DataProvider¶

class qf_lib.data_providers.data_provider.DataProvider[source]¶

Bases: object

An interface for data providers (for example AbstractPriceDataProvider or GeneralPriceProvider).

Methods

`get_futures_chain_tickers`(tickers, …)	Returns tickers of futures contracts, which belong to the same futures contract chain as the provided ticker (tickers), along with their expiration dates in form of a QFSeries or QFDataFrame.
`get_history`(tickers, …)	Gets historical attributes (fields) of different securities (tickers).
`get_last_available_price`(tickers, …)	Gets the latest available price for given assets as of end_time.
`get_price`(tickers, …)	Gets adjusted historical Prices (Open, High, Low, Close) and Volume
`historical_price`(tickers, …)	Returns the latest available data samples, which simply correspond to the last available <nr_of_bars> number of bars.
`supported_ticker_types`()	Returns classes of tickers which are supported by this DataProvider.

abstract get_futures_chain_tickers(tickers: Union[qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker, Sequence[qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker]], expiration_date_fields: Union[qf_lib.common.enums.expiration_date_field.ExpirationDateField, Sequence[qf_lib.common.enums.expiration_date_field.ExpirationDateField]]) → Dict[qf_lib.containers.futures.future_tickers.future_ticker.FutureTicker, Union[qf_lib.containers.series.qf_series.QFSeries, qf_lib.containers.dataframe.qf_dataframe.QFDataFrame]][source]¶

Returns tickers of futures contracts, which belong to the same futures contract chain as the provided ticker (tickers), along with their expiration dates in form of a QFSeries or QFDataFrame.

Parameters

tickers (FutureTicker, Sequence[FutureTicker]) – tickers for which should the future chain tickers be retrieved
expiration_date_fields (ExpirationDateField, Sequence[ExpirationDateField]) – field that should be downloaded as the expiration date field, by default last tradeable date

Returns

Returns a dictionary, which maps Tickers to QFSeries, consisting of the expiration dates of Future Contracts: Dict[FutureTicker, Union[QFSeries, QFDataFrame]]]. The QFSeries’ / QFDataFrames contain the specific Tickers, which belong to the corresponding futures family, same as the FutureTicker, and are indexed by the expiration dates of the specific future contracts.

Return type

Dict[FutureTicker, Union[QFSeries, QFDataFrame]]

abstract get_history(tickers: Union[qf_lib.common.tickers.tickers.Ticker, Sequence[qf_lib.common.tickers.tickers.Ticker]], fields: Union[None, str, Sequence[str]], start_date: datetime.datetime, end_date: datetime.datetime = None, frequency: qf_lib.common.enums.frequency.Frequency = None, **kwargs) → Union[qf_lib.containers.series.qf_series.QFSeries, qf_lib.containers.dataframe.qf_dataframe.QFDataFrame, qf_lib.containers.qf_data_array.QFDataArray][source]¶

Gets historical attributes (fields) of different securities (tickers).

All the duplicate fields and tickers will be removed (the first occurrence will remain). This is crucial for having the expected behavior with using label-based indices. E.g. let’s assume there is a duplicate ticker ‘SPX Index’ in tickers list and the result data frame has two columns ‘SPX Index’. Then when someone runs result.loc[:, ‘SPX Index’], he expects to get a series of ‘SPX Index’ values. However he’ll get a data frame with two columns, both named ‘SPX Index’. If someone insists on keeping duplicate values in index/columns, then it’s possible to reindex the result (e.g. result.reindex(columns=tickers)).

Parameters

tickers (Ticker, Sequence[Ticker]) – tickers for securities which should be retrieved
fields (None, str, Sequence[str]) – fields of securities which should be retrieved. If None, all available fields will be returned (only supported by few DataProviders)
start_date (datetime) – date representing the beginning of historical period from which data should be retrieved
end_date (datetime) – date representing the end of historical period from which data should be retrieved; if no end_date was provided, by default the current date will be used
frequency (Frequency) – frequency of the data
kwargs – kwargs should not be used on the level of AbstractDataProvider. They are here to provide a common interface for all data providers since some of the specific data providers accept additional arguments

Returns

If possible the result will be squeezed, so that instead of returning QFDataArray, data of lower dimensionality will be returned. The results will be either an QFDataArray (with 3 dimensions: date, ticker, field), a QFDataFrame (with 2 dimensions: date, ticker or field; it is also possible to get 2 dimensions ticker and field if single date was provided) or QFSeries (with 1 dimensions: date). If no data is available in the database or an non existing ticker was provided an empty structure (QFSeries, QFDataFrame or QFDataArray) will be returned returned.

Return type

QFSeries, QFDataFrame, QFDataArray

get_last_available_price(tickers: Union[qf_lib.common.tickers.tickers.Ticker, Sequence[qf_lib.common.tickers.tickers.Ticker]], frequency: qf_lib.common.enums.frequency.Frequency, end_time: Optional[datetime.datetime] = None) → Union[float, qf_lib.containers.series.qf_series.QFSeries][source]¶

Gets the latest available price for given assets as of end_time.

Parameters

tickers (Ticker, Sequence[Ticker]) – tickers of the securities which prices should be downloaded
frequency (Frequency) – frequency of the data
end_time (datetime) – date which should be used as a base to compute the last available price. The parameter is optional and if not provided, the end_date will point to the current user time.

Returns

last_prices series where: - last_prices.name contains a date of current prices, - last_prices.index contains tickers - last_prices.data contains latest available prices for given tickers

Return type

float, pandas.Series

abstract get_price(tickers: Union[qf_lib.common.tickers.tickers.Ticker, Sequence[qf_lib.common.tickers.tickers.Ticker]], fields: Union[qf_lib.common.enums.price_field.PriceField, Sequence[qf_lib.common.enums.price_field.PriceField]], start_date: datetime.datetime, end_date: datetime.datetime = None, frequency: qf_lib.common.enums.frequency.Frequency = None) → Union[None, qf_lib.containers.series.prices_series.PricesSeries, qf_lib.containers.dataframe.prices_dataframe.PricesDataFrame, qf_lib.containers.qf_data_array.QFDataArray][source]¶

Gets adjusted historical Prices (Open, High, Low, Close) and Volume

Parameters

tickers (Ticker, Sequence[Ticker]) – tickers for securities which should be retrieved
fields (PriceField, Sequence[PriceField]) – fields of securities which should be retrieved
start_date (datetime) – date representing the beginning of historical period from which data should be retrieved
end_date (datetime) – date representing the end of historical period from which data should be retrieved; if no end_date was provided, by default the current date will be used
frequency (Frequency) – frequency of the data

Returns

If possible the result will be squeezed so that instead of returning QFDataArray (3-D structure), data of lower dimensionality will be returned. The results will be either an QFDataArray (with 3 dimensions: dates, tickers, fields), PricesDataFrame (with 2 dimensions: dates, tickers or fields. It is also possible to get 2 dimensions ticker and field if single date was provided), or PricesSeries with 1 dimension: dates. All the containers will be indexed with PriceField whenever possible (for example: instead of ‘Close’ column in the PricesDataFrame there will be PriceField.Close)

Return type

None, PricesSeries, PricesDataFrame, QFDataArray

historical_price(tickers: Union[qf_lib.common.tickers.tickers.Ticker, Sequence[qf_lib.common.tickers.tickers.Ticker]], fields: Union[qf_lib.common.enums.price_field.PriceField, Sequence[qf_lib.common.enums.price_field.PriceField]], nr_of_bars: int, end_date: Optional[datetime.datetime] = None, frequency: qf_lib.common.enums.frequency.Frequency = None) → Union[qf_lib.containers.series.prices_series.PricesSeries, qf_lib.containers.dataframe.prices_dataframe.PricesDataFrame, qf_lib.containers.qf_data_array.QFDataArray][source]¶

Returns the latest available data samples, which simply correspond to the last available <nr_of_bars> number of bars.

In case of intraday data and N minutes frequency, the most recent data may not represent exactly N minutes (if the whole bar was not available at this time). The time ranges are always aligned to the market open time. Non-zero seconds and microseconds are in the above case omitted (the output at 11:05:10 will be exactly the same as at 11:05).

Parameters

tickers (Ticker, Sequence[Ticker]) – ticker or sequence of tickers of the securities
fields (PriceField, Sequence[PriceField]) – PriceField or sequence of PriceFields of the securities
nr_of_bars (int) – number of data samples (bars) to be returned. Note: while requesting more than one ticker, some tickers may have fewer than n_of_bars data points
end_date (Optional[datetime]) – last date which should be considered in the query, the nr_of_bars that should be returned will always point to the time before end_date. The parameter is optional and if not provided, the end_date will point to the current user time.
frequency – frequency of the data

Returns

Return type

PricesSeries, PricesDataFrame, QFDataArray

abstract supported_ticker_types() → Set[Type[qf_lib.common.tickers.tickers.Ticker]][source]¶: Returns classes of tickers which are supported by this DataProvider.