cotcube-bardata

This gem is a versatile provider of bardata. It relies on a directory structure most probably saved to /var/cotcube/bardata/. The following directories and files contain data others might expect to be delivered by a database:

1. eods: within eods//.csv, for each date a list of contracts is located, to be applied with the list of headers %i[ contract date open high low close volume oi ].
2. daily: within daily//.csv, for each contract all eods are provided. The list of headers is expected as %i[ contract date open high low close volume oi ]. Please note that it is not obvious whether close contains settlement or actual closing price, depending on the exchange and the broker providing the source data.
3. quarters: within quarters//.csv, for each contract a list of quarters (15 minute intervals) is provided, depending on the first occurrence of the contract within the topN volume segment. Note the different headers here: %i[ contract date_alike day open high low close volume ].
4. trading_hours: within trading_hours/_.csv a list of intervals is provided, with the headers %i[ interval_start interval_end ] for each interval described by seconds since Sunday 0:00p.m. (as defaulted by Ruby's DateTime.new.wday).
5. trade_dates.csv: A growing list of trade_dates as provided by the CME.

Add this line to your application's Gemfile:

gem 'cotcube-bardata'

And then execute:

$ bundle install

Or install it yourself as:

$ gem install cotcube-bardata

The gem expects a configfile 'bardata.yml', located in '/etc/cotcube/' on linux platform and '/usr/local/etc/cotcube/' on FreeBSD. The location of the configfile can be overwritten by passing the according parameter to init.

Provides

• provide_daily(symbol: nil, id: nil, contract:, timezone: Time.find_zone('America/Chicago'), config: init)
• continuous(symbol: nil, id: nil, config: init, date: nil): Loads all dailies for given id and groups by date, hence providing a list of eods.
• continuous_ml(symbol: nil, id: nil, base: nil): Provides a list of contracts, containing a list of most liquid by volume contracts as { date: , ml: }
• continuous_actual_ml(symbol: nil, id: nil): Same as above, but providing the succeeding trading day (as the signaled 'ML' is yet one day old before it can be used).
• continuous_overview(symbol: nil, id: nil, config: init, selector: :volume, human: false, filter: nil): Several purposes, but most noticeable providing the range of first and last occurrence within the top N% by volume within eods.

Provides

• most_liquid_for(symbol: nil, id: nil, date: last_trade_date, config: init, quiet: false)
• provide_most_liquids_by_eod(config: init, date: last_trade_date, filter: :volume_part, age: 1.hour)
• provide_eods(**args)
• provide_quarters(**args)

Provides provide_quarters(**args).

Provides provide(**args).

Provides range_matrix, a simple method processing data based on Bardata.continuous_actual_ml to return a statistical overview of daily high-low ranges (not True Ranges). It contains sets for

• all available data,
• a data subset containing the recent 12 months
• data diminished by :dim (top and bottom) based on all available data

and contains max, avg, lower, median, upper and max (where 'upper' and 'lower' are like the median but at the 25percentile and 75percentile resp.).

As a third dimension (sorry!) all of the above is applied to days, weeks as well as months.

Provides last_trade_date, simple fetches the current 5 trade dates from CME and returns the very last.

Provides get_range(symbol: nil, set: :full, force_set: false, config: init, debug: false), loading a set of intervals. The sets are defaulting to :full when the requested set is not found--unless :force_set is enabled. Furthermore, if symbol is not found, the type-based version is returned. Eventually, if neither could be returned, the 24x7 interval is returned.

After checking out the repo, run bin/setup to install dependencies. Then, run rake spec to run the tests. You can also run bin/console for an interactive prompt that will allow you to experiment.

To install this gem onto your local machine, run bundle exec rake install. To release a new version, update the version number in version.rb, and then run bundle exec rake release, which will create a git tag for the version, push git commits and tags, and push the .gem file to rubygems.org.

Bug reports and pull requests are welcome on GitHub at https://github.com/donkeybridge/bitangent.

The gem is available as open source under the terms of the BSD-3-Clause-License.