add MetaTrader csv format barfeed

pyalgotrade/barfeed/mt4feed.py

@@ -0,0 +1,112 @@
+# PyAlgoTrade
+#
+# Copyright 2012 Gabriel Martin Becedillas Ruiz
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#   http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+"""
+.. moduleauthor:: Svintsov Dmitry <[email protected]>
+"""
+
+from pyalgotrade import barfeed
+from pyalgotrade.barfeed import csvfeed
+from pyalgotrade import bar
+from pyalgotrade import dataseries
+
+import types
+import datetime
+
+######################################################################
+# MetaTrader CSV parser
+# Each bar must be on its own line and fields must be separated by comma (,).
+#
+# Bars Format:
+# Date,Time,Open,High,Low,Close,Volume
+#
+# The csv Date column must have the following format: YYYY.MM.DD
+# Time: HH:MM
+
+
+class RowParser(csvfeed.RowParser):
+    def __init__(self, dailyBarTime, timezone=None):
+        self.__dailyBarTime = dailyBarTime
+        self.__timezone = timezone
+
+    def __parseDate(self, dateString):
+        return datetime.datetime.strptime(dateString, "%Y.%m.%d %H:%M")
+
+    def getFieldNames(self):
+        # It is expected for the first row to have the field names.
+        return None
+
+    def getDelimiter(self):
+        return ","
+
+    def parseBar(self, csvRowDict):
+        time = csvRowDict["Time"]
+        dateTime = self.__parseDate(csvRowDict["Date"] + " " + time)
+        close = float(csvRowDict["Close"])
+        open_ = float(csvRowDict["Open"])
+        high = float(csvRowDict["High"])
+        low = float(csvRowDict["Low"])
+        volume = float(csvRowDict["Volume"])
+        return bar.BasicBar(dateTime, open_, high, low, close, volume, None)
+
+
+class Feed(csvfeed.BarFeed):
+    """A :class:`pyalgotrade.barfeed.csvfeed.BarFeed` that loads bars from CSV files downloaded from MetaTrader.
+
+    :param timezone: The default timezone to use to localize bars. Check :mod:`pyalgotrade.marketsession`.
+    :type timezone: A pytz timezone.
+    :param maxLen: The maximum number of values that the :class:`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.
+    :type maxLen: int.
+
+    .. note::
+        MetaTrader 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.
+    """
+
+    def __init__(self, timezone=None, maxLen=dataseries.DEFAULT_MAX_LEN):
+        if isinstance(timezone, types.IntType):
+            raise Exception("timezone as an int parameter is not supported anymore. Please use a pytz timezone instead.")
+
+        csvfeed.BarFeed.__init__(self, barfeed.Frequency.DAY, maxLen)
+        self.__timezone = timezone
+
+    def barsHaveAdjClose(self):
+        return False
+
+    def addBarsFromCSV(self, instrument, path, timezone=None):
+        """Loads bars for a given instrument from a CSV formatted file.
+        The instrument gets registered in the bar feed.
+
+        :param instrument: Instrument identifier.
+        :type instrument: string.
+        :param path: The path to the CSV file.
+        :type path: string.
+        :param timezone: The timezone to use to localize bars. Check :mod:`pyalgotrade.marketsession`.
+        :type timezone: A pytz timezone.
+        """
+
+        if isinstance(timezone, types.IntType):
+            raise Exception("timezone as an int parameter is not supported anymore. Please use a pytz timezone instead.")
+
+        if timezone is None:
+            timezone = self.__timezone
+        rowParser = RowParser(self.getDailyBarTime(), timezone)
+        csvfeed.BarFeed.addBarsFromCSV(self, instrument, path, rowParser)