feed

Documentation

Index

• func ParseSchedule(s string) ([]int, error)
• type Backfill
  • func NewBackfill(symbolManager symbols.Manager, apiClient GetMultiBarsAPIClient, ...) *Backfill
  • func (b *Backfill) UpdateSymbols()
• type DefaultMarketTimeChecker
  • func NewDefaultMarketTimeChecker(closedDaysOfTheWeek []time.Weekday, closedDays []time.Time, ...) *DefaultMarketTimeChecker
  • func (m *DefaultMarketTimeChecker) IsOpen(t time.Time) bool
  • func (m *DefaultMarketTimeChecker) Sub(dateInJST time.Time, businessDay int) (time.Time, error)
• type GetMultiBarsAPIClient
• type GetSnapShotsAPIClient
• type MarketTimeChecker
• type ScheduledMarketTimeChecker
  • func NewScheduledMarketTimeChecker(mtc MarketTimeChecker, scheduleMin []int) *ScheduledMarketTimeChecker
  • func (c *ScheduledMarketTimeChecker) IsOpen(t time.Time) bool
• type Worker
  • func (w *Worker) Run()

Functions

func ParseSchedule

func ParseSchedule(s string) ([]int, error)

ParseSchedule checks comma-separated numbers in a string format and returns the list of minutes that data feeding is executed. Examples: "0,15,30,45" -> [0,15,30,45] (the data feeding must be executed every 15 minutes) "50,10" -> [10, 50] " 20, 40 " -> [20, 40] (whitespaces are ignored) "20" -> [20] (00:10, 01:10, ..., 23:10) "100" -> error (minute must be between 0 and 59) "One" -> error (numbers must be used) "0-10" -> error (range is not supported).

Types

type Backfill

type Backfill struct {
	// contains filtered or unexported fields
}

Backfill aggregates daily chart data using Alpava v2 API and store it to marketstore.

func NewBackfill

func NewBackfill(symbolManager symbols.Manager, apiClient GetMultiBarsAPIClient, barWriter writer.BarWriter,
	since time.Time, maxBarsPerReq, maxSymbolsPerReq int,
) *Backfill

NewBackfill initializes the module to backfill the historical daily chart data to marketstore. Alpaca API spec: maxBarsPerRequest: 1000 bars per symbol per request at maximum Alpaca API spec: maxSymbolsPerRequest: 100 symbols per request at maximum.

func (*Backfill) UpdateSymbols

func (b *Backfill) UpdateSymbols()

UpdateSymbols aggregates daily chart data since the specified date and store it to "{symbol}/{timeframe}/OHLCV" bucket in marketstore.

type DefaultMarketTimeChecker

type DefaultMarketTimeChecker struct {
	// i.e. []string{"Saturday", "Sunday"}
	ClosedDaysOfTheWeek        []time.Weekday
	ClosedDays                 []time.Time
	OpenHourNY, OpenMinuteNY   int
	CloseHourNY, CloseMinuteNY int
}

DefaultMarketTimeChecker is an implementation for MarketTimeChecker object. this checker checks the followings: - the market is open at this days of the week - the market is open at this time - the market is open today (= check if today is a holiday or not) all those settings should be defined in this object.

func NewDefaultMarketTimeChecker

func NewDefaultMarketTimeChecker(
	closedDaysOfTheWeek []time.Weekday,
	closedDays []time.Time,
	openHourNY, openMinuteNY int,
	closeHourNY, closeMinuteNY int,
) *DefaultMarketTimeChecker

NewDefaultMarketTimeChecker initializes the DefaultMarketTimeChecker object with the specifier parameters.s.

func (*DefaultMarketTimeChecker) IsOpen

func (m *DefaultMarketTimeChecker) IsOpen(t time.Time) bool

IsOpen returns true on weekdays from 08:55 to 15:10. if closedDates are defined, return false on those days.

func (*DefaultMarketTimeChecker) Sub

func (m *DefaultMarketTimeChecker) Sub(dateInJST time.Time, businessDay int) (time.Time, error)

Sub returns a date before X business days (= days which market is open). businessDay should be a positive value.

type GetMultiBarsAPIClient

type GetMultiBarsAPIClient interface {
	GetMultiBars(symbols []string, params api.GetBarsParams) (map[string][]api.Bar, error)
}

type GetSnapShotsAPIClient

type GetSnapShotsAPIClient interface {
	GetSnapshots(symbols []string) (map[string]*api.Snapshot, error)
}

type MarketTimeChecker

type MarketTimeChecker interface {
	IsOpen(t time.Time) bool
	// Sub returns a date after X business day (= day which market is open). businessDay can be a negative value.
	Sub(date time.Time, businessDay int) (time.Time, error)
}

MarketTimeChecker is an interface to check if the market is open at the specified time or not.

type ScheduledMarketTimeChecker

type ScheduledMarketTimeChecker struct {
	MarketTimeChecker
	// LastTime holds the last time that IntervalTimeChceker.IsOpen returned true.
	LastTime    time.Time
	ScheduleMin []int
}

ScheduledMarketTimeChecker is used where periodic processing is needed to run even when the market is closed.

func NewScheduledMarketTimeChecker

func NewScheduledMarketTimeChecker(
	mtc MarketTimeChecker,
	scheduleMin []int,
) *ScheduledMarketTimeChecker

func (*ScheduledMarketTimeChecker) IsOpen

func (c *ScheduledMarketTimeChecker) IsOpen(t time.Time) bool

IsOpen returns true when the market is open or the interval elapsed since LastTime.

type Worker

type Worker struct {
	MarketTimeChecker MarketTimeChecker
	APIClient         GetSnapShotsAPIClient
	SymbolManager     symbols.Manager
	SnapshotWriter    writer.SnapshotWriter
	BarWriter         writer.BarWriter
	Interval          int
}

Worker is the main worker instance. It implements bgworker.Run().

func (*Worker) Run

func (w *Worker) Run()

Run runs forever to get quotes data for each symbol in the target exchanges using Alpaca API periodically, and writes the data to the local marketstore server.