ENH: Add class to access the catalyst OHLCV data directly

research/data_accessor.py

@@ -0,0 +1,112 @@
+import numpy as np
+import pandas as pd
+
+from os.path import expanduser
+
+from catalyst.data.minute_bars import BcolzMinuteBarReader
+from catalyst.exchange.utils.exchange_utils import get_sid
+
+
+class OHLCVDataAccessor:
+    """
+    Class to retrieve OHLCV minute data from catalyst.
+
+    Attributes:
+        exchange (str): Exchange for which the data will be requested.
+        catalyst_root (str): Root directory where Catalyst data is stored (normally "<home directory>//.catalyst").
+        path (str): Path to the data bundle.
+        reader (catalyst.data.minute_bars.BcolzMinuteBarReader): BcolzMinuteBarReader object doing the heavy lifting to
+            retrieve the data.
+
+    Example:
+        >> import pandas as pd
+        >> from catalyst.research.data_accessor import OHLCVDataAccessor
+        >>
+        >> symbol = ['eth_btc', 'xrp_btc']
+        >> fields = ['open', 'high', 'low', 'close', 'volume', 'volume_quote']
+        >> start_dt = pd.Timestamp('2018-01-01')
+        >> end_dt = pd.Timestamp('2018-02-01')
+        >>
+        >> accessor = OHLCVDataAccessor(exchange='binance')
+        >> ohlcv_data = accessor.get_data(symbol, fields, start_dt, end_dt)
+        >> print(ohlcv_data.volume_quote)
+        >> print(ohlcv_data)
+    """
+    def __init__(self, exchange=None, catalyst_root=None):
+        if exchange is None:
+            raise ValueError('You should provide the exchange for which you')
+        if catalyst_root is None:
+            home = expanduser("~")
+            self.catalyst_root = home + "\\.catalyst"
+        else:
+            self.catalyst_root = catalyst_root
+        self.exchange = exchange
+        self.path = self.catalyst_root + "\\data\\exchanges\\" + exchange + "\\minute_bundle"
+        self.reader = BcolzMinuteBarReader(self.path)
+
+    def get_data(self, symbol=None, fields=None, start_dt=None, end_dt=None, current_time=None):
+        """
+        Method to retrieve the OHLCV minute data.
+
+        Args:
+            symbol (str or list of str): Symbol of the pair for which data is requested, or list thereof.
+            fields (list of str): List containing the requested fields (among 'open', 'high', 'low', 'close', 'volume',
+                'volume_quote').
+            start_dt (pd.Timestamp): Start date of the period for which data is requested.
+            end_dt (pd.Timestamp): End date of the period for which data is requested.
+            current_time (pd.Timestamp, optional): The current time from the point of view of the algorithm/simulation.
+                The method will raise an error if end_dt is after current_time, in order to eliminate any unforeseen
+                look-ahead bias.
+
+        Returns (pd.DataFrame or pd.Panel):
+            If a single symbol is passed, the method returns a Pandas dataframe having the dates as an index and the
+            fields as columns.
+            If a list of symbols is passed, the method returns a Pandas panel having the fields along the item axis, the
+            dates along the major axis and the pairs along the minor axis.
+        """
+        if current_time is not None:
+            if end_dt > current_time:
+                raise RuntimeError(f"The end time ({end_dt}) is in the future of the current time ({current_time}). "
+                                   f"Proceeding would introduce look-ahead bias.")
+        if isinstance(symbol, str):
+            symbols = [symbol]
+            return self.get_data_multiple_symbols(symbols, fields, start_dt, end_dt).iloc[:, :, 0]
+        elif isinstance(symbol, list):
+            return self.get_data_multiple_symbols(symbol, fields, start_dt, end_dt)
+
+    @staticmethod
+    def pre_handle_volume_quote(fields):
+        adjusted_fields = fields.copy()
+        if 'volume_quote' in fields:
+            adjusted_fields.remove('volume_quote')
+            if 'volume' not in fields:
+                adjusted_fields.append('volume')
+            if 'close' not in fields:
+                adjusted_fields.append('close')
+        return adjusted_fields
+
+    def get_data_multiple_symbols(self, symbols, fields, start_dt, end_dt):
+        """
+        Gets OHLCV minute data from catalyst for a list of pairs.
+
+        Args:
+            See self.get_data.
+
+        Returns (pd.Panel): Pandas panel having the fields along the item axis, the dates along the major axis and the
+            pairs along the minor axis.
+        """
+        adjusted_fields = self.pre_handle_volume_quote(fields)
+        sids = list(map(get_sid, symbols))
+        data = self.reader.load_raw_arrays(fields=adjusted_fields, start_dt=start_dt, end_dt=end_dt, sids=sids)
+        time_index = pd.DatetimeIndex(freq='1T', start=start_dt, end=end_dt)
+        # Constructs a dataframe out of the data
+        data_df = pd.Panel(data, items=adjusted_fields, major_axis=time_index, minor_axis=symbols)
+        # Converts the volume from the base currency to the quote currency
+        if 'volume' in fields and 'close' in fields:
+            if 'volume_quote' in fields:
+                data_df['volume_quote'] = np.multiply(data_df.volume, data_df.close)
+                if 'volume' not in fields:
+                    data_df.drop('volume', axis=0)
+                if 'close' not in fields:
+                    data_df.drop('close', axis=0)
+        return data_df