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