finpy module ¶

FinPyData class ¶

FinPyData(
    wrapper,
    data,
    single_key=True,
    classes=None,
    level_name=None,
    fetch_kwargs=None,
    returned_kwargs=None,
    last_index=None,
    delisted=None,
    tz_localize=None,
    tz_convert=None,
    missing_index=None,
    missing_columns=None,
    **kwargs
)

Data class for fetching using findatapy.

See https://github.com/cuemacro/findatapy for API.

See FinPyData.fetch_symbol() for arguments.

Usage

Pull data (keyword argument format):

>>> data = vbt.FinPyData.pull(
...     "EURUSD",
...     start="14 June 2016",
...     end="15 June 2016",
...     timeframe="tick",
...     category="fx",
...     fields=["bid", "ask"],
...     data_source="dukascopy"
... )

Pull data (string format):

>>> data = vbt.FinPyData.pull(
...     "fx.dukascopy.tick.NYC.EURUSD.bid,ask",
...     start="14 June 2016",
...     end="15 June 2016",
... )

Superclasses

Inherited members

fetch_symbol class method ¶

FinPyData.fetch_symbol(
    symbol,
    market=None,
    market_config=None,
    start=None,
    end=None,
    timeframe=None,
    tz=None,
    **request_kwargs
)

Override Data.fetch_symbol() to fetch a symbol from findatapy.

Args

symbol : str

Symbol.

Also accepts the format such as "fx.bloomberg.daily.NYC.EURUSD.close". The fields freq, cut, tickers, and fields here are optional.

market : findatapy.market.market.Market

Market.

See FinPyData.resolve_market().

market_config : dict

Client config.

See FinPyData.resolve_market().

start : any

Start datetime.

See to_tzaware_datetime().

end : any

End datetime.

See to_tzaware_datetime().

timeframe : str

Timeframe.

Allows human-readable strings such as "15 minutes".

tz : any

Timezone.

See to_timezone().

**request_kwargs

Other keyword arguments passed to findatapy.market.marketdatarequest.MarketDataRequest.

For defaults, see custom.finpy in data. Global settings can be provided per exchange id using the exchanges dictionary.

list_symbols class method ¶

FinPyData.list_symbols(
    pattern=None,
    use_regex=False,
    sort=True,
    config_manager=None,
    config_manager_config=None,
    category=None,
    data_source=None,
    freq=None,
    cut=None,
    tickers=None,
    dict_filter=None,
    smart_group=False,
    return_fields=None,
    combine_parts=True
)

List all symbols.

Passes most arguments to findatapy.util.ConfigManager.free_form_tickers_regex_query.

Uses CustomData.key_match() to check each symbol against pattern.

resolve_config_manager class method ¶

FinPyData.resolve_config_manager(
    config_manager=None,
    **config_manager_config
)

Resolve the config manager.

If provided, must be of the type findatapy.util.ConfigManager.

resolve_market class method ¶

FinPyData.resolve_market(
    market=None,
    **market_config
)

Resolve the market.

If provided, must be of the type findatapy.market.market.Market.

finpy module¶

FinPyData class¶

fetch_symbol class method¶

list_symbols class method¶

resolve_config_manager class method¶

resolve_market class method¶