-

historical_data/historical_data.py

@@ -0,0 +1,28 @@
+from typing import List
+
+import pandas as pd
+
+from internal_types.types import OHLC, Instrument
+
+# todo: download parquet from clickhouse and store locally
+
+
+def historical_data_tradingview_csv(csv: str, instr: Instrument, t0: str, t1: str) -> List[OHLC]:
+  # [t0, t1)
+  # t0 & t1: YYYY-mm-dd
+
+  df = pd.read_csv(csv)
+  df['date_dt'] = pd.to_datetime(df['time'], unit='s')
+  df = df.rename(columns={'time': 'timestamp', 'Volume': 'volume'})
+  df = df[(pd.Timestamp(t0) <= df['date_dt']) & (df['date_dt'] < pd.Timestamp(t1))]
+  return [
+    OHLC(
+      instr=instr,
+      timestamp=row.timestamp,  # type: ignore
+      open=row.open,  # type: ignore
+      high=row.high,  # type: ignore
+      low=row.low,  # type: ignore
+      close=row.close,  # type: ignore
+      volume=row.volume)  # type: ignore
+    for row in df.itertuples(index=False)
+  ]