barfeed – Bar providers

class pyalgotrade.barfeed.BaseBarFeed(frequency, maxLen=1024)

Bases: pyalgotrade.feed.BaseFeed

Base class for pyalgotrade.bar.Bar providing feeds.

Parameters:

• frequency –

  The bars frequency. Valid frequency values are:

  • barfeed.Frequency.TRADE
  • barfeed.Frequency.SECOND
  • barfeed.Frequency.MINUTE
  • barfeed.Frequency.HOUR
  • barfeed.Frequency.DAY
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

This is a base class and should not be used directly.

getNextBars()

Override to return the next pyalgotrade.bar.Bars in the feed or None if there are no bars.

Note

This is for BaseBarFeed subclasses and it should not be called directly.

getCurrentBars()

Returns the current pyalgotrade.bar.Bars.

getLastBar(instrument)

Returns the last pyalgotrade.bar.Bar for a given instrument, or None.

getDefaultInstrument()

Returns the default instrument.

getRegisteredInstruments()

Returns a list of registered intstrument names.

getDataSeries(instrument=None)

Returns the pyalgotrade.dataseries.bards.BarDataSeries for a given instrument.

Parameters:instrument (string.) – Instrument identifier. If None, the default instrument is returned. Return type:pyalgotrade.dataseries.bards.BarDataSeries.

CSV

class pyalgotrade.barfeed.csvfeed.BarFeed(frequency, maxLen=1024)

Bases: pyalgotrade.barfeed.membf.BarFeed

Base class for CSV file based pyalgotrade.barfeed.BarFeed.

Note

This is a base class and should not be used directly.

getDailyBarTime()

Returns the time to set to daily bars when that information is not present in CSV files. Defaults to 23:59:59.

Return type:datetime.time.

setDailyBarTime(time)

Sets the time to set to daily bars when that information is not present in CSV files.

Parameters:time (datetime.time.) – The time to set.

class pyalgotrade.barfeed.csvfeed.GenericBarFeed(frequency, timezone=None, maxLen=1024)

Bases: pyalgotrade.barfeed.csvfeed.BarFeed

A BarFeed that loads bars from CSV files that have the following format:

Date Time,Open,High,Low,Close,Volume,Adj Close
2013-01-01 00:59:59,13.51001,13.56,13.51,13.56,273.88014126,13.51001

Parameters:

• frequency – The frequency of the bars.
• timezone (A pytz timezone.) – The default timezone to use to localize bars. Check pyalgotrade.marketsession.
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

• It is ok if the Adj Close column is empty.
• Valid frequency parameter values are:

• pyalgotrade.barfeed.Frequency.MINUTE
• pyalgotrade.barfeed.Frequency.HOUR
• pyalgotrade.barfeed.Frequency.DAY

addBarsFromCSV(instrument, path, timezone=None)

Loads bars for a given instrument from a CSV formatted file. The instrument gets registered in the bar feed.

Parameters:

• instrument (string.) – Instrument identifier.
• path (string.) – The path to the CSV file.
• timezone (A pytz timezone.) – The timezone to use to localize bars. Check pyalgotrade.marketsession.

Yahoo! Finance

class pyalgotrade.barfeed.yahoofeed.Feed(timezone=None, maxLen=1024)

Bases: pyalgotrade.barfeed.csvfeed.BarFeed

A pyalgotrade.barfeed.csvfeed.BarFeed that loads bars from CSV files downloaded from Yahoo! Finance.

Parameters:

• timezone (A pytz timezone.) – The default timezone to use to localize bars. Check pyalgotrade.marketsession.
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

Yahoo! Finance csv files lack timezone information. When working with multiple instruments:

• If all the instruments loaded are in the same timezone, then the timezone parameter may not be specified.
• If any of the instruments loaded are from different timezones, then the timezone parameter must be set.

addBarsFromCSV(instrument, path, timezone=None)

Loads bars for a given instrument from a CSV formatted file. The instrument gets registered in the bar feed.

Parameters:

• instrument (string.) – Instrument identifier.
• path (string.) – The path to the CSV file.
• timezone (A pytz timezone.) – The timezone to use to localize bars. Check pyalgotrade.marketsession.

Ninja Trader

class pyalgotrade.barfeed.ninjatraderfeed.Feed(frequency, timezone=None, maxLen=1024)

Bases: pyalgotrade.barfeed.csvfeed.BarFeed

A pyalgotrade.barfeed.csvfeed.BarFeed that loads bars from CSV files exported from NinjaTrader.

Parameters:

• frequency – The frequency of the bars.
• timezone (A pytz timezone.) – The default timezone to use to localize bars. Check pyalgotrade.marketsession.
• maxLen (int.) – The maximum number of values that the pyalgotrade.dataseries.bards.BarDataSeries will hold. If not None, it must be greater than 0. Once a bounded length is full, when new items are added, a corresponding number of items are discarded from the opposite end.

Note

Valid frequency parameter values are:

• pyalgotrade.barfeed.Frequency.MINUTE
• pyalgotrade.barfeed.Frequency.DAY

addBarsFromCSV(instrument, path, timezone=None)

Loads bars for a given instrument from a CSV formatted file. The instrument gets registered in the bar feed.

Parameters:

• instrument (string.) – Instrument identifier.
• path (string.) – The path to the file.
• timezone (A pytz timezone.) – The timezone to use to localize bars. Check pyalgotrade.marketsession.