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Add support for querying a single day's worth of historical OHLC data

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moshferatu 2024-03-30 06:18:04 -07:00
parent 9fed98b37d
commit 8bf31cde1d
1 changed files with 10 additions and 7 deletions
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17
iqfeed/iqfeed.py
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@ -1,7 +1,7 @@
import pandas as pd import pandas as pd
import socket import socket
from datetime import datetime from datetime import datetime, time
from dotenv import load_dotenv from dotenv import load_dotenv
from os import getenv from os import getenv
from io import StringIO from io import StringIO
@ -63,11 +63,15 @@ def minutes(value):
def hours(value): def hours(value):
return value * 3600 return value * 3600
def get_historical_data(symbol: str, interval: int, def get_historical_data(symbol: str, interval: int, date: datetime = None,
start_date: datetime, end_date: datetime = None, start_date: datetime = None, end_date: datetime = None,
start_filter_time: datetime = datetime.strptime('093000', '%H%M%S').time(), start_filter_time: datetime = datetime.strptime('093000', '%H%M%S').time(),
end_filter_time: datetime = datetime.strptime('160000', '%H%M%S').time()) -> pd.DataFrame: end_filter_time: datetime = datetime.strptime('160000', '%H%M%S').time()) -> pd.DataFrame:
if date:
start_date = date
end_date = datetime.combine(date, time.max)
message = 'HIT,{symbol},{interval},{begin},{end},,{begin_filter},{end_filter},1\n'.format( message = 'HIT,{symbol},{interval},{begin},{end},,{begin_filter},{end_filter},1\n'.format(
symbol = symbol, symbol = symbol,
interval = interval, interval = interval,
@ -94,8 +98,7 @@ def get_historical_data(symbol: str, interval: int,
if __name__ == '__main__': if __name__ == '__main__':
symbols = ['SPY'] symbols = ['SPY']
start_date = datetime(2023, 1, 1, 7, 50) date = datetime(2024, 3, 28)
end_date = datetime(2023, 1, 31, 16, 0)
for symbol in symbols: for symbol in symbols:
data = get_historical_data(symbol, minutes(5), start_date, end_date) data = get_historical_data(symbol, minutes(5), date)
print(data) print(data)