Added nasdaq provider

demo_scripts/data_providers/nasdaq_data_provider_demo.py

@@ -0,0 +1,55 @@
+#     Copyright 2016-present CERN – European Organization for Nuclear Research
+#
+#     Licensed under the Apache License, Version 2.0 (the "License");
+#     you may not use this file except in compliance with the License.
+#     You may obtain a copy of the License at
+#
+#         http://www.apache.org/licenses/LICENSE-2.0
+#
+#     Unless required by applicable law or agreed to in writing, software
+#     distributed under the License is distributed on an "AS IS" BASIS,
+#     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#     See the License for the specific language governing permissions and
+#     limitations under the License.
+
+import pandas as pd
+
+from demo_scripts.demo_configuration.demo_ioc import container
+from qf_lib.common.enums.price_field import PriceField
+from qf_lib.common.enums.nasdaq_db_type import NasdaqDBType
+from qf_lib.common.tickers.tickers import NasdaqTicker
+from qf_lib.common.utils.dateutils.string_to_date import str_to_date
+from qf_lib.data_providers.nasdaq.nasdaq_data_provider import NasdaqDataProvider
+
+pd.options.display.max_rows = 100000
+pd.options.display.max_columns = 100
+
+
+def main():
+    data_provider = container.resolve(NasdaqDataProvider)  # type: NasdaqDataProvider
+    start_date = str_to_date('2016-01-01')
+    end_date = str_to_date('2017-11-02')
+
+    print('Single ticker:')
+    ticker = NasdaqTicker('IBM', 'WIKI')
+    data = data_provider.get_history(tickers=ticker, start_date=start_date, end_date=end_date)
+    print(data)
+
+    print('Single ticker: lower case')
+    ticker = NasdaqTicker('ibm', 'wiki')
+    data = data_provider.get_history(tickers=ticker, start_date=start_date, end_date=end_date)
+    print(data)
+
+    print('Single ticker:')
+    ticker = NasdaqTicker('IBM', 'WIKI/PRICES', NasdaqDBType.Table)
+    data = data_provider.get_history(tickers=ticker, start_date=start_date, end_date=end_date)
+    print(data)
+
+    print('Single ticker, Price')
+    ticker = NasdaqTicker('IBM', 'WIKI/PRICES', NasdaqDBType.Table)
+    data = data_provider.get_price(tickers=ticker, fields=PriceField.Close, start_date=start_date, end_date=end_date)
+    print(data)
+
+
+if __name__ == '__main__':
+    main()

demo_scripts/demo_configuration/demo_ioc.py

@@ -27,6 +27,7 @@ def _get_ioc_container():
 
     from qf_lib.backtesting.trading_session.backtest_trading_session_builder import BacktestTradingSessionBuilder
     from qf_lib.data_providers.quandl.quandl_data_provider import QuandlDataProvider
+    from qf_lib.data_providers.nasdaq.nasdaq_data_provider import NasdaqDataProvider
     from qf_lib.common.risk_parity_boxes.risk_parity_boxes import RiskParityBoxesFactory
     from qf_lib.common.utils.dateutils.timer import RealTimer
     from qf_lib.common.utils.dateutils.timer import Timer
@@ -48,6 +49,7 @@ def _get_ioc_container():
     builder.register_instance(Settings, settings)
 
     builder.register_class(QuandlDataProvider, component_scope=SingleInstance)
+    builder.register_class(NasdaqDataProvider, component_scope=SingleInstance)
 
     # PUBLISHERS
     builder.register_class(EmailPublisher, component_scope=SingleInstance)

qf_lib/common/enums/nasdaq_db_type.py

@@ -0,0 +1,36 @@
+#     Copyright 2016-present CERN – European Organization for Nuclear Research
+#
+#     Licensed under the Apache License, Version 2.0 (the "License");
+#     you may not use this file except in compliance with the License.
+#     You may obtain a copy of the License at
+#
+#         http://www.apache.org/licenses/LICENSE-2.0
+#
+#     Unless required by applicable law or agreed to in writing, software
+#     distributed under the License is distributed on an "AS IS" BASIS,
+#     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#     See the License for the specific language governing permissions and
+#     limitations under the License.
+
+from enum import Enum
+
+
+class NasdaqDBType(Enum):
+    Table = "Table"
+    Timeseries = "Timeseries"
+
+    @classmethod
+    def list_members(cls):
+        result = []
+        for key, value in cls.__members__.items():
+            result.append(str(value))
+        return result
+
+    def __str__(self):
+        return str(self.value)
+
+    def __lt__(self, other):
+        # method required for grouping
+        if self.__class__ is other.__class__:
+            return self.value < other.value
+        return False

qf_lib/common/tickers/tickers.py

@@ -17,6 +17,7 @@
 from typing import Union, Sequence
 
 from qf_lib.common.enums.quandl_db_type import QuandlDBType
+from qf_lib.common.enums.nasdaq_db_type import NasdaqDBType
 from qf_lib.common.enums.security_type import SecurityType
 from qf_lib.common.utils.logging.qf_parent_logger import qf_logger
 
@@ -244,7 +245,6 @@ def to_ticker(ticker_string: str):
         else:
             return [to_ticker(t) for t in ticker_str]
 
-
 class QuandlTicker(Ticker):
     """ Representation of Quandl tickers.
 
@@ -299,6 +299,60 @@ def to_ticker(ticker_string: str):
         else:
             return [to_ticker(t) for t in ticker_str]
 
+class NasdaqTicker(Ticker):
+    """ Representation of Nasdaq tickers.
+
+    Parameters
+    ------------
+    ticker: str
+        string containing series ID within a specific database
+    database_name: str
+        name of the database where the series is located
+    database_type: NasdaqDBType
+        type of the database
+    security_type: SecurityType
+        denotes the type of the security, that the ticker is representing e.g. SecurityType.STOCK for a stock,
+        SecurityType.FUTURE for a futures contract etc. By default equals SecurityType.STOCK.
+    point_value: int
+        size of the contract as given by the ticker's Data Provider. Used mostly by tickers of security_type FUTURE and
+        by default equals 1.
+    """
+    def __init__(self, ticker: str, database_name: str, database_type: NasdaqDBType = NasdaqDBType.Timeseries,
+                 security_type: SecurityType = SecurityType.STOCK, point_value: int = 1):
+        super().__init__(ticker, security_type, point_value)
+        self.database_name = database_name
+        self.database_type = database_type
+
+    def as_string(self) -> str:
+        if self.database_type == NasdaqDBType.Timeseries:
+            # returns a string that corresponds to the notation used by Nasdaq Timeseries: db_name/ticker
+            return self.database_name + '/' + self.ticker
+        elif self.database_type == NasdaqDBType.Table:
+            return self.ticker
+        else:
+            raise TypeError("Incorrect database type: {}".format(self.database_type))
+
+    def field_to_column_name(self, field: str):
+        return self.as_string() + ' - ' + field
+
+    @classmethod
+    def from_string(cls, ticker_str: Union[str, Sequence[str]], db_type: NasdaqDBType = NasdaqDBType.Timeseries,
+                    security_type: SecurityType = SecurityType.STOCK, point_value: int = 1) \
+            -> Union["NasdaqTicker", Sequence["NasdaqTicker"]]:
+        """
+        Example: NasdaqTicker.from_string('WIKI/MSFT')
+        Note: this method supports only the Timeseries tickers at the moment.
+        """
+
+        def to_ticker(ticker_string: str):
+            db_name, ticker = ticker_string.rsplit('/', 1)
+            return NasdaqTicker(ticker, db_name, db_type, security_type=security_type, point_value=point_value)
+
+        if isinstance(ticker_str, str):
+            return to_ticker(ticker_str)
+        else:
+            return [to_ticker(t) for t in ticker_str]
+
 
 class CcyTicker(Ticker):
     """ Representation of Cryptocurrency tickers.

qf_lib/data_providers/nasdaq/__init__.py

@@ -0,0 +1,13 @@
+#     Copyright 2016-present CERN – European Organization for Nuclear Research
+#
+#     Licensed under the Apache License, Version 2.0 (the "License");
+#     you may not use this file except in compliance with the License.
+#     You may obtain a copy of the License at
+#
+#         http://www.apache.org/licenses/LICENSE-2.0
+#
+#     Unless required by applicable law or agreed to in writing, software
+#     distributed under the License is distributed on an "AS IS" BASIS,
+#     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#     See the License for the specific language governing permissions and
+#     limitations under the License.