PresetDataProvider

class qf_lib.data_providers.preset_data_provider.PresetDataProvider(data: QFDataArray, start_date: datetime, end_date: datetime, frequency: Frequency, exp_dates: Dict[FutureTicker, QFDataFrame] = None, timer: Optional[Timer] = None)[source]

Bases: AbstractPriceDataProvider, FuturesDataProvider

Wrapper on QFDataArray which makes it a DataProvider.

Parameters:

data – data to be wrapped, indexed by date, (specific) tickers and fields
start_date – beginning of the cached period (not necessarily the first date in the data)
end_date – end of the cached period (not necessarily the last date in the data)
frequency – frequency of the data
exp_dates – dictionary mapping FutureTickers to QFDataFrame of contracts expiration dates, belonging to the certain future ticker family

Methods:

`expiration_date_field_str_map`([ticker])	Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers.
`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, fields, start_date[, ...])	Gets historical attributes (fields) of different securities (tickers).
`get_price`(tickers, fields, start_date[, ...])	Gets adjusted historical Prices (Open, High, Low, Close) and Volume
`historical_price`(tickers, fields, nr_of_bars)	Returns the latest available data samples, which simply correspond to the last available <nr_of_bars> number of bars.
`price_field_to_str_map`()	Method has to be implemented in each data provider in order to be able to use get_price.
`supported_ticker_types`()	Returns classes of tickers which are supported by this DataProvider.

expiration_date_field_str_map(ticker: Ticker = None) → Dict[ExpirationDateField, str][source]

Method has to be implemented in each data provider in order to be able to use get_futures_chain_tickers. Returns dictionary containing mapping between ExpirationDateField and corresponding string that has to be used by get_futures_chain_tickers method.

Parameters:: ticker (None, Ticker) – ticker is optional and might be uses by particular data providers to create appropriate dictionary
Returns:: mapping between ExpirationDateField and corresponding strings
Return type:: Dict[ExpirationDateField, str]

get_futures_chain_tickers(tickers: Union[FutureTicker, Sequence[FutureTicker]], expiration_date_fields: Union[ExpirationDateField, Sequence[ExpirationDateField]]) → Dict[FutureTicker, Union[QFSeries, 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 QFDataFrame, consisting of the expiration dates of Future Contracts: Dict[FutureTicker, QFDataFrame]]. The 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, QFDataFrame]

get_history(tickers: Union[Ticker, Sequence[Ticker]], fields: Union[Any, Sequence[Any]], start_date: datetime, end_date: datetime = None, frequency: Frequency = None, look_ahead_bias: bool = False, **kwargs) → Union[QFSeries, QFDataFrame, QFDataArray][source]

Gets historical attributes (fields) of different securities (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.
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
look_ahead_bias (bool) – if set to False, the look-ahead bias will be taken care of to make sure no future data is returned
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 a QFDataArray, data of lower dimensionality will be returned. The results will be either a 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), a QFSeries (with 1 dimensions: date) or a float / str (in case if a single ticker, field and date were provided). If no data is available in the database or a non existing ticker was provided an empty structure (nan, QFSeries, QFDataFrame or QFDataArray) will be returned.

Return type:

QFSeries, QFDataFrame, QFDataArray, float, str

get_price(tickers: Union[Ticker, Sequence[Ticker]], fields: Union[PriceField, Sequence[PriceField]], start_date: datetime, end_date: datetime = None, frequency: Frequency = None, look_ahead_bias: bool = False, **kwargs) → Union[None, PricesSeries, PricesDataFrame, 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
look_ahead_bias (False) – if set to False, no future data will be ever returned

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[Ticker, Sequence[Ticker]], fields: Union[PriceField, Sequence[PriceField]], nr_of_bars: int, end_date: Optional[datetime] = None, frequency: Frequency = None, **kwargs) → Union[PricesSeries, PricesDataFrame, 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

Return type:

PricesSeries, PricesDataFrame, QFDataArray

price_field_to_str_map() → Dict[PriceField, str][source]

Method has to be implemented in each data provider in order to be able to use get_price. Returns dictionary containing mapping between PriceField and corresponding string that has to be used by get_history method to get appropriate type of price series.

Returns:: mapping between PriceFields and corresponding strings
Return type:: Dict[PriceField, str]

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