Module backtrader.feeds.quandl

Classes

class Quandl (*args, **kwargs)

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

Expand source code

class Quandl(QuandlCSV):
    '''
    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``

      '''

    _online = True  # flag to avoid double reversal

    params = (
        ('baseurl', 'https://www.quandl.com/api/v3/datasets'),
        ('proxies', {}),
        ('buffered', True),
        ('reverse', True),
        ('apikey', None),
        ('dataset', 'WIKI'),
    )

    def start(self):
        self.error = None

        url = '{}/{}/{}.csv'.format(
            self.p.baseurl, self.p.dataset, urlquote(self.p.dataname))

        urlargs = []
        if self.p.reverse:
            urlargs.append('order=asc')

        if self.p.apikey is not None:
            urlargs.append('api_key={}'.format(self.p.apikey))

        if self.p.fromdate:
            dtxt = self.p.fromdate.strftime('%Y-%m-%d')
            urlargs.append('start_date={}'.format(dtxt))

        if self.p.todate:
            dtxt = self.p.todate.strftime('%Y-%m-%d')
            urlargs.append('end_date={}'.format(dtxt))

        if urlargs:
            url += '?' + '&'.join(urlargs)

        if self.p.proxies:
            proxy = ProxyHandler(self.p.proxies)
            opener = build_opener(proxy)
            install_opener(opener)

        try:
            datafile = urlopen(url)
        except IOError as e:
            self.error = str(e)
            # leave us empty
            return

        if datafile.headers['Content-Type'] != 'text/csv':
            self.error = 'Wrong content type: %s' % datafile.headers
            return  # HTML returned? wrong url?

        if self.params.buffered:
            # buffer everything from the socket into a local buffer
            f = io.StringIO(datafile.read().decode('utf-8'), newline=None)
            datafile.close()
        else:
            f = datafile

        self.f = f

        # Prepared a "path" file -  CSV Parser can take over
        super(Quandl, self).start()

Ancestors

• QuandlCSV
• CSVDataBase
• DataBase
• AbstractDataBase
• OHLCDateTime
• OHLC
• DataSeries
• LineSeries
• LineMultiple
• LineRoot

Class variables

var alias

var aliased

var frompackages

var linealias

var packages

var params

var plotinfo

var plotlines

Methods

def start(self)

Expand source code

def start(self):
    self.error = None

    url = '{}/{}/{}.csv'.format(
        self.p.baseurl, self.p.dataset, urlquote(self.p.dataname))

    urlargs = []
    if self.p.reverse:
        urlargs.append('order=asc')

    if self.p.apikey is not None:
        urlargs.append('api_key={}'.format(self.p.apikey))

    if self.p.fromdate:
        dtxt = self.p.fromdate.strftime('%Y-%m-%d')
        urlargs.append('start_date={}'.format(dtxt))

    if self.p.todate:
        dtxt = self.p.todate.strftime('%Y-%m-%d')
        urlargs.append('end_date={}'.format(dtxt))

    if urlargs:
        url += '?' + '&'.join(urlargs)

    if self.p.proxies:
        proxy = ProxyHandler(self.p.proxies)
        opener = build_opener(proxy)
        install_opener(opener)

    try:
        datafile = urlopen(url)
    except IOError as e:
        self.error = str(e)
        # leave us empty
        return

    if datafile.headers['Content-Type'] != 'text/csv':
        self.error = 'Wrong content type: %s' % datafile.headers
        return  # HTML returned? wrong url?

    if self.params.buffered:
        # buffer everything from the socket into a local buffer
        f = io.StringIO(datafile.read().decode('utf-8'), newline=None)
        datafile.close()
    else:
        f = datafile

    self.f = f

    # Prepared a "path" file -  CSV Parser can take over
    super(Quandl, self).start()

Inherited members

• QuandlCSV:
  • addminperiod
  • compensate
  • get_notifications
  • incminperiod
  • islive
  • lines
  • minbuffer
  • next
  • nextstart
  • once
  • oncestart
  • prenext
  • preonce
  • put_notification
  • qbuffer
  • setenvironment
  • setminperiod
  • updateminperiod

class QuandlCSV (*args, **kwargs)

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

Expand source code

class QuandlCSV(feed.CSVDataBase):
    '''
    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
    '''
    _online = False  # flag to avoid double reversal

    params = (
        ('reverse', False),
        ('adjclose', True),
        ('round', False),
        ('decimals', 2),
    )

    def start(self):
        super(QuandlCSV, self).start()

        if not self.params.reverse:
            return
        elif self._online:
            return  # revers is True but also online, managed with order=asc

        # Quandl data can be in reverse order -> reverse
        dq = collections.deque()
        for line in self.f:
            dq.appendleft(line)

        f = io.StringIO(newline=None)
        f.writelines(dq)
        f.seek(0)
        self.f.close()
        self.f = f

    def _loadline(self, linetokens):
        i = itertools.count(0)

        dttxt = linetokens[next(i)]  # YYYY-MM-DD
        dt = date(int(dttxt[0:4]), int(dttxt[5:7]), int(dttxt[8:10]))
        dtnum = date2num(datetime.combine(dt, self.p.sessionend))

        self.lines.datetime[0] = dtnum
        if self.p.adjclose:
            for _ in range(7):
                next(i)  # skip ohlcv, ex-dividend, split ratio

        o = float(linetokens[next(i)])
        h = float(linetokens[next(i)])
        l = float(linetokens[next(i)])
        c = float(linetokens[next(i)])
        v = float(linetokens[next(i)])
        self.lines.openinterest[0] = 0.0

        if self.p.round:
            decimals = self.p.decimals
            o = round(o, decimals)
            h = round(h, decimals)
            l = round(l, decimals)
            c = round(c, decimals)
            v = round(v, decimals)

        self.lines.open[0] = o
        self.lines.high[0] = h
        self.lines.low[0] = l
        self.lines.close[0] = c
        self.lines.volume[0] = v

        return True

Ancestors

• CSVDataBase
• DataBase
• AbstractDataBase
• OHLCDateTime
• OHLC
• DataSeries
• LineSeries
• LineMultiple
• LineRoot

Subclasses

• Quandl

Class variables

var alias

var aliased

var frompackages

var linealias

var packages

var params

var plotinfo

var plotlines

Methods

def start(self)

Expand source code

def start(self):
    super(QuandlCSV, self).start()

    if not self.params.reverse:
        return
    elif self._online:
        return  # revers is True but also online, managed with order=asc

    # Quandl data can be in reverse order -> reverse
    dq = collections.deque()
    for line in self.f:
        dq.appendleft(line)

    f = io.StringIO(newline=None)
    f.writelines(dq)
    f.seek(0)
    self.f.close()
    self.f = f

Inherited members

• CSVDataBase:
  • addminperiod
  • compensate
  • get_notifications
  • incminperiod
  • islive
  • lines
  • minbuffer
  • next
  • nextstart
  • once
  • oncestart
  • prenext
  • preonce
  • put_notification
  • qbuffer
  • setenvironment
  • setminperiod
  • updateminperiod