Comments (8)
hootnot
commented on June 3, 2024
1
I'm not a panda's guru, but it could be something like this:
from __future__ import print_function
import json
import oandapyV20
from oandapyV20 import API
import oandapyV20.endpoints.instruments as v20instruments
import numpy as np
import pandas as pd
from collections import OrderedDict
token = "..."
accountID = "..."
def DataFrameFactory(r, colmap=None, conv=None):
def convrec(r, m):
"""convrec - convert OANDA candle record.
return array of values, dynamically constructed, corresponding with config in mapping m.
"""
v = []
for keys in [x.split(":") for x in m.keys()]:
_v = r.get(keys[0])
for k in keys[1:]:
_v = _v.get(k)
v.append(_v)
return v
record_converter = convrec if conv is None else conv
column_map_ohlcv = OrderedDict([
('time', 'D'),
('mid:o', 'O'),
('mid:h', 'H'),
('mid:l', 'L'),
('mid:c', 'C'),
('volume', 'V')
])
cmap = column_map_ohlcv if colmap is None else colmap
df = pd.DataFrame([list(record_converter(rec, cmap)) for rec in r.get('candles')])
df.columns = list(cmap.values())
#df.rename(columns=colmap, inplace=True) # no need to use rename, cmap values are ordered
df.set_index(pd.DatetimeIndex(df['D']), inplace=True)
del df['D']
df = df.apply(pd.to_numeric) # OANDA returns string values: make all numeric
return df
if __name__ == "__main__":
api = API(access_token=token)
params = {
"count": 50,
"granularity": "D"
}
instruments = ["EUR_USD", "EUR_GBP"]
df = dict()
for instr in instruments:
try:
r = v20instruments.InstrumentsCandles(instrument=instr,
params=params)
api.request(r)
except Exception as err:
print("Error: {}".format(err))
exit(2)
else:
df.update({instr: DataFrameFactory(r.response)})
# Do something with the dataframes
for I in instruments:
print(df[I].head())
print(df['EUR_USD'].iloc[4])
print(df['EUR_USD'].loc["2017-08-20 21:00:00"])
print(df['EUR_USD'].loc["2017-08-20 21:00:00"]['C'] * 10 )will give output:
O H L C V
D
2017-08-14T21:00:00.000000000Z 1.17799 1.17928 1.16873 1.17350 46708
2017-08-15T21:00:00.000000000Z 1.17347 1.17790 1.16813 1.17676 58174
2017-08-16T21:00:00.000000000Z 1.17659 1.17902 1.16622 1.17242 61016
2017-08-17T21:00:00.000000000Z 1.17219 1.17749 1.17087 1.17607 59562
2017-08-20T21:00:00.000000000Z 1.17550 1.18280 1.17314 1.18146 33113
O H L C V
D
2017-08-14T21:00:00.000000000Z 0.90864 0.91328 0.90509 0.91184 20442
2017-08-15T21:00:00.000000000Z 0.91193 0.91430 0.90828 0.91282 21589
2017-08-16T21:00:00.000000000Z 0.91276 0.91367 0.90634 0.91105 21697
2017-08-17T21:00:00.000000000Z 0.91080 0.91494 0.90911 0.91334 20655
2017-08-20T21:00:00.000000000Z 0.91347 0.91620 0.91112 0.91591 13605
Switching the conversion from ohlcv to cv by changing:
df.update({instr: DataFrameFactory(r.response,
column_map_cv # <--
)})
Close Volume
Time
2017-08-14T21:00:00.000000000Z 1.17350 46708
2017-08-15T21:00:00.000000000Z 1.17676 58174
2017-08-16T21:00:00.000000000Z 1.17242 61016
2017-08-17T21:00:00.000000000Z 1.17607 59562
2017-08-20T21:00:00.000000000Z 1.18146 33113
Close Volume
Time
2017-08-14T21:00:00.000000000Z 0.91184 20442
2017-08-15T21:00:00.000000000Z 0.91282 21589
2017-08-16T21:00:00.000000000Z 0.91105 21697
2017-08-17T21:00:00.000000000Z 0.91334 20655
2017-08-20T21:00:00.000000000Z 0.91591 13605
from oanda-api-v20.
hootnot
commented on June 3, 2024
@hapiri Hi, I will see to provide you an example
from oanda-api-v20.
aleksandermajos
commented on June 3, 2024
By the way - exelent job with this Framework.It will be great to have example with convert to DataFrame , CSV and NDArray.
from oanda-api-v20.
hootnot
commented on June 3, 2024
CSV is just a variant on the above:
def CSVFactory(response, colmap, conv, delim=","):
for rec in response.get('candles'):
yield delim.join([str(x) for x in list(conv(rec, colmap))])and in main:
for _r in CSVFactory(r.response, column_map_ohlcv, convrec):
print(_r)will give:
...
2017-10-12T21:00:00.000000000Z,0.89289,0.89378,0.88761,0.88985,24663
2017-10-15T21:00:00.000000000Z,0.88814,0.89228,0.88560,0.89018,17034
2017-10-16T21:00:00.000000000Z,0.89024,0.89300,0.88574,0.89198,20783
2017-10-17T21:00:00.000000000Z,0.89218,0.89470,0.88996,0.89264,17805
2017-10-18T21:00:00.000000000Z,0.89290,0.90128,0.89248,0.90060,21466
2017-10-19T21:00:00.000000000Z,0.90076,0.90226,0.89242,0.89314,22763
...
2017-08-14T21:00:00.000000000Z,1.17350,46708
2017-08-15T21:00:00.000000000Z,1.17676,58174
2017-08-16T21:00:00.000000000Z,1.17242,61016
2017-08-17T21:00:00.000000000Z,1.17607,59562
2017-08-20T21:00:00.000000000Z,1.18146,33113
2017-08-21T21:00:00.000000000Z,1.17615,36600
pass delim to set another delimiter
from oanda-api-v20.
aleksandermajos
commented on June 3, 2024
Thank You
from oanda-api-v20.
hootnot
commented on June 3, 2024
... will see to integrate under oandapyV20.contrib.... factories
from oanda-api-v20.
ManPython
commented on June 3, 2024
for i in range(bars):
P = df['EUR_USD']['D'][i]) #D as Date time column
You can get error
File "C:\Python27\lib\site-packages\pandas\core\frame.py", line 2059, in getitem
return self._getitem_column(key)
File "C:\Python27\lib\site-packages\pandas\core\frame.py", line 2066, in _getitem_column
return self._get_item_cache(key)
File "C:\Python27\lib\site-packages\pandas\core\generic.py", line 1386, in _get_item_cache
values = self._data.get(item)
File "C:\Python27\lib\site-packages\pandas\core\internals.py", line 3543, in get
loc = self.items.get_loc(item)
File "C:\Python27\lib\site-packages\pandas\indexes\base.py", line 2136, in get_loc
return self._engine.get_loc(self._maybe_cast_indexer(key))
File "pandas\index.pyx", line 132, in pandas.index.IndexEngine.get_loc (pandas\index.c:4433)
File "pandas\index.pyx", line 154, in pandas.index.IndexEngine.get_loc (pandas\index.c:4279)
File "pandas\src\hashtable_class_helper.pxi", line 732, in pandas.hashtable.PyObjectHashTable.get_item (pandas\hashtable.c:13742)
File "pandas\src\hashtable_class_helper.pxi", line 740, in pandas.hashtable.PyObjectHashTable.get_item (pandas\hashtable.c:13696)
KeyError: 'D'
If you planing some lib to use/integrate pandas should be implemented some solution to remove unicode eg
for i in range(bars):
P = float(df['EUR_USD']['C'][i])) #P as Price C as Close
from oanda-api-v20.
hootnot
commented on June 3, 2024
Hi @ManPython,
Since I use:
df.set_index(pd.DatetimeIndex(df['D']), inplace=True)
del df['D']
the dataframe has a datetimeindex and the 'D' column doesn't exist anymore. Rows can be accessed using loc, iloc and iterrows():
print(df['EUR_USD'].iloc[4]) # 5th record
print(df['EUR_USD'].loc["2017-10-18 21:00:00"]) # 5th record by date
To get rid of the float conversion I added:
df = df.apply(pd.to_numeric)
from oanda-api-v20.
Related Issues (20)
- PositionClose HOT 2
- Streaming OHLC data? HOT 3
- `InstrumentsCandles` Returns Candles from a few days ago HOT 1
- Unit not accepting less than 1 HOT 2
- Expiry time on Stop order not correct HOT 1
- Allow floats as unit size instead of integers HOT 3
- Proxy uses HTTP and not HTTPS HOT 1
- daily candles seem to be shifted one day HOT 1
- ContentDecodingError with InstrumentsCandles HOT 3
- API Connection keeps closing HOT 2
- Wrong implementation of units - "rejectReason":"UNITS_INVALID" HOT 1
- Client Access Not working for Instruments call or any data call HOT 1
- question for Feite HOT 1
- question for hootnot 2 HOT 1
- Keep on getting `The provided request was forbidden` error. HOT 4
- question for feit HOT 1
- asyncio support?
- Extend the pricing endpoints
- Add asyncio support
- Wrong bar values?
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