94 lines
2.2 KiB
Python
94 lines
2.2 KiB
Python
import time
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from datetime import datetime
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from GetStartEndDate import GetStartEndDate
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import intrinio_sdk as intrinio
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import ujson
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import sqlite3
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import pytz
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from dotenv import load_dotenv
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import os
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ny_tz = pytz.timezone('America/New_York')
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load_dotenv()
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api_key = os.getenv('INTRINIO_API_KEY')
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intrinio.ApiClient().set_api_key(api_key)
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intrinio.ApiClient().allow_retries(True)
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def save_json(data):
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with open(f"json/dark-pool/flow/data.json", 'w') as file:
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ujson.dump(data, file)
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source = 'cta_a_delayed'
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start_date, end_date = GetStartEndDate().run()
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start_time = ''
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end_time = ''
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timezone = 'UTC'
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page_size = 1000
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darkpool_only = True
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min_size = 100
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count = 0
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def get_data():
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data = []
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count = 0
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while True:
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if count == 0:
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next_page = ''
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try:
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response = intrinio.SecurityApi().get_security_trades(source, start_date=start_date, start_time=start_time, end_date=end_date, end_time=end_time, timezone=timezone, page_size=page_size, darkpool_only=darkpool_only, min_size=min_size, next_page=next_page)
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data += response.trades
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next_page = response.next_page
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if not next_page or count == 10:
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break
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count +=1
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except:
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pass
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return data
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def run():
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con = sqlite3.connect('stocks.db')
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cursor = con.cursor()
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cursor.execute("SELECT DISTINCT symbol, name FROM stocks")
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stocks = cursor.fetchall()
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con.close()
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symbol_name_map = {row[0]: row[1] for row in stocks}
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stock_symbols = list(symbol_name_map.keys())
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data = get_data()
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print(len(data))
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# Convert each SecurityTrades object to a dictionary
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data_dicts = [entry.__dict__ for entry in data]
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# Filter the data
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filtered_data = [entry for entry in data_dicts if entry['_symbol'] in stock_symbols]
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res = [
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{
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'symbol': entry['_symbol'],
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'name': symbol_name_map[entry['_symbol']],
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'date': entry['_timestamp'].astimezone(ny_tz).isoformat(),
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'price': entry['_price'],
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'volume': entry['_total_volume'],
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'size': entry['_size']
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}
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for entry in filtered_data
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]
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if len(res) > 0:
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save_json(res)
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if __name__ == "__main__":
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try:
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run()
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except Exception as e:
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print(f"An error occurred: {e}")
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