the volume of missing bars
  • fill_oi (def: NaN): used to fill the openinterest of missing bars
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • fill_price (None)
  • fill_vol (nan)
  • fill_oi (nan)

DataFilter

This class filters out bars from a given data source. In addition to the standard parameters of a DataBase it takes a funcfilter parameter which can be any callable

Logic:

  • funcfilter will be called with the underlying data source

    It can be any callable

    • Return value True: current data source bar values will used
    • Return value False: current data source bar values will discarded
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • funcfilter (None)

GenericCSVData

Parses a CSV file according to the order and field presence defined by the parameters

Specific parameters (or specific meaning):

  • dataname: The filename to parse or a file-like object

  • The lines parameters (datetime, open, high ...) take numeric values

    A value of -1 indicates absence of that field in the CSV source

  • If time is present (parameter time >=0) the source contains separated fields for date and time, which will be combined

  • nullvalue

    Value that will be used if a value which should be there is missing (the CSV field is empty)

  • dtformat: Format used to parse the datetime CSV field. See the python strptime/strftime documentation for the format.

    If a numeric value is specified, it will be interpreted as follows

    • 1: The value is a Unix timestamp of type int representing the number of seconds since Jan 1st, 1970
    • 2: The value is a Unix timestamp of type float

    If a callable is passed

    • it will accept a string and return a datetime.datetime python instance
  • tmformat: Format used to parse the time CSV field if “present” (the default for the “time” CSV field is not to be present)

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • nullvalue (nan)
  • dtformat (%Y-%m-%d %H:%M:%S)
  • tmformat (%H:%M:%S)
  • datetime (0)
  • time (-1)
  • open (1)
  • high (2)
  • low (3)
  • close (4)
  • volume (5)
  • openinterest (6)

IBData

Interactive Brokers Data Feed.

Supports the following contract specifications in parameter dataname:

  • TICKER # Stock type and SMART exchange
  • TICKER-STK # Stock and SMART exchange
  • TICKER-STK-EXCHANGE # Stock
  • TICKER-STK-EXCHANGE-CURRENCY # Stock
  • TICKER-CFD # CFD and SMART exchange
  • TICKER-CFD-EXCHANGE # CFD
  • TICKER-CDF-EXCHANGE-CURRENCY # Stock
  • TICKER-IND-EXCHANGE # Index
  • TICKER-IND-EXCHANGE-CURRENCY # Index
  • TICKER-YYYYMM-EXCHANGE # Future
  • TICKER-YYYYMM-EXCHANGE-CURRENCY # Future
  • TICKER-YYYYMM-EXCHANGE-CURRENCY-MULT # Future
  • TICKER-FUT-EXCHANGE-CURRENCY-YYYYMM-MULT # Future
  • TICKER-YYYYMM-EXCHANGE-CURRENCY-STRIKE-RIGHT # FOP
  • TICKER-YYYYMM-EXCHANGE-CURRENCY-STRIKE-RIGHT-MULT # FOP
  • TICKER-FOP-EXCHANGE-CURRENCY-YYYYMM-STRIKE-RIGHT # FOP
  • TICKER-FOP-EXCHANGE-CURRENCY-YYYYMM-STRIKE-RIGHT-MULT # FOP
  • CUR1.CUR2-CASH-IDEALPRO # Forex
  • TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT # OPT
  • TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT-MULT # OPT
  • TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT # OPT
  • TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT-MULT # OPT

Params:

  • sectype (default: STK)

    Default value to apply as security type if not provided in the dataname specification

  • exchange (default: SMART)

    Default value to apply as exchange if not provided in the dataname specification

  • currency (default: '')

    Default value to apply as currency if not provided in the dataname specification

  • historical (default: False)

    If set to True the data feed will stop after doing the first download of data.

    The standard data feed parameters fromdate and todate will be used as reference.

    The data feed will make multiple requests if the requested duration is larger than the one allowed by IB given the timeframe/compression chosen for the data.

  • what (default: None)

    If None the default for different assets types will be used for historical data requests:

    • ‘BID’ for CASH assets
    • ‘TRADES’ for any other

    Check the IB API docs if another value is wished

  • rtbar (default: False)

    If True the 5 Seconds Realtime bars provided by Interactive Brokers will be used as the smalles tick. According to the documentation they correspond to real-time values (once collated and curated by IB)

    If False then the RTVolume prices will be used, which are based on receiving ticks. In the case of CASH assets (like for example EUR.JPY) RTVolume will always be used and from it the bid price (industry de-facto standard with IB according to the literature scattered over the Internet)

    Even if set to True, if the data is resampled/kept to a timeframe/compression below Seconds/5, no real time bars will be used, because IB doesn’t serve them below that level

  • qcheck (default: 0.5)

    Time in seconds to wake up if no data is received to give a chance to resample/replay packets properly and pass notifications up the chain

  • backfill_start (default: True)

    Perform backfilling at the start. The maximum possible historical data will be fetched in a single request.

  • backfill (default: True)

    Perform backfilling after a disconnection/reconnection cycle. The gap duration will be used to download the smallest possible amount of data

  • backfill_from (default: None)

    An additional data source can be passed to do an initial layer of backfilling. Once the data source is depleted and if requested, backfilling from IB will take place. This is ideally meant to backfill from already stored sources like a file on disk, but not limited to.

  • latethrough (default: False)

    If the data source is resampled/replayed, some ticks may come in too late for the already delivered resampled/replayed bar. If this is True those ticks will bet let through in any case.

    Check the Resampler documentation to see who to take those ticks into account.

    This can happen especially if timeoffset is set to False in the IBStore instance and the TWS server time is not in sync with that of the local computer

  • tradename (default: None) Useful for some specific cases like CFD in which prices are offered by one asset and trading happens in a different onel

    • SPY-STK-SMART-USD -> SP500 ETF (will be specified as dataname)
    • SPY-CFD-SMART-USD -> which is the corresponding CFD which offers not price tracking but in this case will be the trading asset (specified as tradename)

The default values in the params are the to allow things like `TICKER, to which the parameter sectype (default: STK) and exchange (default: SMART) are applied.

Some assets like AAPL need full specification including currency (default: ‘’) whereas others like TWTR can be simply passed as it is.

  • AAPL-STK-SMART-USD would be the full specification for dataname

    Or else: IBData as IBData(dataname='AAPL', currency='USD') which uses the default values (STK and SMART) and overrides the currency to be USD

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.5)
  • calendar (None)
  • sectype (STK)
  • exchange (SMART)
  • currency ()
  • rtbar (False)
  • historical (False)
  • what (None)
  • useRTH (False)
  • backfill_start (True)
  • backfill (True)
  • backfill_from (None)
  • latethrough (False)
  • tradename (None)

InfluxDB

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • host (127.0.0.1)
  • port (8086)
  • username (None)
  • password (None)
  • database (None)
  • startdate (None)
  • high (high_p)
  • low (low_p)
  • open (open_p)
  • close (close_p)
  • volume (volume)
  • ointerest (oi)

MT4CSVData

Parses a Metatrader4 History center CSV exported file.

Specific parameters (or specific meaning):

  • dataname: The filename to parse or a file-like object
  • Uses GenericCSVData and simply modifies the params
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • nullvalue (nan)
  • dtformat (%Y.%m.%d)
  • tmformat (%H:%M)
  • datetime (0)
  • time (1)
  • open (2)
  • high (3)
  • low (4)
  • close (5)
  • volume (6)
  • openinterest (-1)

OandaData

Oanda Data Feed.

Params:

  • qcheck (default: 0.5)

    Time in seconds to wake up if no data is received to give a chance to resample/replay packets properly and pass notifications up the chain

  • historical (default: False)

    If set to True the data feed will stop after doing the first download of data.

    The standard data feed parameters fromdate and todate will be used as reference.

    The data feed will make multiple requests if the requested duration is larger than the one allowed by IB given the timeframe/compression chosen for the data.

  • backfill_start (default: True)

    Perform backfilling at the start. The maximum possible historical data will be fetched in a single request.

  • backfill (default: True)

    Perform backfilling after a disconnection/reconnection cycle. The gap duration will be used to download the smallest possible amount of data

  • backfill_from (default: None)

    An additional data source can be passed to do an initial layer of backfilling. Once the data source is depleted and if requested, backfilling from IB will take place. This is ideally meant to backfill from already stored sources like a file on disk, but not limited to.

  • bidask (default: True)

    If True, then the historical/backfilling requests will request bid/ask prices from the server

    If False, then midpoint will be requested

  • useask (default: False)

    If True the ask part of the bidask prices will be used instead of the default use of bid

  • includeFirst (default: True)

    Influence the delivery of the 1st bar of a historical/backfilling request by setting the parameter directly to the Oanda API calls

  • reconnect (default: True)

    Reconnect when network connection is down

  • reconnections (default: -1)

    Number of times to attempt reconnections: -1 means forever

  • reconntimeout (default: 5.0)

    Time in seconds to wait in between reconnection attemps

This data feed supports only this mapping of timeframe and compression, which comply with the definitions in the OANDA API Developer’s Guid:

(TimeFrame.Seconds, 5): 'S5',
(TimeFrame.Seconds, 10): 'S10',
(TimeFrame.Seconds, 15): 'S15',
(TimeFrame.Seconds, 30): 'S30',
(TimeFrame.Minutes, 1): 'M1',
(TimeFrame.Minutes, 2): 'M3',
(TimeFrame.Minutes, 3): 'M3',
(TimeFrame.Minutes, 4): 'M4',
(TimeFrame.Minutes, 5): 'M5',
(TimeFrame.Minutes, 10): 'M5',
(TimeFrame.Minutes, 15): 'M5',
(TimeFrame.Minutes, 30): 'M5',
(TimeFrame.Minutes, 60): 'H1',
(TimeFrame.Minutes, 120): 'H2',
(TimeFrame.Minutes, 180): 'H3',
(TimeFrame.Minutes, 240): 'H4',
(TimeFrame.Minutes, 360): 'H6',
(TimeFrame.Minutes, 480): 'H8',
(TimeFrame.Days, 1): 'D',
(TimeFrame.Weeks, 1): 'W',
(TimeFrame.Months, 1): 'M',

Any other combination will be rejected

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.5)
  • calendar (None)
  • historical (False)
  • backfill_start (True)
  • backfill (True)
  • backfill_from (None)
  • bidask (True)
  • useask (False)
  • includeFirst (True)
  • reconnect (True)
  • reconnections (-1)
  • reconntimeout (5.0)

PandasData

Uses a Pandas DataFrame as the feed source, using indices into column names (which can be “numeric”)

This means that all parameters related to lines must have numeric values as indices into the tuples

Params:

  • nocase (default True) case insensitive match of column names

Note:

  • The dataname parameter is a Pandas DataFrame
  • Values possible for datetime
    • None: the index contains the datetime
    • -1: no index, autodetect column
    • >= 0 or string: specific colum identifier
  • For other lines parameters
    • None: column not present
    • -1: autodetect
    • >= 0 or string: specific colum identifier
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • nocase (True)
  • datetime (None)
  • open (-1)
  • high (-1)
  • low (-1)
  • close (-1)
  • volume (-1)
  • openinterest (-1)

PandasDirectData

Uses a Pandas DataFrame as the feed source, iterating directly over the tuples returned by “itertuples”.

This means that all parameters related to lines must have numeric values as indices into the tuples

Note:

  • The dataname parameter is a Pandas DataFrame
  • A negative value in any of the parameters for the Data lines indicates it’s not present in the DataFrame it is
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • datetime (0)
  • open (1)
  • high (2)
  • low (3)
  • close (4)
  • volume (5)
  • openinterest (6)

Quandl

Executes a direct download of data from Quandl servers for the given time range.

Specific parameters (or specific meaning):

  • dataname

    The ticker to download (‘YHOO’ for example)

  • baseurl

    The server url. Someone might decide to open a Quandl compatible service in the future.

  • proxies

    A dict indicating which proxy to go through for the download as in {‘http’: ‘http://myproxy.com‘} or {‘http’: ‘http://127.0.0.1:8080‘}

  • buffered

    If True the entire socket connection wil be buffered locally before parsing starts.

  • reverse

    Quandl returns the value in descending order (newest first). If this is True (the default), the request will tell Quandl to return in ascending (oldest to newest) format

  • adjclose

    Whether to use the dividend/split adjusted close and adjust all values according to it.

  • apikey

    apikey identification in case it may be needed

  • dataset

    string identifying the dataset to query. Defaults to WIKI

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • reverse (True)
  • adjclose (True)
  • round (False)
  • decimals (2)
  • baseurl (https://www.quandl.com/api/v3/datasets)
  • proxies ({})
  • buffered (True)
  • apikey (None)
  • dataset (WIKI)

QuandlCSV

Parses pre-downloaded Quandl CSV Data Feeds (or locally generated if they comply to the Quandl format)

Specific parameters:

  • dataname: The filename to parse or a file-like object

  • reverse (default: False)

    It is assumed that locally stored files have already been reversed during the download process

  • adjclose (default: True)

    Whether to use the dividend/split adjusted close and adjust all values according to it.

  • round (default: False)

    Whether to round the values to a specific number of decimals after having adjusted the close

  • decimals (default: 2)

    Number of decimals to round to

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • reverse (False)
  • adjclose (True)
  • round (False)
  • decimals (2)

RollOver

Class that rolls over to the next future when a condition is met

Params:

  • checkdate (default: None)

    This must be a callable with the following signature:

    checkdate(dt, d):
    

    Where:

    • dt is a datetime.datetime object
    • d is the current data feed for the active future

    Expected Return Values:

    • True: as long as the callable returns this, a switchover can happen to the next future

If a commodity expires on the 3rd Friday of March, checkdate could return True for the entire week in which the expiration takes place.

  • False: the expiration cannot take place
  • checkcondition (default: None)

    Note: This will only be called if checkdate has returned True

    If None this will evaluate to True (execute roll over) internally

    Else this must be a callable with this signature:

    checkcondition(d0, d1)
    

    Where:

    • d0 is the current data feed for the active future
    • d1 is the data feed for the next expiration

    Expected Return Values:

    • True: roll-over to the next future

Following with the example from checkdate, this could say that the roll-over can only happend if the volume from d0 is already less than the volume from d1

  • False: the expiration cannot take place
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • checkdate (None)
  • checkcondition (None)

SierraChartCSVData

Parses a SierraChart CSV exported file.

Specific parameters (or specific meaning):

  • dataname: The filename to parse or a file-like object
  • Uses GenericCSVData and simply modifies the dateformat (dtformat) to
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • nullvalue (nan)
  • dtformat (%Y/%m/%d)
  • tmformat (%H:%M:%S)
  • datetime (0)
  • time (-1)
  • open (1)
  • high (2)
  • low (3)
  • close (4)
  • volume (5)
  • openinterest (6)

VCData

VisualChart Data Feed.

Params:

  • qcheck (default: 0.5) Default timeout for waking up to let a resampler/replayer that the current bar can be check for due delivery

    The value is only used if a resampling/replaying filter has been inserted in the data

  • historical (default: False) If no todate parameter is supplied (defined in the base class), this will force a historical only download if set to True

    If todate is supplied the same effect is achieved

  • milliseconds (default: True) The bars constructed by Visual Chart have this aspect: HH:MM:59.999000

    If this parameter is True a millisecond will be added to this time to make it look like: HH::MM + 1:00.000000

  • tradename (default: None) Continous futures cannot be traded but are ideal for data tracking. If this parameter is supplied it will be the name of the current future which will be the trading asset. Example:

    • 001ES -> ES-Mini continuous supplied as dataname
    • ESU16 -> ES-Mini 2016-09. If this is supplied in tradename it will be the trading asset.
  • usetimezones (default: True) For most markets the time offset information provided by Visual Chart allows for datetime to be converted to market time (backtrader choice for representation)

    Some markets are special (096) and need special internal coverage and timezone support to display in the user expected market time.

    If this parameter is set to True importing pytz will be attempted to use timezones (default)

    Disabling it will remove timezone usage (may help if the load is excesive)

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.5)
  • calendar (None)
  • historical (False)
  • millisecond (True)
  • tradename (None)
  • usetimezones (True)

VChartCSVData

Parses a VisualChart CSV exported file.

Specific parameters (or specific meaning):

  • dataname: The filename to parse or a file-like object
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)

VChartData

Support for Visual Chart binary on-disk files for both daily and intradaily formats.

Note:

  • dataname: to file or open file-like object

    If a file-like object is passed, the timeframe parameter will be used to determine which is the actual timeframe.

    Else the file extension (.fd for daily and .min for intraday) will be used.

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)

VChartFile

Support for Visual Chart binary on-disk files for both daily and intradaily formats.

Note:

  • dataname: Market code displayed by Visual Chart. Example: 015ES for EuroStoxx 50 continuous future
Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)

YahooFinanceCSVData

Parses pre-downloaded Yahoo CSV Data Feeds (or locally generated if they comply to the Yahoo format)

Specific parameters:

  • dataname: The filename to parse or a file-like object

  • reverse (default: False)

    It is assumed that locally stored files have already been reversed during the download process

  • adjclose (default: True)

    Whether to use the dividend/split adjusted close and adjust all values according to it.

  • round (default: True)

    Whether to round the values to a specific number of decimals after having adjusted the close

  • decimals (default: 2)

    Number of decimals to round to

  • version (default: v7)

    In May-2017 Yahoo discontinued the original ichart API for downloads and moved to a new API, which contains a v7 string. This is the default version.

    Set it to the empty string to get the original behavior

  • swapcloses (default: False)

    If True the allegedly adjusted close and non-adjusted close will be swapped. The downloads with the new v7 API show at random times the closing prices swapped. There is no known pattern

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • reverse (False)
  • adjclose (True)
  • round (True)
  • decimals (2)
  • version (v7)
  • swapcloses (False)

YahooFinanceData

Executes a direct download of data from Yahoo servers for the given time range.

Specific parameters (or specific meaning):

  • dataname

    The ticker to download (‘YHOO’ for Yahoo own stock quotes)

  • baseurl

    The server url. Someone might decide to open a Yahoo compatible service in the future.

  • proxies

    A dict indicating which proxy to go through for the download as in {‘http’: ‘http://myproxy.com‘} or {‘http’: ‘http://127.0.0.1:8080‘}

  • period

    The timeframe to download data in. Pass ‘w’ for weekly and ‘m’ for monthly.

  • buffered

    If True the entire socket connection wil be buffered locally before parsing starts.

  • reverse

    Yahoo returns the data with last dates first (against all industry standards) and it must be reversed for it to work. Should this Yahoo standard change, the parameter is available.

  • adjclose

    Whether to use the dividend/split adjusted close and adjust all values according to it.

  • urlhist

    The url of the historical quotes in Yahoo Finance used to gather a crumb authorization cookie for the download

  • urldown

    The url of the actual download server

  • retries

    Number of times (each) to try to get a crumb cookie and download the data

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:

YahooLegacyCSV

This is intended to load files which were downloaded before Yahoo discontinued the original service in May-2017

Lines:
  • close
  • low
  • high
  • open
  • volume
  • openinterest
  • datetime
Params:
  • dataname (None)
  • name ()
  • compression (1)
  • timeframe (5)
  • fromdate (None)
  • todate (None)
  • sessionstart (None)
  • sessionend (None)
  • filters ([])
  • tz (None)
  • tzinput (None)
  • qcheck (0.0)
  • calendar (None)
  • headers (True)
  • separator (,)
  • reverse (False)
  • adjclose (True)
  • round (True)
  • decimals (2)
  • version ()
  • swapcloses (False)