23 lines
746 B
Python
23 lines
746 B
Python
import pandas as pd
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from database.ohlc import insert
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from datetime import datetime, date, timedelta
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from iqfeed.iqfeed import get_historical_data, minutes
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today = date.today()
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symbol = 'VIX1D.XO'
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yesterday = date.today() - timedelta(days=1)
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data = get_historical_data(symbol, minutes(5),
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start_date = datetime.combine(date(2016, 1, 1), datetime.min.time()),
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end_date = datetime.combine(yesterday, datetime.max.time()))
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data['Symbol'] = symbol
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data['Timeframe'] = '5m'
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data['Timestamp'] = pd.to_datetime(data['Date'])
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data['Date'] = data['Timestamp'].dt.date
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data = data.rename(columns={
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'Period Volume': 'Volume'
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})
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data = data[['Symbol', 'Date', 'Timeframe', 'Timestamp', 'Open', 'High', 'Low', 'Close', 'Volume']]
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insert(data) |