database-automation/ohlc/backfill_ohlc.py

from datetime import date, datetime, timedelta

from database.ohlc import insert
from iqfeed import get_daily_data, get_historical_data, minutes

from symbols_and_timeframes import symbols_and_timeframes

start_date = datetime(2024, 11, 20)
end_date = date.today() - timedelta(days = 1)

for symbol, timeframe in symbols_and_timeframes:
    if timeframe == '1d':
        data = get_daily_data(symbol, 
            start_date = datetime.combine(start_date, datetime.min.time()), 
            end_date = datetime.combine(end_date, datetime.max.time()))
    else: # Assuming minutes for now.
        data = get_historical_data(symbol, minutes(int(timeframe[:-1])), 
            start_date = datetime.combine(start_date, datetime.min.time()), 
            end_date = datetime.combine(end_date, datetime.max.time()))

    data['Symbol'] = symbol
    data['Timeframe'] = timeframe

    if 'Time' in data.columns:
        data['Timestamp'] = data.apply(lambda row: datetime.combine(row['Date'], row['Time']), axis = 1)
    else:
        data['Timestamp'] = data['Date'].apply(lambda date: datetime.combine(date, datetime.min.time()))

    data = data[['Symbol', 'Date', 'Timeframe', 'Timestamp', 'Open', 'High', 'Low', 'Close', 'Volume']]
    insert(data)