contract_prices_from_csv_to_arctic.py

from syscore.constants import arg_not_supplied
from syscore.dateutils import MIXED_FREQ, HOURLY_FREQ, DAILY_PRICE_FREQ
from syscore.pandas.frequency import merge_data_with_different_freq
from sysdata.csv.csv_futures_contract_prices import csvFuturesContractPriceData
from sysproduction.data.prices import diagPrices
from sysobjects.contracts import futuresContract

diag_prices = diagPrices()


def init_db_with_csv_futures_contract_prices(
    datapath: str,
    csv_config=arg_not_supplied,
    frequency=MIXED_FREQ,
):
    csv_prices = csvFuturesContractPriceData(datapath)
    input(
        "WARNING THIS WILL ERASE ANY EXISTING DATABASE PRICES WITH DATA FROM %s ARE YOU SURE?! (CTRL-C TO STOP)"
        % csv_prices.datapath
    )

    instrument_codes = (
        csv_prices.get_list_of_instrument_codes_with_price_data_at_frequency(frequency)
    )
    instrument_codes.sort()
    for instrument_code in instrument_codes:
        init_db_with_csv_futures_contract_prices_for_code(
            instrument_code, datapath, csv_config=csv_config, frequency=frequency
        )


def init_db_with_csv_futures_contract_prices_for_code(
    instrument_code: str,
    datapath: str,
    csv_config=arg_not_supplied,
    frequency=MIXED_FREQ,
):
    print(instrument_code)
    csv_prices = csvFuturesContractPriceData(datapath, config=csv_config)
    db_prices = diag_prices.db_futures_contract_price_data

    print(f"Getting {frequency} .csv prices may take some time")
    csv_price_dict = csv_prices.get_prices_at_frequency_for_instrument(
        instrument_code, frequency
    )

    print(f"Have {frequency} .csv prices for the following contracts:")
    print(str(csv_price_dict.keys()))

    for contract_date_str, prices_for_contract in csv_price_dict.items():
        print("Processing %s" % contract_date_str)
        print(".csv prices are \n %s" % str(prices_for_contract))
        contract = futuresContract(instrument_code, contract_date_str)
        print("Contract object is %s" % str(contract))
        print("Writing to db")
        db_prices.write_prices_at_frequency_for_contract_object(
            contract,
            prices_for_contract,
            ignore_duplication=True,
            frequency=frequency,
        )
        print(f"Reading back {frequency} prices from db to check")
        written_prices = db_prices.get_prices_at_frequency_for_contract_object(
            contract, frequency=frequency
        )
        print("Read back prices are \n %s" % str(written_prices))

        # if we're importing hourly or daily, we need to also generate MIXED
        if frequency != MIXED_FREQ:
            create_merged_prices(contract)


def create_merged_prices(contract):
    db_prices = diag_prices.db_futures_contract_price_data
    if db_prices.has_price_data_for_contract_at_frequency(
        contract, DAILY_PRICE_FREQ
    ) and db_prices.has_price_data_for_contract_at_frequency(contract, HOURLY_FREQ):
        print(f"DB has hourly and daily prices for {contract}, creating merged prices")
        list_of_data = [
            diag_prices.get_prices_at_frequency_for_contract_object(
                contract,
                frequency=frequency,
            )
            for frequency in [HOURLY_FREQ, DAILY_PRICE_FREQ]
        ]
        merged_prices = merge_data_with_different_freq(list_of_data)
        print("Writing to db")
        db_prices.write_prices_at_frequency_for_contract_object(
            contract, merged_prices, frequency=MIXED_FREQ, ignore_duplication=True
        )
        print("Reading back prices from db to check")
        written_merged_prices = db_prices.get_prices_at_frequency_for_contract_object(
            contract, frequency=MIXED_FREQ
        )

        print(f"Read back prices (MIXED) are \n{str(written_merged_prices)}")


if __name__ == "__main__":
    input("Will overwrite existing prices are you sure?! CTL-C to abort")
    # modify flags as required
    datapath = "*** NEED TO DEFINE A DATAPATH***"
    init_db_with_csv_futures_contract_prices(datapath)
    # init_db_with_csv_futures_contract_prices(datapath, frequency=HOURLY_FREQ)
    # init_db_with_csv_futures_contract_prices(datapath, frequency=DAILY_PRICE_FREQ)