Source code for qf_lib.data_providers.prefetching_data_provider

#     Copyright 2016-present CERN – European Organization for Nuclear Research
#     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
#     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
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from datetime import datetime
from typing import Sequence, Union

from qf_lib.common.enums.expiration_date_field import ExpirationDateField

from qf_lib.common.enums.frequency import Frequency
from qf_lib.common.enums.price_field import PriceField
from qf_lib.common.tickers.tickers import Ticker
from qf_lib.common.utils.miscellaneous.to_list_conversion import convert_to_list
from qf_lib.containers.futures.future_tickers.future_ticker import FutureTicker
from qf_lib.data_providers.helpers import chain_tickers_within_range
from qf_lib.data_providers.preset_data_provider import PresetDataProvider
from qf_lib.data_providers.data_provider import DataProvider

[docs]class PrefetchingDataProvider(PresetDataProvider): """ Optimises running of the DataProvider by pre-fetching all the data at startup and then using the cached data instead of sending over-the-network requests every time the data is requested. If not all data requested is available the ValueError will be raised. Parameters ----------- data_provider: DataProvider data provider used to download the data tickers: Ticker, Sequence[Ticker] one or a list of tickers, used further to download the futures contracts related data. The list can contain either Tickers or FutureTickers. In case of the Tickers, simply the given fields are being downloaded and stored using the PresetDataProvider. In case of the FutureTickers, the future chain tickers and their corresponding prices are being downloaded and stored. fields: PriceField, Sequence[PriceField] fields that should be downloaded start_date: datetime first date to be downloaded end_date: datetime last date to be downloaded frequency: Frequency frequency of the data """ def __init__(self, data_provider: DataProvider, tickers: Union[Ticker, Sequence[Ticker]], fields: Union[PriceField, Sequence[PriceField]], start_date: datetime, end_date: datetime, frequency: Frequency): # Convert fields into list in order to return a QFDataArray as the result of get_price function fields, _ = convert_to_list(fields, PriceField) # Convert the tickers to list and remove duplicates tickers, _ = convert_to_list(tickers, Ticker) tickers = list(dict.fromkeys(tickers)) future_tickers = [ticker for ticker in tickers if isinstance(ticker, FutureTicker)] non_future_tickers = [ticker for ticker in tickers if not isinstance(ticker, FutureTicker)] exp_dates = None all_tickers = non_future_tickers if future_tickers: exp_dates = data_provider.get_futures_chain_tickers(future_tickers, ExpirationDateField.all_dates()) # Filter out all theses specific future contracts, which expired before start_date for ft in future_tickers: all_tickers.extend(chain_tickers_within_range(ft, exp_dates[ft], start_date, end_date)) data_array = data_provider.get_price(all_tickers, fields, start_date, end_date, frequency) super().__init__(data=data_array, exp_dates=exp_dates, start_date=start_date, end_date=end_date, frequency=frequency)